A review of securitisation activity over the past seven days

SCI Risk Transfer & Synthetics Virtual Seminar
Join SCI on 7 and 8 October for its Risk Transfer & Synthetics Virtual Seminar, which will explore the micro and macro drivers behind JPMorgan's landmark capital relief trades and whether this flurry of business could spur further risk transfer activity across a broader range of US originators and asset classes.
The seminar also examines innovation across the whole range of mortgage insurance-linked note and GSE credit risk transfer programmes, as the market re-emerges from the shadow of Covid-19. For more information or to register, click here.

CRT award submission deadline nears
The submissions period for the 2020 SCI CRT Awards is now open. The qualifying period for the awards is the 12 months to 30 September 2020.
Pitches and/or any queries should be emailed to cs@structuredcreditinvestor.com by 9 October. Click here for information on categories and the submissions process.
Final selections will be made by the SCI editorial team, with input from an industry advisory board. The winners will be announced in a special awards edition of SCI and at the London SCI Capital Relief Trades Seminar on 23 November.

Last week's stories
Calabrian calibration
FHFA silent on the implication of the director's comments about GSE CRT last week
Doubling up
Record year anticipated for the EIF
Into the light?
European CLOs continue to improve
JP Morgan at CRT again
The US bank is reportedly readying a corporate/SME loan deal
Spread compression
European securitisation market update
Syon safe
Fitch affirms ratings for Lloyds SRTs
Tight pricing
BNP Paribas completes SRT

Other deal-related news

• Moody's has issued a request for comment on proposed changes to its methodology for rating CLOs that adjust its analytical treatment of corporate obligors with a negative outlook or whose ratings are on review for upgrade or downgrade (SCI 21 September).
• An AMR auction for Mountain View CLO XIV is scheduled for 29 September, facilitated by the KopenTech platform (SCI 21 September).
• European DataWarehouse (EDW) has submitted an application to become a Securitisation Repository, registered and supervised by ESMA (SCI 23 September).
• Goldman Sachs is in the market with a balance sheet synthetic securitisation referencing a portfolio of predominantly investment-grade senior unsecured revolving loan facilities (SCI 25 September).
• NewDay has announced a UK credit card ABS from its Partnership Funding master trust via BofA, BNP Paribas, Santander and SMBC Nikko, breaking its two-year issuance streak from the NewDay Funding trust (SCI 25 September).
• The European Commission has unveiled a new Capital Markets Union Action Plan (SCI 25 September).

Data
BWIC volume

Secondary market commentary from SCI PriceABS
25 September 2020
USD CLO Mezz/Equity
6 covers today, all mezz with c. 120bps widening at the BB end - 2 x AA, 1 x BBB, 3 x BB. The AAs trade 195dm-197dm (2021 RP profiles) which are at the tighter end of 185dm-250dm context in the same cohort, some metrics for Mariner's ELM 2014-1A BRR (197dm / 3.9y WAL) weak - neg par build -2.4, IDT/Jnr OC cushions cuspy whilst cov-lites at 50% but the WA collateral price is strong 95.5 and low Sub80 0.69 / WARF 2874.
The BBB today is Monroe's Cap's MCBSL 2015-1X DR covers like a BB bond 928dm / 3.42y WAL which is heavily impaired and rated Baa3, the MVOC is not in shortfall yet 107.25 but other metrics point to very weak fundamental performance - ADR 2.5, Jnr OC cushion -5.9, WARF 4676, Sub80 20.1 and WA Collateral price is sub 90 (88.01). The BBs trade 854dm-979dm (2022/2023 RP profiles) wide to 720dm-870dm recent context, there is a c.120bps weakening tone at this level of the capital structure since the bonds today are clean from a fundamentals point of view and all covered by MV.
EUR MEZZ/EQUITY CLO
Just 2 trades today. The BBB is Holland Park which traded at 510dm. For us this level is 35bps wider than our interpolated point on the curve, after a widening on Thursday as well.
The BB is another GSO deal, Castle Park this time. This deal is paying down. This traded at 629dm which of course is a lot tighter than the regular BB curve.
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.