Monday 4 November 2019 11:01 London/ 06.01 New York/ 19.01 Tokyo

A review of securitisation activity over the past seven days

Transaction of the week
Goldman Sachs is in the market with an unusual UK buy-to-let RMBS secured by properties owned primarily by residents of the Republic of Ireland. The mortgages backing the £111.82m Banna RMBS transaction were originated by KBC Bank Ireland and its IIB Finance and Premier Homeloans subsidiaries between 1991 and 2009.
The loans were originated under a niche programme that provided commercial and residential real estate BTL financing to residents of Ireland for properties located in the UK. As such, the current place of residency is Ireland for the borrowers of 92.9% of the loans; another 3.6% of loans are to borrowers with addresses within the UK, with the remaining borrowers' residency either not currently on file or elsewhere around the globe. See SCI 31 October for more

Stories of the week
Overcoming stigma
Opportunities eyed in land banking
SRT report pending
EBA to propose harmonised excess spread treatment
Untapped potential?
New style reinsurance vehicles yet to take off

Other deal-related news

  • Judge Jennifer Frisch of the Minnesota District Court has terminated the Abacus 2006-10 case, after the parties filed a stipulated proposed order resolving Astra Asset Management's claim against Goldman Sachs (SCI 29 October).
  • Business Mortgage Finance 6's claim against Roundstone Technologies (RTL) was heard in the High Court of Justice last week by Justice Nugee, who ruled in the issuer's favour Sachs (SCI 29 October).
  • The inclusion of anti-net short debt activism (NSDA) provisions in offering documentation has become more common in recent months. The purpose is to prevent net-short participants - whose interests are not aligned with those of other investors - from using their debtholder rights against the borrower to, for example, manufacture defaults. Moody's notes that these provisions can also be beneficial to CLOs (SCI 30 October).
  • Intesa Sanpaolo has acquired a portfolio of performing mortgage loans for a nominal value of approximately €900m from the Italian branch of Barclays Bank Ireland. The mortgages, which are mainly for the purchase of first homes, were granted to Italian customers and are secured by residential properties located in Italy (SCI 31 October).
  • The sale of Lotte Corporation's majority stake in Korean credit card provider LotteCard Co to MBK Partners and Woori Bank - which control 60% and 20% of Lotte Card respectively - could negatively impact Lotte Card credit card ABS, according to Moody's (SCI 31 October).
  • US CMBS 2.0 defeasance volume at end-3Q19 totalled US$10.89bn across 694 loans, exceeding the 2018 full-year total of US$10.88bn across 620 loans, according to Fitch. The pace of defeasance has recently surged, following the July Federal Reserve interest rate cut (SCI 1 November).
  • The US SEC is seeking feedback on whether its 2014 ABS rules are a significant contributing factor to the absence of SEC-registered RMBS offerings since that time. By contrast, in the five years ended 30 June 2019, Fannie Mae and Freddie Mac have issued an aggregate of approximately US$4.47trn in face amount of RMBS (SCI 1 November).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
1 November 2019
US CLO
A quieter end to the week and first day of November was greeted with 3 covers observed in the BB rated space.  The BBs traded in a tight 736dm-760dm range for later RP profiles 2023 and 2024 (WALS c.9y).  The managers on today's lists were Ares Management, LLC, Voya Investment Management (ING) and Octagon Credit Investors, LLC.  Similar WAL BBs over the past couple of weeks have traded in a wide 729dm-829dm range whilst we have seen one notable BSL CLO outlier in LCM 14A ER (LCM AM) 929dm / 8.6y WAL (weak performance metrics to date).
We have observed >4y WAL AAAs are flat to last week's levels at 135bps absorbing 5x the supply of last week, AAs have widened 4bps to 200bps absorbing 4x supply of last week, single-As are 37bps tighter at 256bps with half the supply of last week, BBBs saw a significant increase in supply (almost 4x $86m) with spreads widening 32bps to 425bps.  BBs outperformed this week with spreads tightening 4bps with almost double the supply of last week ($34m) including today's firmer trades.

EUR CLO
Today we have 3 x AAA and 2 x AA. The AAAs traded between 120dm and 122dm for WALs between 3.7yrs to 3.9yrs. This is probably around 3 to 4 bps tighter than AAA trades at the beginning of the week. The AAs traded at 184dm / 3.93yr (PENTA 2015-2X BR - Partners Group) and 191dm / 4.63yr (CADOG 8X B1 - CSAM). These levels are in line with the trades in the week commencing 21 Oct. On the 31 Oct there were a couple of tighter levels but they have not been maintained.

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


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