SCI Start the Week - 16 December

Category: ABS Capital Relief Trades CLOs

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A review of securitisation activity over the past seven days

Transaction of the week
The National Bank of Greece has completed its first secured non-performing loan transaction. Dubbed Project Symbol, the €900m portfolio is riding a wave of secured NPL transactions in Greece.
The portfolio references 12,800 borrowers and is backed by a variety of collateral types, including land, industrials, residential and commercial real estate. Bidding as a percentage of the portfolio totalled 28%. (See SCI 13 December for more).

Stories of the week
2020 vision
Looking for relative value in European securitisation
Mixed motivations
THRP sets stage for US bank CRT
Mutual agreement
BPPB SRT debuts

Other deal-related news

  • Infrastructure ABS could hold the key to a brighter future for Europe's banks, which are struggling under the burden of shrinking profits and growing costs, yet benefit from consistent regulatory support and an entrenched role within the continent's broader economy (SCI 9 December).
  • DBRS Morningstar has taken the unusual step of upgrading from double-B (low) to double-B the class E notes issued by Autonoria Spain 2019 a week after the transaction priced (SCI 9 December).
  • Freddie Mac has clarified its multifamily loan documents to address investor concerns on the non-traditional use of eminent domain to preserve rental affordability (SCI 9 December).
  • The recent OCP Euro 2017-1 reset is noteworthy for a turbo amortisation feature, whereby part of the remaining equity cashflows are diverted to amortise the single-B rated class F principal (SCI 9 December).
  • Single-B minus rated obligors currently constitute a record high of nearly 19% of US broadly-syndicated loan CLO exposure, according to S&P figures. To address concern over the credit stability of these companies and the potential for downgrades to inflate triple-C buckets, the rating agency has published a scenario analysis that explores the possible impact of such ratings volatility on the CLO market (SCI 10 December).
  • European bank CET1 ratios have stabilised over recent years, as Basel 3 capital requirements and other supervisory measures have been fully phased in. However, further RWA inflation could result from the ECB's TRIM exercise or the Basel 4 output floors (SCI 12 December).
  • Latest figures from the ECB show that its ABSPP holdings are at an all-time high. However, the programme remains far from the market moving purchaser it was once expected to be. (SCI 13 December).


BWIC volume

Secondary market commentary from SCI PriceABS
12 December 2019
Another active day with 20 observed covers across the liability structure which we ran DMs on – 7 x AAA, 1 x BBB, 11 x BB and 1 x B. The >4y WAL AAAs (23/24 RP profiles) traded in a 119dm-134dm range split as follows : 2023 RP profiles trade 119dm-126dm (note in line with a recent comp this month GLM 2017-2A A 121dm / 4.9y WAL) and the 2024 RP profiles trade today 133dm-134dm (tight to a recent comp this month OCP 2019-17A A1 at 136dm / 6.3y WAL).
The BBB trade today is ATCLO 2019-15A D (Crescent Cap) covers at 466dm / 8.7y WAL, this is a 2024 RP profile, closed 5 weeks ago – there has been one 2024 RP profile BBB comp this month to date MDPK 2018-31A D at 341dm / 8.5y WAL, todays ATCLO 2019-15A D has a very low MVOC 108.9 but once again this deal is pending its first remittance report to be able to comment accurately on its performance metrics.
The BBs today are from 5 different RP profiles (2020-2024 RPEs) – the 2024s trade 911dm – 1039dm, 2023s 649dm, 2022s range 654dm-705dm with 2 outliers LCM 23A D (895dm / 7.5y WAL) and HLA 2017-2A D (841dm / 6.95y WAL), note however that similar 2022 RPE bonds this month trading tighter 670dm-718dm. The LCM 23A D has a very low MVOC 102.48, 7% sub 80 priced assets, par build negative -0.28 and a low annualized equity return of 9.4% which is very low versus peers, whilst the HLA has a lo-MVOC 103.71. The 2021 BB RPE bonds traded with a wide basis 703dm-801dm with TRNTS 2017-6A E (Trinitas Cap) at the wide end 801dm / 6.2y WAL – this deal has >5% of sub 80 priced assets and weak performance metrics (WARF 2944, 43bps of defaults, annualized equity returns of 12% lower than peers. 2021 RPEs have traded 683dm-703dm so today's TIA 2017-1A E (TIAA) 703dm / 6.2y WAL is at the wide end of month to date comps. Finally the 2020 RPE profiles trade in a 601dm-644dm range, with month to date comps 541dm-697dm right in the middle of this zone with no significant outliers to note.
The sole single-B tranche today was ARES 2016-40A ER (Ares Management), a 2021 RP profile that trades 982dm / 7.45WAL with the only market observed single-B this month TCW 2019-1A F 958dm / 6.8y WAL so today's ARES trade fits this 'term structure' for an illiquid bond rating level nicely.
AAA Dutch prime RMBS at 12dm. AAA French autos at 19dm and AA Spanish autos at 39dm.
2 x AAA, 1 x AA & 1 x BBB today. The AAAs are paying 85bps and 86bps margin. One is callable now and the other in Feb 2020. They have both traded at small premiums which is around 120dm to mat for around 3.5yr WAL or around 100dm to call for 0.15yr WAL. The AA is from a deal where the AAA pays 82bps margin. This is also traded at a small premium and the deal is callable now. It traded at 188dm to mat or 163dm to call. The BBB traded at 96.55 / 341dm to mat / 6.09yrs.
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