A review of securitisation activity over the past seven days

SCI Risk Transfer Seminar This Week
Join SCI on 7 and 8 October for its Risk Transfer & Synthetics Virtual Seminar, which will explore the micro and macro drivers behind JPMorgan's landmark capital relief trades and whether this flurry of business could spur further risk transfer activity across a broader range of US originators and asset classes.
The seminar also examines innovation across the whole range of mortgage insurance-linked note and GSE credit risk transfer programmes, as the market re-emerges from the shadow of Covid-19. For more information or to register, click here.

CRT award submissions – deadline Friday
The submissions period for the 2020 SCI CRT Awards closes this Friday, 9 October. 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 the deadline. 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
Cashflow concerns
WFH shift highlighted in office, multifamily CMBS
Double-B disparity
US CLO lower mezz misses out
European evolution
European CLO market changing post-Covid
Latest Magdalena finalised
Santander prices first post-Covid SME SRT
Programmatic approach
Chinese ABCP market gaining traction
Repack returns
Optionality, yield a hit with investors
Repayments rated
CLO debt repayment rates could act as a manager differentiator
SME boost
Commerzbank completes CRT
Under pressure
CRE uncertainty persists
Other deal-related news

• Pearl Diver Capital has completed the final closing of its eighth closed-end CLO investment fund, PDC Opportunities VIII, at US$400m (SCI 29 September).
• The put option notes issued by legacy Dutch RMBS E-MAC Program II - Compartment NL 2008-IV were erroneously redeemed in incorrect amounts on the July payment date (SCI 29 September).
• Moody's has downgraded the ratings of four classes and confirmed the ratings of 34 other classes issued by Towd Point Mortgage Trust from 2015 to 2019, affecting approximately US$1.7bn of securities across 22 re-performing RMBS (SCI 29 September).
• Banca Valsabbina has supported fintech BorsadelCredito.it as arranger, account bank and subscriber - together with other institutional investors – of ABS notes in a €100m securitisation backed by trade receivables granted to SMEs and guaranteed by the Central Guarantee Fund for SMEs (SCI 30 September).
• The Mountain View CLO XIV auction - which was scheduled to be facilitated on KopenTech's AMR platform yesterday – did not clear, as there were insufficient bids submitted to refinance each tranche (SCI 30 September).
• US$9bn of catastrophe bonds was placed in the year to 30 June 2020, bringing new sponsors along with repeat issuers and the expansion of perils and geographies, according to Aon Securities' latest annual review of the sector (SCI 30 September).
• KBRA has agreed to pay more than US$2m to settle separate US SEC charges relating to the rating of CMBS and CLO combo notes (SCI 30 September).
• The EBA is finalising its report on significant risk transfer and hopes to be able to publish it by year-end, according to Pablo Sinausia, policy expert at the authority (SCI 1 October).
• California's governor last month signed into law bills establishing additional standards for student loan servicers operating in the state and allowing borrowers to bring legal action against them (SCI 1 October).
• Auto ABS Spanish Loans 2020-1, which is due to price tomorrow, is notable for being the first Spanish auto loan securitisation exposed to residual value (RV) risk and the fact that RV risk is introduced by loan instead of leasing receivables (SCI 1 October).
• Moody's has downgraded six securities and confirmed two others issued by eight FFELP student loan ABS, affecting approximately US$2.6bn of notes (SCI 2 October).

Data

BWIC volume

Secondary market commentary from SCI PriceABS
1 October 2020
USD CLO AAA
With month end out of the way, activity picked up with 31 covers, mostly in line with recent context – 13 x AAA, 5 x BBB and 13 x BB. The AAAs trade 134dm-167dm (2021-2025 RP profiles) flat to recent trading activity.
USD CLO Mezz/Equity
The BBBs trade 373dm-481dm, once again flat to recent context, the bonds are clean with MVOCs around 110%, ADRs less than or equal to 1, healthy IDT/Jnr OC cushions and low Sub80 buckets <4.5. The BBs trade 757dm-955dm across 2021-2024 RP profiles which is fairly comparable to 720dm-910dm context over the past 10 days. There is one outlier trade ArrowMark's AWPT 2013-1A D2R2 1277dm / 8.5y WAL – the MVOC is cuspy 100.5, neg par build -1.56 and IDT/Jnr OC cushions on the low end 0.63/1.6 respectively, whilst WA collateral price is the lowest of all BBs to trade today 94.59 and WAS (a guide to credit risk) is the highest of all BBs today.
EUR AAA CLO
A huge mezz list traded yesterday. In total across all ratings 82 debt tranches traded, which is the heaviest day for EUR we can ever remember. We'll start with the 5 x AAA. All but Madison Park 14 traded in a range from 142dm to 156dm. For these bonds this is a slight tightening in the curve of around 7bps. Madison Park 14 traded at 99.50 / 171dm because of its high margin at 112bps.
EUR MEZZ/EQUITY CLO
The only orig AA, from Sound Point 2, traded at 230dm which is unchanged on the curve.
There are 23 orig single A bonds. Leaving aside Castle Park because it is paying down and traded at 100.01 / 230dm – the rest of them traded in a range from 270dm to 340dm, for which the dependent variable is stated margin. It's hard to say exactly, since the traded DM does move around as the margin varies but we would estimate the curve is around 5 to 10bps wider.
There are 53 x BBB trades. If we look at the outliers first, at the tight end we have Castle Park again which as already stated is paying down. It traded at 327dm. At the wide end we have 2 Carlyle deals, 2017-2 and 2017-3, which traded at 530dm. In both cases they have low MV OCs (111% handle versus a more normal 114.5%) and low Jnr OC cushions of 0.8% versus 3.5%. The rest of the trades were in the range from 360dm to 490dm again dependent on margin. Its again hard to say if there has been a definitive move in the curve but we would say it is perhaps 10 to 15bps wider.
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.