Monday 12 October 2020 11:33 London/ 06.33 New York/ 19.33 Tokyo

A review of securitisation activity over the past seven days

Last week's stories
Absolute attraction
Absolute 2021-1 shows growth of US CRT market and pass-through appetite
Capital preservation
Kartesia answers SCI's questions
Comeback king
Container ABS weathers the storm
Direct access
For-profit social housing provider debuts
Finnish lift off
Latest KIMI deal completed
Fix-and-flip profits
Low interest rates, inventory levels driving demand
Olympic debut
Largest non-banking Greek ABS closed
Plunging forbearance
Mortgage forbearances enjoy biggest single Covid era weekly tumble
Structured finance solutions
Contributed thought leadership by Ocorian
Transatlantic challenges
Contributed thought leadership by Mayer Brown
Transmitting credit
SRT and the real economy explored over five in-depth chapters

Other deal-related news

  • With payment holiday concentrations having fallen over the past few remittance periods, the range of payment holiday take-up across UK RMBS is stark (SCI 5 October).
  • DBRS Morningstar has downgraded by a notch the ratings of three tranches of Barclays' Colonnade Global 2018-5 capital relief trade (SCI 5 October).
  • DBRS Morningstar has downgraded the class B and C notes issued by Alhambra SME Funding 2019-1 (SCI 5 October).
  • The European Parliament has published draft legislative resolutions on amendments to the Securitisation Regulation and CRR in connection with STS synthetics and non-performing exposures (SCI 6 October).
  • Trans-Canada Capital (TCC) has committed to invest US$110m in opportunistic corporate and structured credit strategies managed by Pretium (SCI 6 October).
  • ViViBanca is in the market with a restructuring of its Eridano 2 Italian consumer ABS, which originally closed in November 2018 (SCI 6 October).
  • ESMA has published its final report outlining its guidelines on portability of information between securitisation repositories under the Securitisation Regulation (SCI 6 October).
  • Aon has launched an intellectual property (IP) capital market solution with the close of an IP-backed ILS transaction, believed to be the largest such deal ever consummated (SCI 7 October).
  • US CLO OC cushions are continuing to recover (SCI 9 October).
  • Alpha Bank has begun transferring its non-performing exposure management operations to Cepal, a key pillar of its Project Galaxy securitisation (SCI 9 October).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
8 October 2020
USD CLO AAA
We saw 33 trades across the capital stack today with a fair amount of activity in mezz - 14 x AAA, 2 x AA, 6 x A, 2 x BBB, 8 x BB, 1 x B. The AAAs trade 129dm-157dm across 2020-2024 RP profiles, with bonds with lower MVOCs along with elevated ADRs and cuspy IDT/Jnr OC tests migrating to the wide end.
USD CLO Mezz/Equity
The AAs trade 225dm-245dm (2023/2024 RP profiles) which is wide to 215area context for this cohort around the end of September, ANCHC 2020-15A B1 at 245dm / 5.9y WAL is at the wide end with clean metrics but only the manager's (Anchorage) performance weaker to its peers.
The single-As trade 263dm-318dm across 2022-2024 RP profiles which are in line with recent context, Trimarin's CRMN 2018-1X C 318dm / 6.4y WAL is at the wide end with a weaker MVOC 114.5 and high ADR 1.5 as key weaknesses.
The BBBs trade 354dm-373dm (2025 RP profiles) tighter to 370dm-460dm recent context, both bonds are recent vintages (2020) and naturally have low CCCs, low Sub80s and extra cushions.
The BBs trade 727dm-984dm which is in line with recent context, at the wide end is Symphony's SYMPH 2016-18X E 984dm / 5.7y WAL - this has a high ADR 1.63 and cuspy MVOC 100.6 along with a higher CCC 12.3 and lower WA collateral px 94.2.
The single-B trade is AMM's AMMC 2012-11A FR2 1347dm / 7.7y WAL which is through the wides at this rating level since month end (widest was AWPT 2013-1A D2R2 1277dm / 8.5y WAL), this bond is not covered by MV (MVOC 99.7), high CCC 10, ADR elevated 1.1, IDT cushion cuspy 0.65.
EUR MEZZ/EQUITY CLO
We have just 6 trades today. Both AA trades were around 225dm which is about 15bps tighter.
The 3 x A trades traded between 285 and 320dm. The widest trade is Toro 2, which does have an MV OC and Jnr OC cushion a little on the low side.
The one BBB trade is for Euro-Galaxy 5 which is at 416dm. This indicates unchanged to a few bps wider on the BBB curve.
DM, Yield & WAL - proprietary SCI data points complement Cover prices
PriceABS Data now includes DM/Yield/WAL for all CLO trading and Euro ABS/RMBS.


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