A review of securitisation activity over the past seven days

FREE - Capital Relief Trades Virtual Panel - LIVE
For a discussion on how the Covid-19 fallout has impacted the capital relief trades market, sign up for SCI's virtual debate at 2pm BST tomorrow, 9 June.
Featuring representatives from Allen & Overy, Mariner Investment Group, StormHarbour and Texel, discussion topics include regulatory forbearance and bank issuance plans.

Last week's stories
Capital trouble
GSEs stare down the barrel of reduced capital relief for CRT deals
Collection hitch
Italian NPL ABS suffer Covid setback
Experience counts
CLO managers surveyed
First steps
STS synthetics paper receives qualified welcome
Long road ahead
CLO secondary pricing action premature?
Managers measured
CLO manager pandemic performance quantified
May payments slump
Forbearances are down, but payments by borrowers in forbearance slump
New paradigm?
Trustee discretion required in virtual environment
NPL ABS prepped
Pancretan Bank readies Castor
Repricing of risk?
Funded, unfunded investor collaboration to rise
Risk mitigation
Southern European RMBS 'insulated'
Vulnerability highlighted
Irish re-performing RMBS 'more sensitive'

Other deal-related news

• Despite a lack of visibility and liquidity and with cashflows likely to deteriorate further into upcoming July payment dates, there may be some opportunities in the CLO equity space, according to a new research report from JPMorgan (SCI 1 June).
• Meanwhile, research from Bank of America published last week analyses the current differences between US and European CLOs higher up the stack (SCI 1 June).
• Three of the offers accepted for the purchase of 12 care homes underlying the Ashbourne loan, securitised in the Eclipse 2006-1 and 2006-4 CMBS, have been withdrawn following the Covid-19 outbreak (SCI 1 June).
• Moody's has downgraded 11 tranches of rental car ABS issued by Hertz Vehicle Financing II (HVF II), affecting approximately US$4.3bn of securities (SCI 1 June).
• The OCC has finalised the 'valid when made' rule, clarifying that a bank may transfer a loan without affecting the legally permissible interest term (SCI 1 June).
• Principal was underpaid on eight of the 12 classes of notes issued by the Dublin Bay Securities 2018-MA1 RMBS on the IPDs between 4Q18 and 3Q19, due to an incorrect allocation of revenue and principal receipts (SCI 1 June).
• US CMBS servicers added US$29bn conduit loans to their watchlists and transferred US$4.7bn to special servicing during the May remittance period, according to Wells Fargo figures (SCI 1 June).
• Moody's has put a further 234 tranches from 77 European BSL CLOs on review for possible downgrade. The securities involved are rated Baa2 to B1 and below (SCI 3 June).
• Due to the Covid-19 pandemic, the bankruptcy trustees of DSB Bank have decided to postpone the sale of the remaining assets of the bank's securitisation programmes until further notice (SCI 3 June).
• Obvion is offering borrowers who took advantage of coronavirus-related payment holidays the option to convert their total deferred principal and interest payments into a new and interest-free loan part that will be added to the existing loan (SCI 3 June).
• AG Mortgage Investment Trust has entered into a settlement agreement with RBC pursuant to which they mutually released each other from further claims related to a financing agreement that the latter alleged the former had defaulted on at the height of the Covid-19 shock (SCI 3 June).
• S&P has placed its ratings of 96 classes from 30 US conduit CMBS on credit watch with negative implications, reflecting the bonds' exposure to the adverse impact of Covid-19 on the lodging and retail sectors, and the related uncertainty about the duration of the demand disruption (SCI 4 June).
• The FHFA has published a credit risk transfer spreadsheet tool based on the re-proposed capital rule for Fannie Mae and Freddie Mac, with the aim of providing additional transparency to the public (SCI 4 June).
• Fitch is undertaking a review of the 59 middle market CLOs it rates to evaluate whether rating changes are required (SCI 4 June).
• Moody's has placed on review for possible downgrade a further 241 tranches issued by 115 US BSL CLOs, plus another two linked CLO combination securities (SCI 4 June).
• Moody's has downgraded 38 securities issued by 29 FFELP student loan ABS, affecting approximately US$11bn of bonds (SCI 4 June).
• US Senators Jerry Moran, Martha McSally and Thom Tillis sent a letter to Fed chairman Jerome Powell and Treasury secretary Steve Mnuchin requesting that TALF be expanded to accept ABS backed by assets from all essential lending sectors as eligible collateral (SCI 5 June).
• Moody's has downgraded from A1 to A3 the rating of the class E notes issued by Pepper Residential Securities Trust No. 17, following the correction of model input errors (SCI 5 June).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
4 June 2020
USD CLO
A 'quieter' day with 20 covers - 8 x 1st pay AAA, 3 x 2nd pay AAA, 2 x AA, 2 x BBB and 5 x BB.  The 1st pay AAAs trade in similar context 155dm-198dm, at the wide end of this range is Wellfleet Credit's WELF 2018-2A A1 198dm / 4.87y WAL - the ADR 0.50 and sub80 12.6 levels are in line with peers but with the negative par build -0.18 comes weaker MV metrics (MVOC 140.88 vs mid-140s-153 for peers) from a less mainstream manager with relatively weaker credentials than peers.  The second pays trade tight 187dm-197dm and are migrating tighter as the market grinds in.
The AA is PGIM's DRSLF 2013-28A A2L 221dm / 5.27y WAL which is in the 210dm-240dm range seen for similar comps this week.
The BBBs trade in a wide dispersion 439dm-643dm, with the tight end the lowest seen for this 2021 RP cohort post-vol as this range trades with significant tiering of 500dm-880dm over the past week.  At the tight end is TCI's TFLAT 2016-1A DR 439dm / 5.45y WAL - 0.16 ADR, 8.3 sub80, 106.5 MVOC and CCC basket of 5.2%.  Conversely, at the wide end is Wellfleet's WELF 2017-1A C 643dm / 5.33y WAL - 20.3 sub80, -0.9 par build and a 10.45% CCC basket with MV only just covering the notes 100.8.
The BBs trade 815dm-1107dm versus a comp trading range for equivalent cohorts this week 763dm-1312dm, DMs at this level largely driven by a combination of volatile ADR, CCC and sub80 buckets whilst MV coverage not quite achieving 100% (in 97-99 context) all taking responsibility for the significant tiering.
EUR/GBP ABS/RMBS
We have 1 ABS CVR today, PCLF 2017-2 A, A Premium Finance deal in GBP at AAA level which traded at 99.11 / 152dm to step up date.
EUR CLO
A lot of trades today. Starting with the 2 x single A - they both traded around 320dm. This is within the range for trades earlier this week.
There are 6 x BBB and they have traded from 400dm to 460dm. For reference the MVOCs of these bonds has ranged from 104.7 to 107.6 and Jnr OC cushions from 1.7 to 4.4.
There are 4 x BB. Three of them have traded between 800dm and 810dm but one of them, CADOG 8X ER, traded at 929dm. The CSAM bond does have a long WAL with an RPE date of 15 Apr 2024 and it also has the lowest MVOC at 97.97. One of the other bonds, JUBIL 2017-19A E, also has a low MVOC at 98.03 but traded much tighter at 800dm but then it is much shorter with an RPE of 25 Jan 2022.
There is 1 x B, CIFCE 2X F, which traded at 970dm. The last single B trade we saw was BOPHO 4 F which traded at 1258dm on 28 May 2020, so obviously single Bs have tightened considerably.
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.