A review of securitisation activity over the past seven days

New MRT report
SCI has published a new Special Report on the US Mortgage Risk Transfer sector - it can be downloaded for free here.

Transaction of the week
BofA was in the market with a Dutch CMBS, dubbed Taurus 2020-1 NL. The €620.6m deal is the first from the programme to be backed solely by Dutch assets.
Rated by KBRA, the transaction comprises €324.7m triple-A rated class A notes, €98.8m double-A minus rated class B notes, €65.9m single-A minus rated class C notes, €65.9m triple-B minus rated class D notes and €65.3m double-B rated class E notes. These tranche sizes are considered to be relatively rare for euro-denominated CMBS. See SCI 24 February for more.

Stories of the week
Brexit question
UK and EU STS regimes could diverge
Diversification offered
European ABS market update
Irish recovery?
Domestic, external challenges remain
Project Cairo prepped
Eurobank applies for HAPS guarantee
Social factors
Positive ESG scores for post-crisis vintages
Strong liquidity
European CLO market update
UK SRT debuts
Opel prepping full-stack auto ABS
VAT switch
European CLO managers hit with backdated bill

Other deal-related news

• LBBW's ABCP programme Weinberg Capital has executed another issuance via its digital DLT platform to MEAG, the asset management company of Munich Re and ERGO (SCI 24 February).
• General Motors' withdrawal from the Australian and New Zealand vehicle market by June 2020, along with the eventual retirement of its Australian car brand Holden is credit negative for Australian auto ABS, Moody's suggests (SCI 25 February).
• Generali has developed a 'Green Insurance Linked Securities Framework', in line with its sustainability strategy (SCI 26 February).
• Ocwen Financial Corp is set to transfer the subservicing of agency loans currently subserviced by its subsidiary PHH Mortgage Corp to New Residential Investment Corp subsidiary NewRez (SCI 27 February).

REMINDER: SCI NPL Securitisation Awards 2020
Nominations are now open for the inaugural SCI NPL Securitisation Awards with a deadline of 20 March.
Further information and details of how to pitch can be found here.

Data

BWIC volume

Secondary market commentary from SCI PriceABS
28 February 2020
USD CLO
With volatility across global capital markets over the past 24 hours this has manifested itself into CLOs with DMs generally drifting wider but significantly wider on bonds where there is fundamental weakness in performance to date. We reported 5 covers today across all IG rating bands which will present an opportunity to assess the impact on DMs - 2 x AAA (1 x 1st pay and 1 x 2nd pay), 1 x AA, 1 x A and 1 x BBB. The 1st pay AAA is VENTR 2014-18A AR (MJX AM) with some fundamental weakness (ADR 1.71%, sub80 assets 7.8%, par build -0.77) and covers 134dm / 3.4y WAL which is 14bps wide to comps seen pre-vol. The 2nd pay AAA is AWPT 2017-6A A2 (ArrowMark) cover 157dm / 4.7y, this is overall a clean deal and in line with BLUEM 2014-2A A2R2 which is the last 2nd pay comp we have seen last month with similar DM.
The AA today DRSLF 2017-50A B (PGIM) covers 200dm / 6y WAL, which is a 2022 RP profile and relatively clean transaction with good manager metrics, trades 35dm wide to similar bonds seen pre-vol. The single-A today is MCLO 2013-5A BR (Marathon) which is a 2019 RP profile, covers 354dm, this is significantly wider than comps seen pre-vol of 190dm-200dm - once again fundamentals are very weak on this deal (ADR 2.66%, sub80 6.9%, par build -1.67, WARF 3206, MVOC 110) so trades to a weaker bid at present. The BBB ALM 2012-6A CR3 (Apollo) is a 2020 RP profile covers 268dm / 4.95y WAL - this is a clean deal and trades at pre-vol levels.
EUR CLO
A chance to get some post-sell off price discovery in rating classes other than BB which we saw trade on 27 Feb. Today we have 2 x A, 4 x BBB & 2 x BB. In the single A's the bond with the closest to par margin is BECLO 9A CE which has a 240bps margin. It traded at 98.75 / 290dm|mat. About two weeks ago single A's trading around par were in the 210dm to 230dm range.
In the BBBs trades that 2 weeks ago would have had par margins ie around 330bps are now trading with 96h or 97h which is around 410dm|mat. This is about 70bps wider than where we were.
In the BBs BLUME 2016-1X ER traded on the tighter side (for today's market) at 650dm|mat but it has a very low margin at 438bps which explains this. ACCUN 2X E has a higher (but still below par) margin at 498bps and it traded at M80s / 834dm|mat which is wide even by these new levels.
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.