Market Commentaries



Eur/GBP

USD  

 

Feedback on Commentaries and Analysis is welcome
Sheil Aggarwal


select * from bbg_commentary where 1=1 order by date desc
  • 24 September 2020

    USD CLO AAA

    5 covers today – 3 x AAA, 1 x BBB, 1 x BB.  The AAAs trade 137dm-158dm slightly softer to yesterday’s 130dm-150dm context in the same RP profiles (2020/2022/2023).  The bonds today are relatively clean with the exception of LCM’s LCM 20A AR at the wide end 158dm / 1.9y WAL – slightly weaker MVOC 147.5 and only cuspy IDT/Jnr OC cushions, but WA collateral price is strong 94.4.

    USD CLO Mezz/Equity

    The BBB is Oak Hill’s OAKC 2019-3A D covers 391dm / 8y WAL (2024 RP profile) which is firm to recent 395dm-440dm context in the same RP profile, the metrics are strong on this bond – MVOC 109.6, Sub80 2.5, ADR 0.4, IDT/Jnr OC cushions strong and WA collateral price >96.  The BB is Voya’s VOYA 2020-1A E 781dm / 6.9y WAL (2023 RP profile) firmly in a 720dm-850dm recent context in the same cohort, excluding those fallen angel BBs.  The metrics are strong on this recently closed Voya bond – MVOC 107.8, Sub 80 1.5 and low CCC 0.33.

    EUR AAA CLO

    30 trades in all with half of them AAA. The spread range is from 145dm to 165dm. In regard of the price range, apart from Hayfin Emerald 2 which traded at 100.19 for the rest of the trades the price range is 99.20 to 99.95. All the bonds look clean and the average Junior OC cushion for this cohort of trades is 4%. We see this as a 10bps widening through the middle of the curve.

    EUR MEZZ/EQUITY CLO

    The 4 x AA traded between 201dm and 235dm. Three of these bonds have higher margins (around 180bps) but only Dunedin Park achieved premium pricing of 100.20 / 214dm. OZLME 5 and Carlyle 2019-2 traded around 99.20 / 235dm.

    The only single A trade, BlackRock Euro 5, traded at 267dm which is around a 50bps tightening in the single A curve, for us.

    The Orig BBBs have mostly traded between 450dm and 480dm. The two outliers are Carlyle 2017-2 which traded at 535dm. It has a low MV OC of 110.90% and low Jnr OC cushion of 0.61%. The other outlier is Halcyon 2017-2 which traded at 660dm and has an even lower MV OC of 106.91% and low Jnr OC cushion of .67% and has been downgraded to BB. We are seeing the BBB curve around 25 to 30 bps wider.

    The two BBs have traded round 845dm which is about 90bps wider on the curve.


  • 23 September 2020

    USD CLO AAA

    26 covers today – 3 x AAA, 5 x AA, 6 x A, 10 x BBB, 2 x BB.  The AAAs trade in similar trait 130dm-148dm versus 113dm-150dm context in the same cohort this week, the 3 bonds today are clean, with a short dater BlueMountain’s BLUEM 2012-2A AR2 propping up the tight end 130dm / 1.99y WAL, other than CCCs running into mid-high teens % area on all AAAs today. 

    USD CLO Mezz/Equity

    The AAs trade 192dm-227dm (2022/2023 RP profiles) which is right in line with recent context 186dm-233dm in this cohort.  The single-As trade 228dm-326dm across a wide variety of RP profiles, once again in line with 240dm-320dm recent trading context.  At the wide end today is a rare and short 2017 RP profile bond from Bardin Hill HLA 2013-1A B 326dm / 0.86y WAL – high WARF 4138, high CCC 15.6, high ADR 6.1 whilst IDT/Jnr OC cushions are well into negative territory and WA collateral price is 63.3, the seniors on this deal are almost redeemed so this Class B is close to being fully redeemed so has a very short WAL.  The BBBs trade 394dm-745dm (2021-2024 RP profiles), once again in line with recent context 370dm-760dm, with Crescent Cap’s ATCLO 2014-1A DR2 at the wide end 745dm / 5.5y WAL but DNT (cash px 84.11), this has weaker metrics all around including 103.7 MVOC and 1.7 ADR along with negative IDT/Jnr OC cushions.  The BBs trade in a narrow dispersion 852dm-868dm (2022-2023 RP profiles) wide to 720dm-850dm recent context.  The bonds today are covered by MV (103.2-103.8), ADRs 0.9-1.2 whilst cushions are healthy with only the manager profiles slightly weaker to their peers as the only levers to the marginally softer levels today.

    EUR AAA CLO

    28 trades today with 6 of them being AAA. All the discount priced trades traded between 145dm and 155dm and the premium trade was at 162 over. These levels are unchanged from previously.

    EUR MEZZ/EQUITY CLO

    The 2 x AA trades traded around 212dm which are unchanged too.

    The only Original single A trade, JUBIL 2014-14X CR, traded at 269dm which is quite tight even though it has a low Jnr OC cushion of 0.57%.

    There are 13 x BBBs. The range of traded spreads is quite wide from 340dm to 460dm but most of this variation can be explained. At the tight end we have the low margin bonds (around 240bps) eg Arbour 3, Elm Park and Bosphorus 3 which is paying down. At the wide end are the 400bps margin bonds eg Dryden 69, Contego 7 and Dryden 74. A notable exception is Carlyle 2016-1 which has a margin of only 255bps but traded wide at 92.15 / 445dm. While its credit metrics are a little on the low side they do not particularly stand out.

    The 6 x BB trades have traded between 660dm and 730dm which is about a 35bps tightening on the curve.


  • 22 September 2020

    USD CLO AAA

    30 covers today – 4 x AAA, 3 x A, 14 x BBB, 8 x BB and 1 x B.  The AAAs trade 134dm-150dm (2020-2022 RP profiles) which is in line with trading this week, however there is an outlier trade at the wide end which is not in this range.  This is Ellington’s ECLO 2017-2A A 251dm / 1.93y WAL which has very poor metrics which has met a bid – WARF 5396, Sub80 assets 44.9, CCC 34.4, ADR 13.1, IDT/Jnr OC cushions both well into negative territory and WA collateral price 73.6.  This is a trait we have seen in Ellington managed transactions for a while.

