Monday 10 August 2020 11:05 London/ 06.05 New York/ 19.05 Tokyo

A review of securitisation activity over the past seven days

Last week's stories
Asset-backed attenuation
Stricter underwriting in auto, credit card and home loan markets means fewer ABS deals
CMBS perturbation
Fitch report shows July US delinquency surge, especially in hotels and retail
CPIH calculation
Inflation index switch to support ICSL ABS
Freddie STACRs them up
New STACR deal was upsized and printed at the tight end across the capital structure
Greek momentum
Alpha applies for HAPS guarantee
NPL trade inked
Bank of Cyprus finalises Helix Two
Nuanced approach
Call for clarity in defining ESG
Other deal-related news

  • European CLO equity cashflow returns average 9.3% year-to-date and - as all CLOs in reinvestment are currently paying - the full-year 2020 cashflow return is likely to be low-teens (SCI 3 August).
  • Apeiron Management and Apollo Global Management have purchased a portfolio of claims owned by Grandi Lavori Fincosit for a value of over €1.3bn (SCI 3 August).
  • Two transactions - BPBNP 2016-1 and BCCNP 2018-1 - have failed their cumulative collection ratio triggers in the June 2020 reporting period (SCI 3 August).
  • The continued deterioration in credit quality of issuers due to the coronavirus pandemic resulted in a large number of US middle market CLOs failing a variety of tests for the first time in 2Q20 (SCI 4 August).
  • Exor and Covéa Coopérations have agreed to invest €1.5bn in special purpose insurance vehicles managed by PartnerRe (SCI 5 August).
  • The overall US CMBS delinquency rate dropped to 8.53% last month, while 25.78% of balances previously in grace became delinquent, according to S&P's monthly tracker (SCI 6 August).
  • Alternative Access Funds has announced the registration of its new AAF First Priority CLO Bond ETF (SCI 7 August).
  • Significant hotel sector performance deterioration as a result of the coronavirus pandemic and recession make the assignment of ratings to new US CMBS single-asset/single-borrower hotel transactions unlikely at this time, Fitch says (SCI 7 August).
  • Fitch has revised its rating outlook to negative from stable on 362 US FFELP student loan ABS tranches rated triple-A (SCI 7 August).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
7 August 2020
USD CLO Mezz/Equity
A quiet end to the week with 7 covers which in general suggest a continued tightening tone - 4 x A and 3 x BBB today. The single-As trade 248dm-362dm. The 2023/2024 RP profile single-As trade 248dm-306dm tighter to 280dm-320dm recent context. At the wide end of today's single-A trades is a shorter dated WAMCO CLO MHAWK 2014-3A C 362dm / 3y WAL wide to recent trading in vh200s context, the metrics are weaker with 2.56 ADR, 11.2 Sub80, 3823 WARF, 10.3% CCC and a neg par build -3.07.
The BBBs trade 394dm-440dm given across wide RP profiles, with the most liquid BBB cohort the 2024 RP profiles Canyon Cap's CANYC 2019-2A D covers 424dm / 8.31y WAL which is at the tighter end of recent context 400dm-470dm, the metrics look clean (ADR 0.7, Sub80 3.85, WARF 2901, CCC 5.3).
EUR MEZZ/EQUITY CLO
There are just 1 x BB & 2 x B today. The BB is CADOG 5X ER which traded at 763dm which is in line with recent levels.
The single B's traded between 980dm and 1000dm. We haven't seen any single B's trade by BWIC for a while so this is useful colour.
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 usfor a trial direct via SCI.


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