A look at the major activity in structured finance over the past seven days
Pipeline
An even mix of ABS, CMBS and RMBS remained in the pipeline at the end of last week. Another CRE CLO was also announced.
The ABS comprise A$699m Driver Australia Five Trust, Sfr335m Swiss Car ABS 2018-1 and the US$3.22bn Tobacco Settlement Financing Corp 2018A and B notes. The CMBS consist of US$500m American Tower Trust I Series 2018-1, US$952.9m CSAIL 2018-CX11 and €531m FROSN 2018, while the CRE CLO is US$610m BSPRT 2018-FL3. Finally, the US$866m JPMMT 2018-3, C$247.5m MCAP RMBS Series 2018-1 and US$327m OBX 2018-1 transactions account for the RMBS.
Pricings
ABS made up the majority of pricings last week, across auto and consumer assets. In addition, a handful of RMBS were issued, as well as a few CLOs and CMBS.
The auto ABS prints were US$1.04bn Daimler Trucks Retail Trust 2018-1, US$200m GMF Floorplan Owner Revolving Trust Series 2018-1, US$578.1m GMF Floorplan Owner Revolving Trust Series 2018-2 and RMB4bn Huitong 2018-1 Retail Auto Mortgage Loan Securitization Trust. The A$523.56m Latitude Australia Credit Card Loan Note Trust Series 2018-1, US$995.76m Navient Student Loan Trust 2018-2, US$615.12m Prosper Marketplace Issuance Trust Series 2018-1 and €550m Quarzo CQS 2018 accounted for the consumer ABS issuances.
The CLO prints included €408m Aurium CLO IV, €413.5m BlackRock European CLO V and US$511m Cedar Funding IX, while the CMBS prints were US$1.325bn BBCMS 2018-TALL and US$1.2bn FREMF 2018-K74. Rounding out last week’s issuance were the €356m European Residential Loan Securitisation 2018-1, US$771.3m-equivalent Pepper Residential Securities No. 20, US$360.75m Radnor Re 2018-1, US$985m STACR 2018-HQA1 and US$139.95m STACR 2018-SPI1 RMBS.
Editor's picks
Grappling with uncertainty: Capital relief trade issuers are incorporating structural features highlighted in the EBA’s risk transfer discussion paper in an effort to gain some regulatory certainty in the absence of any guidance. Challenges remain, though, as significant risk transfer (SRT) recognition will depend on negotiations between national regulators and banks…
Increase in liquidity 'hard to measure': Liquidity in structured products is difficult to quantify, and perhaps even to define. Whichever way it is measured, traders agree that it has increased and predict that over the course of 2018 spreads are going to continue their long tightening trend…
Non-traditional ABS growth to continue: There was record ABS issuance in 2017, with the most since the crisis. Non-traditional ABS accounted for around US$27bn, with whole business securitisation issuance reaching a record-breaking US$7.4bn, while aircraft ABS came back strongly after a quiet 2016…
Marketplace lending now 'mainstream': The US consumer economy’s long recovery has now become well established and access to credit has developed markedly over the last few years. Marketplace lending ABS has become similarly well established in this environment and is set to continue its development, although there are fears that the market is now teetering towards a bubble…
Deal news
- Finnish real estate firm Sponda – which was acquired by Blackstone in June 2017 – is in the market with an innovative CMBS. The €540.87m securitisation includes a new structural feature in the form of reserve fund notes (RFNs), which finance the note share portion of the liquidity reserve.
- Hertz franchisee Autohellas is in the market with AutoWheel Securitisation, an ABS backed by operational auto leases extended to Greek corporates and SMEs. The €101.5m transaction is the first non-bank leasing securitisation to be executed in Greece.
Regulatory update
- The Bank of England has announced that the 2018 stress test scenario for the major UK banks will be the same as that used in 2017, rendering it more severe than the global financial crisis. The scenario will assess the impact of IFRS 9 on the stress test results, but the central bank confirms that although capital ratios are likely to fall more sharply than in previous tests, the transition to the new accounting standard would not change the total amount of losses a bank would incur through a given stress.