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SCI Start the Week - 18 November

Category: ABS Capital Relief Trades CLOs

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A review of securitisation activity over the past seven days

Transaction of the week
UniCredit has completed what is believed to be the largest European ABS transaction post-crisis. Dubbed Impresa Two, the deal is a departure from previous securitisations, given the inclusion of large corporate loans in the portfolio.
The two-year revolving cash securitisation is backed by a €11.05bn portfolio of secured and unsecured loans granted by UniCredit to SMEs, mid-cap and large companies located in Italy. The previous ABS SME transaction originated by the bank - Impresa One - closed in 2011 and included only SME loans. See SCI 14 November for more...

Stories of the week
Choose risk
Richard Robb, ceo of Christofferson, Robb & Company, answers SCI's questions
Full-stack trend continues
FCA completes Italian auto SRT
Meaningful progress
Non-agency eMortgage securitisation on the cards
Spanish RPL RMBS prepped
Transaction re-securitises paid-off SRF loans

Other deal-related news

  • Commonwealth Bank of Australia's new A$1bn Medallion Trust Series 2019-1 is set to become the first Australian RMBS linked to the Australian Overnight Index Average (AONIA) instead of one-month BBSW (SCI 11 November).
  • The European Bank for Reconstruction and Development (EBRD) is providing up to EGP1bn billion (€55m) in a securitised local currency multi-tranche bond issuance totalling EGP6bn, issued by El Taamir for Securitisation Company (SCI 11 November).
  • Funding Circle is marketing its first STS-compliant and SONIA-linked SME securitisation (SCI 13 November).
  • The SFA has launched an industry initiative to facilitate the application of ESG principles to the structured finance market. The association notes that advancing the integration of ESG factors into business practices and reporting will require industry-wide collaboration (SCI 13 November).
  • The long-awaited Spanish SME ABS Alhambra SME Funding 2019-1 has priced. The closest Europe has yet seen to a public middle market CLO came in broadly in line with updated guidance (SCI 14 November).
  • Lone Star has priced its latest Irish non-performing loan RMBS at the same levels as its previous ERLS deal from July. Dubbed European Residential Loan Securitisation 2019-NPL2, the deal is backed by mortgages from the €1.34bn Project Glas portfolio acquired from Permanent TSB in 2018. (SCI 15 November).
  • The New York Fed's open market trading desk plans to conduct four small value agency RMBS coupon swap operations on 19 and 21 November. On these days, the desk intends to swap out of three unsettled December TBA positions (SCI 15 November).
  • The US$25.3m Raintree Apartments loan, securitised in COMM 2013-CR9, prepaid prior to its 1 June 2023 maturity date with a US$2.5m penalty (SCI 15 November).


BWIC volume

Secondary market commentary from SCI PriceABS
15 November 2019
Quite a busy day for sub-investment grade trading with 13 x BBs trading whilst there was 1 x BBB, 1 x A and 2 x AAA rated. The AAAs both had >4y WALs and traded in a 119dm-123dm range, both names MDPK 2018-27A A1A (CSAM) and BLUEM 2013-2A A1R (Blue Mountain) are 2023/2022 RP profiles respectively and have strong MVOCs but neither deal is exempt from some weaker performance metrics, eg. BLUEM 2013-2A A1R has 223bps of defaults, -0.94 par build whilst MDPK 2018-27A A1A has 56bps of defaults and 7.06% CCC / 2945 WARF. Both trades are at the tighter end of trades post summer and we observed >4y WAL AAA generic levels this week widen 2bps to 129bps. 

The single-A trade today is TRNTS 2014-2A C (Trinitas Cap) cover 307dm / 3.22 WAL, the first single-A trade seen this month. The BBB trade today was MP12 2018-1A D (Marble Point) cover 430dm / 8.5y WAL, this has a 2023 RP profile and is at the wide end of trades this week where we have seen generic levels of 385bps across $30m of trades - the MVOC is low 108.94, whilst lo-WARF 2914, 50bps defaults and 7% of assets priced under 80.

With BBs the focus today and also for this week, today saw 2021-2023 RP profiles trade in a 683dm-943dm range - at the tight end MAGNE 2014-8A ER2 (Blackrock) cover 683dm / 7.5y WAL, this has a 2022 RP profile and has a hi-MVOC 104.98, 2784 WARF, 81 diversity along with excellent performance metrics. Since we observed almost $100m of BBs trade this week we analyse the activity as follows: generic BB spreads tighten 30bps to 838bps, 2024 RPs traded 852bps, 2023 RPs traded 846bps, 2022 RPs traded 768bps and 2021 RPs traded 816bps.

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