Monday 20 July 2020 11:09 London/ 06.09 New York/ 19.09 Tokyo

A review of securitisation activity over the past seven days

FREE - CRT modelling panel
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Last week's stories
ACIS activated
Freddie Mac brings first ACIS CRT deal since March
Conflict-free trading
Meraki Global Advisors, answers SCI's questions
Dual-speed transition?
Libor replacement risks highlighted
Fannie takes a step back
As Freddie issues a new STACR, Fannie revises CRT approach due to new capital rules
No rush
CLO investors have time on their side for resets and refis
October cliff edge looms
The apparent recovery of many parts of the MBS market may be a false dawn
Pandemic protections?
Structural features mitigate auto ABS risks
Risk transfer return
Intesa debuts post-Covid Italian SRT
Seeking clarity
Call to reassess repo language
Structural changes
New US CLO docs anticipating Volcker

Other deal-related news

  • LendingClub has expanded its LCX platform to make it easier for registered institutional investors to analyse, price and bid on loans at pre-issuance, down to the individual loan level (SCI 13 July).
  • The BUMF 4, 5, 6 and 7 issuers have informed noteholders that Alfred Olutayo Oyekoya, Rizwan Hussain, Rajnish Kalia, Jai Singh, Callon Shared Equity and Portfolio Logistics continue to purport to have assumed the position of directors (SCI 13 July).
  • US Representative Van Taylor has circulated a draft bill that would require the Treasury Department to establish and administer a facility to guarantee certain preferred equity investments in commercial real estate borrowers affected by Covid-19 (SCI 13 July).
  • After a relatively stable Q1, European CLO managers burnt an average -19bp of par in Q2 (compared to -3bp in Q1), according to JPMorgan's latest report on the sector (SCI 16 July).
  • At 165, year-to-date STS notifications already outstrip last year's total (143), thanks to the substantial influx of ABCP notifications (SCI 16 July).
  • Wholesale used-vehicle prices rose to all-time highs across Australia in June, up 11% from May to 23% from the lows reached in April, according to the Datium Insights-Moody's Analytics Price Index (SCI 16 July).
  • Fitch has downgraded the ratings of all outstanding classes of Navient Student Loan Trust 2014-1 (SCI 16 July).
  • A number of forbearance covenant waivers for Ribbon Finance 2018 have been agreed (SCI 16 July).
  • Newday has reset the interest rate on the A1 dollar-denominated notes of Newday Funding 2018-1 and extended the scheduled redemption date to August 2021 (SCI 16 July).
  • The LSTA has warned that the amended Volcker Rule might be subject to invalidation under the Congressional Review Act, should the US government change hands at this November's elections (SCI 16 July).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
16 July 2020
USD CLO AAA
More liquidity day on day, with 18 covers across the capital structure - 6 x AAA, 5 x AA, 6 x BB and 1 x Equity. The AAAs (all 1st pay) trade in a 162dm-223dm range (2018-2023 RP profiles), with trading at 162dm at the tights for this month to date. At the wide end today is a short dater from Highland Capital ACIS 2014-5A A1 cover 223dm / 1.26y WAL (2019 RP profile) - high ADR 1.51, high sub80 11.3, low diversity 40 (deal deleveraging) and high CCC 17.8% accounting for the mismatch.
USD CLO Mezz/Equity
The AAs trade tighter 208dm-221dm vs 210dm-270dm range month to date, at the tight end is a bond that is post RPE with clean metrics from Palmer Sq PSTAT 2018-3A A2 208dm / 3.13y WAL. The BBs trade in a tighter dispersion today 833dm-983dm with a fixed rate CBO trading at a yield of 8.62%. There was one Equity, Anchorage's ANCHC 2013-1A SBAR that trades to a 55 cash price (c. 3y CF) - key metrics are reasonable including interest diversion cushion 1.3%, ADR 0.72, sub80 8.9%, CCC 12.1% and Jnr OC cushion of 1.8% with low retail concentration 2.8%, see PriceABS for more detail.
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.


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