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
  • 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.


  • 24 August 2020

    USD CLO AAA

    14 covers to kick off this week – 5 x AAA, 4 x A, 2 x BBB and 3 x BB.  The AAAs trade in a tight dispersion 156dm-164dm across 2020-2024 RP profiles, with the slightly softer levels driven by a cluster of higher ADRs 1.4+ and in some cases eg. VENTR 2014-19A ARR 158dm with a 2.4% ADR.

     

    USD CLO Mezz/Equity

    The single-As trade 219dm-256dm across 2019, 2020 and 2025 RP profiles with clean metrics across these deals, trading tighter to recent 230dm-270dm trading context.  The BBBs trade 435dm-494dm (2024 RP profiles) sitting in the middle of 380dm-550dm trading context this month to date in this profile.  The BBs trade 809dm-943dm (2023 RP profiles), again in the middle of recent trading context 730dm-1100dm.  At the wide end today is LCM’s LCM 16A ER2 943dm / 7.3y WAL driven by the MVOC that barely creeps over par at 100.3 and weaker manager metrics vs peers.

    EUR MEZZ/EQUITY CLO

    Just the 2 x BB trades today. The slightly shorter bond, HARVT 12X ER, traded at 739dm / 7.11yrs. The other bond, BECLO 1X ER, traded at 660dm / 7.99yrs. The BlackRock bond is a little better performing: it has an MV OC of 105.37% vs 103.87% and its Junior OC cushion is 3.95% vs 2.76%.


  • 21 August 2020

    USD CLO Mezz/Equity

    Just two covers today, but sub-IG.  A 2023 RP profile single-B from TPG TICP 2016-5A ER covers 782dm / 7.35y WAL versus 730dm-1300dm context this month to date, this is therefore at the tight end and backed up by clean metrics – MVOC 102, 0.44 ADR, 3.6 Sub80 and good manager metrics.  The single-B is a 2021 RP profile from Allstate AIMCO 2017-AA F cover 1104dm / 5.6y WAL versus an 850dm-1740dm trading range in this cohort this month, the bond is again clean with 0.35 ADR, MVOC 101.3, 5.5 Sub80.

    EUR MEZZ/EQUITY CLO

    Just 1 x A trade today. EGLXY 2018-6X C (Pinebridge) traded at 257dm. It has an MV OC of 121.45% and a Junior OC cushion of 3.94%, both of which are quite respectable.


  • 20 August 2020

    USD CLO AAA

    50 covers today across the capital stack – 24 x AAA, 6 x AA, 2 x A, 3 x BBB and 15 x BB.  The AAAs are all 1st pay and trade 131dm-192dm with an outlier trade Ellington’s ECLO 19-4A A covers 324dm / 2.3y WAL – very weak metrics par build -3.7, ADR 12.3, Sub80 assets 37.2, 5104 WARF and 30% CCC.  For the remainder the trading range is 131dm-192dm with bonds at the wide end (177dm-192dm) suffering from MVOCs in 136-139 context versus 140+ for the main part.

    USD CLO Mezz/Equity

    The AAs trade 196dm-225dm across 2022/2023 RP profiles versus 185dm-240dm this month to date for this cohort.  The single-As trade 301dm-311dm for a 2021 and 2024 RP profiles versus a 240dm-340dm trading range this month so once again in the range.  The BBBs trade 327dm-432dm (2021/2023 RP profiles) which is at the tighter end of a 330dm-660dm trading range this month, the 3 bonds today have clean metrics (ADRs<1, Sub80s <7, CCC<12).  The BBs trade 735dm-1095dm, across 2021-2024 RP profiles, at the tighter end of a 750dm-1500dm trading range in these cohorts this month, at the wide end is Sound Point’s SNDPT 2017-4A D 1095dm / 6.73y WAL – weaker ADR 0.97, MVOC is below par 99.45 and CCC is 13 with neg par build -1.06.

    EUR MEZZ/EQUITY CLO

    Just 1 x AA trade today. CORDA 7X B1R traded at 219dm. It’s Junior OC cushion is 2.78% which is middle of the range for this metric and this bond has traded in line with recent levels.


  • 19 August 2020

    USD CLO AAA

    A busy day with 41 covers – 10 x AAA, 14 x A, 15 x BBB, 1 x BB and 1 x B.  The AAAs trade 127dm-148dm across 2020-2021 RP profiles versus 120dm-160dm context this month to date.  At the wide end of the range is Sculptor’s OZLMF 2013-4A A1R 148dm / 3.7y WAL – high ADR 1.21, high Sub80 10.6, high CCC 14.1.

