SCI Start the Week - 26 February

Category: ABS CDO CLOs


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

Upcoming event
SCI Risk Transfer & Synthetics Seminar - 13 March, New York
SCI's Synthetic Securitisation Seminar provides an in-depth exploration of how synthetic securitisation is being utilised to transfer risk, achieve capital relief and create bespoke investment opportunities in the post-financial crisis environment. Panels cover capital relief trade structuring and regulatory considerations, issuance trends, index tranches and mortgage credit risk transfer.

Pipeline
A mixed bag of auto loan ABS, CMBS and RMBS remained in the pipeline at the end of last week. Collateral from Australia, China and Japan gave an international flavour to the offerings.

The newly-announced auto securitisations were US$470m-equivalent OSCAR US 2018-1 and RMB2.79bn Rongteng 2018-1, while the CMBS comprised US$1.14bn FREMF 2018-K73, US$210m Natixis Commercial Mortgage Securities Trust 2018-PREZ and US$179m Natixis Commercial Mortgage Securities Trust 2018-RIVA. Firstmac Mortgage Funding Trust No.4 1-2018, La Trobe Financial Capital Markets Trust 2018-1 and US$500m PNMAC GMSR Issuer Trust Series 2018-GT1 represented the RMBS.

Pricings
ABS accounted for the majority of last week's pricings, with auto, consumer, equipment and esoteric deals all being snapped up. The other asset classes were well represented too.

The auto prints consisted of: €1.01bn A-BEST 15 (reoffer), US$1.32bn Honda Auto Receivables 2018-1 Owner Trust, US$857.7m Hyundai Auto Lease Securitization Trust 2018-A, US$1bn Nissan Auto Receivables 2018-A Owner Trust and €1bn Red & Black Auto Germany 5. The consumer deals included: US$600m OneMain Financial Issuance Trust 2018-1, US$155.56m Oportun Funding VIII Series 2018-A and US$525m World Financial Network Credit Card Master Note Trust Series 2018-A.

US$496.81m Business Jet Securities Series 2018-1, US$348.9m CAL Funding III Series 2018-1 and US$137m TLF National Tax Lien Trust 2017-1 made up the esoteric pricings, while the equipment ABS were US$197.55m Amur Equipment Finance Receivables V Series 2018-1 and US$753.19m John Deere Owner Trust 2018. The US$700m Nakama Re 2018-1 was the sole ILS print.

Newly issued CLOs consisted of: US$511.6m Flatiron CLO 2018-1, €404.75m GoldenTree Loan Management EUR CLO I, US$606.25m Hayfin Kingsland VIII, €413m Marlay Park CLO and US$517.5m Symphony CLO XIX. There were also a pair of CLO refinancings - US$370.5m Ares XXXVIII CLO and US$78m Madison Park Funding XIX.

The US$300m UBSCM 2018-NYCH and US$236m VB-S1 Issuer Series 2018-1 CMBS, together with the A$252m Sapphire XVIII Series 2018-1 Trust RMBS rounded out last week's issuance.

Editor's picks
Busy start for UK RMBS: UK RMBS has come flying out of the blocks in 2018, with the end of the Term Funding Scheme and Funding for Lending Scheme only partly explaining the new-found enthusiasm for issuance. Recent JPMorgan figures put UK RMBS issuance at over £3bn for 2018 already, with US dollar tranches and Islamic finance techniques both seen, and even the possibility of a seven-year fixed rate tranche mooted, while RIPON paper coming into secondary and the proposed RMAC call both add spice to the sector...
Indian investment boost expected: India's latest guidelines aimed at speeding up non-performing loan resolution is likely to increase banks' credit costs and undermine earnings in the near term. The new regime, however, is also expected to boost NPL investment in the country...
Synthetics spur CDS expansion: An evolving synthetic securitisation landscape is fuelling the expansion of the CDS market and CDS-linked products. However, the regulatory hurdle of the fundamental review of the trading book (FRTB) looms on the horizon...

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