A review of securitisation activity over the past seven days

Last week's stories
Corona kickstart
Constellation of factors coalesced to push the US CRT market forward
JAAA launched
New triple-A CLO ETF well received
Jurisdiction expansion
European ABS market update
Mezz opportunity
'Rare' bonds on offer via large BWIC
Restructuring capacity
LMLs introduced to European CLOs
Risk transfer return
BDK preps capital relief trade

Other deal-related news

• Post-Covid crisis US BSL CLO structures differ in a range of ways from their predecessors, beyond shorter reinvestment periods, according to a new report from S&P (SCI 19 October).
• Hertz Global Holdings has secured commitments for debtor-in-possession financing totalling US$1.65bn and has filed a motion for approval of the financing by the US Bankruptcy Court for the District of Delaware (SCI 19 October).
• Standard Chartered has closed Prunelli Issuer I Compartment 2020-1, a rare revolving US$1.45bn securitisation of trade finance exposures granted to corporates and financial institutions (SCI 19 October).
• The EIB and the EIF have provided Alba Leasing with €490m via an SME securitisation financing operation (SCI 20 October).
• Crédit Agricole has placed the first green issuance of LMA, its European ABCP programme, for an amount of €25m (SCI 20 October).
• PIMCO and GE Capital Aviation Services (GECAS) have reached a preliminary agreement to develop an aviation leasing platform to support up to US$3bn in aircraft asset financings, subject to customary closing conditions (SCI 21 October).
• The CFPB has issued a final rule to extend the GSE Patch until the mandatory compliance date of a final rule amending the General Qualified Mortgage (QM) loan definition in Regulation Z (SCI 21 October).
• Trepp has implemented a new data integration with Risk Management Solutions (RMS) that aims to help evaluate and manage global risk from natural and man-made catastrophes (SCI 23 October).
• HalseyPoint CLO 3, which priced on 21 October, marks the tenth US CLO with AMR language printed to date (SCI 23 October).
• ISDA has launched the IBOR Fallbacks Supplement and IBOR Fallbacks Protocol, with the aim of reducing the systemic impact of the benchmark becoming unavailable while market participants continue to have exposure to that rate (SCI 23 October).
• The EIB has joined forces with the Instituto de Crédito Oficial (ICO) and PSA Financial Services Spain to support Spanish SMEs and mid-caps affected by the coronavirus crisis (SCI 23 October).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
23 October 2020
USD CLO AAA
15 covers to end this week off – 3 x AAA, 4 x AA, 5 x A, 3 x BB, the week ends with US LLI up 13bps and retraces all of the dip seen last week. The AAAs trade 146dm-168dm, with Marble Point's MP4 2013-2A ARR at the wide end 168dm / 2.54y WAL – low MVOC 140.9, ADR 1.01 whilst IDT cushion is negative.
USD CLO Mezz/Equity
The AAs trade 189dm-212dm (2019-2022 RP profiles) tight to 200dm-240dm recent context, the credits today have weaker fundamentals but nonetheless trade tight to the respective curve.
The single-As trade in a wide dispersion 201dm-299dm (2019-2022 RP profiles) which is similar to recent trading context, at the tight end is Invesco's RCTTE 2015-1A CR 201dm / 3.3y WAL with a strong MVOC 125.2, low Sub80, low ADR 0.7 and lots of cushion on Int Div tests. However at the wide end is Bain's BCC 2017-2A CR 299dm / 5.6y WAL – low MVOC 112.8, high Sub80 6.1, high ADR 2.35 and neg IDT cushion pushing this bond close to a 3-handle dm.
The BBs trade 926dm-1186dm (2020/2021 RP profiles) which is wider than 700dm-1050dm context seen in these rare profiles this month, the reason being the IDT cushion is cuspy or negative in all of the BBs today and a MV shortfall on one of the bonds MP7 2015-1A ERR.
EUR AAA CLO
There are 3 x AAA trades. Harvest 11 with a margin of 92bps traded at 99.91 / 151dm. BBAM 1 (for RBC) and Arbour 8 with margins around 153bps traded at approx. 100.58 / 190dm.
EUR MEZZ/EQUITY CLO
There are 2 trades which were orig BBB, both from GSO and both have paid down a lot. Castle Park traded at 100.17 / 325dm & Sorrento Park at 99.50 / 314dm.
The one BB, Ares Euro 6, traded at 93.90 / 704dm.
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.