A review of securitisation activity over the past seven days

Last week's stories
Breathing space?
EU banks benefit from Basel 3 delay
Capacity constraints
Covid-19 not yet posing solvency issues
CECL delayed
EU banks await IFRS 9 relief
Credit challenges
CLOs show resilience in stress scenarios
Development finance
Securitisation mooted for SME house builders
ESG catalyst?
Positive impact SRTs gaining traction
MBS market buffeted
'Unsustainable' hedges called out
Pressure drop
European CLO market update
Real asset focus
Pierfront Capital answers SCI's question
Systemic risk?
Servicing capacity concerns for non-bank lenders

Other deal-related news

• The Australian Office of Financial Management (AOFM) has launched an A$15bn Structured Finance Support Fund, under which it will invest in Australian dollar-denominated rated primary market securitisation positions issued by smaller authorised deposit-taking institutions and non-ADI lenders, alongside securitisation warehouse financings over a 12-month period (SCI 30 March).
• The Elizabeth Finance 2018 CMBS servicer has obtained an updated valuation of £68.9m in respect of the Maroon loan properties (SCI passim), which represents a decrease of £17.1m when compared to the previous valuation in January 2019 (SCI 30 March).
• KBRA has placed three classes of Small Business Origination Loan Trust 2018-1 on ratings watch developing and four classes of SBOLT 2019-1 on watch downgrade, due to the economic effects of coronavirus (SCI 30 March).
• Ginnie Mae is tailoring the existing disaster pass-through assistance programmes to more suitably scale to the needs of mortgage issuers in response to the Covid-19 liquidity squeeze (SCI 31 March).
• In light of recent social distancing measures, KBRA has reviewed loans with exposure to retail assets that serve as collateral for the European CMBS it rates (SCI 1 April).
• As servicer on a number of CMBS and facility agent on a large number of multi-lender CRE loans, Mount Street has joined forces with Paul Hastings' real estate finance practice to create a streamlined, process-driven service offering to replace Libor in existing CRE loan documentation (SCI 1 April).
• The Dutch mortgage guarantee fund NHG has updated its terms and conditions, including the option to cover the expected loss of a defaulted loan within 20 months from the default (SCI 1 April).
• Moody's expects the postponement of new capital rules in New Zealand, by a year to 1 July 2021, will give the country's four largest banks - ANZ Bank New Zealand, ASB Bank, Bank of New Zealand and Westpac New Zealand – "ample" time to build capital and meet the new requirements (SCI 1 April).
• The calculation agent on the World Bank's CAR 112 catastrophe bond is expected to report by 9 April, with the A and B tranches likely to pay out in the next two to three weeks (SCI 3 April).
• A bipartisan group of lawmakers from the US House Committee on Financial Services has sent a joint letter to the Fed urging it to expand the TALF 2.0 programme to include unsecured consumer loan ABS as eligible collateral (SCI 3 April).
• Over 2,600 commercial real estate borrowers - representing US$49.1bn of mortgage loans - have sought potential debt relief during the first two weeks of the US coronavirus outbreak, according to Fitch. These figures include borrowers in 42 single-asset/single-borrower CMBS secured by hotel and retail assets (SCI 3 April).
• S&P reports that the delinquency rates for the Chinese ABS and RMBS it rates increased modestly from a low base in February (SCI 3 April).
• The EBA has published more detailed guidance on the criteria to be fulfilled by legislative and non-legislative moratoria applied before 30 June, with the aim of clarifying the requirements for public and private moratoria to help avoid the classification of exposures under the definition of forbearance or as defaulted under distressed restructuring (SCI 3 April).

SCI NPL Securitisation Awards 2020
Award nominations remain open and have a revised deadline of 24 April. Further information and details of how to pitch can be found here.

Data

BWIC volume

Secondary market commentary from SCI PriceABS
2 April 2020
USD CLO
We had 7 mezz trades today – 5 x BBB and 2 x BB rated.  The BBBs are firmer and trade in 703dm-755dm range, with an outlier trade BCC 2019-2A D (Bain Cap) 849dm / 8.3y WAL – this trade has a longer WAL than the vast majority of triple-Bs that traded in the aforementioned range, but more importantly the MV metrics are significantly lower (MVOC 97.63 versus peers 99.4-102 and MVAP -2.43 versus peers -0.4-2.1).
The BBs traded much softer with DMs into the 1900s from established names like GSO and Oak Hill which both have good performance records versus peers, to give some perspective of dislocation on underlying loan prices the sub 80 asset price migration on these BBs is around 27% and MVOCs are c. 93, in summary BB trades today have been in 56-58 cash price range softening from recent comp trades in 60 px context.
EUR CLO
One Class X & 2 x AAA traded today. All 3 are from deals that have just closed. The Class X is SNDPE 3X X which traded at 300dm / 1.2yr. The AAAs traded between 275dm and 310dm for 6.2yr WAL at around 90 dollar px.
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.