SCI Start the Week - 4 June

Category: ABS Capital Relief Trades CLOs


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

Pipeline
ABS and RMBS made up the majority of the transactions remaining in the pipeline at the end of last week. A trio of CMBS were also marketing.

The auto ABS in the pipeline comprise: US$900m BMW Floorplan Master Owner Trust Series 2018-1, US$486.02m DT Auto Owner Trust 2018-2, US$707.86m Hyundai Auto Lease Securitization Trust 2018-B, CNY9.35bn Rongteng 2018-2 and €600m SC Germany Auto 2018-1. The US$1.09bn Castlelake Aircraft Structured Trust 2018-1 and US$127.45m Loan Science Student Loan Trust 2018-A ABS were also announced last week.

The RMBS in the pipeline consist of: A$350m AFG 2018-1 Trust, US$401.63m COLT 2018-2, A$1bn Firstmac Mortgage Funding Trust No. 4 Series 2-2018, US$694m New Residential Mortgage Loan Trust 2018-RPL1, A$690m Progress 2018-1 Trust, US$409.82m Sequoia Mortgage Trust 2018-6 and US$263.51m STACR 2018-SPI2. Finally, the US$668.2m CGCMT 2018-C5, US$725m DBGS 2018-BIOD and US$330m US 2018-USDC CMBS round out the deals currently marketing.

Pricings
Last week’s pricings were dominated by consumer ABS and CLOs. A pair of RMBS were also issued.

The new issue consumer ABS were: €1.7bn Caixabank Consumo 4, US$600m Citibank Credit Card Issuance Trust 2018-4, US$509.8m Nelnet Student Loan Trust 2018-2, €1.6bn Noria 2018-1, Sfr200m Swiss Credit Card Issuance 2018-1 and US$268.41m Towd Point Asset Trust 2018-SL1. Meanwhile, the CLO prints were split between refinancings (US$476.75m ALM VI, US$518.05m Mountain View CLO IX and US$284.25m Steele Creek CLO 2016-1) and new deals (€411.4m Contego CLO V, US$407m Kayne CLO I and US$610.9m Octagon Investment Partners 37). The €1.37bn Elide FCT Compartiment 2018-01 and €1bn Green Apple 2018-1 NHG transactions accounted for the RMBS pricings.

Editor’s picks
Consultant activity surveyed: Investment consultants for long-term investors such as pension funds haven’t been as active in capital relief trades as other investors, typically hedge funds - although this is expected to change, as corporate defaults pick up over the next two to three years (SCI 25 April). The trades are attractive to consultants’ clients, as they provide exposure to higher quality corporate collateral, control over underwriting standards and structural protections...
Managers set out stalls post-repeal: Of open-market CLO managers that have issued a risk retention-compliant CLO, 61% are seeking to sell some or all of the risk retention interest, according to a recent survey from Maples and Calder. Indeed, a number of risk retention pieces have been put up for sale on the secondary market in recent weeks, following the official repeal of the ruling for CLOs earlier this year (SCI passim)…
GACS issuance surge expected: Investor appetite for GACS non-performing loan securitisations will be tested this year, as a strong pipeline of deals come to market before the government guarantee expires in September. Should the guarantee fail to be extended, more outright sales of NPLs are expected rather than securitisations…
RRBs on the rise?: Signs of an uptick in the US rate reduction bond (RRB) market are emerging, albeit the sector remains a relatively small segment of the securitisation landscape. More states are putting frameworks in place to enable them to issue RRBs and there are indications of innovative transactions on the horizon…

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