IFR 02.29.2020

International Financing Review February 29 2020 39

STRUCTURED FINANCE

€941m of seniors some 1.4 times covered at

a 17bp discount margin and the €19m Class

B partly retained at 78bp.

The most recent German auto ABS was

BMW’s Bavarian Sky 9 in November last year

which sold seniors at 16bp.

EUROBANK FIRST TO ASK HERCULES FOR

GREECE NPL GUARANTEE

EUROBANKûHASûBECOMEûTHEûlRSTû'REEKûBANKûTOû

apply for a government guarantee under the

new Hercules (or HAPS) non-performing

loan securitisation programme, the bank

said. Eurobank submitted applications on

Tuesday for two securitisations, Cairo I and

Cairo II, and will apply for a third Cairo ABS

in the coming weeks.

Greece’s four systemic banks are all

expected to use Hercules, which is modelled

on the successful GACS programme in Italy,

to shunt tens of billions of NPL risk off their

balance sheets. The Greek parliament

approved the Hercules programme in

December 2019. Greece’s pile of NPLs totals

around €75bn.

Under Hercules, banks can apply for a

government guarantee on the senior

tranche of an NPL securitisation as long as

that tranche is structured to a minimum

Double B minus credit rating and they sell

THEûMAJORITYûOFûTHEûMEZZANINEûANDûJUNIORû

notes.

The guarantee would give the senior

notes a zero risk-weighting, making them

attractive for the originator banks to hold

on their balance sheets.

Eurobank says the senior notes on the

lRSTûTWOû#AIROûSECURITISATIONSûTOTALû

€1.655bn.

4HEûFULLû#AIROûPROJECTûWILLûSECURITISEû.0,Sû

with a €7.5bn face value, with each of the

three securitisation pooling different types

of loan claims, and Eurobank is aiming to

reducing its non-performing exposures ratio

to around 15% by the end of March.

VAUXHALL ABS UPSIZED DESPITE WIDER

MARKET TURMOIL

The asset-backed market demonstrated

resilience to the pressures experienced

elsewhere on Friday when VAUXHALL FINANCE

upsized and sold the UK auto ABS that it had

marketed through last week’s broader

market meltdown.

E-CARAT 11, which was increased by £100m

to £500m, sold £361.25m of Triple A notes

ABOVEûlVEûPUBLICLYûMARKETEDûMEZZANINEû

tranches and two pre-placed tranches.

Securitisation investors were clearly not

immune to fears about the coronavirus impact

on the global economy, and they demonstrated

spread sensitivity through the capital stack.

And unlike most previous deals this week,

plenty of orders were shaken out of the

mezzanine tranches between initial price

THOUGHTSûANDûlNALûPRICING

But market participants said the fact the

deal got away was encouraging.

“When unsecured issuance has stopped

entirely, it’s good to see broad investor

engagement in ABS,” said one ABS syndicate

banker.

The banker said that until last week the

securitisation pipeline had expected to build

steadily in March.

“But there are no real issuers with out and

out funding pressure – if markets aren’t

conducive to new issues I would expect

changes to timing,” he said.

Vauxhall announced E-Carat 11 on

Monday, with BNP Paribas as sole

bookrunner and LloydsûJOININGûASûAûNO

BOOKSû

lead on the Class A.

Initial price thoughts were high 50s over

3ONIAûFORûTHEûSENIORSûANDûlNALûGUIDANCEû

went straight to 58bp. That is in line with

the last UK auto ABS, Orbita Funding 2020-1

from Close Brothers on February 4.

Unlike Orbita, E-Carat was also offering

bonds further down the stack. They

recorded good subscription levels at IPTs of

between 2.1 times and 4.5 times, but those

were pared back to between 1.1 times and

ûTIMESûATûlNALûPRICING

Vauxhall Finance, which in 2017 was

BOUGHTûALONGûWITHû/PELSûlNANCIALûOPERATIONSû

by Groupe PSA and BNP Paribas, last issued off

its UK E-Carat shelf in February last year.

But that was when uncertainties around

STS and Libor replacement were at their

peak, and E-Carat 10 was not offered

publicly. Its £526.35 3.2-year Triple As were

pre-placed at one-month Libor plus 83bp

and the rest of the structure was retained.

The new issue’s portfolio, before the

upsize, held 38,582 loans with 99% to private

customers. The average balance was

£10,368, and the new/used split

73.52%/26.48%. PCP loans made up 70.49%.

NEW ASSET–BACKED SUMMARY DETAILS: WEEK ENDING 28/2/2020

Issuer Amount (m) WAL Coupon (%) Bookrunner(s) Rating Asset type

Avoca CLO XXI DAC €2 – E+33bp BofA NR/AAA/AAA CLO

Avoca CLO XXI DAC €279 – E+89bp BofA NR/AAA/AAA CLO

Avoca CLO XXI DAC €30 – E+150bp BofA NR/AA/AA CLO

Avoca CLO XXI DAC €15 – 1.85 BofA NR/AA/AA CLO

Avoca CLO XXI DAC €32 – E+210bp BofA NR/A/A CLO

Avoca CLO XXI DAC €28 – E+315bp BofA NR/BBB/BBB– CLO

Avoca CLO XXI DAC €23.75 – E+510bp BofA NR/BB–/BB– CLO

Avoca CLO XXI DAC €12.5 – E+748bp BofA NR/B–/B– CLO

E–CARAT 11 £361.25 2.52 SONIA+58bp BNP Paribas/Lloyds NR/AAA/NR ABS

E–CARAT 11 £35 2.52 SONIA+120bp BNP Paribas/Lloyds NR/AA/NR ABS

E–CARAT 11 £25 2.52 SONIA+155bp BNP Paribas/Lloyds NR/A/NR ABS

E–CARAT 11 £20 2.52 SONIA+185bp BNP Paribas/Lloyds NR/BBB/NR ABS

E–CARAT 11 £16.25 2.52 SONIA+280bp BNP Paribas/Lloyds NR/BB/NR ABS

E–CARAT 11 £8.75 2.52 SONIA+380bp BNP Paribas/Lloyds NR/B/NR ABS

E–CARAT 11 £8.75 2.52 SONIA+500bp BNP Paribas/Lloyds NR/CCC+/NR ABS

E–CARAT 11 £25 2.52 9.5 BNP Paribas/Lloyds NR/NR/NR ABS

Freddie Mac SPC Series K–F75 US$570.860 9.53 L+51bp Morgan Stanley/Cantor NR/NR/NR CMBS

Freddie Mac SPC Series K–F75 US$300 9.53 SOFR+55bp Morgan Stanley/Cantor NR/NR/NR CMBS

Freddie Mac SPC Series K–HG2 US$$67.080 7.53 1.916 Wells Fargo/Goldman Sachs NR/NR/NR CMBS

Freddie Mac SPC Series K–HG2 US$513.306 9.97 2.290 Wells Fargo/Goldman Sachs NR/NR/NR CMBS

SGCMS 2020–COVE US$152 5.01 1.990 Societe Generale NR/NR/NR CMBS

VCL 30 €941 1.23 1mE+65bp BofA/LBBW/UniCredit NRAAA/AAA ABS

VCL 30 €19 2.08 1mE+70bp BofA/LBBW/UniCredit NR/AA–/A+ ABS

6 IFR Bonds 2322 p 25 - 43 .indd 39 28 / 02 / 2020 19 : 15 : 32