Monday 27 July 2020 10:57 London/ 05.57 New York/ 18.57 Tokyo

A review of securitisation activity over the past seven days

Last week's stories
Carrots and sticks
'Wide-ranging and ambitious' recommendations welcomed
Funding diversity
Non-bank lending 'credit neutral' for SME ABS
Green shoots
US middle market CLOs showing signs of recovery
Issuance boost
Full-stack SRTs unlocked
Italian trades inked
Unicredit completes NPL pair
Positive pick-up
European ABS market update
Qualitative approach?
Covid complicating CRT analytical processes
Support network
US CLO prices supported by a variety of factors

Other deal-related news

  • M&G Investment Management (MAGIM), on behalf of one of its managed funds - M&G Specialty Finance Fund (£) SCSp - has disclosed that it has made several approaches to the board of UK Mortgages Limited (UKML) with a view to making a recommended cash offer for UKML, all of which have been rejected (SCI 20 July).
  • The BUMF 4, 5, 6 and 7 issuers have informed noteholders that a purported announcement dated 9 July was not written nor sanctioned by them and that certain former directors have been attempting to continue to act as duly appointed officers, whereas their actions are invalid, having been removed as directors on 23 June (SCI 20 July).
  • In light of the continued performance and the increased resilience of the fund's investments, the Fair Oaks Income board will resume dividend payments, on a quarterly basis and at a variable rate (SCI 20 July).
  • The borrower and certain obligors of DECO 2019-RAM entered into a transitional services agreement with Intu Retail Services (IRS) without prior consent of the borrower facility agent and have also failed to comply with certain other terms of the loan agreement in relation to the appointment of IRS (SCI 20 July).
  • Swiss Re has closed a second private sidecar transaction with PGGM, increasing PGGM's overall investment in Swiss Re's sidecar vehicle - Viaduct Re - to over US$500m (SCI 20 July).
  • JPMorgan is in the market with its second public synthetic RMBS, Chase Mortgage Reference Notes 2020-CL1 (SCI 21 July).
  • KKR has closed KKR Real Estate Credit Opportunity Partners II (RECOP II) with US$950m in committed capital (SCI 21 July).
  • As of the June 2020 remittance reports for the Canadian conduit CMBS sector, 48 loans totalling C$559.9m were on the servicer's watchlist for coronavirus-related relief, according to DBRS Morningstar (SCI 22 July).
  • After rising from 3.2% in January to 7.8% in May, Black Knight data suggests that the US mortgage delinquency rate has improved for the first time in five months, falling to 7.6% in June as the overall number of past-due mortgages declined by 98,000 (SCI 22 July).
  • Two Harbors Investment Corp has provided PRCM Advisers with a notice of termination of the management agreement between the two companies for cause, on the basis of the latter's material breaches of the agreement and gross negligence in the performance of its duties (SCI 22 July).
  • The Leviticus SPV issuer is set to implement a ReoCo structure, having appointed Credito Fondiario as the servicer to carry out all core ReoCo activities (SCI 23 July).
  • Ginnie Mae has begun to implement the policy, technology and operational capabilities necessary to accept electronic promissory notes and other digitised loan files as collateral for Ginnie Mae securities (SCI 23 July).
  • The EBA has launched a consultation on draft regulatory technical standards specifying how institutions should determine exposures arising from derivative and credit derivative contracts not entered directly into with a client but whose underlying debt or equity instrument was issued by a client (SCI 23 July).
  • The OCC has proposed a rule that would determine when a national bank or federal savings association makes a loan and is the 'true lender' in the context of a partnership between a bank and a third party (SCI 23 July).
  • The European Commission has adopted a capital markets recovery package, as part of its overall coronavirus recovery strategy (SCI 24 July).
  • The EIF and the European Commission are set to launch new Covid-19 support measures under the EaSI guarantee instrument programme to enhance access to finance for micro-borrowers, micro- and social enterprises (SCI 24 July).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
23 July 2020
USD CLO AAA
A busier day today with 25 covers from AAA down to Equity. The 1st pay BSL AAAs trade 147dm-181dm which is broadly in line with recent trading.
There are 2 Middle Market AAA CLOs today which trade 231dm-233dm which represents some tightening on the last MM CLO trades from 2nd of June in 260dm context which again is in line with market sentiment.
USD CLO Mezz/Equity
The AAs trade 254dm (2021/2022 RP profiles) which is at the wides of the past 10 days trading 210dm-250dm, the MVOCs on the double-As today are weak (120 context) versus peers whilst part builds are significantly negative and managers' records are at averages versus peers (see PriceABS trade listing for details).
The BBBs trade 458dm/2025 RP and 673dm/2024 RP profiles, the 2024 RP profiles trade this month 390dm-580dm context so the 673dm today is well wide of the range (VIBR 2016-4A DR ADR 1.81, -3.9 par build so weak metrics) whilst the 2025 RP profiles trade 400dm-460dm so today's trade is at the wides.
The BBs trade 841dm-1215dm (2020-2023 RP profiles) versus a volatile 760dm-1590dm range for this cohort over the past 10 days. At the wide end is VIBR 2017-7A D 1215dm / 6.8y WAL (2022 RP profile) which is 150dm wide to the wide end of this cohort's trading range this month to date - high ADR 1.45, MVOC <100 (99.4), neg par build -0.66 and DFG's manager performance is worse than its peers.
There single-Bs trade 975dm-1275dm (2021/22 RP profiles) which trade at the tights of the 1300dm-2000dm range with only limited liquidity this month with 3 trades prior to today's two trades, both bonds today are clean.
There is one Equity today from a benchmark manager CIFC CIFC 2015-3A SUB that trades to a 36.16 cash price which is around 2y CF, NAV is negative and int div cushion is healthy 2.8% as is the Jnr OC cushion 3.8% (RPE 2021).
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.


×