IFR International - 28.07.2018

-AGGESEûHASûAûõMûPORTFOLIOûANDû
issued €195.2m of asset-backed notes. The
PORTIONûOFûSECUREDûLOANSûISû ûOFûWHICHû
ûAREûBACKEDûBYûRESIDENTIALûPROPERTIESû
0RELIOSûISûSERVICER

EMEA CLO

BLUEMOUNTAIN FUJI CLO PRICED

BLUEMOUNTAIN FUJI MANAGEMENT priced
õMû#,/ûNEWûISSUEûBLUEMOUNTAIN FUJI
EUR CLO IIIûONû4UESDAYûVIAûINITIALûPURCHASERû
Barclays.
4HEû!AA!!!û-OODYS&ITCH û&2.SûCAMEû
ATûBPûOVERû%URIBOR ûWHILEûTHEû!A!!ûANDû
!!ûTRANCHESûWEREûPRICEDûATûBPûANDû
BP ûRESPECTIVELY
4HEû"AA"""ûANDûTHEûTWOûSUB
INVESTMENTû
grade tranches were priced below par. The
Baa2/BBB tranche came with a discount
MARGINûOFûBP ûTHEû"A""ûTRANCHEûATû
BPûANDûTHEû""nûATûBP
The deal has a non-call period of 1.9 years
ANDûREINVESTMENTûPERIODûOFûûYEARSû0LEASEû
see summary details table for the full capital
structure.

AXA IM PRINTS ADAGIO VII

AXA INVESTMENT MANAGERSûPRICEDûõMû
ADAGIO VII CLO on Friday through arranger
Goldman Sachs. The seniors came at 91bp
OVERûTHREE
MONTHû%URIBOR ûINûTHEûMIDDLEûOFû
90bp-92bp price guidance.
!TûTHEûOTHERûENDûOFûTHEûSTACKûTHEû$OUBLEû
"SûCAMEûATûAûDISCOUNTûMARGINûOFûBPûOVERû
ANDûTHEû3INGLEû"SûCAMEûATûBPûOVER

PGIM SELLS FIRST POST-CRISIS
STERLING CLO

PGIMûHASûPRICEDûTHEûlRSTûFULLYûSTERLINGû
DENOMINATEDûLEVERAGEDûLOANû#,/ûSINCEûTHEû
lNANCIALûCRISIS

DRYDEN 63 GBP CLO 2018ûANNOUNCEDûINû-AYû

was priced on Friday afternoon by sole

bookrunner NatWestû.AT7ESTûWASûJOINTû

PLACEMENTûAGENTûWITHû'REENS,EDGE

-ARGINSûWEREûWELLûWIDEûOFûEQUIVALENTû

TRANCHESûINûEUROSû4HEûDEALSûaMû4RIPLEû

!SûCAMEûATûBPûOVERû,IBORûVERSUSûBPû

OVERû%URIBORûFORûEURO

DENOMINATEDû#,/û

!DAGIOû6))ûWHICHûPRICEDûATûTHEûSAMEûTIME

$RYDENûALSOûISSUEDûAûaMûlXEDûRATEû4RIPLEû

!ûATûû4HEû$OUBLEû!SûANDû3INGLEû!Sû

WEREûINûSPLITûFORMATSûTOOû4HEû$OUBLEû!Sû

were a £29.1m FRN at plus 210bp and a

aMûlXEDûRATEûATûûANDûTHEû3INGLEû!Sû

WEREûAûaMû&2.ûATûPLUSûBPûANDûAû

aMûlXEDûRATEûATû

-ARGINSûONûTHEûaMû4RIPLEû"SûaMû

$OUBLEû"SûANDûaMû3INGLEû"SûWEREûBPû

BPûANDûBP

The deal has a two-year non-call period

ANDûAûFOUR

YEARûREINVESTMENTûPERIOD

US MBS

NEW CRT INDEX ROLLS OUT

"ONDûINVESTORSûHAVEûANOTHERûWAYûTOûGAUGEû

their performance in the burgeoning credit

risk transfer (CRT) bond market.

-ARKû&ONTANILLASû-&ûû#OûRELEASEDûLASTû

-ONDAYûAûSECONDûVERSIONûOFûITSûTOTALûRETURNû

#REDITû2ISKû4RANSFERû2ETURNû4RACKINGû)NDEXû

#24X   ûWHICHûWILLûTRACKûONLYû#24ûBONDSû

issued in the past 12 months by FREDDIE MAC

and FANNIE MAE.

4HISûINDEXûWILLûBEûINûADDITIONûTOûTHEûlRSTû

#24XûINDEXûnûTHATûTRACKEDûEVERYû#24ûBONDû

ISSUEDûSINCEûû4HEûDEBUTûINDEXûLAUNCHEDû

INû!PRILûTOûPROVIDEûAûBENCHMARKûFORûRETURNSû

across the roughly US$50bn CRT market.

4HEûNEWûINDEXûnû#24Xû2OLLINGû.EWû)SSUESû

(RNI) – will more closely track new-issue

PERFORMANCEûANDûGIVEûTHEûMARKETûAûCLEARERû

picture of CRT bonds issued in the past 12

months.

