SCI Start the Week - 30 April

Category: ABS CLOs CMBS


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

Upcoming event
SCI NPL Securitisation Seminar – 9 May, London
SCI’s NPL Securitisation Seminar provides an opportunity for investors and issuers to come together to add depth to discussions around European non-performing loan activity, the regulatory treatment of NPL securitisations and the benefits of this technology as an exit mechanism. Panels cover deal structuring, servicing, regulations, investment trends and rating considerations. Click here for more information.

Pipeline

ABS were dominant this week although a number of CMBS and RMBS also hit the pipeline, along with a single CRE CLO.

The ABS in the pipeline at the start of the week are: US$212.6m ACC Trust 2018-1, C$590m BMW Canada Auto Trust 2018-1, US$824m DLL 2018-1, US$36.7m MSRP 2018-SC1, $635.66m PSNH Funding 3, £206.6m SBOLT 2018-1, US$248.2m STEAM 2018-1. CMBS include: US$782.7m Ashford Hospitality Trust 2018-ASHF, US$510.5m BX Trust 2018-GW, US$500m DBWF 2018-AMXP Mortgage Trust, US$579.8m WFCM 2018-C44 and the one CRE CLO is US$826.6m GPMT 2018-FL1. Following that, the RMBS in the pipeline are: US$1.245bn Arroyo Mortgage Trust 2018-1, US$1.2.bn CAS 2018-C03, US$380m CIM Trust 2018-J1, US$736.5m JP Morgan Mortgage Trust 2018-4, US$425.956m New Residential Mortgage Loan Trust 2018-2.

Pricings

ABS made up the bulk of pricings last week with RMBS not far behind.

The ABS that priced were: €379m A-Best 13 (Re-offer), US$400m AESOP Funding 2018-1, US$1.1bn Ally Auto Receivables Trust 2018-2, €1.075bn Bavarian Sky German Auto Loans 8, US$379.6m CLI Funding VI series 2018-1, C$390m CNH Capital Canada Receivables Trust Series 2018-1, C$785m Fair Hydro Trust Series 2018-2, €395.7m Golden Bar Securitisation, US$340.47m GoodGreen 2018-1, $482m Hertz Fleet Lease Funding Series 2018-1, €1bn IM BCC Cajamar PYME 2, US$278.15m Laurel Road Prime Student Loan Trust 2018-B, $610.5m MAPS 2018-1, C$532m MBARC Credit Canada 2018-A, US$379.60m Seacube Container 2018-1, US$500m Securitized Term Auto Receivables Trust 2018-1

The RMBS that priced were: A$1.25bn Apollo Series Trust 2018-1, US$704.07m Flagstar Mortgage Trust 2018-2, A$687.4m Liberty Series 2018-1 Trust, US$381.65m Mill City Mortgage Loan Trust 2018-1, A$141.9m MTG Ariera Trust Repo Series 1, US$450m PMT Issuer Trust - FMSR Series 2018-FT1, $380.09m Sequoia Mortgage Trust 2018-5, £308.7m Tower Bridge Funding No. 2. A single CMBS also priced: US$688.2m BANK 2018-1 BNK11.

Editor’s picks

SRT features incorporated: The EIF has granted BBVA a €90m guarantee on a mezzanine tranche of a €1.95bn portfolio which will enable the provision of up to €600m financing of new investment projects to Spanish SMEs. The transaction incorporates structural features from the EBA’s significant risk transfer discussion paper and is part of a wave of agreements supporting SMEs across Europe.

CRT issuance boost expected: Total capital relief trade issuance this year should exceed 2017, believes alternative asset manager PAG Asia, one of the sector’s major investors. Issuance is expected to be accelerated by an end to accommodative central bank monetary policies, underlining the importance of investing experience and expertise.

Regulatory news

The European Commission has launched a consultation on its proposed new risk-sensitive treatment of securitisations under Solvency 2. The proposal – which seeks to harmonise existing legislation with the STS framework - has been welcomed for its potential to attract insurers back into the ABS market.

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