SCI Start the Week - 5 February

Category: ABS CLOs CMBS


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

Pipeline
The pipeline was dominated by ABS transactions last week, including a pair of structured settlement securitisations. A mix of CMBS and RMBS were also announced, as well as a CRE CLO.

Auto ABS from the US, France and Turkey – the US$750m Ally Master Owner Trust Series 2018-1, €524m Bumper 10 and TRY1.94bn Driver Turkey Master respectively – hit the market last week, together with three equipment ABS (US$305.694m CCG Receivables Trust 2018-1, US$542.97m GreatAmerica Leasing Receivables Funding Series 2018-1 and US$750m Volvo Financial Equipment Series 2018-1). The structured settlement ABS were US$150m PFS Financing Corp Series 2018-A and US$250m PFS Financing Corp Series 2018-B.

The RMBS comprised US$296.03m Citigroup Mortgage Loan Trust 2018-RP1, Silverstone 2018-1, Tolkien Funding Sukuk No.1 and US$707m Towd Point Mortgage Trust 2018-1. The CMBS consisted of US$195m CFCRE Trust 2018-TAN, €403.81m Pietra Nera Uno and US$1bn UBS 2018-C8. The US$932.4m TRTX 2018-FL1 CRE CLO rounded out the pipeline entrants.

Priced
Auto ABS accounted for the majority of last week's prints. Additionally, a French RMBS was retained.

The auto ABS pricings were: €965m Driver Espana Five, US$266.45m GLS Auto Receivables Trust 2018-1, US$546.05m Tesla Auto Lease Trust 2018-A, US$171.73m United Auto Credit Securitization Trust 2018-1 and US$1bn World Omni Auto Receivables Trust 2018-A. The €316.7m Marzio Finance Series 2-2018 and US$734.83m SoFi Consumer Loan Program 2018-1 rounded out the ABS issuance. The RMBS was €5bn BPCE Master Home Loans 2018-01.

Editor's picks
Innovative portfolio guarantee inked: The EIF has completed five synthetic securitisations with five Italian banks, in the context of the SME Initiative Italy. The transaction features an innovative structure and is the first to guarantee standardised banks...
Distressed exchange queried: China Huarong Asset Management, one of China's largest state-owned distressed debt managers, yesterday launched a Beijing-based bad debt exchange. The exchange is expected to provide an inventory of what's available in the Chinese non-performing loan market...
Bright start for UK ILS: The first UK ILS launched last month, coinciding with the introduction of the nation's new ILS regulatory and tax regime, designed to put the UK on an even footing with other jurisdictions (SCI passim). NCM Re is a US$72m collateralised quota share reinsurance transaction that underwrites a portion of Neon Syndicate 2468's property treaty reinsurance and direct facultative portfolios...
US CLOs on the up: Pricing levels across the US CLO secondary market have kept increasing through January. "Everything is getting tighter in secondary," says one trader. "Meanwhile, new issue spreads are tightening and then those bonds are trading up in the secondary market too..."
Interest shortfall risk spied for VOLT deals: Many 2017 VOLT deals did not receive principal payments in the January 2018 remittance cycle, as the pace of liquidations has slowed dramatically. This appears to be connected to an increase in REO-to-rental activity, which is increasing upward pressure on the expected average lives of senior notes...
Call for transparency underlined: A push for transparency is a common thread among European initiatives to reinvigorate the securitisation markets. Communication and standardisation are expected to play significant roles in facilitating this effort...

Deal news
• Al Rayan Bank is marketing its first £250m sharia-compliant UK securitisation. Dubbed Tolkien Funding Sukuk No.1, the deal is a static securitisation backed by first lien Home Purchase Plans (HPPs) extended to 1,672 customers and secured by residential properties in the UK.
• The first two US CLO reissues closed last week, adding another US$1.12bn to Anchorage Capital Group's AUM. A reissue differs to a refinancing or reset as it involves calling a pre-existing CLO and rolling the assets into a new SPE.
• The first public Turkish ABS transaction, Driver Turkey Master, has been provisionally rated by both Fitch and Moody's. The TRY1.94bn transaction securitises Turkish auto loan receivables originated by Volkswagen Dogus Finansman (VDF) and features a one-year revolving period.
• The Australian Prudential Regulatory Authority has set out its priorities for 2018, most notably with regards to bank capital. The Australian regulator is considering changes to its overall approach to capital requirements in a number of areas where its methodology is more conservative than minimum international requirements.
• Last year was unprecedented for the global ILS market, with record issuance of around US$10bn and non-life ILS capital reaching a record US$88bn by year-end, up 17% from 2016. While some analysts note that the record issuance was largely driven by the first half of 2017, a continuation of unabated growth in terms of new issuance and secondary market activity in 2018 is expected.
• Tesla has priced an inaugural securitisation backed by 8,879 retail auto lease contracts originated by the firm's finance arm, Tesla Finance. The transaction, dubbed Tesla Auto Lease Trust 2018-A, is backed by the discounted value of remaining monthly lease payments and base residual values from the pool.
• LeasePlan is marketing its first French public auto lease ABS. The €653m transaction, dubbed Bumper 10, is a one-year revolving cash securitisation backed by 40,817 auto lease receivables contracts originated by LeasePlan France to businesses, retail clients and public firms.
• TPG RE Finance Trust (TRTX) is marketing an inaugural US$932.4m CRE CLO. The transaction, entitled TRTX 2018-FL1, is the second-largest CRE CLO to be issued post-crisis and will initially be collateralised by 26 mortgage assets, secured by 63 properties.

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