SCI Start the Week - 7 January

Category: ABS CLOs CMBS

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A review of securitisation activity over the past seven days

Transaction of the week

Santander has launched an unusual synthetic securitisation of auto loans, dubbed Santander Consumer Spain Synthetic Auto 2018-1. The transaction comprises a €60.6m twelve-year CLN that references a €1.01bn portfolio of Spanish auto loans paying Euribor plus 8.90%.

Synthetic securitisations of granular, consumer portfolios are uncommon, as the structures are typically used for concentrated, non-granular portfolios. This is due to ease of execution and the ability to maintain borrower relationships.

The portfolio consists of 130,601 underlying loans for the acquisition of new and used vehicles and nearly 50% of the portfolio comprises small loans valued at €5000-€10,000, with new vehicles representing over two-thirds of the loans. When the portfolio is broken down by car manufacturer, Hyundai, Kia and Opel comprise 55% of the portfolio, with Hyundai capturing the bulk of the portion (20.3%).

The tranches in the transaction amortise on a pro-rata basis and the deal includes a time call that is subject to the portfolio's 3.25-year weighted average life. Further features include a one-year revolving period and credit enhancement in the form of a 1% retained first loss tranche. The lack of any excess spread benefit explains the higher coupon than is normally seen in traditional auto loan securitisations with excess spread.

Other deal-related news

Banca Carige has been placed into temporary administration by the European Central Bank (ECB) following the resignation of the majority of Banca Carige's board members. The decision is unlikely to negatively impact Banca Carige's non-performing loan (NPL) securitisation programme and could actually expedite its NPL disposal plans.

Elizabeth Rudman, md, head of European FIG at DBRS emphasises that it is a temporary administration organised by the ECB and that it ultimately resulted from an impasse, due to the shareholders blocking the additional capital required by the ECB. She says that Banca Carige had made progress last year in issuing the necessary subordinated debt issue, but when it failed to get approval for the capital raise, the temporary administration became a way to move things forward.

Vito Natale, head of European RMBS and CBs at DBRS, comments: "I think a key thing to note is what the ECB has stated in the press release - that they have taken control for the bank's continuity, stability and to ensure existing objectives, such as NPLs disposals, are met. If anything, the plans to resolve the bank's issues - and to resolve its NPL burden - should be accelerated now and it should be able to achieve financial stability more quickly."




An unsurprisingly quiet week last week, but the most notably active area was in CLOs where a handful of deals priced, along with a pair of CMBS transactions.

CLOs: US$400m AIMCO CLO 2018-B, US$500m Benefit Street Partners CLO XVI, US$506.35m Dryden 70 CLO, US$461.38m Halcyon Loan Advisors Funding 2018-2, US$400m Marble Point CLO XIV, €400m Invesco Euro CLO I, US$600m Symphony CLO XV.

CMBS: US$796.80m Morgan Stanley Capital I Trust 2018-H4, US$1.049bn Benchmark 2018-B8 Mortgage Trust.

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