/LDERû#24ûBONDSûINCLUDEDûINûTHEûlRSTû

ONEûAREûIMPACTEDûBYûPAYDOWNSû

amortisation and often see multiple

UPGRADESûnûALLûOFûWHICHûCANûINmUENCEûPRICES

4HEû#24XûAGGREGATEûnûWHICHûREFERENCESûALLû

CRT bonds issued since 2013 – had a

WEIGHTEDûAVERAGEûMARKETûVALUEûOFûMOREûTHANû

ûASûOFû*ULYûûACCORDINGûTOû&ONTANILLA

.EWERûBONDSûPRICEûCLOSERûTOûPARûWHICHû

make them a closer comparable for bonds

priced in the primary market.

h4HEûROLLINGûNEWûISSUESûVERSIONûOFû#24Xû

EMULATESûCONTINUOUSûREINVESTMENTûINTOûTHEû

LATESTûISSUESvû&ONTANILLAûSAID

"YûSTICKINGûWITHûNEWERûNOTESûTHEû#24Xû

2.4ûINDEXûALSOûTRACKSûMOREûFREQUENTLYû

traded and liquid securities.

4HOUGHûNEWû#24ûBONDSûHAVEûGAINEDûINû

POPULARITYûAMONGûINVESTORSûLOOKINGûTOûBUYû

MORTGAGEûBONDSûWITHOUTûGOVERNMENTû

guarantees.

CRT bonds were created after the

MORTGAGEûCRISISûTOûHELPûREDUCEûTAXPAYERû

EXPOSUREûTOû&REDDIEûANDû&ANNIESûLARGEû

mortgage portfolios.

The amount of CRT bonds outstanding

has roughly doubled since the end of 2015

WHENûVOLUMEûSTOODûATûABOUTû53BNû

ACCORDINGûTOû3)&-!ûDATA

"OTHû#24XûINDICESûTRACKûRETURNSûONûANû

AGGREGATEûBASISûANDûACROSSûUPPERû

MEZZANINEûLOWERûMEZZANINEûANDû

SUBORDINATEDûTRANCHESûWHICHûCARRYûVARYINGû

degrees of risk.

MBS DEAL PRICINGS

It is a rare thing when a CMBS deal in the US

gets downsized. But that is what happened

recently when a group of banks tried to sell

US$400m of bonds backed by the CHRISTIANA

MALL in Delaware.

The deal was in the market for about two

weeks before it was priced.

"UTûBYûLATEûLASTûWEEKûBarclaysûSociete

Generale and Deutsche Bank had cut the deal’s

SECURITISATIONS – ALL EUROPEAN RMBS

BOOKRUNNERS: 1/1/2018 TO DATE

Managing No of Total Share

bank or group issues €(m) (%)

1 BAML 14 2,688.40 13.4

2 Lloyds Bank 9 2,210.78 11.0

3 BNP Paribas 7 1,590.44 7.9

4 Citigroup 8 1,587.90 7.9

5 Morgan Stanley 7 1,571.55 7.9

6 JP Morgan 4 1,393.88 7.0

7 Cooperatieve Rabobank 2 1,355.98 6.8

8 SG 1 1,074.57 5.4

9 Credit Agricole 1 1,015.28 5.1

10 NatWest Markets 3 607.45 3.0

Total 36 20,014.21

Including Euro, foreign, global and domestics, excluding CDOs.

Source: Thomson Reuters SDC code: B10a

ALL INTL ISSUERS (EXCLUDING SELF-FUNDED)

BOOKRUNNERS: 1/1/2018 TO DATE

Managing No of Total Share

bank or group issues US$(m) (%)

1 JP Morgan 68 16,824.78 9.7

2 Citigroup 71 15,022.76 8.7

3 Credit Suisse 65 14,142.40 8.2

4 BAML 63 13,894.50 8.0

5 Wells Fargo 50 12,070.22 7.0

6 Deutsche Bank 51 10,264.99 5.9

7 Goldman Sachs 31 8,633.23 5.0

8 Barclays 36 8,520.29 4.9

9 Morgan Stanley 26 6,563.18 3.8

10 SG 12 5,069.52 2.9

Total 319 172,909.42

Includes securitisations, PFI bonds and credit-linked notes. Excludes US

global ABS/MBS, CDOs and self funded issues.

Source: Thomson Reuters SDC code: J10d

GLOBAL SECURITISATIONS IN STERLING
BOOKRUNNERS: 1/1/2018 TO DATE

Managing No of Total Share
bank or group issues £(m) (%)
1 Lloyds Bank 13 1,790.02 16.4
2 BAML 13 1,528.17 14.0
3 Citigroup 8 1,112.41 10.2
4 MUFG 1 1,006.20 9.2
5 BNP Paribas 8 857.92 7.9
6 Natixis 5 662.92 6.1
7 HSBC 5 607.13 5.6
8 Deutsche Bank 3 532.57 4.9
9 Morgan Stanley 3 455.44 4.2
10 JP Morgan 2 333.75 3.1
Total 32 10,925.70
Including Euro, foreign, global and domestics, excluding CDOs.

Source: Thomson Reuters SDC code: B16i