A review of securitisation activity over the past seven days

Last week's stories
Accessing guarantees
CBILS securitisation warehouses mulled
Forbearances falter
Forbearance volumes slow, but the next stage is daunting
Galaxy returns
Alpha relaunches NPL ABS
Growth phase
European CLOs seeing increasing attention to ESG criteria
Lift off
Hoist Finance answers SCI's questions
Marketplace merit
Online lending resilient amid impairments
Mobilising MILNs
The MILN market is in deep freeze but thaw might be due
Persistent opportunity
CDIB Capital answers SCI's questions

Other deal-related news

• The EIB board has approved a €25bn Pan-European Guarantee Fund (EGF) - which will be funded by EU member states pro rata to their shareholding in the bank – as part of its overall response to the Covid-19 crisis (SCI 27 May).
• The Fanes Series 2018 Italian RMBS issuer has announced that in order to address the Covid-19 emergency, Cassa di Risparmio di Bolzano - in its capacity as servicer and originator on the deal - intends to grant borrowers payment holidays in relation to an outstanding principal exceeding 5% of the collateral portfolio outstanding principal at the date of the relevant suspension (SCI 27 May).
• Investcorp has announced the fully subscribed final closing of approximately €340m in commitments for its second vintage Italian Distressed Loan Fund II, which is exclusively advised by Eidos Partners (SCI 27 May).
• The New York Fed has updated its TALF FAQ document to include securities rated by DBRS Morningstar and KBRA, to the extent that they also have a qualifying rating from one of the 'big three' rating agencies (SCI 27 May).
• UK Mortgages and TwentyFour Asset Management have notified Oat Hill No. 1 bondholders that the RMBS will not be redeemed on its first refinancing call date of 27 May (SCI 28 May).
• In order to clarify arrangements for prospective draws for interest forbearance and operational matters with regards to using the Forbearance SPV, the AOFM is seeking expressions of interest from SFSF-eligible lenders (SCI 28 May).
• ESMA has updated its Q&A document on the Securitisation Regulation, clarifying different aspects of the templates contained in the draft technical standards on disclosure (SCI 28 May).
• Hertz Global Holdings last week filed for Chapter 11 bankruptcy, following unsuccessful efforts to negotiate a restructuring of its lease obligations (SCI 28 May).
• Slate Asset Management intends to deploy up to C$500m of transitional capital to provide liquidity to the Canadian real estate industry, especially those impacted by the Covid-19-induced market disruption (SCI 28 May).
• Scope Ratings has issued a request for comments regarding the publication of its CRE security and CMBS rating methodology (SCI 28 May).
• By way of a joint venture, illimity Bank and VEI Green II have set up a securitisation vehicle for distressed loans with underlying assets that produce electricity from renewable sources (SCI 29 May).
• Ares Management has agreed to pay US$1m to settle SEC charges that it failed to implement and enforce policies and procedures reasonably designed to prevent the misuse of material nonpublic information (SCI 29 May).
• The Alternative Reference Rates Committee (ARRC) has published recommended best practices to assist market participants as they prepare for the cessation of US dollar Libor (SCI 29 May).
• CBL Properties has become the first US mall operator since the start of the coronavirus pandemic to announce its intention to cooperate with lenders in foreclosure proceedings and/or to return keys on some malls in its portfolio (SCI 29 May).
• Moody's has taken positive rating actions on three tranches of an unexecuted unfunded CDS pertaining to Santander's Grafton CLO 2016-1 capital relief trade (SCI 29 May).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
28 May 2020
USD CLO
Fifty covers today – 11 x AAA, 3 x AA, 3 x A, 16 x BBB and 18 x BB. The AAAs tighten and trade 158dm-218dm, at the tight end PGIM's DRSLF 2019-76A A1 covers 158dm / 5.98y WAL (2024 RP profile) – good metrics 0 ADR, 12.8 sub80, 88 diversity, 3.8% CCC and -0.19 par build. At the wide end is Sound Point's SNDPT 2015-1RA A 218dm / 3.24y WAL (2022 RP profile) – weaker stats 3.07 ADR, 17.4 sub80, 6.62% CCC and -3.74 par build.
The AAs (2020/2022 RP profiles) trade 228dm-230dm in line with comps in 225dm-240dm recent context with an outlier trade HLA 2014-1A CR (Bardin Hill) 441dm / 1.92y WAL (2018 RP) which is post RP end and given the deleveraging this is an ex-single-A (A2) credit now upgraded to Aa1 hence the basis from traditional AA levels.
The single-As trade 289dm-370dm (2022/2023 RP profiles) with this cohort trading 290dm-460dm over the past 2 weeks today's levels are within the tighter end of this range, at the wider end today is Carlyle's CGMS 2017-2A B 370dm / 6.23y WAL – weaker metrics vs peer trades today 1.03 ADR, 18.1 sub80, 9.2% CCC and 3458 WARF.
The BBBs trade 459dm-884dm across a range of RP profiles (2021-2025), which is slightly tighter versus past 2 weeks trading across these cohorts 480dm-900dm. However we are now seeing many more sub-500dm trades which is evidence of tightening across benchmark transactions.
The BBs trade 864dm-1464dm which is a narrower range than the same cohort 886dm-2276dm over the past 10 days but we are now also seeing more sub-1000dm trades. At the tight end today is Blackrock's MAGNE 2019-23A E (2024 RP profile) 864dm / 9.03y WAL – 0 ADR, +0.32 par build, 5.99 sub80, 3045 WARF and 1.9% CCC basket which are extremely good benchmark metrics.
EUR CLO
3 x AAA, 2 x BBB & 1 x B trades today. The AAAs have traded very tightly grouped between 173dm and 176dm. These levels are a few bps wider than yesterdays ANCHE 1 A1 trade. The Spire deal is performing the best of the three but at the AAA level these differences flatten themselves out.
In BBBs HARVT 20X D traded at 486dm and DRYD 2014-35X DRR at 565dm. Comparing these two bonds we get (respectively) that MVOC is 107.33 vs 105.93, junior OC cushion is 3.35 vs 1.30, WA coll px is 91.85 vs 91.14. These differences are not huge but we believe Dryden deals always have an extra risk premium because of the high percentage of HY Bonds in the collateral, which of course will have lower recovery rates.
In single B BOPHO 4X F traded at 69.17 / 1258dm. This is a very dramatic change from single B trades earlier this month which were mid-50s price and 1800dm area.
SCI proprietary data points on NAV, CPR, Attachment point, Detachment point & Comments are all available via trial, go to APPS SCI + GO on Bloomberg, or contact us for a trial direct via SCI.