    USD CLO Mezz/Equity

    The single-As trade 230dm-298dm across 2020-2025 RP profiles, this compares to 230dm-330dm context this month to date so no material outliers, however it is worth noting that CSAM’s MDPK 2018-32A C covers 298dm / 6.8y WAL with a high CCC 14.9%.  The BBBs trade 352dm-664dm across a wide spectrum of RP profiles, versus 375dm-440dm recent context.   There are a number of outliers today outside this context, the majority driven by low MVOC levels (102-105 area), very high ADRs (>1% and 4.7% at the wide end) and CCC buckets into the late teens%.  The BB is Steele Creek’s STCR 2014-1RA E 1388dm / 6.2y WAL (2022 RP profile) wide of 900dm-1200dm context this month for this cohort, this is accounted by a high ADR 1.5, hgh Sub80 14.9 and a 15.5% CCC.  The single-B is a downgraded BB tranche ANCHC 2014-5RA E (Anchorage) 853dm / 6.13y WAL (2021 RP profile) trading like a BB, with a recent similar (but not downgraded) Pacific AM BB trading 840dm.

    EUR MEZZ/EQUITY CLO

    Just 5 x BB trades today. The Barings deal, BABSE 2018-3X E, is not as clean as the others. It has a Junior OC cushion of 0.11% compared to around 4% for the others and its MVOC is also low at 103.1%. The others traded between 680dm and 780dm whereas the Barings deal traded at 845dm.


  • 18 August 2020

    USD CLO AAA

    32 covers today – 17 x AAA, 1 x AA, 1 x A, 2 x BBB, 10 x BB and 1 x B.  The AAAs trade 131dm-164dm across 2021-2025 RP profiles, at the tight end is LCM’s LCM 14A AR 131dm / 4.31y WAL from a liquid 2023 RP cohort – despite a mediocre MVOC 141.6 and 0.72 ADR, the diversity is high 92 and CCC’s are much lower at 5.7% with peers into low-double digits and some into mid-late teens%, furthermore LCM’s manager record is superior to its peer group so supportive of the tight DM.  Conversely at the wide end is Trinitas’s TRNTS 17-7A A 164dm / 3.6y WAL (2022 RP profile) with a high ADR 1.86, high WARF 3401 and high CCC 14% counteracting the 144.2 MVOC which is better than the LCM bond.

    USD CLO Mezz/Equity

    The AA is Investcorp’s JTWN 2019-14A A2 226dm / 7.02y WAL which sits in the middle of a 190dm-240dm range this month to date for 2024 RP profiles.  The single-A is Oak Hill’s OHALF 2015-1A CR2 263dm / 7.6y WAL which is at the tight end of 2024 RP profiles this month that have traded 250dm-300dm context – the metrics are in general good with CCC only at a high level 17.4 as a blend across CRAs.  The BBBs trade 375dm-394dm (2023 RP profiles) which is at the tight end of a 360dm-490dm trading range this month to date in this liquid RP cohort, the metrics on both bonds look healthy (see PriceABS trade log for details).  The BBs trade in a wide dispersion 809dm-1276dm given the bonds are across 2019-2024 RP profiles, these are more or less in line with 750dm-1300dm trading context this month to date.  The sole single-B trade today is Eaton Vance’s EATON 2015-1A FR 1241dm / 8.3y WAL (2023 RP profile) which sits in the middle of 1000dm-1400dm context this month to date – ADR is a touch high 1.07 but lower than its record across CLOs, Sub80 is sound 6.15, CCCs 9.1, MVOC is just covering at 100 whilst the manager’s record is close to its peers.

    EUR MEZZ/EQUITY CLO

    There are 19 trades today. Starting with the 4 x AA, they have all traded between 215dm and 224dm. All the deals are clean with Jnr OC cushions in the 3% to 4% range.

    Of the 6 x A trades, five of them have traded around 320 to 330dm. One of them, CONTE 5X C, traded at 267dm. It doesn’t look exceptional in terms of its performance but it is 1 to 2 years shorter and it has approx. 100bps less stated margin than the others.

    The 2 x BBB traded around 385dm. Both deals are in good shape.

    There are 7 x BB trades. 6 of them have traded between 680dm and 730dm. One of them, CFOUR 1X E, traded at 773dm. It is quite a long bond at 9.5yrs WAL but the main reason it will have traded wider is because it is a high margin bond at 647bps which is also a reflection of the fact that Capital Four is a relatively new manager.