    USD CLO Mezz/Equity

    The single-As trade 254dm-350dm (2018/2020 RP profiles), with the 2018 RP from Black Diamond BLACK 2013-1A BR 302dm / 1.4y WAL appearing wide to mid-late 200s recent context, this is explained by a vh ADR 2.6, high CCC 25, high WARF 3978, WA collateral price 88 despite the strong MVOC 191.7 given the transaction is post reinv / delevering.  The BBBs trade 350dm-544dm (2020-2025 RP profiles) in line with 330dm-610dm recent context in this cohort, with no material outliers to report upon, see PriceABS trade listing for full details/metrics.  The BBs trade in a relatively narrow dispersion 718dm-851dm (2022-2025 RP profiles) within a 500dm-900dm recent context, at the wide end is King St’s ROCKT 2019-1A E 851dm / 7.9y WAL – with a low MVOC 102.7 and CCC 9.1 as key drivers of the softer level, with other metrics in line.  The single-B trade is Sculptor’s OZLM 2015-13X E 1919dm / 5.3y WAL well wide to recent context in vh900s context, given the nature of the thin second loss tranche this bond has a MV shortfall with MVOC 98.8, Sub80 assets 10.8, ADR 1.6, IDT cushion -1.7 and a cuspy Jnr OC cushion 0.14.

    EUR AAA CLO

    A busy day today with trades across the whole cap structure. There are 10 x AAA trades. The range in spreads is from 145dm to 156dm but the higher DMs are high margin bonds that have had their price above par capped. The only bond with a low Jnr OC cushion is GLG Euro 4 which has a 0.5% cushion. The MV OCs vary a lot, from 151% to 161%, but this doesn’t appear to impact trading levels.

    EUR MEZZ/EQUITY CLO

    There are 6 x AA trades. The Harvest X bond is paying down and attaches at 40% instead of the more normal 25%. As a result, of course, it traded tight at 164dm / 99.70. Goldentree 4 traded to call, approx. 255dm to call which at 100.26 is 273dm to mat. The other three longer bonds, Voya 1, Dryden 39 and Hayfin 1 all traded to mat at around 220dm. This is approx. a 35bps widening to the AA curve from the last time we saw AAs trade.

    There are 3 x A trades. They have traded between 295dm and 335dm which is around a 30 to 50bps widening in the single A curve.

    There are 6 x BBB. They have traded in a range from 400dm to 480dm. The tightest trade is GoldenTree 1 even though it has the lowest Jnr OC cushion at 0.64% (others are around 3%). Overall, depending on the point on the curve, we see the curve have widened by between 30 to 60bps.

    The 2 x BB have traded around 735dm which is not a big move in spreads.

    The only single B trade is NWDSE 2019-19X F (Angelo Gordon) which traded at 1066dm. This is wider than recent single Bs we have seen but one trade doesn’t indicate the whole curve has moved. The deal looks in good shape but Angelo Gordon is not such a big manager in Europe.


  • 21 September 2020

    USD CLO AAA

    This week starts with 40 covers, predominantly IG – 27 x AAA, 2 x AA, 7 x BBB and 4 x BB.  The AAAs trade in similar context to last week in a 113dm-163dm range, at the tight end is a very clean/short dated senior from Allstate Inv AIMCO 2015-AA AR 113dm / 1.46y WAL.  Conversely, at the wide end is Carlson Cap’s CATLK 2016-4A AR which is also a short dater cover 163dm / 2.8y WAL, although the MVOC is strong like the Allstate bond the metrics are not clean – ADR 1.65, IDT cushion is cuspy 0.3%, cov-lite exposure is high 43.5, Sub80 assets 9.4, neg par build -2.55 and WA collateral px is 91.5. 

    USD CLO Mezz/Equity

    The AAs trade in small clips in a 192dm-216dm range (2019/2023 RP profiles) which is firmly within the 175dm-230dm context seen last week in the same cohort.  The BBBs trade in a wide dispersion 465dm-769dm with crossover into BB dms, with a MM CLO from ArrowMark PEAKS 2017-2A DR 769dm / 7.2y WAL propping up the wide end as expected given the basis to BSL CLOs.  Recent trading context has been in 350dm-550dm context in stronger MVOCs than today’s lists.  For instance, at the wide end is Nassau’s NCC 2017-IA C 759dm / 5.9y WAL (2021 RP profile) – weaker MVOC 102.2, high Sub80 12.4, CCC 10.5, cuspy IDT cushion 0.23% and ADR 1.4 with WA collateral px barely over 90.  The BBs trade 664dm-848dm (2018/2020/2022 RP profiles) vs 750dm-1250dm context recently, with Octagon’s OCT25 2015-1A E2R pushing through the tight end 664dm / 5.15y WAL into weak ‘BBB’ dm territory – the MVOC is stronger 104.2, ADR <1 (0.94), cushions are sound, Sub80s are also sound 7.4, CCC is touch high but not out of line 13.2 but interestingly has a vh cov-lite balance of 77% which hasn't deterred from a weak dm.

    EUR AAA CLO

    Just 2 x AAA trades today. OZLME 1X AR and HARVT 12X AR traded at 142dm. This compares to the recent new issues BlackRock X and Fair Oaks III which priced at 120 over and 125 over respectively as reported by Bloomberg. Of course the new issue spreads are over floored Euribor whereas our secondary calculations are true DMs taking into account the negative Euribor.


  • 18 September 2020

    USD CLO Mezz/Equity

    11 covers yesterday – 1 x A, 3 x BBB, 5 x BB and 2 x Equity.  The single-A trade is York’s YCLO 2014-1A CRR cover 236dm / 5.93y WAL (2021 RP profile) trades at the tight end of a 240dm-320dm range in this cohort this week, all metrics are strong on this York bond.  The BBBs trade in a narrow dispersion 388dm-397dm (2021/2025 RP profiles) at the tight end of a 350dm-550dm range this week, once again BBB bonds today have strong metrics (see PriceABS trade listing).  The BBs trade 991dm-1234dm (2021-2024 RP profiles) versus 650dm-1050dm range in the same cohort this week.  The 3 bonds outside of this range (>1000dm) have MV shortfalls (98.3-99.85), elevated Sub80 assets (8-16%) and a weaker manager on the two widest bonds (MJX).  The 2 equity are from CIFC and American Money both trading in late 30s / 40 cash price context trading to NAV+2-3y CF, see PriceABS trade listing for full details.

