Monday 13 January 2020 12:22 London/ 07.22 New York/ 20.22 Tokyo

A review of securitisation activity over the past seven days

Transaction of the week
Goldman Sachs is marketing River Green Finance 2020, which is expected to be the first green European CMBS. The deal comprises four tranches totalling €186.39m, plus two as yet unsized X classes and is set to close on 29 January.
River Green Finance 2020 is a true sale transaction backed by a single loan secured by a single property located in Bezons, France – the River Ouest building. The office property is let predominantly to one tenant (Atos) and serves as the tenant's headquarters under a lease with approximately 10 years remaining until maturity. See SCI 8 January for more.
Stories of the week
Auto debut
Further credit union issuance anticipated
Landmark CLN finalised
Santander completes undrawn RCF trade
Leasing guarantee
EFL completes capital relief trade

US CRT webinar
SCI's webinar on the outlook for the US capital relief trades market is available to download. Click here to listen to Kaelyn Abrell of ArrowMark Partners, Mark Fontanilla of Mark Fontanilla & Co, Steve Gandy of Santander and Julie Gillespie of Mayer Brown discuss the structuring and regulatory implications of JPMorgan's Chase 2019-CL1 synthetic RMBS, and whether it could spur further risk transfer activity across a broader range of originators and asset classes.

Other deal-related news

  • The Theatre (Hospitals) No. 1 and No. 2 CMBS deals are expected to be repaid in full on the January note payment date, following the sale of BMI Healthcare and related securitisation Propcos to Alabama-based REIT Medical Properties Trust (MPT). The transaction involves the acquisition of 30 acute care hospital facilities located throughout the UK for an aggregate purchase price of approximately £1.5bn (SCI 7 January).
  • The US$44m Reserve At Southpointe loan, securitised in the FREMF 2016-K57 CMBS, was removed from special servicing last month. The property was one of the 20 Morgan Communities properties cited in the recent fraud case and was included in the JV between Morgan Properties and Morgan Communities (SCI 7 January).
  • Moody's warns that, at current prices, Constellis Holdings' limited default could result in significant losses - realised or unrealised - for some CLOs. Over 200 CLOs the agency rates hold about US$600m of the firm's debt, including 20 deals that have exposure of over 1% and are expected to report an average par loss of 88bp (SCI 10 January).
  • Oxalis Holding has transferred its role as master servicer in respect of the Pillar Finance non-performing loan ABS to Celidoria (SCI 10 January).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
10 January 2020

USD CLO
Today saw 25 covers, mostly mezz – 1 x AAA, 3 x A, 8 x BBB, 12 x BB and 1 x B rated. The single-As traded 179dm-226dm with the tight end of the range the 2020 RP profile CIFC managed CIFC 2012-2RX B at 179dm / 4.3y WAL - trades tight to similar profiles in mid-200s area around year end. The 2023 RP profiles trade in a 216dm-226dm range which trade a shade tight to similar profiles around year end in a 226dm-236dm range.
With regards to BBB trades today, the 2023 RP profiles trade in a 304dm-347dm range which are tight to year end levels in mid 360s area. The 2022 RP profiles trade in wide dispersion 327dm-433dm range, with VENTR 2017-26A D (MJX) cover 433dm (lo-MVOC 109.46 and lo-MVAP 8.64, 5.8% sub 80 assets, -0.24 par build, 84bps ADR) with year end levels in 378dm context. The 2021 RP profile today trades 281dm.
In BB trading, 2024 RP profiles trade 629dm-763dm with another MJX bond propping up the wide end of a range, this time VENTR 2019-36A E at 763dm (lo-MVOC 104.75, lo-MVAP 4.53, -0.42 par build, 1.17% ADR) versus year end levels of 716dm for similar profiles, so today's tight end trades tight in this context. The 2023 RP profiles trade 584dm-640dm which are tight to year end levels of 657dm for similar profiles. The 2022 profiles trade 590dm-707dm versus year end levels of 683dm for similar profiles.
The single-B trade today is a 2022 RP profile OCT31 2017-1A F (Octagon) covers 999dm / 7.6y WAL, with similar profiles few and far between but recent liquidity has been in mid-late 900s context so this trade is in similar context.
With regards to generic levels, we observed 3bp tightening this week in >4y WAL AAAs to 115dm. In AAs there have been very few trades since Christmas but we have seen modest tightening of 11bps to 171dm. In single-As, mostly covered above but we have seen a significant amount of tightening with trading in early-mid 200s context versus 264dm around year end. BBB generic levels we have seen 36bps of tightening to 349dm. BB generic levels have tightened 3bps to 666dm since year end with a significant amount of liquidity ($210m) seen at this rating level since year end.

EUR/GBP ABS/RMBS
A few interesting trades in RMBS today. Two AAA Dutch Prime RMBS between 11dm and 14dm. Also two subordinate 1.0 RMBS trades. These are quite rare beasts, at least by public auction. ALBA 2007-1 F is a UK NC RMBS from 2007 originated by Oakwood Homeloans. It is an original BB which is single B now. At the moment the tranche paying down is the A3 which was the slow pay AAA!! We have calculated a spread for this trade, but really these type of deals need a deep dive to do them justice. Contact us for more details. Superficially however the spread is coming out at 345dm / 9.45yrs for the traded price of 98.38. The last record we have of this bond trading was in L50s in 2012.
BCJAF 7 D is also an original BB which is single B now. These mortgages were originated by Bankia. We calculate a spread of 100.42 / 246dm / 13.67yrs. This bond also traded in 50s in 2013 but it also traded at 99.13 in June 2018.

EUR CLO
Today we have 6 x BB, 2 x B & 2 x Equity. Most of the BBs traded in a range from 607dm to 634dm, but with a couple of outliers. The outlier on the tight side is ALME 4X ER (Apollo) which traded at 97.07 / 541dm / 6.39yrs. This deal is performing well; the WARF is low at 2859 and the CCC bucket is low at 1.23%. The outlier on the wide side is CRNCL 2016-7X E (Cairn) which traded at 99.75 / 662dm / 5.85yr. This deal is also performing well actually; WARF is 2937 and CCC bucket is 1.02%. OZLME 1X ER (Sculptor) traded at a premium (100.20) which is 607dm to mat or 604dm to first call in Dec 2020.
The single Bs traded LM800s DM. CLRPK 1X E is advertised as a 100h trade but it was probably in the L100h area. These spreads are a tightening from recent trades observed in the L900s DM area.
In equity OHECP 2017-6X SUB traded at 63.50 / 16.84% / 3.97yrs. This deal is just about to become callable but the AAA is paying a margin of 73bps so we haven't assumed any uplift due to refi. The collateral pool contains Lecta (Lux – paper supplier) which has defaulted. The junior OC cushion is quite low at 3.69%. CORDA 6X SUB traded at M50s / 13.42% / 4.2yr. This deal was reset in Apr 2018 and becomes callable in Apr 2020. Again the AAA margin is only 76bps. This deal also contains Lecta. This equity piece looks slightly lower levered than normal. Its thickness is about 13.8% whereas for OHECP 2017-6X SUB it is 10.3%. The equity has returned about 21% pa since its close in 2016. The yield on CORDA 6X SUB at 13.4% is certainly in line with recent EUR CLO equity yields but the yield on OHECP 2017-6X SUB at 16.8% is on the high side.

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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