  • 17 August 2020

    USD CLO AAA

    26 covers to start the week – 9 x AAA, 5 x AA, 6 x A, 2 x BBB and 4 x BB.  The AAAs are all 1st pay trading 120dm-151dm across 2018-2024 RP profiles which are not out of line with recent trading.  However at the tight end are short daters (both post RP end) from MJX VENTR 2015-20A AR 120dm / 1.32y WAL (2019 RP profile) and Allstate AIMCO 2015-AA AR 121dm / 1.56y WAL (2020 RP profile).

    USD CLO Mezz/Equity

    The AAs trade 187dm-245dm across wide RP profiles (2020-2024), at the tight end is PGIM’s DRSLF 2019-76A B 187dm / 7.3y WAL (2024 RP profile) which trades tight to 190dm-200dm context this month.  At the wide end is OAKTA 2016-IIIA B (Oaktree) 245dm / 3.5y WAL (2020 RP profile) carrying a high ADFR 1.41 as the notable outlier.  The single-As trade 232dm-283dm (2021/2023 RP profiles) with Carlyle’s CGMS 2013-2A CR propping up the wide end 283dm / 5.25y WAL with weaker stats (1.2 ADR, 110.9 MVOC, 9.1 Sub80, 9.1 CCC).  The BBBs (2021-2024 RP profiles) trade 375dm-437dm, in line with recent trading, at the wide end is Anchorage’s ANCHC 2016-9A DR 437dm / 8.03y WAL – high ADR 1.0, high Sub80 8.98, high WARF 3460.  The BBs trade 784dm-905dm (2023/2024 RP profiles) versus recent trading in 750dm-1150dm context, at the wide end is Bain’s BCC 2019-1A E 905dm / 7.74y WAL with fundamentals in line with only MVOC 101.2 low versus peers in 103 context.


  • 14 August 2020

    EUR AAA CLO

    The 2 x AAA today traded around 145dm.

    EUR MEZZ/EQUITY CLO

    The AA, CLRPK 1X A2R, traded at 217dm which is wider than recent trades which were more like 190s dm.

    In equity, HLAE 2014-1X SUB traded at 30.13 / 16.2% yield. Its NAV is -16.

    CRNCL 2014-4X SUB traded at 40.26 / -0.8% according to our scenario. Its NAV is 16.8.


  • 13 August 2020

    EUR MEZZ/EQUITY CLO

    There are 2 x BB & 1 x equity today. The two BBs today are Arbour 7 and Vesey Park 1. The Vesey Park bond has the stronger credit metrics: MVOC of 107.27 vs 105.31 and Jnr OC cushion of 7.49 vs 4.29. However Arbour 7 has the lower coupon and thus has traded tighter: 763dm vs 799dm. As bonds have come back to trading closer to par we are again seeing some probability of refi being priced into their values.

    The equity is SPAUL 10X SUB and it traded at 57.50 / 2.85%. Its NAV is 26.1 and the pool is pretty clean, containing just Technicolor.


  • 12 August 2020

    EUR AAA CLO

    There are 3 x AAA today. SPAUL 3RX AR traded on the tight side of recent levels at 149dm but it is quite short at 3.32yrs. GRANH 2019-1X A and BLACK 2019-1X A1 traded quite wide at around 185dm.

    EUR MEZZ/EQUITY CLO

    There are 5 x AA. Four of these deals have passed their RPE Date and are already in paydown. Depending on their WALs their spreads range from 170dm to 210dm. The only deal still reinvesting is CGMSE 2015-1X A2AR and in fact it has a long RPE date of July 2024. This bond traded at 239dm.

    There are 5 x A. Three of these trades took place at around 95 dollar price and they traded around 305dm. The other two traded at a premium and therefore much wider at around 360dm.

    There are 4 x BBB. The tightest trade is NWDSE 2019-19X D (Northwoods by Angelo Gordon) which traded at 483dm / 8.08yr. This deal is in the best shape. Its MVOC is 113.09 versus 110 average for the others and its Junior OC cushion is 5.60% versus around 1% for the others. Next tightest is NEWH 1X DR (Bain) which traded at 508dm / 5.96yr. Its credit metrics are average, not exceptionally good but it does have a relatively short WAL. The other 2 BBBs traded around 560dm.


  • 11 August 2020

    EUR AAA CLO

    A busy day today. There are 4 x AAA. They are tightly grouped between 155dm and 162dm. These are unchanged from recent trading levels.

    EUR MEZZ/EQUITY CLO

    The only AA, FOAKS 2A B1, traded at 309dm. This is a lot wider than the 210bps over floored Euribor that new deals have been pricing at, which is explained by the high dollar price that would have generated. As it is it traded at 100.67.

