Monday 7 September 2020 10:56 London/ 05.56 New York/ 18.56 Tokyo

A review of securitisation activity over the past seven days

SCI CRT Awards
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
Challenging times
European CLO overlap issues addressed
Hotel headache
Hotel-backed US CMBS sector eyes crucial year-end
Liquidity boost
Piraeus taps Intrum
Seeking stability
Stimulus complicating SME SRT analysis
View from an investor Part II
DuPont Capital's Karlis Ulmanis

Other deal-related news

  • The EIF has issued a call for expression of interest in participating in its Pan-European Guarantee Fund, which forms part of the overall package of measures agreed by the Eurogroup on 9 April and further endorsed by the European Council on 23 April (SCI 1 September).
  • The SFA has responded to the FHFA's re-proposed capital rule for the Enterprise Capital Framework, calling on FHFA to suspend implementation until a number of fundamental threshold issues are adequately addressed (SCI 1 September).
  • GSE CRT delinquency levels paper declined in July, but overall delinquencies remain elevated in both CAS and STACR deals, according to August RMBS data released by DBRS Morningstar (SCI 1 September).
  • Fitch reports that global structured finance negative rating actions - including downgrades, negative outlooks and rating watch negatives - reached an eight-year high in 1H20, reflecting weakening credit conditions due to the coronavirus pandemic-related recession (SCI 2 September).
  • A new Moody's report suggests that the economic shock caused by the pandemic has highlighted differences in securitised asset quality between foreign-owned and domestic auto finance companies in China (SCI 2 September).
  • KBRA has downgraded all outstanding ratings on the TGIF Funding whole business securitisation trust to single-B from double-B and removed the watch placement status on the ratings (SCI 2 September).
  • August US CMBS remittance data shows declining 30-plus day delinquency rates, as consent and forbearance agreements came into force and the country reopened (SCI 3 September).
  • Seven Commission Delegated and Implementing Regulations comprising the technical standards in connection with the details to be made available by the originator, sponsor and SSPE in a securitisation transaction subject to the Securitisation Regulation have been published in the EU Official Journal (SCI 4 September).
  • A large proportion of CLO issuers manage loans outside of CLOs and those diverse loan platforms can strengthen managers' ability to weather slower periods of CLO issuance (SCI 4 September).
  • Forbes Ventures has established a wholly owned UK subsidiary dubbed Forbes Ventures Cell 1 (SCI 4 September).
  • Vice Chancellor Joseph Slights of the Court of Chancery for the State of Delaware last week ruled that a private equity founder has no current beneficial interest in and little current control over US$15bn in student loan securitisations in the consolidated litigation related to the case of CFPB versus National Collegiate Student Loan Master Trusts (SCI 4 September).
  • An increase in used vehicle supply in the latter half of 2020 is expected to place downward pressure on residual value (RV) performance in auto lease ABS (SCI 4 September).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
3 September 2020
USD CLO AAA
12 covers today – 8 x AAA, 1 x A, 3 x BBB. The AAAs trade 116dm-159dm across 2019-2023 RP profiles, versus 105dm-178dm over the past week (125dm-140dm since month end). So the outlier trade today is Zais's ZAIS8 2018-1A A 159dm / 2.4y WAL – weak MVOC 137.8, high Sub80 20.7, high ADR 4.7, no Int Div cushion -5.3, 2.6% 2nd liens and no Jnr OC cushion -4.3.
USD CLO Mezz/Equity
The single-A is OFS's OFSBS 2017-1A C 316dm / 5.7y WAL (2021 RP profile), which trades wide to 275dm-300dm overt the past 2 weeks – the bond has a weaker MVOC 111.4 (vs 112-113 benchmark), cuspy IDT cushion 0.04 & Jnr OC cushion 1.04 and a neg par build -0.69. Away from that the stats on this bond look steady and not far off peers. The BBBs trade 441dm-596dm (all 2024 RP profiles), we haven't seen this cohort trade since 26th August but these have traded 400dm-550dm for the last 2 weeks of August. So DFG's VIBR 2016-4A DR is the outlier with a cover 596dm / 8.2y WAL – MVOC is low 103.3, high Sub80 10, high ADR 1.8 whilst IDT/Jnr OC cushions are cuspy.
EUR MEZZ/EQUITY CLO
The one BB today, BLUME 2017-2X E, traded at 647dm which is a bit wider than where we had our curve. The deal is performing well with an MV OC of 106.5% and a Jnr OC cushion of 4%.
The 3 x B all traded around 960dm demonstrating a pretty flat term structure because they varied in AL from 9yrs to 11yrs.
There are 3 equity trades. They range in dollar price from 38 to 65 and in yield from 2% to 8%. The NAVs range from 7 to 27.
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


×