Monday 9 November 2020 11:27 London/ 06.27 New York/ 19.27 Tokyo

Last week's stories
ESG philosophy
Federated Hermes answers SCI's questions
Finish line
Galaxy nears completion
Ramping up
Synthetic RMBS prepped
Storming STACR
Freddie Mac shrugs off the lockdown effect to go to town in 3Q and since
Synthetic CMBS eyed
Pension funds target CRE CRTs

Other deal-related news

  • Semeris has today launched a document library called Semeris Docs for CLOs (SCI 4 November).
  • Fitch reports that Hertz had disposed of nearly 170,000 non-program vehicles over the past five months, which is in line with its bankruptcy settlement plan (SCI 6 November).
  • DBRS Morningstar has downgraded the ratings of UK hotel CMBS Ribbon Finance 2018, Magenta 2020 and Helios (ELoC 37), with the exception of the class A notes issued by Ribbon Finance, which it affirmed at triple-A (SCI 6 November).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
6 November 2020
USD CLO AAA
13 covers to end off this week – 4 x AAA, 1 x AA, 1 x A, 1 x BBB and 6 x BB. AAAs trade in a narrow dispersion 123dm-136dm with levels firming up very slightly towards the 120dm mark at this end of the cap stack in high quality names like Blackrock and Neuberger. The US LLI has ticked up 108bps on the week and is now less than 50bps off the 2020 high.
USD CLO Mezz/Equity
The AA bond that trades today is CBAM's CBAM 2017-1A B 202dm / 4.8y WAL (2022 RP profile) which is at the tight end of 200dm-240dm context – this bond has clean metrics.
The single-A is a rare short dated bond HLA 2014-1A CR (Bardin Hill) 336dm / 1.6y WAL (2018 RP profile), this is an impaired deal which is deleveraging (CCC 19.5, Sub80 35.4, WARF 3830, ADR 5.1 and -18 IDT cushion) with MV shortfalls on the 2nd and 3rd loss tranches, this tranche has coverage given it's more senior in the paydown schedule 164.8 MVOC.
PIPK 2020-6A D from Partners Group (BBB) covers 449dm / 5.1y WAL (2021 RP profile) tight to recent 510dm-570dm context, this bond is of high quality and is a 3.0 post covid issue so has plenty of cushion (IDT cushion 5.4%) and a defensive portfolio (WARF 2625, WA collateral px 98.4, MVOC 116.5) so explains the tighter level.
BBs trade 669dm-964dm across numerous profiles which is not dissimilar to recent activity at this rating level. At the tight end is GoldenTree's GLM 2019-4A E 669dm / 7.8y WAL (2024 RP profile) which is tight to 750dm-850dm recent context (the deal is performing well – Sub80 1.5, CCC 6.6, WARF 3045, WA collateral px 96.5, MVOC 104.8), at the wide end is Alcentra's SHACK 2017-11A E 964dm / 7.3y WAL (2022 RP profile) with a cuspy MVOC 100.6, high CCC 11.2, higher WARF 3365 and cuspy IDT cushion 0.97).
EUR AAA CLO
There are 3 x AAA trades today. They have traded between 150dm and 160dm. This is about 4bps tighter on the AAA curve.
EUR MEZZ/EQUITY CLO
The Richmond Park AA traded at 223dm which is also about 5bps tighter than we had predicted.
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.


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