Monday 13 July 2020 11:01 London/ 06.01 New York/ 19.01 Tokyo

A review of securitisation activity over the past seven days

Last week's stories
Arch restarts MILNs
Relaunched Bellemeade Re 2020-1 priced
Collection boost?
NPL ABS performance remains volatile
CPR for CRT from Freddie
Freddie Mac's new upsized STACR shows market is healthy
Forbearance plans plummet
Forbearances fall to April levels, but rollercoaster ride isn't over
Polish SRT inked
Santander completes capital relief trade
Pricing recalibration
NPL ABS market growth pending?
Restructuring events?
Uncertainty over CRE values weighs on CRTs

Other deal-related news

  • The impact of the changes made to the Volcker Rule will be relatively modest for the CLO market, according to S&P (SCI 6 July).
  • Annaly Capital Management has completed the acquisition of its external manager, Annaly Management Company, finalising its transition from an externally-managed REIT to an internally-managed REIT (SCI 6 July).
  • KopenTech has introduced a new live bidding feature to its BWIC electronic trading platform, which allows sellers to customise the two stages of the process (SCI 6 July).
  • The average payment holiday take-up across the 18 securitisations JPMorgan follows in its UK auto ABS performance tracker stands at about 8%, as at end-May 2020, with a sizeable range between the transactions from as low as circa 1% to circa 23% (SCI 6 July).
  • US CLO manager metrics have begun to improve or stabilise, according to JPMorgan's Q2 report on the sector, published today (SCI 7 July).
  • Bridge Investment Group has launched its Open-Ended Agency Mortgage-Backed Securities strategy via the Bridge Agency MBS Fund Manager (SCI 7 July).
  • Crédit Agricole CIB has placed with a leading ESG investor what is believed to be the industry's first green ABCP issuance financing electric vehicles (EVs) in client auto loan and lease pools (SCI 7 July).
  • The SFA has filed an amicus brief with the US Bankruptcy Court for the District of Delaware related to the Hertz bankruptcy that is intended to educate the court on how a ruling can impact both the rental car ABS and broader securitisation markets (SCI 7 July).
  • HM Treasury is set to give the UK FCA additional regulatory powers to deal with a small number of legacy contracts that cannot be transitioned from Libor, since they either have no alternatives or only inappropriate ones, with no realistic ability to be renegotiated or amended (SCI 7 July).
  • KBRA notes that Taurus 2019-3 UK, a single-borrower CMBS secured by 21 purpose-built student accommodation assets in the UK, failed to meet the debt yield hurdle of 8% for the current 2019/2020 academic year, as of the June payment date (SCI 7 July).
  • AnaCap Financial Partners has acquired and refinanced a portfolio of salary and pension guaranteed loans (CQS) with a face value of over €200m (SCI 8 July).
  • Apollo Global Management has formed Apollo Strategic Origination Partners, which is expected to provide approximately US$12bn in financings over the next three years, targeting transactions of approximately US$1bn to help meet growing corporate demand for scaled direct origination solutions (SCI 8 July).
  • UK Mortgages has issued a call notice stating that it intends to redeem the outstanding notes of the Oat Hill No. 1 RMBS on the next IPD in August (SCI 8 July).
  • ODF Energía has registered on MARF the first issuance of commercial paper, sized at €30m, from its innovative new Spanish securitisation fund (SCI July 9 July).
  • Australian banks are extending coronavirus-related financial relief measures for borrowers unable to resume loan repayments at the end of six-month payment deferral periods (SCI July 9 July).
  • Drivers behind and expectations for European CLO OC ratios have been examined in a new report from S&P (SCI 10 July).
  • The Australian Office of Financial Management has suspended its call for investment proposals for the ABSF (SCI 10 July).
  • KBRA has placed 146 classes of certificates across 41 conduit CMBS on watch downgrade that are susceptible to negative credit drift owing to the economic effects of Covid-19 (SCI 10 July).
  • ESMA has published its final report detailing its guidelines on securitisation repository data completeness and consistency thresholds (SCI 10 July).
  • The receivables SPA for the Orbita Funding 2020-1 auto ABS has been amended to grant the seller (Close Brothers) a call option over delinquent receivables exercisable during the revolving period (SCI 10 July).
  • The June reporting period saw a wave of new transactions reporting Covid-19 payment holiday information, with 112 standalone UK RMBS deals and four master trust programmes now represented in JPMorgan's UK RMBS Covid-19 payment holiday tracker at an aggregate outstanding balance of £89.8bn (SCI 10 July).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
9 July 2020
USD CLO
17 covers today - all lower mezz/equity. The BBBs trade 437dm-582dm (2021-2024 RP profiles) versus comps trading as we have seen for a few months also in a wide dispersion 390dm-690dm. Drilling down into a more liquid subset to give a flavour as to market sentiment, the 2023 RP BBBs trade today in a tight dispersion 437dm-466dm which are broadly in line with a 400dm-480dm trading range this month to date.
The BBs also trade as expected in similar context, with a range today 796dm-1316dm across 2021-2025 RP profiles versus 810dm-960dm comps this month to date. Note however that stripping out the outlier trades (which are plentiful) the trading range today is 796dm-879dm. As is expected the probability of outlier trades at the moment is quite high so the BBs that trade >900dm all have high Sub 80 loan price migration buckets (8-10pc) from less mainstream managers (eg. DFG and ArrowMark) with Black Diamond's BLACK 2017-1A D at the wide end 1316dm / 5.7y WAL - vh WARF 3617 and vh CCC basket 14.35% tugging the DM wider.
There is one Equity trade today, BlueMountain's BLUEM 2012-2X SUB which trades at a cash price of MH20s, the RPE is 4 months away whilst the NC has passed last year, with the senior tranche locked +105bps there is no obvious path to refi/reset. The Int Diversion test cushion is negative (-0.84%), negative par build -1.05 (but expect this to normalise as asset prices rebound) whilst the Jnr OC cushion is cuspy 0.66% and ADR sits at 1.5% and the NAV is negative (-14.3 but note same point on par build) and this trades at circa 2.25y CF despite the transaction begin to deleverage later this year, there are still 2 x IPDs within the realms of the existing RP period.

EUR MEZZ/EQUITY CLO
A busy day in mezz and equity with 20 trades in all. The one AA, OZLME 3X B1, traded at 228dm.
4 x A traded between 302dm and 317dm.
4 x BBB traded between 494dm and 524dm.
6 x BB traded between 715dm and 860dm. The tight end of the range are the Redding Ridge deals which have high MVOCs (around 106%) and high Junior OC cushions (around 4.5%). The widest trade is TCLO 1X ER (Chenavari) which has middle of the road credit metrics (MVOC is 102% and Jnr OC cushion is 2.2%). One of the bonds, SPAUL 3RX ER, has breached its Jnr OC cushion but it still traded at 814dm.
4 x B traded in a range from 890dm to 1000dm. The tight end is CONTE 2X FR which ended its Reinvestment Period in Nov 2018 and has started paying down. The other three all traded near 1000dm.
Spreads are well defined in a narrow range at the moment which bodes for well for the various deals in book-building phase.
ARBR 3X SUB equity traded at 33.05 / 20.62%. NAV is 22. This does look cheap relative to recent equity trades.
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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