Monday 15 June 2020 11:08 London/ 06.08 New York/ 19.08 Tokyo

A review of securitisation activity over the past seven days

Last week's stories
Addressing inconsistencies
Performance metrics switched
Calabria confidence
FHFA director was bullish at Senate Banking, but day of reckoning may be at hand
Changing focus
US CLO primary garners more attention
HAPS ABS debuts
Eurobank finalises Cairo transaction
LCR eligibility eyed
Final credit mapping framework awaited
Perfect storm
Hertz bankruptcy to reshape auto ABS?
Resolve and resilience
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Risk transfer rebound
Deutsche Bank completes SRT
Risky retention
Haircuts become more severe in Covid 19 world
Robust pipeline
Distressed debt fund exceeds target
Spread compression
European ABS market update
Strategic review
Direct lending JV formed
Synergy search
CLO manager consolidation to stay sporadic?

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Other deal-related news

  • RBC's US-based CLO management business is being integrated into BlueBay's CLO management platform (SCI 8 June).
  • Fitch has downgraded 20 tranches from across 15 Spanish RMBS, reflecting the recent corresponding rating downgrade of Societe Generale (the SPV account bank provider for the deal) from single-A to single-A minus, as the RMBS ratings are capped by the bank rating (SCI 8 June).
  • Chenavari Toro Income Fund is enhancing its dividend policy (targeting a quarterly dividend yield of 2.5% and quarterly special distributions of available excess cash) and rebalancing its investment strategy, with the aim of reducing the discount between the company's share price and the net asset value per share (SCI 8 June).
  • JCPenney has revealed the names of 154 stores slated for closure, representing about 60% of the total store closures planned as part of its bankruptcy (SCI 8 June).
  • The Finsbury Square 2017-2 issuer has disclosed that various discussions have been held with Kensington Mortgage Company (in its capacity as indirect holder of the RMBS certificates) in relation to the purchase of the loans in the mortgage pool (SCI 8 June).
  • Fitch has affirmed 37 notes and maintained its rating watch negative placement on nine notes from 12 National Collegiate Student Loan Trust (NCSLT) securitisations (SCI 9 June).
  • The European High-Level Forum on the capital markets union has published its final report, which proposes 17 inter-connected "game changers" - measures that the EU needs to implement to remove the biggest barriers in its capital markets (SCI 11 June).
  • The ECB's draft guide on climate-related and environmental risks - which it released last month - is credit positive for mortgage collateral in RMBS because it will require banks to proactively manage and disclose such risks, according to Moody's (SCI 11 June).
  • A rapid amortisation event has occurred in connection with the Kabbage Asset Securitization Series 2019-1 small business ABS, caused by an asset deficiency after the collateral pool balance fell below the required amount (SCI 11 June).
  • The Westlake Automobile Receivables Trust 2020-2 issuer has disclosed that the state of California is considering new legislation - Assembly Bill No. 2501 (AB 2501) - that could significantly impact auto loan securitisations with high concentrations of Californian loans (SCI 12 June).
  • The credit quality of many US and European BSL CLOs will likely deteriorate over the coming months as asset defaults increase, although credit conditions as reflected in negative rating actions on corporate issuers are stabilising, according to a new report from Moody's (SCI 12 June).
  • NewDay Cards has confirmed that it does not intend to exercise its option to extend the NewDay Funding Series 2017-1 scheduled redemption date (SCI 12 June).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
12 June 2020
USD CLO
28 covers today to round out a very liquid week - 3 x AAA, 1 x AA, 5 x A, 12 x BBB, 6 x BB and 1 x B. The 1st pay AAAs trade softer in a 173dm-197dm range, however these are all from the same manager American Money Management Corp, the ADRs are high on the 2 bonds at the wide end of the range (in 1.2-1.3 context) as well as negative par build and weaker MV metrics. AMMC 2018-22A A trades at the tight end 173dm / 4.3y WAL with good performance metrics.
The AA TRNTS 2018-9X B1 covers 297dm / 6.7y WAL, this trades wide to the 190dm-240dm range seen this month to date - the manager has a weak record, negative par build -0.65 and ADR 1.45.
The single-As trade 275dm-399dm across 2021-2025 RP profiles, the comparable trading range this month for this cohort has been 250dm-460dm so today's trades sit firmly within these boundaries.
The BBBs trade 415dm-601dm with comparable liquidity in 360dm-650dm range this month so the trading levels today are also within these boundaries.
The BBs trade 775dm-1499dm, at the wide end is OFS's OFSBS 2017-1A E with MVOC shortfall 97.53 from an inexperienced manager with a slightly weaker performance record vs benchmark. At the tight end is Symphony's SYMP 2018-20A E cover 775dm / 8.72y WAL - MVOC is 5pts higher than the OFS trade at 102.52, ADR is low 0.18 and the manager's record is strong.
The single-B trade is CIFC's CIFC 2018-3A F cover 1238dm / 8.44y WAL (2023 RP profile), with single-Bs trading this month to date in a wide dispersion 1100dm-2200dm this trade is at the tight end - the manager has an excellent profile, ADR is near zero, sub80 is 9% and CCC is 4.2% whilst MVOC is near 100 (99.54).
EUR CLO
A quieter end to a busy week. There are 9 CVRs. Both AAAs traded around 165dm. This is in line with AAA trading earlier in the week.
The single As traded between 300dm and 320dm. On 11 June we saw trades between 260dm and 290dm and earlier in the week they were more like 250dm - so the sell off continued to the end of the week.
The BBB and BB trades are both in PURPLE 2 - the Natixis shelf. The BBB traded at 507dm. On 11 June the BBB trading range was 400dm to 500dm - so it is hard to reach too much of a conclusion from this one trade. The PURP 2 BB traded at 840dm. On 11 June the traded range was 700dm to 820dm. PURP 2 BBB has an MVOC of 108.15 which is on the low side and a BB MVOC of 101.06 which is also low however the Junior OC cushion is quite healthy at 4.04%. The deal closed in Oct 2019 so it is still pretty clean.
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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