    EUR MEZZ/EQUITY CLO

    There are 17 trades today. 8 of them are single A and one of these is an unusual GBP denominated CLO. The EUR bonds traded in a range from 265dm to 310dm. The GBP bond was at 324dm. These are unchanged trading levels.

    There are 2 x BBB. Both of them are Harvest bonds and they traded at 390dm and 440dm.

    The 5 x BB have traded between 740dm and 780dm except for Aurium 5 (Spire Partners) which traded at 685dm. The two widest trades are from Chenavari and Carlyle and their slightly weaker MV OC and Jnr OC cushions do justify a modest widening.

    There are 2 x B. Contego 4 (Five Arrows) traded at 890dm. Aurium 1 traded at 1060dm. Their performance metrics are very similar. Spire Partners was the tightest trade at the BB level and here it is the wider trade. Just goes to show that different market practitioners have different opinions.


  • 17 September 2020

    USD CLO AAA

    Yet another heavy day of liquidity with 63 covers – 20 x AAA, 6 x AA, 5 x A, 10 x BBB, 20 x BB and 2 x B.  The AAAs trade 113dm-172dm, with a similar theme at the tight end with a short 2019 RP profile FLAT 2015-1A AR from NY Life trading 113dm / 1.04y WAL.  At the wide end is Canyon Cap’s CANYC 2020-1A A 172dm / 2.14y WAL (EoRP next month), this deal closed at the peak of the pandemic with a high coupon +192bps with a short RP so trading above par with a path to refi given prevailing AAAs in early-mid 100s context, the deal remains having good metrics all round.

    USD CLO Mezz/Equity

    The AAs trade 173dm-233dm (2021-2025 RP profiles) in line with 175dm-250dm context in the same cohort yesterday, so no outliers to report upon.  The single-As trade 267dm-318dm (2019-2024 RP profiles) so once again well within the 240dm-330dm range seen this week in the same cohort.  The BBBs trade 326dm-580dm across numerous RP profiles which is largely in line with trading this week 330dm-550dm context, at the wide end is CSAM’s MDPK 2016-21A C2R 580dm / 7.9y WAL – weaker MVOC than peers 105.6 and high CCCs 15.9, else other metrics are in line.  The BBs trade 702dm-1060dm across numerous RP profiles and is almost perfectly in line with trading seen this week 720dm-1080dm.  The rarer single-Bs trade 1448dm-1525dm (2023 RP profiles), recent activity has been restricted to upgraded BBs now at single-B in 800dm-1200dm context so it is interesting to have these data points for the first time this month, the bonds both have a MV shortfall (98.5-99.2) and IDT / Jnr OC cushions are cuspy which is no surprise for second loss bonds at this point in the cycle but the ADRs are high on these bonds (1.8-2.2) so that has to be taken into context for the wider DMs.

    EUR MEZZ/EQUITY CLO

    There are 19 trades in all today. There are 5 Orig AAs, one of which, SORPK 1X AA2R, has been upgraded to AAA. The range for spreads is wide from 160dm to 290dm. At the tight end is Sorrento Park which can be explained by the fact that the deal is delevering, the MV AP and MV DP of this tranche are much higher than a regular AA and it is short at 2.4yr WAL. At the wide end is PRVD 4A B but this has a high margin at 265bps. It has therefore priced to call ie a 0.85yr (100.85) and the 290dm is the spread re-expressed as a spread to maturity. SNDPE 1A B1 traded at 241dm/100.01 but this also priced to call given its margin of 200bps.

    The 3 x A have traded around 250dm. This is about 15bps wider than our single A curve.

    For the 2 x BBB SORPK 1X CR has traded at 100.15 / 296dm / 3.75yr and the deal is paying down. ANCHE 2A D1 has traded at 99.57 / 399dm / 6.47yr as a regular BBB.

    There are 9 x BB trades. The majority have traded in a range from 690dm to 810dm except for AVOCA 13X ER which traded at 630dm which could be partly explained by its low margin. Overall we see this as about a 20bps widening in the middle of the curve and 40bps wider at the long end.


  • 16 September 2020

    USD CLO AAA

    Another heavy day of liquidity with 50 covers – 22 x AAA, 9 x AA, 3 x A, 3 x BBB and 13 x BB.  The AAAs trade in very similar behaviour to this week in a 118dm-153dm range (2021-2025 RP profiles), with bonds trading typically to the WAL time series and we observe no material outliers today and refer you to the PriceABS trade listing. 

    USD CLO Mezz/Equity

    The AAs trade 174dm-250dm also in similar RP profiles to the AAAs (2021-2025) versus 180dm-200dm context this week in same cohort.  Palmer Sq’s PLMRS 2018-2A A2 trades inside 180dm at 174dm / 6.2y WAL – strong MVOC 126, Sub80 5.9, low WARF 3012, reasonable ADR 0.83 along with healthy IDT and Jnr OC cushions.  Tripping through at the wide end is Par-Four’s TRAL 2013-1A BR 250dm / 4.4y WAL – weak MVOC 118.5, high Sub80 10.8, high CCC 13.1, ADR 1.1 and IDT/Jnr OC cushions are both negative.  The single-As trade in a narrow dispersion and tighter 236dm-248dm across 2021-2023 RP profiles vs 250dm-280dm context over the past 10 days, the bonds today have strong MVOCs (115-118) whilst RRAM 2018-4 A B at the wider end has weaker metrics incl 1.86 ADR and lower cushions than the York and GSO single-As.  The BBBs trade 443dm-555dm (2021/2023 RP profiles) vs 340dm-500dm trading context this week in this cohort.  At the wide end is Saratogo’s SARAT 2013-1A DR2 555dm / 5.2y WAL, no notable weak metrics aside from ADR 1.05 but the deal is clean but managed by a very inexperienced manager.  The BBs trade 785dm-1082dm across 2018-2024 RP profiles versus 650dm-1050dm context this week in this cohort.  Crescent Cap’s ATCLO 2016-7A ER trades 1082dm / 7.4 WAL through the wides of this week, the MVOC is covering 100.7 but Sub80 is 8.5, ADR 1.4, high cov-lite exposure 41.2 and IDT / Jnr OC cushions are very cuspy whilst the deal has -1.6 neg par build.

    EUR AAA CLO

    A busy day today with 31 bonds & 3 equity in total. There are 5 x AAA. Three of them have traded around 140dm and two of them around 155dm. The two wider trades are for specific reasons. One of them is the Halcyon 2 deal by Bardin Hill. It has a low Jnr OC cushion at 0.67% and also we see Bardin Hill as a manager who trade wider than their peer group. The other bond to trade wider is Aqueduct 4 by HPS. This has a higher margin at 111bps and its price was limited by its Price to Call at 100.08.

