SCI Start the Week - 29 January

Category: ABS Capital Relief Trades CDO

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

The balance of additions to the pipeline last week closely followed that of the week before. There were another seven ABS added, along with four CLOs, five CMBS and a couple of RMBS.

The ABS were: €723.75m Driver Espana Five; Fair Hydro Trust Series 2018-1; US$266.45m GLS Auto Receivables Trust 2018-1; Golden Credit Card Trust Series 2018-2; US$591.5m SoFi Consumer Loan Program 2018-1; US$171.73m United Auto Credit Securitization Trust 2018-1; and US$800.97m World Omni Auto Receivables Trust 2018-A.

US$308.2m Deephaven Residential Mortgage Trust 2018-1 and US$916.6m Invitation Homes 2018-SFR1 were the RMBS. The CMBS were: US$1.287bn BANK 2018-BNK10; US$1.3bn FREMF 2018-K72; US$471m InTown Hotel Portfolio Trust 2018-STAY; US$200m JPMCC 2018-BCON; and €404m Pietra Nera Uno.

The CLOs were: €458.3m Barings Euro CLO 2018-1; US$407.5m Crown Point CLO IV; €324m GLG Euro CLO IV; and US$368.1m VMC Finance 2018-FL1.

A further 13 ABS priced, along with an ILS, seven CLOs, a CMBS and seven RMBS. That single ILS was US$200m Vitality Re IX Series 2018-1 and the CMBS was US$192m WFCM 2018-BXI.

The ABS were: US$442m AASET 2018-1; US$1.026bn Ally Auto Receivables Trust 2018-1; US$114.039m Avid Automobile Receivables Trust 2018-1; US$1.8bn Citibank Credit Card Issuance Trust Citiseries 2018-A1; US$1bn Citibank Credit Card Issuance Trust Citiseries 2018-A2; US$550m Exeter Automobile Receivables Trust 2018-1; US$2.186bn Ford Credit Auto Owner Trust 2018-REV1; CNY4bn Fuyuan 2018-1 Retail Auto Mortgage Loan Securitization Trust; US$750m Golden Credit Card Trust Series 2018-1; £545m MotoPark Finance; US$1bn Navient Student Loan Trust 2018-1; US$170m Sonic Capital Series 2018-1; and US$1.2bn Toyota Auto Receivables 2018-A Owner Trust.

The CLOs were: US$381m Canyon Capital CLO 2014-1R; US$409.6m Crestline Denali CLO XVI; €2.835bn FT PYMES Santander 13; US$517m Sound Point II CLO 2013-1R; US$256m TICP CLO IX; US$560m Vibrant CLO VIII; and US$384.1m Voya CLO 2016-1R.

The RMBS were: US$1.2bn Benchmark 2018-B1; £314m London Wall Mortgage Capital Fleet 2018-01; US$705m-equivalent Lanark 2018-1; US$725m New Residential Mortgage Loan Trust 2018-1; €11bn Orange Lion XVI; US$462m Sequoia Mortgage Trust 2018-2; and US$242.521m Verus Securitization Trust 2018-1.

Editor's picks
Slicing the risk: Capital relief trade issuers and investors are weighing in on the virtues of a structuring technique dubbed 're-tranching'. The innovation involves slicing in two the junior risk, in an attempt to cope with higher capital requirements under the CRR (SCI 23 February 2017)...
Hovnanian highlights 'need for change': A group of funds, led by Solus Alternative Asset Management, is seeking to prevent a deal between GSO Capital Partners and Hovnanian Enterprises which has the potential to fundamentally undermine trust in credit derivatives. A federal court is due to hear arguments today, but regardless of the outcome market participants say change is needed...
Landmark financial guarantee completed: The EIB and Credit Agricole completed an innovative synthetic securitisation in late December. Dubbed VIADUC, the risk transfer transaction combines a guarantee by the EIF - which covers Credit Agricole's large corporate clients - with a commitment by the French lender to provide €830m of subsidised loans to French SMEs and medium-sized companies (see SCI's capital relief trades database)...
Going green: Representatives from Clifford Chance, TMF and Ygrene Energy Fund recently discussed the current status of green ABS during a live webinar hosted by SCI (view the webinar here). This Q&A article highlights the main talking points from the session, including the established asset classes, those that are developing, and what is next for the sector...
Latin America poised to grow: The Latin American structured finance market is expected to be boosted by an improving economic environment across the region, with several countries likely to see growth in 2018. Issuance is anticipated to grow in Brazil, Argentina and Mexico across a range of asset classes, although uncertainty surrounds looming elections and a limited derivatives market hampers cross-border capabilities...

Deal news
• Intesa Sanpaolo last month returned to the risk transfer market with another GARC transaction. Dubbed GARC-SME 6, the €120m cash collateralised deal references a €2.5bn Italian SME portfolio.
• The Canadian province of Ontario has launched the country's first ABS backed by utility cost recovery charges. The transaction, dubbed Fair Hydro Trust, has yet to be valued but comprises three tranches and is designed to finance lower electricity costs for 5.05 million households and businesses throughout the province.
• Värde Partners is tapping the market with a debut US$368.1m cashflow CRE CLO. The transaction, entitled VMC Finance 2018-FL1, is expected to close on 8 February and comprises 24 first-lien whole loans and pari-passu participations secured by commercial real estate properties spread across 12 US states.