SCI Start the Week - 25 June

Category: ABS Capital Relief Trades CDO


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A look at the major activity in structured finance over the past seven days

Pipeline
The securitisations remaining in the pipeline at the end of last week were fairly evenly split between ABS, CMBS and RMBS. A single CRE CLO was also announced.

The ABS remaining in the pipeline are: US$180.21m Credit Suisse ABS Trust 2018-LD1, US$1bn Crown Castle Towers Series 2018-1 and 2018-2, Gracechurch Card Programme Funding Series 2018-1 and 2018-2, US$317.5m Mosaic Solar Loan Trust 2018-2-GS, £1.36bn NewDay Funding 2018-1, US$236.8m Oportun Funding IX Series 2018-B and US$1bn Volkswagen Auto Loan Enhanced Trust 2018-1. The RMBS are: US$402.01m Angel Oak Mortgage Trust I 2018-2, US$236.78m CoreVest American Finance 2018-1, US$1.6bn CSMC 2018-J1, US$938.15m JP Morgan Mortgage Trust 2018-6, US$490.47m JP Morgan Mortgage Trust 2018-7FRB, £6.3bn Lanark Master Issuer Series 2018-2, US$1.15bn Towd Point Mortgage Trust 2018-3 and £290m Twin Bridges 2018-1.

The newly announced CMBS comprise: US$932.9m Ashford Hospitality Trust 2018-KEYS, US$750m Aventura Mall Trust 2018-AVM, US$1.16bn Benchmark 2018-B4, US$1.1bn FREMF 2018-K732, US$675m Independence Plaza Trust 2018-INDP, US$1.02bn MSC 2018-H3, US$803.8m UBS 2018-C11 and US$658.77m WFCM 2018-C45. Finally, US$470m Marathon CRE 2018-FL1 was also marketing.

Pricings
ABS dominated last week’s pricings, across auto and non-auto collateral. A good number of CLOs and RMBS were also issued.

The auto ABS prints consisted of: US$1bn Ally Auto Receivables Trust 2018-3, US$379.35m California Republic Auto Receivables Trust 2018-1, US$1.24bn GM Financial Automobile Leasing Trust series 2018-2, US$200m Hertz Vehicle Financing II Series 2018-2, US$200m Hertz Vehicle Financing II Series 2018-3 and US$1.11bn Santander Drive Auto Receivables Trust 2018-3. The non-auto ABS prints were: US$673.6m Business Jet Securities 2018-2, US$525m Discover Card Master Trust 2018-3, €253m 4Mori Sardegna, US$423m MVW Owner Trust 2018-1, US$997m Navient Student Loan Trust 2018-3, US$150m Regional Management Issuance Trust 2018-1 and US$586.9m START 2018-1.

The €507m Fanes 2018-1, €1.44bn Fastnet Securities 14, €428m FT RMBS Prado VI, US$1.1bn Invitation Homes 2018-SFR3, £351m Malt Hill No. 2, US$2.99bn-equivalent Permanent Master Issuer Series 2018-1 and A$1bn Progress 2018-1 Trust accounted for last week’s RMBS pricings. The US$510.2m Alinea CLO, US$1.03bn ALM XVI CLO (refinancing), €413.2m Anchorage Capital Europe CLO I, €412.85m Arbour CLO V, US$407.95m BlueMountain CLO XXII, US$405.88m Crown Point 5 CLO, US$607m KKR CLO 22, US$407.85m JMP CLO V and US$463.75m Magnetite XVII (refinancing) accounted for the CLO prints. Finally, US$278.3m RCMF 2018-FL2 rounded out the issuance.

Editor’s picks
Mortgage SRT booster voted down: MEP Caroline Nagtegaal’s amendment 596 to Article 234 of the CRR was rejected by the European Parliament in a vote this week, in order to prevent the establishment of an unwanted precedent. The amendment had been expected to boost significant risk transfer (SRT) transactions of mortgages (SCI 20 April)…
Questions remain over insurer participation: The European Commission recently published the Delegated Act on Solvency 2, which improves the capital treatment for certain ABS exposures, as of 1 January 2019. However, market participants suggest that STS securitisations deserve fairer capital treatment and, as a result, insurance firms remain unlikely to return to the securitisation market in great number…
PRA's tough stance continues: Banks have been reviewing the PRA’s significant risk transfer (SRT) consultation, which proposes a full capital charge for excess spread in SRT securitisations and is expected to reduce the capital relief that can be achieved by UK issuers. The paper also introduces uncertainty over the hierarchy of approaches and is another indication that, going forward, the UK regulator’s stance on capital relief trades will remain far stricter, compared to the position of the EBA…
Capital computation: The complexity involved in executing capital relief trades is driving increased focus on the operational requirements necessary for efficient cost of capital computation. Indeed, implementing a joined-up approach across the front, middle and back offices can benefit an issuer’s bottom line – not only in terms of RWA savings, but also in other areas of their business…

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