SCI Start the Week - 24 February

Category: ABS Capital Relief Trades CLOs

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A review of securitisation activity over the past seven days

Source: Sunrise, start the week

REMINDER: SCI NPL Securitisation Awards 2020
Nominations are now open for the inaugural SCI NPL Securitisation Awards with a deadline of 20 March.
Further information and details of how to pitch can be found here.

Transaction of the week
Samas Asset Management (SAM) has launched its debut fund, a closed-end vehicle dubbed SAMAS FUNDING PACE FUND LLLP Series 2020. The Samas entities are now the ''largest standalone commercial PACE origination platform in the US''.
The PACE bonds in this fund represent a diversified portfolio associated with small- and medium-sized commercial properties. See SCI 20 February for more.

Stories of the week
Auction house
Online AMR, BWIC matching services debut
Distressed debt unit formed
Oaktree establishes Chinese subsidiary
Manager discretion
Direct lending securitisations on the rise
Moving down
Insurers target first-loss CRTs
Refinancing strategy
VW master trusts augment auto ABS volumes
SME double
EIF closes pair of EFSI guarantees

Other deal-related news

  • Fitch RMBS analysts have identified flaws in the CFPB's proposal to replace DTI with a pricing threshold - such as a spread over the average prime offered rate (APOR) - for defining a qualified mortgage (QM), in response to lender criticism of DTI (SCI 17 February).
  • LendingClub is set to acquire Radius Bancorp and its wholly owned online subsidiary Radius Bank in a cash and stock transaction valued at US$185m (SCI 19 February).
  • A US District Court judge last week ruled in favour of the planned merger between T-Mobile US and Sprint Corporation. Moody's says the move is credit positive for Sprint's spectrum ABS as the merged entity's credit profile would be stronger than Sprint's as a stand-alone company (SCI 19 February).
  • dv01 has partnered with HouseCanary to leverage the HouseCanary Home Price Index (HPI) and provide investors with a more detailed analysis of the non-QM and credit risk transfer datasets on the dv01 platform (SCI 20 February).
  • AXA Investment Managers has completed its eighth partner capital solutions fund. With the move, the firm is seeking to capitalise on diversification opportunities and volume growth in the risk transfer market (SCI 21 February).


BWIC volume

Secondary market commentary from SCI PriceABS
20 February 2020
3 reported covers today, all BBB rated. At the long end, a recently priced East West BSL CLO (pre-trustee reporting) EWIM 2019-1A D covers 468dm / 10y WAL with a 2025 RP end, we have seen one other comp recently which is BABSN 2019-4A D (Barings) around 2 weeks ago at 402dm with a slightly shorter WAL 9.1y so today's trade looks largely in line.
Furthermore there were 2 x 2020 RP profile BBBs today that trade 305dm-320dm / 5.3y WAL, with recent comps towards the tight end of this range - at the wide end of the range today is KVK 2018-1A D (Kramer Van Kirk) at 320dm with weaker MV metrics (than the WELF 2016-1A DR at the tight end) with MVOC 108.7 v 110.4 and a high ADR 1.38% but otherwise performance metrics look good. The manager Kramer Van Kirk is also inexperienced with only 3 deals under management and prevailing performance metrics lagging its peers in key areas.
Looking at AAAs TIKEH 2X AR traded at 100.15. It has a margin of 88bps, only slightly back of the recent print from the Carlyle deal at 92bps however it is quite short having a RP End Date of Dec 2020. It traded at 125dm|mat or 102dm|call. OHECP 2017-6X A1E has a margin of 73bps and traded strongly at 100.16 / 109dm|mat / 9dm|call.
For AAs the below par margin bonds have traded 175dm|mat and the above par margin bond HAYEM 3A B1 (Hayfin) at 202dm|mat.
For BBs, which are all below par margin, the general trading range is 530dm|mat to 570dm|mat but there is one bond that has traded a lot wider. PENTA 2017-3X E (Partners Group) which has a 490bps margin traded at 628dm|mat.
CORDA 3X SUB traded at 59.89 / 15.34%. NAV is 54.50. It does have lower than average MVAP (-4.8%) and MVDP (6.2%). The AAA pays a margin of 78bps.
BLUME 2016-1X SUB traded at 76.76 / 13.65%. Its NAV is 66. AAA margin is 79bps. Both deals are very clean.
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.