A review of securitisation activity over the past seven days

Last week's stories
Accessing liquidity
The role technology plays in securitising trade finance for profit and success
Bright spot?
European logistics gaining momentum
Extension risk
Willingness and ability to call weighed
Non-agency CMBS goes it alone
The non-agency CMBS market is an orphan of the storm
NPL ABS eyed
Greek banks target HAPS, despite virus crisis
Pressured profitability
Building societies sensitive to lockdown
Rating reaction?
Potential shift to non-investment grade drives selling
Recovery boost
Weatherford revolvers fully repay amid negative outlook
Stalwart Canadians
Canadian CMBS better positioned than US
Structural review
New shape of European CLOs examined
Underperformance underlined
Italian NPL ABS ratings hit

Other deal-related news

• Moody's has placed on review for downgrade its ratings on 859 tranches issued by 358 US BSL CLOs (plus another 25 linked US CLO combo notes, secured notes and repacks) and 117 tranches issued by 39 European BSL CLOs (SCI 20 April).
• Moody's has placed 194 classes issued by 50 US conduit CMBS on review for downgrade, affecting approximately US$4.4bn of bonds (SCI 20 April).
• Fitch reports that a cumulative total of 5,420 borrowers, representing 17% of the US$583.8bn US CMBS universe, have so far contacted their loan servicer to explore potential relief (SCI 20 April).
• Following a disagreement between UK HMRC and the Mapeley loan (securitised in the Taurus 4 CMBS) opco regarding the scope of the indemnity to be provided in relation to any residual leasehold property (RLP) according to the services agreement, the parties agreed to a settlement that provides certainty around the provisions of the services agreement in connection with the expiry of the operating period on 2 April 2021 (SCI 20 April).
• The US FHFA has aligned Fannie Mae's and Freddie Mac's policies regarding servicer obligations to advance scheduled monthly principal and interest payments for single-family mortgage loans (SCI 22 April).
• The Dutch tax authorities have provided written confirmation to CLO issuers domiciled in the Netherlands that their recently revised position on the VAT exemption will not apply with retroactive effect (SCI 23 April).
• Moody's has downgraded the ratings of the class A3, A6 and A7 notes issued by Punch Taverns Finance B from Ba3 to B1 (affecting approximately £444.1m of securities), as well as the ratings of the class A1N, A2, A3N and A4 notes issued by Mitchells & Butlers Finance from A1 to A3 (SCI 23 April).
• The three European Supervisory Authorities (EBA, EIOPA and ESMA) have issued a consultation paper seeking input on proposed ESG disclosure standards for financial market participants, advisers and products (SCI 23 April).
• The EBA has provided further clarity on how additional flexibility should guide supervisory approaches in relation to market risk, the Supervisory Review and Evaluation Process (SREP), recovery planning, digital operational resilience and ICT risk and securitisation (SCI 23 April).
• Fintech platform Supply@ME Capital (SYME) has entered into an agreement with StormHarbour Securities for the issue, distribution and placing of a series of ABS that are guaranteed against inventories purchased directly by the platform's SPVs (SCI 24 April).
• Santander has boosted protection for bondholders in its Holmes RMBS master trust programme, TwentyFour Asset Management reports, in the unlikely event mortgage payment holidays cause a shortfall in revenue to pay bond coupons (SCI 24 April).

BWIC volume

Secondary market commentary from SCI PriceABS
24 April 2020
USD CLO
A quiet end to the week with 4 covers - 2 x AA and 2 x A.  The AAs trade 284dm-299dm (2022/2023 RP profiles), we haven't seen AA trade for a week when they traded tighter 266dm-275dm for longer WAL/RP profiles.  KKR's KKR 20 B covers 299dm / 6.1y WAL (neutral manager, deal ADR 0.54, 21.8 sub80 and MVOC 115.3) whilst GSO's GILBT 2017-1A B covers tighter 284dm / 5.8y WAL with better fundamentals (positive manager stats, deal ADR 0.06, 16.98 sub80 and MVOC 117.2).  The single-As trade 352dm-439dm, these (2018/2019 RP profiles have not traded post-vol and carry WALs of c. 3.5y, the shortest dated single-As we have seen recently have traded 459dm-491dm for 5y WAL so these levels appear consistent with the term structure and given the deals are delevering, at the tight end today is Onex's OCP 2015-8A BR 352dm / 3.5y WAL which has a strong MVOC 122.1 and relatively low sub80 13.9 which counteract the high ADR 1.2 which is close to the manager's record across all CLOs.
EUR CLO
Just a couple of BBBs again today. They have both traded around 720dm. This is slightly tighter than the approx. 770dm levels of the day before but both of these bonds have high MVOC (around 104.50%). They also have around 14% sub 80 assets.
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