    EUR MEZZ/EQUITY CLO

    There are 8 x AA. They have traded between 201dm and 225dm. The managers trading at the wide end are Man Group (and GLGE 3  has a low Jnr OC cushion as well), Chenavari and BNP (which has a high margin).

    The only single A, ACCUN 4A C, traded at 303dm.

    There are 5 x BBB. They have mostly traded between 350dm and 390dm except for SPAUL 2X DRRR which traded at 433dm. It is not entirely evident to us why the ICG bond traded wider. It does have a lower MVOC and Jnr OC cushion than the other trades but they still seem to us to be within acceptable limits. It also has a higher margin at 360bps but since the traded price is 98.50 we thought there was still room for it to trade closer to par.

    There are 6 x BB trades. There is quite a dispersion is spreads from 645dm to 820dm. All the deals are performing well and much in line with each other. All the prices are at a discount to par so margins are not a driving factor. At the tight end is the BlackRock bond. At the wide end, unusually, is the Bain bond which is wider even than the Brigade Capital bond.

    There are 6 x B trades. Most of them have traded between 960dm and 1020dm but the outlier is GLGE 4X F which traded at 1270dm. It does have a low MV OC at 98.10% and a low Jnr OC cushion at 0.31%.

    The 3 equity trades have traded between M30s to M40s in price and in yield between around 0% to 24%. NAVs have ranged from -10 to +23. A few points to take note of: the Barings deal has a Jnr OC cushion that is breached and the Bardin Hill deal has a high CCC bucket.


  • 15 September 2020

    USD CLO AAA

    52 covers today – 29 x AAA, 1 x AA, 2 x A, 11 x BBB and 9 x BB.  The AAAs trade 105dm-202dm across all RP profiles, at the tight end are short dated 2019 RP profiles that trade 105dm-117dm (1.0-1.5y WALs) with the pull of high Sub80 and ADR balances along with volatile WA collateral prices concentrating AAA bonds at the wide end today (see PriceABS trade listing). 

    USD CLO Mezz/Equity

    The AA is Alcentra’s SHACK 2014-5RA B that covers 197dm / 5.7y WAL (2023 RP profile) in the middle of 185dm-205dm context in the same cohort this month to date.  The single-As trade 278dm-334dm (2019 RP profiles) versus 230dm-300dm recent context, hence the outlier is WhiteHorse’s WITEH 2015-10A CR 334dm / 3.1y WAL – has a high WARF 3935, high CCC 26, high ADR 3.1 and IDT cushion and Jnr OC cushions are both firmly in negative territory.  The BBBs trade 336dm-463dm across a range of RP profiles, versus 340dm-550dm recent trading context, with no material outliers to report.  The BBs trade 721dm-1200dm versus 640dm-1140dm recent trading context, with Benefit St’s BSP 2014-IVA DR As the outlier trade 1200dm / 5.1y WAL – MV shortfall 99.85, high ADR 1.14, cuspy IDT / Jnr OC cushions 0.03 / 0.53 respectively.

    EUR AAA CLO

    There are 4 x AAA today. They have all traded between 141dm and 145dm, at small discounts to par. We see this as a flattening of the curve with the short end widening by around 10bps.

    EUR MEZZ/EQUITY CLO

    There are 3 x AA. The high margin bond, SPAUL 2X BRRR, traded at 220dm. The other two AAs, with much lower margins, traded around 195dm even though one of them, SPAUL 3RX B1R, is in a much weaker position than the others. It has a Jnr OC cushion which is breached at 0.09% and a low MV OC at 127.46%.

    There are 10 x BBB trades. The lower margin bonds have traded in H300s spread. The higher margin bonds in LM400s spread.

    The 2 x BB traded around 680dm, which is about 30 to 40bps tighter.

    The 2 x B traded at 1050dm and 980dm. The wider bond is the Carlyle bond and it has weaker metrics than the GSO bond.


  • 14 September 2020

    USD CLO AAA

    51 covers today – 29 x AAA, 7 x AA, 1 x A, 4 x BBB and 10 x BB, with levels on the whole flat to recent context.  The AAAs trade 112dm-174dm across 2020-2025 RP profiles, in line with 110dm-180dm context this month.  At the tight end is a short dater TPCLO 2013-1A A1SR from GSO 112dm / 2.5y WAL – 0.8 ADR, strong MVOC 151.3, low Sub80 6.45 and key cushions healthy with WA Collateral Price >94 at 94.17.  See PriceABS for full trade listing.

    USD CLO Mezz/Equity

    The AAs trade 172dm-203dm, which again is in flat to trading this month in the same cohort.  The ‘outlier’ is Marble Point’s MP3 2013-1A BR 203dm / 5.2y WAL – weaker MVOC 121.4, elevated Sub80 8.8, IDT cushion is -0.45% and Jnr OC cushion is cuspy 0.55%.  The single-A bond is CANYC 2014-2A CR 279dm / 5.4y WAL (2021 RP profile) which trades towards the tighter end of 255dm-320dm context this month, the IDT cushion is -0.91% and CCCs 11.8 but away from that metrics are sound.  The BBBs trade 385dm-511dm (2020/2021 RP profiles) and once again the levels today are firmly in line with those seen this month (360dm-570dm context), with a 1.52 ADR on MJX’s VENTR 2016-24A D1R As the key lever to it’s 511dm / 4.9y WAL trade today, along with a cuspy IDT cushion and WA Collateral price is closer to 90 than 95 (91.6).  The BBs trade 644dm-1058dm, again today’s levels are flat to recent context (600dm-1150dm).

    EUR MEZZ/EQUITY CLO

    5 bonds and 4 equity today. We’ll start with the BBB trade. BABSE 2018-1X D traded at 462dm. This is a little wider than our generic BBB curve but this deal has a low Jnr OC cushion at 0.37% and also the MVOC of the bond is on the low side at 108.72%.

    There are 3 x BB. All three are quite similar in their credit performance. The Contego bond traded at 650dm. Then there are two Dryden bonds, one at 680dm and the other at 710dm. Even though there is some dispersion in these levels we see this as a 25bps tightening in our BB curve.

