SCIWire

Euro secondary staves off summer

Thursday 27 July 2017 09:52 London/ 04.52 New York/ 17.52 Tokyo

The European securitisation secondary market has not yet quite shutdown for summer with a pick-up in activity seen yesterday.

For the first time in a while more than minimal secondary activity was seen across ABS/MBS sectors yesterday. A mixture of the slowing primary market and final pre-August positioning drove increased trading from both investors and the Street.

The session saw a flurry of ABS/MBS BWICs, notably including a range of bonds from the FAB 2005-1 CDO liquidation, as well as an uptick in flows particularly in euro-denominated assets. The buying bias and positive sentiment seen at the end of last month is still in evidence ensuring secondary spreads remain firm across the board.

Meanwhile, activity in CLOs continues to tick along this week with a number of BWICs and relatively healthy flows being seen every day despite the time of year. Strong demand for paper across the capital structure is keeping secondary spreads flat to slightly tighter.

There is one ABS/MBS BWIC on today's schedule so far, which involves a mix of sectors. The 28.06m euro- and sterling-denominated 19 line auction is due at 14:00 London time.

It comprises: CFHL 2014-1 E, CLAVS 2006-1 B2A, DECO 2015-HRPX D, HRBN 2017-1X F, ITALF 2007-1 C, NEMUS 2006-2 E, NGATE 2007-3X BB, PARGN 10X C1A, PMF 2015-1 D, PMF 2017-1B E, RMACS 2006-NS1X B1C, RMACS 2006-NS3X B1C, RTLY 2015-1 D, RTLY 2015-1 E, SANDW 2 A, SRFFT 2016-1 C, TDAI 1 D, TIBET 1 D and ULISF 1 C.

Four of the bonds have covered with a price on PriceABS in the past three months: PARGN 10X C1A at 91.83 on 14 July; RTLY 2015-1 D at 102.87 on 7 July; RTLY 2015-1 E at 102 on 31 May; and TIBET 1 D at 101 on 5 July.

There are four European CLO BWICs due today as well. The chunkiest is a two line equity auction due at 15:00 and consisting of €4.08m GLGE 2X SUB and €4.675m HLAE 2016-1X SUB. Neither bond has appeared on PriceABS before.

27/07/2017 09:52:06