A review of securitisation activity over the past seven days

Last week's stories
Blockchain boost
DLT opportunity for ABS market
CMBS concerns
Tailored Brands exposure eyed
CRT conveyor belt
The second CRT deal from JPM marks a quickening of pace in the bank market
Execution risks?
Hertz performance metrics improving
Lag lustre
Slower recovery in CLOs provides advantages and opportunities
Recovery vehicl
European securitisation 'fixes' on the cards?
SRT boost
BMO launches capital relief trade
STACR surge
Freddie Mac galvanises CRT re-opening with another STACR transaction
'Switch' success
Aussie non-bank issuance on the rise
The perils of Covid CRE
While CRE market has proved robust so far, help is still needed

Other deal-related news

• US CLO equity cashflow performance is defying pessimistic predictions, according to a new report from JPMorgan CLO research analysts (SCI 27 July).
• Hertz has entered into an agreement with VFN and MTN noteholders, whereby it will make US$650m in total payment towards base rent in six equal instalments starting in July through December 2020 (SCI 27 July).
• The FDIC is seeking the public's input on the potential for a public/private standard-setting partnership and voluntary certification programme to promote the efficient and effective adoption of innovative technologies at FDIC-supervised financial institutions (SCI 27 July).
• US$2.8bn of property catastrophe bond limit was placed in 2Q20, bringing the total issued year-to-date to US$6.5bn, according to Aon Securities' latest ILS Update report (SCI 28 July).
• Janus Henderson Investors has filed a preliminary registration statement with the US SEC in connection with the Janus Henderson AAA CLO ETF, which is expected to launch on 22 October and will be offered to US investors (SCI 29 July).
• Fannie Mae's single-family green MBS programme has received a 'Light Green Second Opinion' from CICERO Shades of Green, a global provider of green ratings for bonds (SCI 29 July).
• The US Fed has extended its TALF operations (along with its other lending facilities that were scheduled to expire by 30 September) to 31 December (SCI 29 July).
• The attorneys general of California, Illinois and New York have filed a suit against the OCC's 'valid when made' rule, which they claim would allow the federal government to pre-empt state usury laws and allow third-party entities "to prey on vulnerable" borrowers (SCI 30 July).
• Both Fannie Mae and Freddie Mac have reported sharply improved Q2 results, despite the ongoing housing market dislocation as a result of Covid-19 (SCI 31 July).
• The investment management agreement for B&M CLO 2014-1 has been transferred from Tortoise Credit Strategies to R Squared BM, doing business as Ducenta Squared Asset Management (SCI 31 July).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
29 July 2020
USD CLO AAA
Less liquidity today as we go into month end with 13 covers - 2 x AAA, 6 x BBB, 4 x BB and 1 x Equity. The 1st pay AAA ALLEG 2018-3A A (Axa) trades in line with recent levels 162dm / 4.8y-211dm, a 2nd pay AAA CAVU 2019-1A A2 (Trimaran) covers 211dm / 6.32y WAL which is at the wide end of a 180dm-220dm range for 2nd pay AAAs which haven't been seen since June.
USD CLO Mezz/Equity
The BBBs trade 408dm-527dm (2021/2024/2025 RP profiles) which is more or less in line with a 400dm-550dm range in this cohort. There is an outlier trade OFSBS 2017-1X D (OFS Cap) 631dm / 5.8y WAL - a low MVOC 104.4, a higher CCC 7.4% and a marginally weaker manager record accounting for the wider DM.
The BBs trade unlike yesterday's narrow range, today the range is 686dm-850dm for 2018/2019 RP profiles with only a 740dm comp middle of this month so these levels are in line, there is a significant outlier trade BLUEM 2013-1A DR (BlueMountain) 1803dm / 5.3y WAL - 1.7 ADR, 11.3 Sub80, 3548 WARF and 9.4% CCC along with a weaker manager record vs peers.
There is one Equity today, Sound Point's SNDPT 2016-1A SUB that trades to 2.75y Cashflow, the NAV is negative, reinvestment has just ended but the AAAs have a low coupon +110 so there is small chance of near term refi/reset, the deal has strong metrics with 1.6% Int diversion cushion and 2.6% Jnr OC cushion signalling less chance of interest diversion whilst key metrics like ADR 0.59 and WARF 2871 mean the manager isn't taking excessive risk so we feel comfortable there is at least 2y CF for equity.
EUR MEZZ/EQUITY CLO
Today there are 2 x A, 5 x BBB, 1 x BB, 3 x B & 1 x equity. The AAs traded around 280dm.
The BBBs traded in a range from 470dm to 560dm.
The BB, JUBIL 2019-23X E, traded at 891dm.
Single Bs are around 1080dm to 1160dm.
The equity piece, JUBIL 2013-10X SUB, traded at 18.26 / -12.11% yield. This is off our early crisis scenario. In terms of loan prices markets have mitigated hugely since then although many commentators do still believe that the eventual out-turn for CDRs will be as severe as originally forecast, which if that turns out to be true then these yields will be realistic. The NAV is zero.
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.