A review of securitisation activity over the past seven days

Last week's stories
Auto ABS boost
European ABS market update
Drafting issues
The potential effect of current market volatility on capital relief trades
Forbearance frontiers
4.7m home loans now in forbearance
Liquidity support
Amendments mitigate forbearance impact
Portfolio resilience
Technology-driven investment gaining traction
Positive outlook
Survey indicates distressed debt pick-up
Questionable idea?
Central bad bank proposal raises concerns
SRTs unlocked
BMO launches capital relief trade
Tortuous TALF 2.0
Markets question TALF usage
Unknown unknowns
Covid-19 modelling challenges persist
Waivers required
WBS covenant breaches eyed

Other deal-related news

• Volkswagen Financial Services UK will calculate a collateral residual value buffer to be made available to its UK auto ABS issuers in respect of the monthly period in which a payment holiday with a term extension is granted for a purchased receivable (SCI 11 May).
• The AOFM has disclosed the recent investments it has made under the Structured Finance Support Fund (SCI 12 May).
• Moody's has affirmed the ratings of the CAS 2014-C04 class 1M2 and 2M2 credit risk transfer RMBS notes, affecting approximately US$514.3m of securities (SCI 12 May).
• Barclays is in the market with the €796.99m Fingal Securities RMBS, a securitisation of part of the circa €5bn Irish mortgage loan portfolio it purchased from Bank of Scotland in May 2018 (SCI 12 May).
• Scope Ratings reports that the class A, B and C notes of York 2019-1 CLO have amortised to £1.675.9bn, £185m and £65.2m respectively, representing 70% of their initial balances (SCI 12 May).
• The US Federal Reserve has clarified its CLO eligibility rules for TALF (SCI 13 May).
• ESMA has published a thematic report on CLO credit ratings in the EU, which identifies the main supervisory concerns and medium-term risks in this asset class, including credit rating agencies' internal organisation, interactions with CLO issuers, operational risks, commercial influence on the rating process and the need for proper analysis of CLOs (SCI 13 May).
• The EIF has signed a Skr200m guarantee agreement with Aros Kapital to provide loans of up to Skr275,000 for micro-enterprises in Sweden (SCI 13 May).
• The borrower under the Bel Air facility, securitised in the Taurus 2018-1 IT CMBS, has received requests for deferral of rental payments from a majority of the tenants of the underlying properties (SCI 13 May).
• Negative rating actions on corporate loan issuers continue to accumulate within US BSL CLOs, though the pace is moderating, according to S&P (SCI 14 May).
• Fannie Mae and Freddie Mac have announced that borrowers who have been impacted by Covid-19 may now defer all their forborne payments into a non-interest-bearing balance that is due when they sell their home, refinance their mortgage or at maturity (SCI 14 May).
• The US SEC has charged Morningstar Credit Ratings for violating a conflict of interest rule designed to separate credit ratings and analysis from sales and marketing efforts (SCI 15 May).
• The impact of the Italian government's Rilancio Decree - which was introduced this week and allows for a temporary waiver of deferral triggers on servicing fees under the GACS scheme - is credit neutral for Italian non-performing loan securitisations, Scope Ratings notes (SCI 15 May).
• The US SEC has appointed a receiver over TCA Fund Management Group Corp, its affiliate TCA Global Credit Fund GP (TCA-GP) and several funds managed by TCA to protect investors from a fraudulent scheme allegedly conducted by TCA (SCI 15 May).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
15 May 2020
USD CLO
Another buoyant day with 27 covers - 1 x AAA, 14 x A, 8 x BBB and 4 x BB.  The AAA is ARES managed ARES 2019-52A A2 which is a 2nd pay and covers 222dm / 7.04y WAL, with another Ares mezz AAA trading in 260s dm context around April month end this gives some illustration of the tightening this month.
A lot of single-As today with the trading range 283dm-428dm for a range of RP profiles (2020-2024) with trading range mtd 280dm-540dm, at the wide end today is BlueMountain's BLUEM 2016-1A CR 428dm / 5.01y WAL - high ADR 1.7%, high sub80 bucket 20.1%, high WARF 3458, neg par build -1.05 and a spilled CCC bucket 8.1% whilst the manager has a weaker record vs peers.  At the tight end is CSAM's MDPK 2018-30A C 283dm / 5.24y WAL - low ADR 0.46, 18% sub80, WARF is also high 3379, 1.6% CCC and a strong manager record.
The BBBs trade 487dm-609dm (versus a volatile 500dm-1000dm trading range mtd), OFS's OFSBS 2014-6A CR cover 487dm / 2.31 is the tightest BBB trade post-vol albeit short dated (2018 RP end).
BBs continue to tighten with a trading range today 940dm-1051 so clean deals are now in 1000dm context and three have now penetrated 1000dm post-vol, at the tight end today is Blackrock's MAGNE 2015-12A ER 940dm / 8.1y WAL - 0.57 ADR, <10 ADR (9.94), 5.1% CCC and 3120 WARF from a benchmark manager.
EUR/GBP ABS/RMBS
Got 2 ABS CVRs today, the first CVR prices we have seen on a BWIC for a long time. BRICQ 2019-1 A (AA rated Italian Consumer Loan deal) traded at 98.83 / 150dm to step up date. In Nov 2019 it traded at 100.37 / 51dm. BRICO 2019-1 A (also AA rated class of Italian Consumer Loans from the same originator - Creditis Servizi Finanziari) traded at 99.05 / 161dm. This bond traded in Jan 2020 at 100.53 / 37dm.
EUR CLO
Just one AAA today. SPAUL 3RX AR traded at 97.01 / 204dm. This is on top of SPAUL 9 A which traded at 205dm on 11 May.
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.