Monday 10 February 2020 10:53 London/ 05.53 New York/ 18.53 Tokyo

A review of securitisation activity over the past seven days

SCI NPL Securitisation Awards 2020
Nominations have now opened for the inaugural SCI NPL Securitisation Awards and have a deadline of 20 March.
Further information and details of how to pitch can be found here.

Transaction of the week
Citi, Deutsche Bank and JPMorgan are prepping a post-crisis 'first of its kind' US CMBS. Dubbed Benchmark 2020-IG1, the US$660m transaction is collateralised by 13 non-controlling pari passu participations of fixed rate loans, secured by 45 properties. When analysed separately, each participation demonstrates investment grade credit characteristics. See SCI 5 February for more.

Stories of the week
EBA reports pending
Trapped excess spread requirement could be dropped
Hong Kong landmark
First-of-a-kind deal could herald broader securitisation market return
Syon Securities priced
Bank of Scotland engineers return
Tightening trend
European ABS market update

Other deal-related news

  • An Ares Management Corporation subsidiary is set to acquire a managing interest in a restructured Crestline Denali Capital that will result in the addition of seven CLOs totalling US$2.6bn of assets under management to the Ares portfolio (SCI 3 February).
  • Piraeus Bank is set to securitise €7bn of non-performing loans in 2020. The lender is the latest to announce its intention to take advantage of Greece's recently approved Hercules asset protection scheme (SCI 4 February).
  • Fannie Mae and Freddie Mac have disclosed the additional steps they're taking as they transition from Libor (SCI 6 February).
  • A federal district court in New York is currently hearing a case to determine if syndicated term loans are securities under US federal and state Blue Sky securities laws. The case (Marc Kirschner vs JPMorgan Chase Bank) came about when borrower Millennium Health in a widely syndicated loan went into bankruptcy (SCI 6 February).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
7 February 2020
USD CLO
10 Reported covers today - 8 x AA and 2 x BB rated.The AAs trade 130dm-178dm given the different maturity/RP profiles.The 2022 RP profiles trade 146dm-178dm with the outlier at the tight end being Blackrock's MAGNE 2014-8A BR2 146dm / 5.8y WAL - performance and MV metrics are both slightly above average (MVOC 130.2 / ADR 0.3% / sub 80 assets 1.7%) but the manager's exemplary record seeming to drive the DM tighter on this bond versus Onex, KKR and GSO which trade in a 163dm-178dm range for this cohort.This profile has traded in 170dm context recently so today's trades are by and large tighter to this generic level.The 2021 RP profile AA trade today is also from Blackrock MAGNE 2016-18A BR 145dm / 5.1y WAL - this trades tight to 155dm recent context, once again the manager's record an influence with performance metrics also good.The 2020 RP profiles trade 145dm-164dm - at the tight end is BLUEM 2012-2A BR2 (BlueMountain) 145dm / 4.3y WAL - strong MV metrics (MVOC 129.3 / MVAP 22.7) with mixed performance (par build -0.82 / ADR 1.4% / sub 80 assets 2.2% / WARD 3036) and a weaker than average manager record.At the short end of the curve a 2019 RP profile from Neuberger Berman (NEUB 2015-19A A2R2) covers 130dm / 3.2y WAL - strong performance record with the deal now post RP end.The double-Bs, both 2021 RP profiles trade 688dm-742dm / 6y WAL - with generic trading recently in 720dm context for this profile, at the wide end is CATLK 2015-3A ER (Carlson Cap)742dm / 6.3y WAL with reasonably good performance aside from a low diversity 68 and high WARF 3009, whilst at the tight end is PGIM's DRSLF 2014-36A ER2 688dm / 6y WAL with a very slightly lower MVOC (-0.8%) but has a high diversity 97 and a lower WARF 2896 with other metrics similar.
In terms of generic secondary spread movement on the week - AAAs are typically a little wider on the week : +12dm to 124dm at the long end (2024 RP), +8dm to 92dm at the short end 2019/2020 RP profiles.AAs are tighter at the short end, eg. 2020 RP profiles -7dm to 156dm with marginal widening at the longer end +3dm to 170dm for 2023 RP profiles.Single-As wider on the week in all profiles aside from 2022 RP which is -6 tighter to 217dm.BBBs have a mixed delta on the week, wider at the shorter end, +41 to 352dm for 2019 RP profile and tighter in 2024 RP profile -12 to 379dm with tightening in 2022 RP profile to 345dm and widening in 2023 RP +13 to 359dm.BBs -105 tighter in 2019 RP to 674dm and wider in 2023 RP +103 to 801dm but either side of this 2022/2024 profiles are tighter -30/-44 respectively.In single-Bs some tightening in the short end, 2019 profile -230 to 704dm and widening in 2023 RP +78 to 964dm.

EUR CLO
Just 1 x BBB, 2 x B & 2 x equity today. The BBB is NWDSE 2019-19X D (Northwoods - Angelo Gordon) which traded at 101.52. It has a high margin of 400bps and isn't callable until Nov 2021. It traded at 398dm|mat or 356dm|call.
The single Bs from Natixis and Anchorage traded at 790dm|mat and 890dm|mat dependent on their margins.
In equity EGLXY 2019-7X SUB (Euro Galaxy - Pinebridge) traded at 72.00 / 14.3%. Its NAV is 78 and it has traded below NAV. This could be because the deal is not callable until Apr 2021 and so far has only been paying 5% to equity. If you take in the NAV + the 5% return but discount at a required return of 15% for holding the equity to the call date you do get back to around 72. The AAA is paying a margin of 114bps so equity should be able to change to better financing rates at the call date.
ANCHE 1X SUB (Anchorage) traded at 76.55 / 12.45%. Nav is 78. It becomes callable in Jul 2020 but the AAA pays 85bps which mean there would only be a small refi benefit.
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.


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