Monday 21 September 2020 10:59 London/ 05.59 New York/ 18.59 Tokyo

A review of securitisation activity over the past seven days

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Last week's stories
Aussie opportunities
Increasing issuance in Australian primary market
Auto SRT priced
Santander unveils its first post-Covid Spanish auto SRT
Forbearance crossroads
Mortgages in forbearance well off the peaks but uncertainty beckons
Regulatory divergence
Brexit complicates ESMA RTS compliance
Restructuring inked
Attica Bank restructures NPL ABS
Tech crazy
Securitizations of tech assets finding favour in Covid world

Data

BWIC volume

Secondary market commentary from SCI PriceABS
18 September 2020
USD CLO Mezz/Equity
11 covers yesterday - 1 x A, 3 x BBB, 5 x BB and 2 x Equity. The single-A trade is York's YCLO 2014-1A CRR cover 236dm / 5.93y WAL (2021 RP profile) trades at the tight end of a 240dm-320dm range in this cohort this week, all metrics are strong on this York bond. The BBBs trade in a narrow dispersion 388dm-397dm (2021/2025 RP profiles) at the tight end of a 350dm-550dm range this week, once again BBB bonds today have strong metrics (see PriceABS trade listing).
The BBs trade 991dm-1234dm (2021-2024 RP profiles) versus 650dm-1050dm range in the same cohort this week. The 3 bonds outside of this range (>1000dm) have MV shortfalls (98.3-99.85), elevated Sub80 assets (8-16%) and a weaker manager on the two widest bonds (MJX).
The 2 equity are from CIFC and American Money both trading in late 30s / 40 cash price context trading to NAV+2-3y CF, see PriceABS trade listing for full details.
EUR MEZZ/EQUITY CLO
There are 17 trades today. 8 of them are single A and one of these is an unusual GBP denominated CLO. The EUR bonds traded in a range from 265dm to 310dm. The GBP bond was at 324dm. These are unchanged trading levels.
There are 2 x BBB. Both of them are Harvest bonds and they traded at 390dm and 440dm.
The 5 x BB have traded between 740dm and 780dm except for Aurium 5 (Spire Partners) which traded at 685dm. The two widest trades are from Chenavari and Carlyle and their slightly weaker MV OC and Jnr OC cushions do justify a modest widening.
There are 2 x B. Contego 4 (Five Arrows) traded at 890dm. Aurium 1 traded at 1060dm. Their performance metrics are very similar. Spire Partners was the tightest trade at the BB level and here it is the wider trade. Just goes to show that different market practitioners have different opinions.
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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