A review of securitisation activity over the past seven days

Last week's stories
Car capital relief
JPM Chase tests the auto loan waters with new CRT deal
Freddie, Fannie fight back
The GSEs have come out swinging after widespread denunciation of the LLPA
Freddie trifecta
Freddie prints its third STACR since lockdown, while Fannie remains on sidelines
Lack of transparency
Reporting discrepancies cause confusion
Maximum impact
Full deduction SRTs stage comeback
Mixed outlook
Divergent default performance highlighted
New targets
US CLO spread and issuance targets raised as previous levels already met
Suburban bounce
SFR volumes up as renters vacate cities

Other deal-related news

• During 1H20, 1,065 US CMBS loans totalling US$40.1bn (representing approximately 7% of total outstanding CMBS) transferred to special servicing, as CMBS borrowers continued to grapple with the economic impact of the coronavirus pandemic, according to Fitch (SCI 17 August).
• MERSCORP Holdings has partnered with the Federal Home Loan Bank (FHLBank) system to facilitate use of the MERS eRegistry by FHLBank member financial institutions wishing to pledge eNotes as collateral (SCI 17 August).
• The assignment of substantially all of the assets of C-III Asset Management to Greystone Servicing Company, pursuant to the applicable PSA associated with each of the C-III specially-serviced CMBS, is complete (SCI 18 August).
• The EIF and Raiffeisen Bank have signed a guarantee agreement allowing the bank to increase its lending capacity to offer €12m of new financing with better terms and conditions to SMEs in Bosnia and Herzegovina (SCI 18 August).
• S&P has published its ratings and research on three previously privately-rated risk transfer RMBS issued by Freddie Mac, at the issuer's request (SCI 19 August).
• The CFPB has issued a notice of proposed rulemaking (NPRM) to create a new category of seasoned qualified mortgages, with the aim of encouraging innovation and to help ensure access to a responsible, affordable mortgage credit market (SCI 20 August).
• Citi has resigned as lead arranger on the US$400m Battalion XVIII CLO, which was due to price yesterday, amid a disagreement with the CLO manager - Brigade Capital Management - in connection with a US$900m payment the bank accidentally made to Revlon lenders (SCI 20 August).
• ESMA has published updated securitisation reporting instructions and XML schema (version 1.2.0) for the templates set out in the technical standards on disclosure requirements, which will enter into force 20 days after they have been published in the Official Journal of the EU (SCI 20 August).
• Colorado Attorney General Phil Weiser has settled two precedent-setting lawsuits involving Colorado's right to enforce its interest rate limits on consumer loans to protect residents from predatory lending practices (SCI 20 August).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
20 August 2020
USD CLO AAA
50 covers today across the capital stack - 24 x AAA, 6 x AA, 2 x A, 3 x BBB and 15 x BB.  The AAAs are all 1st pay and trade 131dm-192dm with an outlier trade Ellington's ECLO 19-4A A covers 324dm / 2.3y WAL - very weak metrics par build -3.7, ADR 12.3, Sub80 assets 37.2, 5104 WARF and 30% CCC.  For the remainder the trading range is 131dm-192dm with bonds at the wide end (177dm-192dm) suffering from MVOCs in 136-139 context versus 140+ for the main part.
USD CLO Mezz/Equity
The AAs trade 196dm-225dm across 2022/2023 RP profiles versus 185dm-240dm this month to date for this cohort. The single-As trade 301dm-311dm for a 2021 and 2024 RP profiles versus a 240dm-340dm trading range this month so once again in the range.
The BBBs trade 327dm-432dm (2021/2023 RP profiles) which is at the tighter end of a 330dm-660dm trading range this month, the 3 bonds today have clean metrics (ADRs<1, Sub80s <7, CCC<12).  The BBs trade 735dm-1095dm, across 2021-2024 RP profiles, at the tighter end of a 750dm-1500dm trading range in these cohorts this month, at the wide end is Sound Point's SNDPT 2017-4A D 1095dm / 6.73y WAL - weaker ADR 0.97, MVOC is below par 99.45 and CCC is 13 with neg par build -1.06.
EUR MEZZ/EQUITY CLO
Just 1 x AA trade today. CORDA 7X B1R traded at 219dm. It's Junior OC cushion is 2.78% which is middle of the range for this metric and this bond has traded in line with recent 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 usfor a trial direct via SCI.