The new deal is much cleaner, and the
Moody’s pre-sale report says the collateral is
higher than the UK prime sector average.
There is no pre-crisis origination, no
borrowers with adverse credit histories over
the last six years, and no interest-only or
buy-to-let mortgages.
This is in contrast to Kenrick 2: Moody’s
said that deal’s expected loss was higher
than the UK prime average because of a
33.5% self-employed bucket, 46.9% of
interest-only mortgages and a 47.8% portion
of the portfolio originated pre-crisis.
West Brom changed its prime residential
lending criteria in 2012 and has since
increased that business by 70%. The new
deal’s provisional portfolio stands at £468m
and holds 3,371 mortgages with an average
loan balance of £139,000. The WA CLTV is
70.70%, WA seasoning 3.83 months and the
WA interest rate 2.29%.
LONDON WALL NEXT OUT OF PIPELINE,
LANARK TO FOLLOW
The next new issue from the sizzling UK RMBS
market is due on Tuesday in the shape of buy-
to-let deal LONDON WALL SERIES FLEET 2018-01.
Its roadshow was extended from two days
to three and ended on Thursday. Initial price
thoughts are expected on Monday.
The deal is the third backed by mortgages
originated by FLEET MORTGAGES and bought
ahead of securitisation by BLACKROCK vehicle
London Wall Capital Investments.
Citigroup and HSBC are joint leads. On offer
are four tranches of rated notes from Triple
A to A3/BBB+ (M/F).
It will be followed by CLYDESDALE BANK’s Reg
S/144A LANARK RMBS. Lanark is offering a
1.93-year Triple As in dollars alongside a
4.96-year Triple A tranche in sterling.
The deal was roadshowed in the US last
week and will now be shown to UK investors
on Monday and Tuesday. The lead managers
are BAML, BNP Paribas, Citigroup and Lloyds.EMEA CLO
HSBC BOUGHT PROTECTION ON
CARILLION VIA 2015 CLOHSBC bought protection on exposure to
CARILLION via a 2015 synthetic CLO, a deal
notice indicated on Tuesday.
The notice for the HSBC CLO, METRIX
PORTFOLIO DISTRIBUTION PLC, said a company
application to the High Court for liquidation
on Monday morning - the same time that
Carillion applied for liquidation - had caused
a credit event.
Metrix is structured with four tranches of
CDS contracts referencing a US$5bn
portfolio of corporate loans. When the deal
closed in December 2015 Moody’s, which
rates the top three tranches of CDS, said
those contracts had not been executed.
However it said a junior unrated CDS with
a 6.5% detachment point had been executed.The deal notice refers to this $300m CDS,
Series 2015-01.
The initial portfolio referenced 152
corporate loans to 135 reference entity
groups.US MBS
US CMBS AND RMBS DEAL PRICINGSCMBS PRICEDFRESB 2018-SB45
FREDDIE MAC priced a US$362.018m
multifamily agency CMBS transaction called
FRESB 2018-SB45 MORTGAGE TRUST. JP Morgan and
Wells Fargo were joint bookrunners and co-
lead managers.
Collateral: Multifamily mortgage-backed
securitisation backed by small-balance
loans.
Largest tranche: Class A-10F
US$192.505m, with a 7.18-year WAL, rated
Triple A; priced at swaps plus 58bp.WFCM 2018-BXI
!û53MûmOATING
RATEû#-"3ûCALLEDûWELLS
FARGO COMMERCIAL MORTGAGE 2018-BXI priced.
Wells Fargo was lead manager and sole
bookrunner.
Collateral: The mortgage loan is secured
BYûAûlRST
LIENûMORTGAGEûONûTHEûBORROWERSû
fee interest in a portfolio of 34 industrial
PROPERTIESûANDûONEûOFlCEûPROPERTY ûNEW ASSET–BACKED SUMMARY DETAILS: WEEK ENDING 19/1/2018
Issuer Amount (m) WAL Coupon (%) Bookrunner(s) Rating Asset type
HERTZ 2018-1 US$764.02 5.09 3.290 BAML/BMO CM/BNP Paribas/Mizuho Securities Aaa/NR/AAA ABS
HERTZ 2018-1 US$179.9 5.09 3.600 BAML/BMO CM/BNP Paribas/Mizuho Securities NR/NR/A ABS
HERTZ 2018-1 US$56.08 5.09 4.390 BAML/BMO CM/BNP Paribas/Mizuho Securities NR/NR/BBB ABS
Kenrick No.3 £350 3.46 3mL+37bp JP Morgan/Lloyds Aaa/NR/AAA RMBS
Precise Mtg Funding 2018-1B £222.74 2.93 3mL+65bp BAML/Lloyds/Natixis Aaa/NR/AAA RMBS
Precise Mtg Funding 2018-1B £7.38 3.88 3mL+100bp BAML/Lloyds/Natixis Aa1/NR/AA RMBS
Precise Mtg Funding 2018-1B £7.38 3.88 3mL+140bp BAML/Lloyds/Natixis A2/NR/A RMBS
Precise Mtg Funding 2018-1B £4.92 3.88 3mL+180bp BAML/Lloyds/Natixis Baa3/NR/BBB RMBS
Precise Mtg Funding 2018-1B £3.692 3.88 3mL+310bp BAML/Lloyds/Natixis B2/NR/BB RMBS
Precise Mtg Funding 2018-1B £8.61 – 3mL+290bp BAML/Lloyds/Natixis Caa2/NR/BB+ RMBS
WFCM 2018-BXI US$88 6.89 3mL+65bp Wells Fargo Securities NR/NR/AAA CMBS
WFCM 2018-BXI US$20 6.89 L+95.6bp Wells Fargo Securities NR/NR/AA– CMBS
WFCM 2018-BXI US$13 6.89 L+115.6bp Wells Fargo Securities NR/NR/A– CMBS
WFCM 2018-BXI US$18 6.89 L+155.7bp Wells Fargo Securities NR/NR/BBB– CMBS
WFCM 2018-BXI US$28 6.89 L215.7bp Wells Fargo Securities NR/NR/BB– CMBS
WFCM 2018-BXI US$15.2 6.89 L+245.7bp Wells Fargo Securities NR/NR/B CMBS
WFCM 2018-BXI US$9.8 6.90 L+245.7bp Wells Fargo Securities NR/NR/B– CMBS
WLAKE 2018-1 US$215 0.14 1.75 JP Morgan/BMO/Wells Fargo Securities NR/A-1+/NR ABS
WLAKE 2018-1 US$317.76 0.88 2.24 JP Morgan/BMO/Wells Fargo Securities NR/AAA/NR ABS
WLAKE 2018-1 US$60 0.88 1mL+25bp JP Morgan/BMO/Wells Fargo Securities NR/AAA/NR ABS
WLAKE 2018-1 US$88.66 1.61 2.67 JP Morgan/BMO/Wells Fargo Securities NR/AA/NR ABS
WLAKE 2018-1 US$112.38 2.00 2.92 JP Morgan/BMO/Wells Fargo Securities NR/A/NR ABS
WLAKE 2018-1 US$105.16 2.49 3.41 JP Morgan/BMO/Wells Fargo Securities NR/BBB/NR ABS
WLAKE 2018-1 US$44.33 2.81 4.53 JP Morgan/BMO/Wells Fargo Securities NR/BB/NR ABS
WLAKE 2018-1 US$56.71 2.81 5.60 JP Morgan/BMO/Wells Fargo Securities NR/B/NR ABS