A review of securitisation activity over the past seven days

Last week's stories
CRM tool
CBILS guarantees eligible for CRR recognition
EC decision awaited
Preferential capital treatment mooted for STS synthetics
Known unknown
Lack of data in MM CLOs leaves future open to interpretation
Modifications up
MPL impairments bucking the trend
NPA opportunities
Global investors target Indian distressed debt
On hold
Italian NPL ABS to pick up next year
On the rack
Recent limitations on liability leave unanswered questions for mortgage servicers
Pipeline clearance
Structural features support CMBS
Ratings resilience
Shorter pro-rata periods to benefit SRTs
Romanian SRT inked
Uncapped guarantee completed

Other deal-related news

• The EBA has published its final guidelines on the determination of the weighted average maturity of the contractual payments due under the tranche of a securitisation transaction, as laid down in the CRR (SCI 4 May).
• S&P has confirmed that its triple-A ratings on the class A1 and A2 notes issued by BMW Floorplan Master Owner Trust series 2018-1 are unaffected after amendments to the trust undertaken by BMW Financial Services (SCI 4 May).
• CIM Group has launched a new closed-end interval fund dubbed CIM Real Assets & Credit Fund (CIM RACR), which will invest in a mix of institutional-quality real assets and credit instruments, including CLOs (SCI 5 May).
• Ginnie Mae has introduced a new version of the existing Pass-Through Assistance Program (PTAP) for use by multifamily MBS issuers facing a temporary liquidity shortfall directly attributable to the Covid-19 national emergency (SCI 5 May).
• European CLOs are generally showing strength in the face of Covid-19, according to a new S&P report (SCI 6 May).
• Restructuring Advisory Group has negotiated the restructuring of one CMBS loan and two conventional commercial real estate mortgages, as well as one major office lease for clients in Georgia, Texas and Massachusetts, as a result of the Covid-19 shutdown (SCI 6 May).
• A number of UK RMBS issuers have started to report data on borrowers' take-up of Covid-19 payment holidays, as of the April 2020 remittance period (SCI 6 May).
• European DataWarehouse has registered the first green prime RMBS backed by Portuguese assets - the €385m RMBS Green Belém No. 1 deal issued by the UCI branch in Portugal (SCI 6 May).
• Swedish pension fund Alecta and PGGM have signed a co-investment agreement in relation to credit risk-sharing transactions, whereby Alecta will purchase 30% and PGGM 70% of each co-investment transaction (SCI 6 May).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
7 May 2020
USD CLO
15 covers today with a continued tightening tone - 1 x AAA, 3 x AA, 5 x A, 4 x BBB and 2 x BB. The AAA is CBAM 2019-10A A1A (CBAM) cover 190dm / 5.52y WAL - despite the tight DM this is not a completely clean transaction (sub80 21.5%, ADR 0.9% and CCC spilled to 8.07%) but this does provide a backstop for cleaner deals to price tighter.
The AAs trade 251dm-285dm which are more in line with the tighter levels seen yesterday in 240a but this cohort has been trading 240dm-330dm since month end. At the wide end is Hayfin's KING 2019-1A B1 285dm / 6.1y WAL driven by weaker MV metrics (119 MVOC) versus peers (121-123) with other fundamental metrics good.
The single-As trade 297dm-364dm (2022/2023 RP profiles) which is tight to comps around month end 350dm-500dm, there is an outlier trade today CATLK 2013-1A BR (Carlson Cap) 476dm / 6.3y (high ADR 0.99, 18.5% sub80 bucket, 3247 WARF and a spilled CCC bucket 10%).
BBBs trade in a narrow dispersion 518dm-548dm (2018-2025 RP profiles) tight to comps since month end trading 505dm-756dm, there is an outlier trade today GALXY 2018-29A D (PineBridge) at a very high 1003dm / 4.5y WAL - MVOC 98.9, sub80 24%, 3710 WARF and 11.6% CCC bucket as pretty clear explanations.
The BBs trade 1164dm-1340dm (2023/2024 RP profiles) with comps since month end trading 1175dm-1675dm, both the bonds today aren't covered by MV (95-96 MVOC) but CCC baskets remain within the 7.5% limit.
EUR CLO
2 x BBB & 1 x BB today. The BBBs traded around 575dm. This is quite a bit tighter than the previous day when there were a number of trades in the LM600s and a few wider than that. Both these deals are in good shape with WA Collateral price of over 90.00, both have CCC cushions of around 4% and MVOC around 106.50%.
The BB traded at 1110dm. This is the tightest BB level we have seen since the crisis started. Most of our previous observations have been in the 1200 to 1350 DM range. The MVOC is 96.51 and it looks like the CCC test has been breached. The WA collateral price is 88.21.
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.