A review of securitisation activity over the past seven days

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Last week's stories
Bridging gaps
Linking SRT originating banks with insurance partners
Champagne on hold
Latest forbearance numbers encourage, but end of July cliff edge looms
Demand decline
Remote working accelerates change for office CRE
Investor interest
UK RMBS market update
Lift off
Credit Suisse finalises SRT
Next step
Debut CLO part of platform roll-out
Seductive specifieds
An investor's view
Sicilian CRT launched
BAPR completes SME securitisation
SRT debut
Sabadell completes first synthetic securitisation
Structural hurdles
US CLO managers face restructuring challenges
Take-up rates
Significant variations across European moratoria

Other deal-related news

• A significant proportion of all the US BSL CLOs S&P has on negative watch closed in 2015 or before (SCI 16 June).
• The New York Fed has released the rates for the first TALF 2.0 subscription, which is scheduled for tomorrow (17 June) at between 8am and 3pm ET (SCI 16 June).
• Investors requested US$252m in loans under the first TALF 2.0 subscription window (SCI 18 June).
• Scope has analysed the Q2 data for 21 of the 25 Italian non-performing loan securitisations it rates, representing a total GBV of €73bn, and forecasts that 14 of them will underperform this year in terms of both timing and volumes (SCI 18 June).
• Maryland Attorney General's securities division has entered into a US$20m settlement with Wells Fargo, resolving financial crisis-era claims that the bank misled investors in its issuance of RMBS (SCI 18 June).
• The New York Fed's Open Market Trading Desk intends to conduct two small value agency MBS sales operations, which will occur on 23 June and 25 June (SCI 18 June).
• Kensington is in the market with its latest UK non-standard prime RMBS, Finsbury Square 2020-2 (SCI 18 June).
• The senior loan facility agent for the Magenta 2020 CMBS has agreed to certain waivers, consents and amendments aimed at avoiding a number of senior loan EODs, following the coronavirus-related closure of the underlying hotels (SCI 18 June).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
18 June 2020
USD CLO
A quieter day with 22 covers - 1 x AAA, 2 x AA, 3 x A, 8 x BBB and 8 x BB. The only AAA trade today is Sculptor's OZLM 2014-8A A1RR 200dm / 3.02y WAL, this is a wider DM given the weaker MVOC 141.1, the interest diversion cushion is -1.97%, ADR 0.84%, sub80 high 12.4% and CCC basket is 11.1% whilst the manager's record is weaker than its peers.

The AAs trade 229dm-260dm with this cohort trading 220dn-280dm this week so levels are in line.

The single-As trade 301dm-395dm (2020/2021 RP profiles) with this cohort trading 336dm-445dm so largely in line too, at the tight end today is Park Av's PAIA 2017-1A B 301dm / 5.75y WAL - strong MVOC 113.9, lower sub80 8.6 and a debt friendly manager with key metrics better than peers.

The BBBs trade 407dm-540dm (2021/2022 RP profiles) with this cohort trading 440dm-520dm there is a slight tightening effect on better quality bonds, however there is an outlier trade today Anchorage's ANCHF 2019-7A D 670dm / 7.85y WAL - a very high ADR 2.72, high Sub 80 16.2, high WARF 3527 and a high CCC basket 12.4% as contributing factors. 

The BBs once again trade in a wide dispersion which is a trend we have seen post-vol at this end of the liability spectrum - 743dm-1217dm (vs week to date comps 780dm-1400dm), once again levels at the tight end have outperformed with Blackrock's MAGNE 2015-12A ER cover 743dm / 7.98y WAL - MVOC is above par 101.2, respectable ADR 0.55, low Sub80 7.7%, lower WARF 3220 and CCC 6%. Furthermore the WAS is low 3.27% so this is a more conservative portfolio.

EUR CLO
16 CLO trades today with all rating classes featuring. 4 x AAA, all trading between 165dm and 180dm. This is wider than the recent trades we have seen which were around 160dm but is in line with the OCP 2020-4 new issue pricing (175dm) as reported by Bloomberg.

There are 3 x AA. Two of them have traded between 210dm and 230dm. One of them, BLACK 2019-1X B1, has traded at 256dm. The first thing is that the Black Diamond bond is about 2 years longer but also it does have an MVOC which is on the low side (126.90) however it has a perfectly respectable Junior OC cushion at 3.85%. Black Diamond tends to be one of those managers that trade a little wider than its peers.

There are 2 x A which have traded at 283dm and 310dm (OCP 2020-4 was 280dm per BBG). The 283dm level is the tightest secondary trade we have seen for some time. Yesterday's trades were around 300dm.

The 2 x BBB traded between 460dm and 490dm (OCP 2020-4 was 420dm). Yesterday's trading level was 480dm to 520dm.

The 4 x BB have traded between 700dm and 820dm, all in line with the respective credit performance of the deals. The wide trade is SPAUL 9X E which has the lowest MVOC at 101.90 and the lowest Jnr OC cushion at 1%. The tight trade is OCPE 2017-2X E (Onex) which has the highest MVOC at 105.71 and a healthy Jnr OC cushion at 3.95%.

The single B trade is TCLO 5X F which traded at 1128dm (OCP 2020-4 was 875dm per BBG). Single B spreads seem to be very volatile. On 16 June one traded at 970dm and the day before that several traded around 1300dm.

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.