A review of securitisation activity over the past seven days

Last week's stories
Collections clarity
Payment arrangement ABS strengthened
Problem solving
Apex Group, answers SCI's questions
Repeat patterns
CLO equity activity continues to be challenged

Other deal-related news

• The percentage of US CMBS repeat loans dropped to 17.7% in 2019 and to 13.9% in 1H20, down by 21.4% year-over-year (SCI 10 August).
• Piraeus Bank has filed an application for inclusion of its Phoenix non-performing loan securitisation under the Hercules Asset Protection Scheme (SCI 11 August).
• Moody's is now including climate risk data and analytics from its majority-owned affiliate Four Twenty Seven in its research on and ratings process for US CMBS and CRE CLOs (SCI 11 August).
• Moody's has changed the direction of review for 11 tranches of rental car ABS issued by Hertz Vehicle Financing II (HVF II) to under review for upgrade from under review for downgrade (SCI 12 August).
• Fitch has taken various rating actions on 32 classes and related exchangeable notes from four GSE credit risk transfer transactions issued between 2014 and 2015 in response to the placement of the US sovereign rating on negative outlook (SCI 12 August).
• Fannie Mae and Freddie Mac are increasing the loan-level price adjustment (LLPA) by 50bp as an adverse market delivery charge on effectively all mortgage refinances, except for construction loans, with settlement dates after 1 September (SCI 13 August).
• Moody's has upgraded its ratings by one to two notches on the class B to F notes issued by Aurorus 2020, which priced last month, reflecting the correction of an input error in the application of the early amortisation triggers in its cashflow analysis (SCI 13 August).
• In a recent Staff Report, the New York Fed examined the economic mechanisms that limited arbitrage between the cash and forward markets of agency MBS, and whether its asset purchases alleviated price dislocations (SCI 13 August).
• June collections for Italian non-performing loans were 78% higher than those in May and 6% higher than the pre-Covid average (SCI 13 August).
• The US Court of Appeals for the Second Circuit has ruled that investors should keep roughly US$1bn received from various Lehman Brothers affiliates after the bank's 2008 bankruptcy filing triggered the liquidation of dozens of CDOs (SCI 14 August).
• Fitch has downgraded the class A, B and C notes issued by Lunar Aircraft 2020-1 and assigned all classes a negative rating outlook, while removing the rating watch negative placement (SCI 14 August).
• MaplesFS has advised Crystal River CDO 2005-1 noteholders that it intends to terminate the provision of all services to the issuer - including resignation of the directors and registered office - by initiating the termination clause of the administration agreement (SCI 14 August).
• The Structured Finance Association has submitted a comment letter to the CFPB agreeing with its proposal to delay the scheduled expiration of the GSE's qualified mortgage 'patch' until the new proposed General Qualified Mortgage Rule is in place (SCI 14 August).
• Moody's has downgraded from Aaa to Aa2 the class M2, M2F, M12 and M2I notes issued by STACR 2014-DN1 (SCI 14 August).
• Since unanimously rejecting M&G Investment Management's cash offer for the company, UK Mortgages says it has consulted extensively with shareholders to seek perspectives on the offer, as well as its strategy and prospects (SCI 14 August).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
7 August 2020
USD CLO Mezz/Equity
A quiet end to the week with 7 covers which in general suggest a continued tightening tone - 4 x A and 3 x BBB today. The single-As trade 248dm-362dm. The 2023/2024 RP profile single-As trade 248dm-306dm tighter to 280dm-320dm recent context. At the wide end of today's single-A trades is a shorter dated WAMCO CLO MHAWK 2014-3A C 362dm / 3y WAL wide to recent trading in vh200s context, the metrics are weaker with 2.56 ADR, 11.2 Sub80, 3823 WARF, 10.3% CCC and a neg par build -3.07.
The BBBs trade 394dm-440dm given across wide RP profiles, with the most liquid BBB cohort the 2024 RP profiles Canyon Cap's CANYC 2019-2A D covers 424dm / 8.31y WAL which is at the tighter end of recent context 400dm-470dm, the metrics look clean (ADR 0.7, Sub80 3.85, WARF 2901, CCC 5.3).
EUR MEZZ/EQUITY CLO
There are just 1 x BB & 2 x B today. The BB is CADOG 5X ER which traded at 763dm which is in line with recent levels.
The single B's traded between 980dm and 1000dm. We haven't seen any single B's trade by BWIC for a while so this is useful colour.
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 usfor a trial direct via SCI.