    The single B, BABSE 2018-1X F, traded at 1206dm. This is wide for a single B but its MVOC is low at 98.73% and its Jnr OC cushion is only 0.37%.

    Looking at the 4 x equity the lowest priced trade is GLGE 2X SUB which traded at 24.16 / 2.53%. Its NAV is -3.6. It has a number of defaulted assets in the pool such as CMCRAV, Lecta, Dummen Orange and SGB SMIT. SPAUL 7X SUBR traded at 38.50 / 4.1%. Its NAV is 9.60. PURP 1X SUB traded at 44.00 / 5.5%. AVOCA 14X SUB traded at 63.50 / 3.9%. Its NAV is 25.70.


  • 11 September 2020

    USD CLO AAA

    18 covers today round off the week – 5 x AAA, 3 x AA, 3 x BBB and 7 x BB.  The 1st pay AAAs trade tighter 111dm-125dm across 2020-2023 RP profiles, versus 120dm-150dm context in this cohort since month end.  At the tight end is a static CLO from Palmer Sq PSTAT 2021-1A A1 that trades naturally tight given the short WAL 111dm / 1.85y WAL, whilst CVC’s APID 2013-15A A1RR covers 118dm / 4.13y WAL (2023 RP profile) – strong MVOC 155.4, low WARF 2879, high div 91 and cushions/concentrations are healthy. 

    USD CLO Mezz/Equity

    The AAs also trade tighter 173dm-182dm in a 2022 RP profile which has traded 190dm-200dm this month to date.  As we have seen regularly Blackrock bonds trade tight given the clean nature of deals, MAGNE 2014-8A BR2 is no different cover 173dm / 5.2y WAL.  The BBBs trade 338dm-396dm across 2022/2023/2025 RP profiles which have traded 340dm-640dm this week so today’s trading is at the tight end of the range.  PGIM’s DRSLF 2018-64X D covers 338dm / 7.2y WAL – MVOC 108, Sub80 5.3, ADR touch high 1.3 and IDT cushion 2.1 not as high as peers but nonetheless the manager’s track record is slightly better to its peers.  The BBs trade 720dm-1028dm across 2020-2024 RP profiles which is flat to 750dm-1150dm context seen this month in this cohort (see PriceABS trade listing for more details).

    EUR AAA CLO

    We have 5 x AAA trades today. Four of them are pre-COVID issues with margins around 80bps and one of them, AQUE 2020-5X A, is a Sep 2020 deal with a 145bps margin. The first four traded with DMs around 143dm. Aqueduct, the HPS bond, traded at 100.73 which is 174dm when calculated to maturity – but really the price of the bond was limited by its call risk and it is first callable in 1.12yrs.

    EUR MEZZ/EQUITY CLO

    The one AA trade, HARVT 12X B1R, traded at 99.04 / 202dm which is 9bps wider than the interpolated point on our curve.

    Both single A trades have high margins (270bps) and have traded at small premiums (around 100.20). This means their DMs run to maturity are quite high at around 304dm.

    The 3 x BBBs have traded around 425dm. They are all clean deals.


  • 10 September 2020

    USD CLO AAA

    Today was the busiest day post summer with 69 covers – 17 x AAA, 9 x AA, 8 x A, 18 x BBB, 16 x BB, 1 x B.  The 1st pay AAAs trade 119dm-151dm across RP profiles, at the tight end is Aegon’s CEDF 2018-7A A1 119dm / 3.9y WAL – strong MVOC 158.7, low WARF 2857 and all other metrics clean.  At the wide end is First Eagle’s WINDR 2013-1A A1R 151dm / 3.5y WAL – weaker MVOC 141.6, higher WARF 3535, high ADR 1.82 and IDT cushion and Jnr OC cushions both neg.  The 2 x 2nd pay AAAs trade 174dm-184dm, denoted as ‘2nd pay’ with full details on PriceABS.

    USD CLO Mezz/Equity

    The AAs trade 184dm-263dm across numerous RP profiles versus 190dm-205dm context since month end.  Wide of 200dm the impact of credit drift is clear with Sub80 into the high 20s, WARFs into 4-handle and IDT/Jnr OC cushions in negative territory along with impaired ADR levels.  For instance at the wide end is Zais’s ZAIS2 2014-2A A2R 263dm / 0.9y WAL (well past EoRP 2018) with Sub80 29.3, WARF 4166, CCC 15, ADR 4.3 and Jnr OC cushion -7.4%.  The single-As trade 229dm-272dm across numerous RP profiles tight to 260dm-330dm range month to date, at the tight end is CSAM’s MDPK 2014-15A B1R 229dm / 2.7y WAL which is a 2019 RP profile so shorter dated and carries a strong MVOC 130, WARF/CCC/ADR are high but counteracted by the short dated nature and strong IDT/Jnr OC cushions.  The BBBs trade 341dm-487dm across 2020-2024 RP profiles, slightly tighter to 360dm-570dm context month to date in the same cohort, at the tight end is Blackrock’s MAGNE 2014-8A DR2 341dm / 6.4y WAL – with Blackrock’s transactions usually strong fundamentally with less inherent risk this is no different MVOC 108, lower WARF 3113, low ADR 0.54 and cushions strong.  The BBs trade 689dm-1184dm across RP profiles versus 600dm-1000dm context this month to date, the outliers north of 1000dm today all carry MVOC shortfalls up to 1pt, ADRs as high as 2.3 and IDT/Jnr OC cushions in negative territory (see PriceABS for details).  The single-B trade today is GoldenTree’s GLM 2019-6A F 1059dm / 8.7y WAL, with no single-B trades this month looking back to the end of August trading was in 800dm-1200dm context so this trade sits in the middle of the range.  The MVOC is strong 102.1, CCCs are low 6.02, ADR is low 0.6, IDT/Jnr OC cushions are strong but cov-lite balance is >30% at 32.2 however the WA collateral px is high at 97.4.

    EUR AAA CLO

    An active day today throughout the capital structure. Looking at the 4 x AAA first, the two higher margin bonds (by PineBridge and CSAM and around 113bps stated margin) have traded around 157dm. The two lower margin bonds (Ares and Onex – around 96bps stated margin) have traded around 142dm.

    EUR MEZZ/EQUITY CLO

    There are 5 x AA trades today. They have all traded around par and we are back to pre-covid trading patterns in which the Discount Margins correlate well with stated margins. On average we see a widening to the AA curve we had of around 10bps. The traded range is from 205dm for the lowest margin bond to 221dm for the highest margin bond.

