A review of securitisation activity over the past seven days

CRT awards winners
The winners of SCI's inaugural Capital Relief Trades Awards were revealed at the annual SCI CRT Seminar last week. The selections reflect the vibrancy and innovation evident across the risk transfer market over the last 12 months and emphasise the utility of synthetic securitisation - not only as a risk management tool, but also as a way of mobilising private capital for environmental and social gains. To read the awards coverage in full, click here.

Transaction of the week
Bpifrance is marketing a debut €2bn SME ABS. The transaction, dubbed Bpifrance 2019-1, is a three-year revolving cash securitisation of medium to long term secured and unsecured loans to SMEs and mid-cap companies located in France and originated by Bpifrance Financement.
Bpifrance financement is the French national promotional bank responsible for the financing of companies within the Bpifrance group, with its mission to finance and stimulate French SME growth and innovation. The three main activities of BPI are to provide credit to French companies, guarantee loans and fund innovation and, Moody's notes, the loans backing this transaction have been granted by BPI only in case a commercial bank has also provided a loan to the same borrower (in co-financing). See SCI 18 October for more.

Stories of the week
Auto SRT finalised
Excess spread follows new regulatory guidance
ESG scores launched
New scoring system has "limited" credit rating impact
Positive impact
Capital allocation factor debuts

Other deal-related news

• Crisil reports that the volume of Indian securitisation transactions soared 48% on-year to Rs 1 lakh crore (approximately US$14bn) in the first half of fiscal 2020 as housing finance companies (HFCs) and non-banking finance companies (NBFCs) - together referred to as non-banks - resorted significantly to this route for fund-raising. Growth rode on both, established and new originators entering the market to augment their resources profile in a challenging financing environment. The number of active originators was close to 100 in the first half of this fiscal, compared with around 70 in the corresponding period of last fiscal (SCI 15 October)
• The US Federal Reserve Board has finalised rules that tailor its regulations for domestic and foreign banks to more closely match their risk profiles. The rules reduce compliance requirements for firms with less risk while maintaining the most stringent requirements for the largest and most complex banks (SCI 16 October).
• The US Treasury and the Internal Revenue Service today issued proposed regulations allowing taxpayers to avoid adverse tax consequences from changing the terms of debt, derivatives, and other financial contracts to replace reference rates based on interbank offered rates (IBORs) with certain alternative reference rates (SCI 16 October).
• The European Commission has published the Delegated Regulation on Regulatory Technical Standards (RTS) regarding the disclosure requirements in the Securitisation Regulation, detailing what information has to be disclosed by the sellers of European securitisations (SCI 18 October).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
18 October 2019
US CLO
A quiet day today with 2 x BB covers observed, this week has been starved of BBs which has been quite rare post summer.  The BBs trade in a 938dm-951dm range for long WALs.  At the wide end is DEN14 2016-1X ER (Crestline Denali) which covers at 951dm / 8.6y WAL - this deal has a profile of Oct-23 RP, Oct-20 NC, 2016 vintage refi'd in 2018.  The performance stats are lo-MVOC 104.9, hi-WARF 2929, 0 defaults, hi-90 diversity, lo-CCC 2.52% and lo-Jnr OC cushion 3.94% whilst the manager has a good record.
The other BB today is comparable in terms of DM, AWPT 2018-9X E (ArrowMark Colorado) covers at 938dm / 8.9y WAL - this deal has a similar profile of RP Jul-23, NC Jul-20 and a 2018 vintage.  The performance stats are lo-MVOC 105.02, WARF 2825, 0 defaults, 84 diversity, hi-CCC 5% and a sound Jnr OC cushion 5.21% whilst the manager also has a sound track record versus cohorts and quite comparable to Crestline.  To date this month these have been the widest BB prints, only OZLM 2018-22A D on 8 Oct 863dm / 7.9y WAL compares with a slightly shorter WAL.
Other 8-9y WAL BBs have traded this month in a 686dm-779dm range so some softening is apparent at this end of the capital structure, note we calculated that BBs last week traded ~732dm as mentioned last Friday.
We have also observed softening this week in AAAs, the >4y WAL AAAs widened 9bps on the week to 133dm and yet a lower level of supply versus last week at this rating level.
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