A review of securitisation activity over the past seven days

Last week's stories
Cautiousness prevails
European CLO market update
CRT vol aims for the stars
The US credit risk transfer market is at record-breaking volatility
De-risking deluge?
US CLO managers' initial crash response assessed
Growth phase
Asian infrastructure loans eyed
Home sales plunge
Over 20% drop in March homes sales bodes ill for MBS
Income slashed for Fannie and Freddie
Q1 results at the GSEs reflect Covid 19 carnage
Landmark guidance
Implicit support guidelines published
Manager scrutiny
CLO manager performance on watch
Opportunistic buying
Covid-19 kicks off secondary SRT market
Performance pressures
Irish mortgage loan restructurings anticipated
Securitisation support
AOFM initiatives to boost volumes
Targeted action
Wholesale ratings downgrades questioned
Unlocking capital
Bayfront Infrastructure Management, answers SCI's questions

Other deal-related news

• Coronavirus-driven disruption is creating financial difficulties for European SMEs that heavily rely on securitisations for funding (SCI 27 April).
• US auto loan ABS extension rates surged to 3.7% in March, according to Moody's, compared with 0.7% in both the prior month and March 2019 (SCI 27 April).
• The steering body of the World Bank's Pandemic Emergency Financing Facility (PEFF) has allocated US$195.84m to 64 of the world's poorest countries with reported cases of Covid-19 to fund critical lifesaving medical equipment and support for health workers on the frontlines of the crisis (SCI 28 April).
• Moody's has placed 18 class B3 and B4 notes issued by 12 Sequoia Mortgage Trust prime jumbo RMBS on review for downgrade, affecting approximately US$46m of securities (SCI 28 April).
• The European Commission has adopted a package to help facilitate bank lending to households and businesses throughout the European Union that includes an Interpretative Communication on the EU's accounting and prudential frameworks, as well as targeted 'quick fix' amendments to the CRR, in order to maximise the ability of banks to lend and absorb losses related to the Coronavirus fallout (SCI 29 April).
• The US SEC has accepted an offer of settlement from Semper Capital Management in connection with administrative and cease-and-desist proceedings against it (SCI 1 May).
• DBRS Morningstar has downgraded its ratings on the class A, B, C, D and E notes issued by the Elizabeth Finance 2018 CMBS, and changed the trend on the class A notes to negative from stable, in line with the other classes of notes (SCI 1 May).

BWIC volume

Secondary market commentary from SCI PriceABS
30 April 2020
USD CLO
A relatively quieter day compared to what we have seen recently, perhaps month end books had some part to play. There were 8 covers today - 1 x AAA, 2 x BBB and 5 x BB.
The AAA is MP3 2013-1A AR (Marble Point) cover 252dm / 4.03y WAL (2022 RP profile) - weaker manager, higher WARF than average 3331and weak MV metrics (MVOC 131.33 / MVAP 23.9) versus peer AAAs accounting for the softer level.
The BBBs trade 696dm-806dm bar belled across 2 RP profiles (2021 and 2025) with the 2021 RP profile AMMC 2015-16A DR (American Money) cover 806dm / 5.4y at the wide end - this has a 1.1 ADR and only just covered by MV 100.1 whilst the manager profile is weak. Note that this profile of BBB trades as tight at 674dm but has also been as wide as 922dm recently for weaker credits so remains constructive at the tight end.
The BBs continue to trade with extremely high dm, range today is 1675dm-2469dm, once again with the universe of downgrades and watch placements at this rating level the dm's continue to reflect near equity type returns.
EUR CLO
We have a number of trades today across a range of rating classes. Most likely the 3 recent EUR deals that priced have provided some transparency and confidence over market levels. The AAAs have traded in a tight grouping clustered around 205dm to 210dm. MDPKE 14A A1N (CSAM) is the outlier as it traded at 236dm.
The AA (JUBIL 2015-16X B1R) traded at 272dm which is in line with Avoca 24 new issue pricing.
The A is LAUR 2016-1X CR which traded at 421dm, again in line with new issue levels. This deal has a high Fitch CCC bucket, for a European deal, at 11.6% and therefore a low CCC cushion.
The majority of the BBBs have traded in a 620dm to 650dm range, just slightly wider than the recent new issue levels. 3 out of 4 of these bonds (from Brigade, CVC and OakTree) have MVOC around 107%. The Tikehau bond (650dm) has a MVOC of 104% which is more like the two wider trades from GoldenTree and Bain, which traded around 730dm. The Goldentree and Bain deals also have high Fitch CCC buckets.
The BB is CRNCL 2018-9X E which traded at 1200dm. This is wider than the spread reported by Bloomberg on the recent Providus 4 transaction. It could be that the warehouse provider/equity holder for that deal had to take some BB at the 1025dm reported level in order to get the deal away.
There are also 2 equity trades. HARVT 15A SUB traded at 30.30 / 14.86%. The WA Price of the collateral is 88.44 and there is still some CCC cushion at 3.7%. HARVT 20A SUB traded at 33.02 which we make 6.55% yield. In our scenario cashflow to equity is cut off after 4 IPDs and it is the case that the CCC cushion is only 1.6%. However it is possible that the buyer sees more cashflow going to equity, especially earlier in the deal, and therefore may get a higher yield.
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 us for a trial direct via SCI.