    The 2 x BBB traded around 407dm. The tighter level (Bain BBB) actually has the weaker credit metrics but it has a lower stated margin.

    The one BB, JUBIL 2014-11X ER, traded at 860dm. Even allowing for its weak MVOC (101.13%) and its breached Jnr OC cushion (-0.34%) it has still traded around 100bps wider than our BB curve.

    There are 6 x B trades. There is a wide dispersion in spread levels from 870dm at the tight end for the Harvest 14  to 1100dm at the wide end for Madison Park 7. On average we see the single B curve has having widened by around 90bps from the last trades we saw.

    There are 4 x equity trades. We see a range in yields from -4% to +6.8%. This probably just highlights the different methodologies and assumptions used in the market. Prices ranged from 30 to 71.


  • 9 September 2020

    USD CLO AAA

    16 covers today – 3 x AAA, 1 x AA, 5 x A, 7 x BBB.  The AAAs trade in similar context to yesterday 120dm-133dm for 2021/2023 RP profiles which have traded 125dm-160dm context since month end.  The 3 AAAs today have clean metrics with only MVOC on ALLEG 2018-1A A (Axa) a touch low at 142.3 accounting for the dm at the wide end 133dm / 4.4y WAL.

    USD CLO Mezz/Equity

    The AA is Sculptor’s OZLMF 2013-4A A2R 199dm / 5.45y WAL (2022 RP profile), a touch wide to 190dm-195dm context this month to date (ADR 1.22 is high and IDT/Jnr OC cushions compromised).  The single-As trade 264dm-312dm across 2022/2023 RP profiles wide to 230dm-280dm context over the past 2 weeks, MVOCs at the wide end drift close to 111 whilst >114 at the tight end, furthermore the ADRs on today’s bonds are all >1% with Crescent Capital’s ATCLO 2016-7A CR the outlier at 312dm / 6.6y WAL (ADR 1.4, IDT cushion -0.24, 41.2 cov-lite and only a 0.26% Jnr OC cushion).  The BBBs trade 339dm-499dm for 2018, 2024/2025 RP profiles tight to 430dm-550dm context over the past 2 weeks, the bonds today are relatively clean as per below remarks.  At the tight end is a short dater GSO’s BOWPK 2014-1A D1R (2018 RP profile) 339dm / 3.8y WAL, whilst Crescent Cap’s ATCLO 2019-15A D props up the wide end 499dm / 8.1y WAL – with the weaker metrics a low MVOC 106.7 and high cov-lite 41% with other metrics clean.

    EUR MEZZ/EQUITY CLO

    There are 6 x BBB, 10 x BB & 2 x B trades today. The BBBs have traded in a range from 360dm to 420dm. The two tightest trades at 360dm and 380dm are PENTA 2015-2X DRNE and TIKEH 2015-1X DRE which are also the two with the lowest Jnr OC cushions – both quite close to breaching. However on the other hand they are also the two shortest WALs.

    There are 10 x BB. Their trading range is from 650dm to 740dm but with one outlier. PURP 2X E managed by Natixis AM traded at 790dm. MVOCs range from around 103.2% to 106% and Jnr OC cushions are mostly between 2% and 4% although JUBIL 2014-14X E has only 0.6%.

    The 2 x Bs traded around 860dm. They are both pretty clean deals with MVOCs around 102%.


  • 8 September 2020

    USD CLO AAA

    The first day back post Labor day saw lighter flows with 6 covers – 3 x AAA and 3 x BB.  The AAAs continue to trade tight 126dm-138dm (2020/2023/2024 RP profiles) versus 115dm-150dm spread post month end.  At the tight end is Symphony’s SYMP 2018-19A A 126dm / 4.2y WAL – MVOC 146.7, 0.85 ADR, Sub80 8.6, IDT cushion 2.7 and CCCs 8.8 which are all reasonable metrics.  At the ‘wider’ end is CSAM’s MDPK 2019-37A A1 138dm / 5.2y WAL – again not too much weak fundamentally with MVOC 152.6, Sub80 3.7, ADR 0.8, IDT cushion 2.2 with only CCCs high at 15.5 from a benchmark manager. 

    USD CLO Mezz/Equity

    The BBs trade 894dm-1025dm across 2021-2023 RP profiles versus 730dm-1230dm context for these profiles over the past 10 days.  At the tight end is Investcorp’s JTWN 2018-11A D 894dm / 7.3y WAL – 101.5 MVOC, 7.97 Sub80, 0.95 ADR, IDT cushion 2.26, Jnr OC cushion 3.26 and zero cov-lites.  Whilst at the wide end is SoundPoint’s SNDPT 2016-3A E 1025dm / 5.14y WAL – reasonable fundamentals MVOC 100.8 lower, Sub80 4.3, ADR 0.9, lower IDT cushion 0.98 and a lower Jnr OC cushion 1.98 whilst the manager’s record is slightly weaker vs peers.

    EUR AAA CLO

    After a few days without any BWIC trades we have some today. There are 4 x AAA today. Two of them are post COVID deals (issued in the last 2 months by Albacore and New York Life) and have stated margins around 155bps. The other two are seasoned deals with margins around 85bps. The two seasoned deals traded around 130dm for 1.4yr WAL. The two recent deals traded around 185dm for 2.8yr WAL. The spreads just given are if you run the bonds to maturity. In reality there is a lot of call risk and their prices have been limited to a little over par. One of the seasoned deals, JUBIL 2015-15X AR, is not that clean with a Jnr OC cushion which has breached at -0.14%.

    EUR MEZZ/EQUITY CLO

    The 1 x AA is CGMSE 2018-1X A2A which traded at 198dm. This is inspite of having a relatively low Jnr OC cushion at 0.84%.

    The single A, HARVT 19X C, traded at 264dm.

    2 x BBB traded around 430dm. They are both clean deals.


  • 3 September 2020

    USD CLO AAA

    12 covers today – 8 x AAA, 1 x A, 3 x BBB.  The AAAs trade 116dm-159dm across 2019-2023 RP profiles, versus 105dm-178dm over the past week (125dm-140dm since month end).  So the outlier trade today is Zais’s ZAIS8 2018-1A A 159dm / 2.4y WAL – weak MVOC 137.8, high Sub80 20.7, high ADR 4.7, no Int Div cushion -5.3, 2.6% 2nd liens and no Jnr OC cushion -4.3.

