SCI Start the Week - 9 July

Category: ABS CDO CLOs


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

Pipeline

With 4 July having a typically big impact on the issuance calendar, the pipeline was light last week. A smattering of US ABS came in at the tail end, along with one European transaction. A fairly small number of, mainly US, CLOs also appeared.

The ABS entrants to the pipeline were US$230.275m CPS Auto Receivables Trust 2018-C, US$350m Sierra Timeshare 2018-2 Receivables Funding, US$1.251bn GM Financial Consumer Automobile Receivable Trust 2018-3 and a sole European auto ABS in the form of €807m Silver Arrow, Compartment 9.

The rest of the newcomers to the pipeline are from the CLO world and comprise $399.587m Annisa CLO, $405.35m Race Point X CLO, $412.370 TICP CLO V 2016-1 (reset), US$457.15m Assurant CLO III, US$510.20m Alinea CLO and US$651.35m Sound Point CLO V (refinancing).

Pricings

Pricings were dominated by CLOs last week, with most of these being refis. Otherwise, pricing was unsurprisingly Europe heavy, particularly on the auto side.

The ABS that priced consisted of £347m Azure Finance No. 1, €396m Bavarian Sky UK $1.3bn Volkswagen Auto Loan Enhanced 2018-1 and £1.36bn NewDay Funding 2018-1.

A fairly large number of CLOs priced, although these were mainly refis and resets. They consisted of $369.334m Cedar Funding 2016-5 (refinancing), $373.3m Galaxy XXII CLO 2016-22 (refinancing), $382.25m Battalion CLO VII Ltd 2014-7 (refinancing),  $402.9m Carlyle Global Market Strategies CLO 2016-1 (refinancing), €430.69 Dryden Leveraged Loan CDO 2015-44 (refinancing), $470m Octagon Investment Partners 2016-27 (refinancing), $474.75m Apollo Credit Funding 2015-4 (refinancing), €484.417m ALME Loan Funding 2016-5 (refinancing), $505.24m Anchorage Capital CLO LTD 2016-8 (refinancing), $505m Shackleton CLO 2014-6 (refinancing), $563.8m ALM CLO 2015-17 (refinancing), $636.775m OZLM VII 2014-7 (refinancing) and €642.99m Richmond Park 2013-1 (refinancing).

A smaller number of new issue CLOs also priced in the form of $376.979m Marathon 2018-FL1, $404m, PPM CLO 2018-1, $408.6m MidOcean Credit CLO 2018-9, $424.88m Elevation CLO 2018-9, $460.725m LCM XXVII 2018-27, €482.198m North Westerly CLO 2018-5, $500m ZAIS CLO 3, $511.6m Ares XLIX CLO 2018-49, $602.1m Regatta XIII Funding 2018-2 and $657m One Eleven Funding II Loan/Bond CLO 2018-2.

Three CMBS also priced in the form of €247.8m Kantoor Finance, €282.5m Libra (European Loan Conduit No. 31) and $370.2m NCMS 2018-FL1. Finally, a couple of RMBS priced: $236.78m CoreVest American Finance 2018-1 and €7.959bn Leone Arancio RMBS.

Editor’s picks

European CMBS surge continues: European CMBS is experiencing a bumper year and new deals continue to hit the market, making 2018 the strongest year for traditional, floating-rate CMBS since 2015. While investors are unlikely to lose any sleep just yet, many of these new transactions feature structural nuances that draw comparisons with transactions seen before the financial crisis.

Landmark UTP deal completed: Bain Capital Credit has acquired a portfolio of unlikely-to-pay (UTP) loans, dubbed Project Valery, from the Italian arm of Credit Agricole. The portfolio has a total book value of €450m and is the first large-scale, pure UTP transaction in Italy.

Barclays engineers comeback: Barclays has returned to the risk transfer market with Colonnade Global 2018-1, a £34.2m cash-collateralised eight-year financial guarantee. As with previous Colonnade transactions, the credit protection covers both principal and accrued interest.

 

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