Monday 11 November 2019 10:58 London/ 05.58 New York/ 18.58 Tokyo

A review of securitisation activity over the past seven days

Stories of the week
Pursuing illiquidity premia
Corbin Capital answers SCI's questions
Risk transfer return
Bank of Ireland issues mezzanine tranche
Tactical opportunity?
Downturn could spur CRT secondary activity

Other deal-related news

  • To address the heightened risk to borrowers and investors of a multifamily property located in King County being taken by eminent domain, Fannie Mae has introduced a prospective modification to its multifamily loan and security agreement and its MBS prospectus for new transactions with properties located in the county (SCI 5 November).
  • The UK FCA last week implemented rules that allow lenders to disapply certain minimum affordability assessment requirements introduced in 2014, stating that a "more proportionate affordability assessment" for 'mortgage prisoners' who have been unable to refinance would reduce the harm caused by unaffordable borrowing and that it expected lenders to adapt their origination processes quickly (SCI 5 November).
  • The record 23.3% share of esoteric collateral backing large loan/single-asset/single-borrower CMBS this year is largely attributable to the cold storage and life science sectors, which accounted for 66.2% of such non-core assets, according to Moody's (SCI 5 November).
  • The Cassa Centrale Group, through Centrale Credit Solutions, has sold a €345m portfolio of non-performing, mortgage or unsecured, receivables transferred from 35 credit institutions via a vehicle dubbed Etna SPV (SCI 5 November).
  • The FHFA has issued a request for input (RFI) regarding Fannie Mae and Freddie Mac's pooling practices for the formation of TBA-eligible Uniform MBS to help determine whether further action is necessary to ensure consistent security cashflows and continued fungibility of UMBS (SCI 5 November).
  • A pair of UK RMBS are set to be redeemed this month - RMS 26 and TPMF 2016-GR3 (SCI 5 November).
  • PennyMac Financial Services has filed a counter suit against Black Knight, alleging that Black Knight uses its market-dominating LoanSphere MSP mortgage servicing system to engage in unfair business tactics that both entrap its licensees and create barriers to entry that stifle competition (SCI 7 November).
  • Bank of Scotland has submitted STS notifications in respect of its Permanent Master Issuer 2011-2, 2015-1, 2016-1 and 2018-1 RMBS notes to ESMA and the UK FCA. Prime Collateralised Securities UK was the authorised verification agent (SCI 7 November).
  • Clear Harbor Asset Management, a significant stockholder of Garrison Capital, has delivered a letter to the latter's board expressing its concerns with the company's persistent underperformance (SCI 8 November).
  • Funding Circle's Small Business Origination Loan Trust 2018-1 SME securitisation has breached its liquidity covenant, with the burn rate above the amount permitted by approximately 20% (SCI 8 November).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
7 November 2019
US CLO
An active day with 33 covers observed across the capital stack - 10 x AAA, 8 x AA, 3 x BBB and 12 x BB.  The >4y WAL AAAs traded in a 116dm-144dm range, with a RP 2023 profile SNDPT 2013-3RA A (Sound Point Capital) cover at the wide end of this range 144dm / 5.2y WAL, this has a lo-MVOC 144.63, lo-MV AP 30.86 (34.31 AP) whilst the deal has challenges with 128bps of defaults, par build of -0.74, lo-diversity 72 and almost 7% of sub 80 priced assets. The MM CLO AAs trade in a 262dm-268dm range whilst the 6 x BSL AAs trade in a 191dm-223dm range for predominantly 2023 RP profiles.
The BBBs trade in a 370dm-409dm range (WALs 6.8y-7.5y) for 2022 and 2023 RP profiles, as a comp we modelled FILPK 2018-1A D yesterday (RP 2023) to 373dm / 8.3y WAL which is tight to todays levels.  Since a number of BBs trading today with a variety of RP profiles we split up by RP profile - 2024 RP covers 778dm / 9.3y WAL, 2023 RPs trade in a 759dm-1035dm range (high volatility amongst deals) whilst the 2020/2022 RP profiles trade in a 759dm-904dm range (hi-vol too).
Taking a closer look at an outlier in the 2023 RP profiles, WINDR 2014-3KRA E (THL Credit Senior Loan Strategies) covers at 1035dm / 8.8y WAL - lo-MVOC 103.39, lo-MV AP 3.28 (AP 8.39), hi-sub 80 assets 6.3%, lo-diversity 68, hi-CCC 8.25%, par build -0.27 and 77bps of defaults on this deal accounting for the basis.

EUR/GBP ABS/RMBS
CAR 2018-F1V A (French autos - AAA) traded at 21dm / 1.22yr. There are 5 x Spanish RMBS, all of them original AAA but they include the original whole AAA, middle pay out of 3 and slow pay out of 2. The whole AAA have spreads between 15dm to 30dm. Middle pays are around 40dm and the junior AAA around 60dm. There are 4 x UK non-conforming pre-crisis deals. Running them all to maturity spreads range from around 50dm to 110dm. There is a French Prime RMBS at 19dm and a UK auto deal at 58dm.

EUR CLO
3 x AAA, 5 x AA & 4 x BBB today. In the AAA first JUBIL 2014-14X A2R (fixed rate AAA) traded at S+167bps at close to par. The Class X of DRYD 2014-32X traded at 92dm / 0.41yr. CORDA 4X ARR traded at 100.20 which is 126dm to mat / 3.06yr or 94dm to call / 0.46yr. We are shortly going to be introducing DM to call and DM to worst fields for easier analysis of call/refi risk.
The AAs traded between 155dm and 193dm. The tight end of the range is TIKEH 2015-1X BR at 155dm / 4.22yr which the RP Date has passed at 5/8/2019. The wide end of the range is SPAUL 3RX B1R at 193dm / 5.48yr. Apart from the short WAL TIKEH 2015-1X BR trade all the others have priced between approx. 180dm and 190dm. The BBBs priced between 351dm / 5.96yr and 390dm / 7.03yr.

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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