    USD CLO Mezz/Equity

    The single-A is OFS’s OFSBS 2017-1A C 316dm / 5.7y WAL (2021 RP profile), which trades wide to 275dm-300dm overt the past 2 weeks – the bond has a weaker MVOC 111.4 (vs 112-113 benchmark), cuspy IDT cushion 0.04 & Jnr OC cushion 1.04 and a neg par build -0.69.  Away from that the stats on this bond look steady and not far off peers.  The BBBs trade 441dm-596dm (all 2024 RP profiles), we haven’t seen this cohort trade since 26th August but these have traded 400dm-550dm for the last 2 weeks of August.  So DFG’s VIBR 2016-4A DR is the outlier with a cover 596dm / 8.2y WAL – MVOC is low 103.3, high Sub80 10, high ADR 1.8 whilst IDT/Jnr OC cushions are cuspy.

    EUR MEZZ/EQUITY CLO

    The one BB today, BLUME 2017-2X E, traded at 647dm which is a bit wider than where we had our curve. The deal is performing well with an MV OC of 106.5% and a Jnr OC cushion of 4%.

    The 3 x B all traded around 960dm demonstrating a pretty flat term structure because they varied in AL from 9yrs to 11yrs.

    There are 3 equity trades. They range in dollar price from 38 to 65 and in yield from 2% to 8%. The NAVs range from 7 to 27.


  • 2 September 2020

    USD CLO Mezz/Equity

    19 covers today, all mezz – 3 x AA, 1 x A, 7 x BBB and 7 x BB.  The AAs trade in a very narrow dispersion 189dm-191dm (2022-2024 RP profiles) and firmly within a 180dm-200dm range since month end.  The single-A trade today is HIG WhiteHorse’s WITEH 2014-1A CR 278dm / 2.2y WAL, a very rare 2018 RP profile and compares favourably with single-A trades in 260dm-330dm context since month end, there are some credit issues (ADR 2.6, CCC 23, WARF 3943) but MVOC is strong (127) as the deal deleverages post EoRP.  The BBBs trade 388dm-573dm across 2018-2022 RP profiles, with trading since mid-August in 330dm-630dm context, at the tight end is Ares’s ARES 2015-4A CR small clip trades 388dm / 6.4y WAL with good metrics – 0.42 ADR, 6.45 Sub80, 107.1 MVOC.  At the wide end is Man Group’s GLGU 2018-2A CR also a small clip that trades 573dm / 4.94y WAL – weaker MVOC 105, higher ADR 1.9 and 9.0 Sub80.  The BBs trade 670dm-1063dm across numerous RP profiles (2018-2024) trading more or less in line with a 760dm-1030dm range over the past 10 days in the same cohort.  Thus the outlier is at the tight end which is Invesco’s RCTTE 2015-1A E 670dm / 4.7y WAL, this bond is post EoRP and hence shorter dated but has the luxury of a stronger MVOC 104.9 but also a 0.74 ADR and low Sub80 4.3 from a benchmark manager.

    EUR AAA CLO

    The one AAA today, DRYD 2013-29X ARR traded at 139dm / 3.7yr which we see as around 8bps tighter than the AAA curve we had.

    EUR MEZZ/EQUITY CLO

    There are 5 x BBB. There is quite a dispersion in spreads. The deals performing well eg the two Avoca deals have traded around 340dm which is a tightening on our curve. On the other hand the Bain and Black Diamond bonds have traded between 470dm and 520dm. The Bain and Black Diamond bonds have MV OCs around 109% compared to Avocas at around 113% and have Jnr OC cushions around 1.5% compared to Avocas around 4.5%.

    There are 6 x BB. Again spreads reflect an emphasis on credit quality. The two cleaner bonds, Sound Point and CVC, traded around 715dm even though they are longer at approx. 9yrs. The three less clean bonds, both Bain’s and Harvest, traded around 770dm for 7.3yr WAL. The less clean bonds have MV OC around 103% versus 106% for cleaner and Jnr OC cushion around 2% versus 3.5%.

    There are also 4 x equity trades. According to our scenarios 3 of them were at yields of around 5% but BABSE 2015-1X SUB was at 22%. NAVs have all increased from where they were a few months ago and all are now positive, between 10 and 20. Traded prices ranged from 35 to 68. Full bond by bond details can be found in our archive.


  • 1 September 2020

    USD CLO AAA

    First trading day of the month has 18 covers, all IG – 10 x AAA, 4 x AA, 4 x A.  The AAAs trade 124dm-139dm, with TCW’s TCW 2019-1A A 124dm / 2.4y WAL at the tight end – strong MVOC 156.5, low ADR 0.46, Sub80 5.4.  The remainder of 1st pay AAA trades today have clean metrics and these are supported by firmer trading context, ie. no trades > 140dm.

    USD CLO Mezz/Equity

    The AAs trade 187dm-204dm in line with 175dm-200dm trading context at month end.  Once again, trades are in a narrow dispersion given clean metrics.  The single-As trade 263dm-333dm versus 205dm-310dm context over the past 10 days.  Therefore the outlier trade today is ArrowMark’s AWPT 2013-1A BR2 333dm / 6.8y WAL – low MVOC 112, high Sub80 9.6, CCC 11, neg par build -1.6 and manager performance slightly weaker than peers.  This is also a 2024 RP profile which have traded 260dm-310dm since mid August with MVOCs > 115.


  • 31 August 2020

    USD CLO Mezz/Equity

    6 covers today, all AAs that trade firmer and in a narrower dispersion 174dm-203dm versus a 180dm-240dm range over the past week.  At the tight end is a benchmark manager CIFC CIFC 2014-4RA A2 174dm / 4.7y WAL trades c.15bps tight to similar 2021 RP recent cohort despite the high ADR 1.4 and 8.3 Sub80.  The MVOC is strong 121.5 and the manager’s overall record is excellent.  At the wide end is Carlyle’s CGMS 2014-4RA A2 203dm / 6.2y WAL – high ADR 3.4, 9.5 Sub80 and weaker MVOC 119.4 despite the more conservative WARF 2938, whilst the manager’s record is weaker to peers.


  • 28 August 2020

    EUR AAA CLO

    3 x AAA trades today. All three traded between 142dm and 146dm which is about 6 bps tighter than the last AAA levels we had seen. They are all around 3yr WAL. All three bonds have high MVOCs, at around 160%.


