Monday 17 February 2020 10:53 London/ 05.53 New York/ 18.53 Tokyo

A review of securitisation activity over the past seven days

REMINDER: SCI NPL Securitisation Awards 2020
Nominations have now opened for the inaugural SCI NPL Securitisation Awards and have a deadline of 20 March.
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Transaction of the week
JPMorgan has placed the re-offered Futura 2019 NPL ABS at a wider print than some market participants had been expecting. The transaction is notable for not benefitting from the Italian GACS guarantee and was retained by the sponsor Guber Banca in December. See SCI 14 February for more.

Stories of the week
Diversified play
Rate improvements driving ILS pick-up
Doubling up
European ABS market update
Equity issue
Loan repricing expectations weigh heavy on CLOs
Positive outlook
Spanish REO boost expected
Secured versus unsecured
Early-stage MPL delinquencies predictive of charge-offs
Sporadic issuance
CQS SRT wave unlikely

Other deal-related news

  • The Business Mortgage Finance 4, 5, 6 and 7 issuers have informed noteholders that on 22 January they received a letter from Alfred Olutayo Oyekoya, in which he claimed that he had assumed the position of trustee in relation to the charged property. The issuers inform noteholders that it considers the purported assumption of position to be of no effect and that BNY Mellon remains the sole trustee (SCI 10 February).
  • Moody's has upgraded four tranches of the credit protection deed between Santander UK and the Red 1 Finance CLO 2017-1 synthetic CMBS. The actions reflect the further substantial increase in credit enhancement for the senior tranches, following the sequential allocation of principal proceeds from loan repayments and the stable loan performance (SCI 12 February).
  • Capital relief trade issuance broke a record in 2019, with volumes reaching €7.5bn. This marks the highest total tranche notional volume in the post-crisis period, surpassing the previous record set in 2017 (SCI 13 February).
  • Annaly Capital Management is set to acquire its external manager, Annaly Management Company, and transition from an externally-managed REIT to an internally-managed REIT (SCI 13 February).
  • The Parliament of Catalonia has validated Decree Law 17/2019, which increases the amount of social housing for people on low incomes or with particular needs. Moody's suggests that the law is credit negative for Spanish RMBS and the implications for NPL securitisations are "even worse" (SCI 14 February).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
13 February 2020
USD CLO
20 reported covers today - 4 x AAA, 2 x AA, 13 x BBB and 1 x BB rated. The >4y WAL AAAs (all 2023 RP profiles) trade in a narrow 102dm-110dm range - at the tight end is GRNPK 2018-1A A1 (GSO) 102dm / 5y WAL with good all round metrics (MVOC 152.4 / ADR 0.03% / sub 80 1.26%) and at the wider end is AMMC 2016-18A AR (American Money Management) 110dm / 5y WAL with weaker metrics (MVOC 149.8 / ADR 0.53% / sub 80 4.05%) and a less experienced manager versus GSO but nonetheless fine lines in terms of DM levels at both ends of the range today and at the tighter end of generic 2023 RP profiles that have traded in a 107dm context recently and is by far the most liquid cohort within AAAs.
The AAs today (2022 RP profiles) tradein a 150dm-158dm range which is tight to market which has been in 170dm context for this profile - the bonds are from experienced managers CSAM and GSO with excellent MV and performance metrics (see PriceABS trade history for all details).
The BBBs today (2022-2024 RP profile) trade 285dm-395dm range, breaking these down at the longer end the 2024 RP profiles trade 345dm-377dm / 8.5y WAL avg which is inside 379dm generic trading levels. The 2023 BBB RP profiles trade 285dm-395dm / 7.3-8y WAL with STCR 2018-2A D (Steele Creeke) at the wide end 395dm / 7.9y WAL (MVOC 111 / sub 80 4.4%) versus 360dm area recent comps but note that the manager has only 6 CLOs under management so this has contributed to the below average level. The 2022 RP profiles trade 286dm-331dm with CIFC's CIFC 2017-5A C at the tight end 286dm / 7.3y WAL - high MVOC 112.4 / low ADR 0.31% / low sub 80 0.56% and a strong 2811 WARF, this profile has traded in mid 300s DM area recently so today's range is firmly inside these levels.
The BB trade today is REGT8 2017-1X E (Napier Park) a 2022 RP profile and covers 646dm / 7.5y WAL which is inside 676dm market levels for this profile - the ADR is low 0.19%, the sub 80 bucket is also low 1.54% and diversity 84 and WARF 2819 are both respectable.
EUR CLO
There are 16 x AAA & 1 x BB trades today. All bar 3 of the AAAs are currently callable. The lower margin trades have traded at par or a very small premium. Of course the spreads vary a lot depending on the margin on the bond. The range is from 82dm|mat to 128dm|mat. The par AAA margin is around 90-93 bps which is where the current Carlyle deal is talked. The higher margin trades have traded between 120dm|mat to 137dm|mat at an average price of 100.12.
The BB is near enough a current par margin at 575bps. It traded at 598dm|mat which is 100.32 price.
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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