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SCI Start the Week - 2 November

Category: ABS Capital Relief Trades CDO


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A review of securitisation activity over the past seven days

Last week's stories
Best-of-breed network
Arrow Global Group answers SCI's questions
Diverse portfolio
Private equity CDO completed
Election focus
US CLOs hold up for now
Measurement uncertainty
Inclusion of climate exposures in ICAAPs explored
Mind the gap
CLO equity price and NAV data examined
Risk transfer boost
US CRT market picks up

Other deal-related news

  • Monte dei Paschi di Siena has completed an innovative €4bn limited-recourse financing in favour of the Italian Ministry of Economy and Finance's AMCO vehicle, according to the new regulatory provisions introduced by the 'Milleproroghe Decree' (SCI 26 October).
  • Moody's has downgraded to A3 from A2 the ratings of the class A notes issued by three UK CMBS backed by buildings in which the BBC is the sole tenant, affecting approximately £1.07bn securities (SCI 26 October).
  • Blackstone Real Estate Partners is in the market with a €318.6m single-loan pan-European CMBS (SCI 28 October).
  • Permanent TSB is set to sell a €1.2bn (net book value) portfolio of around 3,700 Irish performing buy-to-let mortgage loans to Citi (SCI 28 October).
  • The US OCC has submitted for publication in the Federal Register a final rule to determine when a bank makes a loan and is the 'true lender' (SCI 28 October).
  • The board of UK Mortgages has completed the strategic review that it commenced following the withdrawal of proposals by M&G Investment Management (SCI 30 October).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
29 October 2020
USD CLO AAA
18 covers today, mostly mezz with some softening seen especially in BBBs as the US LLI has dropped 75bps since last Friday – 1 x AAA, 1 x AA, 7 x BBB, 9 x BB. The AAA trade BMILK 2018-1A A1 (GSO) covers 142dm / 4.4y WAL (2023 RP profile) at the tight end of 140dm-175dm context this week – the bond has a strong MVOC 154.6, low Sub80 4.1, low ADR 0.5 and healthy cushions from a benchmark manager.
USD CLO Mezz/Equity
The AA trade is ICG 2014-2X BRR (ICG) 220dm / 5.5y WAL (2023 RP profile) which trades towards the wider end of 195dm-230dm context this week – Sub80 assets is high 9.0, WARF 3495, CCC high 13.1, ADR is elevated 1.4 and IDT cushion is negative.
BBBs trade 477dm-520dm (2022-2024 RP profiles) wide of early-mid 400s dm context recently. The MVOCs on todays bonds are 108-109 so no material dispersion and there are no significantly impaired bonds so the effect of the softening has impacted BBBs by around 70bps.
BBs trade 642dm-1084dm (2018-2023 RP profiles) with 700dm-930dm context this week in these profiles, there are 2 bonds outside of this context KKR 17 E (KKR) and PARL 2018-1A D (DoubleLine) that have cuspier MVOC 100-102, higher WARFs 3400 area and cuspy IDT cushions and the fact that DoubleLine's bond props up the wide end (1084dm / 7.6y WAL) being a weaker manager than its peers.
EUR AAA CLO
There are 5 AAA trades today. AAA spreads definitely wider – about 9bps wider across the curve. Range is from 160dm to 170dm apart from Aurium 6 which priced to call because of its high stated margin (190bps). It traded at 100.46 which optically is 233dm to maturity.
EUR MEZZ/EQUITY CLO
It's a similar story with AAs. The curve is 16bps wider with spreads now between 225dm and 240dm.
The only single A trade, CVC Cordatus 10, traded at 308dm and at the BB level CVC Cordatus 9 traded at 760dm.
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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