  • 27 August 2020

    USD CLO AAA

    37 covers today – 18 x AAA, 2 x AA, 4 x BBB and 13 x BB.  The AAAs trade in a more uniform fashion and in a tighter dispersion than yesterday 118dm-147dm.  The tight end is made up of a cluster of shorter dated RP profiles (2019-2021) that trade 118dm-130dm.  The wider end is made up of later RP profiles (2022-2025) that trade 130dm-147dm.

    USD CLO Mezz/Equity

    The AAs did not trade but are benchmarked to best prices received 179dm-225dm (2019/2024 RP profiles), Trimarin’s CAVU 2019-1A B benchmark dm 225dm / 7y WAL is at the wider end of 190dm-230dm recent context.  The BBBs trade 360dm-399dm (2022/2023 RP profiles) which is tight to recent 380dm-480dm context.  However there is a BBB outlier trade Marathon’s MCLO 2015-8A CR 861dm / 7.5y WAL, this bond has a MV shortfall with MVOC 99.97, high ADR 3.24, high Sub80 13.6, neg par build -2.5 and CCC 11.3.  The BBs trade 824dm-1235dm in line with recent trading context 760dm-1300dm, at the wide end MVOC shortfalls pull bonds north of 1000dm with severity driven by ADR and Sub80 concentrations.

    EUR AAA CLO

    1 x AAA, CONTE 8X A, has traded at 100.61 / 173dm. It is a high margin AAA at 145bps over floored Euribor, which limits it premium price and leads to a high DM to maturity.

    EUR MEZZ/EQUITY CLO

    There is 1 x BBB. CORDA 16X D traded at 447dm. This looks about 20bps wider than the last BBBs we saw.

    The 2 x BBs traded around 750dm.


  • 26 August 2020

    USD CLO AAA

    51 covers today – 28 x AAA, 7 x AA, 6 x A, 5 x BBB and 5 x BB.  The AAAs trade 104dm-178dm across a spread of RP profiles (2018-2024) versus 130dm-190dm trading context over the past week.  At the tight end is a short dater from Onex OCP 2015-9A A1R 104dm / 1.46y WAL with EoRP a year back and MVOC naturally high >200%.  At the wide end is Eaton Vance’s EATON 2018-1A A2 178dm / 5.47y WAL (2023 RP profile) with only a high ADR metric of 1.54 appearing out of line with comps today.

    USD CLO Mezz/Equity

    The AAs trade 187dm-237dm (2021/2023 RP profiles) versus 195dm-225dm recent context in this cohort.  At the tight end is CSAM’s MDPK 2015-19A A2R2 187dm / 3.96y WAL with a low ADR 0.47 but high Sub80 10.4 / WARF 3532 / CCC 17.8 having less impact upon the trading level.  At the wide end is Bardin Hill’s HLA 2018-1A A2 237dm / 6y WAL – high ADR 1.8, low MVOC 120 and neg par build -0.88.  The single-As trade 206dm-266dm which is a shade tighter to recent trading context 220dm-310dm, at the tight end is Onex’s OCP 2015-8A BR 206dm / 3.7y WAL which is a short dater (EoRP 2019).  The BBBs trade 379dm-485dm which are in line with recent 330dm-500dm trading context, with Wellfleet’s WELF 2017-3A C 485dm / 6.24y WAL at the wide end driven mainly by MVOC metrics (104.9) and Sub80 high at 10.5.  The BBs trade 765dm-913dm (2024 RP profiles) bang in line with recent trading context 770dm-900dm.

    EUR AAA CLO

    There are 6 x AAA today which have traded in a range from 137dm to 153dm. They are all between 3 and 4 yrs WAL and from a credit point of view they are all quite similar too. If you had to pick one it might be ALME 4X AR (Apollo) which has a higher MVOC at 156.44% and a good Jnr OC cushion at 4.35%. This one was the tightest trade at 137dm.

    EUR MEZZ/EQUITY CLO

    There are 8 x AA trades. These ranged from 181dm to 212dm. The noticeably long bond of the group is AVOCA 17A B1R with a WAL of 7yrs (vs around 4.5yrs for the others) and this traded at 212dm. It also has the highest stated margin at 170bps but of course its dollar price is limited to M99h.

    The 2 x BBBs, both from Avoca, traded around 378dm.

    The 2 x BB traded around 700dm.


  • 25 August 2020

    USD CLO AAA

    34 covers today – 12 x AAA, 2 x A, 4 x BBB, 15 x BB and 1 x B.  The AAAs trade 131dm-147dm across 2021-2025 RP profiles, with the ADRs on these more or less normalised vs ADRs well in excess of 1% seen on recent AAAs in this cohort that have traded >150dm.  Furthermore MVOCs today are hitting 150 which is also supportive of the tighter DMs today, whilst a HalseyPoint HLSY 2019-1A A1A1 trades at the wide end today 147dm / 5.84y WAL, this is from an inexperienced manager with only 1 CLO under management.

    USD CLO Mezz/Equity

    The AAs trade 258dm-279dm (2022/2023 RP profiles) versus recent trading context 230dm-280dm, notably the ADRs are high today (1.3 to 2.1) along with CCCs 8-14 whilst MVOCs healthy at 113 but the market is able to absorb at recent context.  The BBBs trade 361dm-448dm (2021-2023 RP profiles) versus recent volatile context in this cohort 330dm-660dm, with ADRs >1 and MVOCs <106 driving the wide end into 4-handles, Octagon’s OCT17 2013-1A DR2 covers 448dm / 6.8y WAL – ADR 1.23, MVOC 105.4 and CCC 12 vs Blackrock’s MAGNE 2012-7A CR2 cover at the tight end 361dm / 5.5y WAL – ADR 0.48, MVOC 106.8, CCC 8.7.  The BBs trade 781dm-1299dm across 2021-2025 RP profiles which runs in line with recent trading context 730dm-1400dm.  At the wide end, 2 bonds trade north of 1000dm with MVOC shortfalls (98.2-99.2 MVOC) as the key driver (see PriceABS for full details).  There is a single-B trade from HalseyPoint HLSY 2019-1A F covers 1174dm / 8.4y WAL – the bond has MVOC coverage (102.6) and otherwise clean metrics (ADR 0, par build +0.14, 3.3 Sub80 and 5 CCC).  With single-Bs this month trading 850dm-1700dm this is at the tight end from a rare 2025 RP cohort not seen this month till now.