Monday 19 October 2020 11:03 London/ 06.03 New York/ 19.03 Tokyo

A review of securitisation activity over the past seven days

Last week's stories
Compromise pending
Parliament softens stance on 'problematic' proposals
Made in the USA
Speakers at SCI conference herald dawn of new era for US CRT
Movie magic
Rare securitisation of film library future revenues finds buyers
SME CRT completed
Intesa finalises mezz guarantee

Other deal-related news

  • LendingClub is winding down its retail note programme and has ceased accepting new accounts (SCI 12 October).
  • The EIB has approved €5.1bn of new financing to support investment by companies most impacted by Covid-19, alongside backing clean energy, water, sustainable transport and urban development (SCI 14 October).
  • Scope has upgraded tranches B to F of Santander's synthetic UK CRE CLO Red 2 Finance CLO 2018-1 and armed the triple-A rating of the A tranche (SCI 14 October).
  • Diversification risk across the US CLO market has increased this year, due to the 18% decline in US leveraged loan net supply over 2019 versus 79 different managers issuing deals in 2020 (SCI 16 October).
  • Dock Street Capital Management has replaced Collineo Asset Management as collateral manager to the House of Europe Funding IV ABS CDO (SCI 16 October).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
15 October 2020
USD CLO AAA
Liquidity was similar to yesterday with 36 covers - 16 x AAA, 3 x AA, 5 x A, 7 x BBB and 5 x BB. The 1st pay AAAs trade flat 132dm-153dm, whilst there are 2 x 2nd pay AAAs (1 x FRN and 1 x Fixed). Firstly there is Voya's VOYA 2017-4A A2 (FRN) that covers 172dm / 4.3y WAL which is a good data point for a rare profile which is c.10dm-20dm off 1st pay wides which seems in line. There is a fixed rate 2nd pay AAA as mentioned, this is CBAM's CBAM 2017-1A A2R that yields 2.53% / 4.77y WAL - this bond has widened as covered 2.11% a week back, with no additional reporting since and MVOC flat this is evidence of widening on this rare fixed rate profile.
USD CLO Mezz/Equity
The AAs trade 189dm-225dm (2018-2021 RP profiles) broadly in line with 190dm-250dm context over the past few weeks in these shorter dated profiles, no weakening per se.
The single-As trade 311dm-413dm (2020/2024 RP profiles) which are wide to 270dm-300dm recent context, much of this to do with the fact that today's bonds have credit issues with ADR's as high as 3.7% and significantly compromised IDT/Jnr OC cushions at the wide end so the weakening can be attributed to credit rather than market softening at this rating level.
The BBBs trade 402dm-512dm across 2020-2024 RP profiles broadly flat to 350dm-500dm recent context, at the wide end MVOC weakness drives trading levels with recent MVOCs at this rating level 107+ whilst Sound Point's SNDPT 2013-1A B1R trades 512dm / 6.5y WAL with MVOC of 105.6.
BBs today trade 844dm-947dm across 2023/2024 RP profiles which sit within 740dm-960dm recent context, once again cuspier MVOCs driving BBs closer to 1000dm with LCM and Pretium managed BBs running cuspy MVOCs in 101.5 context and cover today 940dm-950dm with fundamental credit metrics reasonable.
EUR MEZZ/EQUITY CLO
Just 7 mezz trades today - 3 x A & 4 x BB. The 3 single A's have traded between 325dm and 360dm. Laurelin 2016-1 and Accunia 4 both traded at 325dm (which is about 15bps tighter on the curve) and Man GLG 6 traded at 360dm. Of course Man Group shelves always trade wide although, in this case, the Jnr OC cushion of this deal is in good shape at 4.47%.
Of the 4 BBs, three of them have traded between 725dm and 760dm which is an unchanged BB level. The outlier is Cairn 8 which traded at 810dm. It does have an MV OC of 104.80% which is about 2 points lower than the other bonds. Having said that its Jnr OC cushion is 4.48% which is perfectly fine.
DM, Yield & WAL - proprietary SCI data points complement Cover prices
PriceABS Data now includes DM/Yield/WAL for all CLO trading and Euro ABS/RMBS.


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