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SCI Start the Week - 15 March

Category: ABS Capital Relief Trades CDO

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A review of securitisation activity over the past seven days

Last week's stories
Alignment issues
EEM performance concerns emerge
Cladding issues
Fire-safety requirements to have 'marginal' impact on RMBS
CLOs/CBOs solid
US CLO primary rumbles on as CBOs perform strongly
Collection hitch
January NPL collections fall
Strategic expansion
Capital Four answers SCI's questions
Supply fatigue?
European ABS market update
Texas blazes the trail
The first CRT deal from a US regional fires the starting gun
Texas two-step
TCBI's debut is the curtain raiser for a new CRT strategy
Third wheels
JPMorgan takes to the road again with another auto-linked credit note
JP Morgan Chase is to issue its third auto loan-linked CRT transaction in the last eight months, designated Chase Auto Credit-Linked Notes Series 2021-1, in another indication of the growth of the CRT market in the US.

The note references 161,885 reference obligations for a notional amount of $3.98bn.

The pool is composed of high quality credits, as is common for US CRT trades. The weighted average (WA) FICO score is 780, the WA LTV ratio is 96.1% and the pool has strong vehicle model, brand and geographic distribution.

It was last November when JP Morgan Chase issued its last auto-linked credit note, following its debut in this sector in August.

The pool contains both used and new cars, and the minimum obligor FICO score in the pool is 680. Borrowers with a FICO score of 750 or higher comprise more than 68% of the pool. This credit quality is strikingly higher than when this borrower issued in the auto credit-linked market in 2006, before its recent series of issues.

The trade consists of seven tranches, and the largest, referencing $3.49bn of assets with a 12.5% credit enhancement, is retained by the borrower. The final maturity for all tranches is September 2028.

The remaining tranches include a $311m AA-rated piece with a negative rating outlook and a 4.68% CE, an A-rated 43m slice with a 3.58% CE, a $43m BBB-rated tranche with a 2.48% CE, a BB-rated $21.9m tranche with a 1.93% tranche, a B-rated $15.3m tranche with a 1.54% CE and an unrated $61m piece. Coupons have yet to be determined.

It is statistically similar to the 2020-2 deal issued in August, in terms of credit quality of the pool. There is a high seasoning of 14 months compared to 18.3 months in 2020-2, while the FICO score of 780 is slightly higher than the 772 seen in the 2020-2 trade.

Simon Boughey

Other deal-related news

  • American Airlines is prepping an unusual US$7.5bn secured financing backed by license-payment obligations from American and cashflow generated by the AAdvantage Loyalty programme (SCI 8 March).
  • ICE Benchmark Administration has finalised the delay of Libor retirement until mid-2023 (SCI 8 March).
  • All EU-based open-ended funds managed by Leadenhall Capital Partners have been categorised as being investment products that promote environmental and social characteristics in accordance with the criteria recently set out in Article 8 of the EU's Sustainable Finance Disclosure Regulation (SCI 10 March).
  • SCIO Capital has launched a new sterling share class within its SCIO European Secured Credit Fund III offering (SCI 10 March).
  • On the back of tightening BDC spreads and growing investor interest, JPMorgan CLO research analysts have published a report aiming to assess fair value in the sector (SCI 11 March).
  • Fitch has stressed the potential credit implications of hypothetical declines in demand, rent and net cashflow on the 2012-2020 vintage office single-asset/single-borrower CMBS it rates, due to Covid-induced remote working (SCI 11 March).

Company and people moves

  • Ocorian has acquired Emphasys Technologies, a capital markets service provider specialising in tax reporting and calculation agency services to asset-backed transactions (SCI 8 March).
  • The European Parliament's Economic Governance Support Unit has published a study on Asset Management Companies that examines the opportunities and risks presented by such vehicles, with the aim of exploring potential solutions for the expected Covid-related surge in non-performing loans at an EU level (SCI 8 March).
  • Apollo and Athene have entered into a definitive agreement to merge in an all-stock transaction that implies a total equity value of approximately US$11bn for Athene (SCI 9 March).
  • Administration solutions provider Crestbridge has opened an office in Ireland and hired Andrea Lennon as director and head of funds, Ireland (SCI 9 March).
  • HIG Capital has further expanded its European WhiteHorse team with the addition of Laurent Vaille and Charles Bourgeois as principals, based in the firm's London office and Paris office respectively (SCI 9 March).
  • Moody's ESG solutions group has appointed Rahul Ghosh to the newly created role of md of ESG outreach and research (SCI 9 March).
  • Capital Four has hired Jim Wiant as partner, ceo of Capital Four US and portfolio manager (SCI 9 March).
  • Barclays has appointed Steven Penketh as head of securitised products solutions for Europe and the Middle East (SCI 11 March).


Recent research to download
Synthetic RMBS - March 2021
CLO Case Study - Spring 2021
Greek CRTs - January 2021                           

Upcoming events
SCI's 5th Annual Risk Transfer & Synthetics Seminar
21-22 April 2021, Virtual Event
SCI's 3rd Annual NPL Securitisation Seminar
26 May 2021, Virtual Event
SCI's 1st Annual CLO Special Opportunities Seminar
29 June 2021, Virtual Event
SCI's 7th Capital Relief Trades Seminar
13 October 2021, In Person Event