    There are 11 x A. They have traded in a range from 270dm to 340dm. These are all discount price trades and are in line with new issue levels of floored Euribor + 280bps.

    There are 8 x BBB. The bulk of them have traded between 410dm and 420dm (cf new pricing of floored Euribor + 380bps). One bond traded tight, ELMP 1X CRE, at 357dm. This bond has started paying down and has a short average life. Two bonds traded wide at around 480dm. Both are from the Toro shelf. They both have MVOCs on the low side (110.85) and Jnr OC cushions on the low side (around 2%).

    The 2 x BB both traded at 840dm (cf new issues at floored Euribor + 670dm).

    The single B, CONTE 2X FR, traded at 874dm. This is a very flat credit curve between BB and single B, based on these trades.

    There are 5 x equity. JUBIL 2016-17X SUB traded at 30.29 / 0.91%. Its NAV is -9.2. CGMSE 2013-1X S1 traded at 31.00 / 8.49%. Its NAV is -7. BABSE 2014-2X SUB traded at L30s / 13.68% with a NAV of 0.1. BECLO 3X SUB traded at 45.31 / 6.64% with a NAV of 16.7. CADOG 12X SUB traded at 59.27 / 5.2% with a NAV of 5.2.


  • 7 August 2020

    USD CLO Mezz/Equity

    A quiet end to the week with 7 covers which in general suggest a continued tightening tone – 4 x A and 3 x BBB today.  The single-As trade 248dm-362dm.  The 2023/2024 RP profile single-As trade 248dm-306dm tighter to 280dm-320dm recent context.  At the wide end of today’s single-A trades is a shorter dated WAMCO CLO MHAWK 2014-3A C 362dm / 3y WAL wide to recent trading in vh200s context, the metrics are weaker with 2.56 ADR, 11.2 Sub80, 3823 WARF, 10.3% CCC and a neg par build -3.07.  The BBBs trade 394dm-440dm given across wide RP profiles, with the most liquid BBB cohort the 2024 RP profiles Canyon Cap’s CANYC 2019-2A D covers 424dm / 8.31y WAL which is at the tighter end of recent context 400dm-470dm, the metrics look clean (ADR 0.7, Sub80 3.85, WARF 2901, CCC 5.3).

    EUR MEZZ/EQUITY CLO

    There are just 1 x BB & 2 x B today. The BB is CADOG 5X ER which traded at 763dm which is in line with recent levels.

    The single B’s traded between 980dm and 1000dm. We haven’t seen any single B’s trade by BWIC for a while so this is useful colour.


  • 6 August 2020

    USD CLO AAA

    23 covers today across the capital structure.  The 2 x 1st pay AAAs trade 152dm-158dm (2019/2021 RP profiles) more or less in line with post month end comps 150dm-155dm in these cohorts.

    USD CLO Mezz/Equity

    The AA trade is Seix’s MVEW 2019-2A B1 233dm / 7.56y WAL (2025 RP profile) which trades touch wide to 200dm-210dm context recently.  The metrics look reasonable with only the manager’s weaker record vs peers accountable for the softer level.  The BBBs trade 368dm-439dm (2018/2019 RP profiles), with no recent short dated (2018 RP profile) trades the only comps are for 2019 RP profiles that have traded 420dm-500dm context recently and CSAM’s MDPK 2015-16A C (2019 RP) covers at the tight end of this range 426dm / 3.5y WAL.  The  BBs trade in a large quantity today and therefore a wide dispersion 758dm-1531dm across 2021-2024 RP profiles with recent context 800dm-1800dm.  Breaking these down, at the tight end is Palmer Square’s PLMRS 2018-2X D 758dm / 7.6y WAL with very clean metrics (MVOC 103.3) and trades through recent tights.  At the wide end is MJX’s VENTR 2017-26A E 1531dm / 5.71y WAL (2022 RP profile) trading well wide to recent comps, the MVOC has a significant shortfall at 97.46 and negative par build -0.86.  The single-Bs trade 1229dm-1735dm (2021-2023 RP profiles) with recent trading context 1000dm-1400dm, with the outlier trade Investcorp’s JTWN 2017-10A E 1735dm / 5.5y WAL – 0.55 ADR, 8.1 Sub80, 7.7% CCC and neg par build -0.35 whilst most importantly the MVOC shortfall is significant at 98.74 for a thin second loss piece.


  • 5 August 2020

    USD CLO AAA

    19 covers today – 13 x AAA, 3 x AA, 1 x A, 1 x BBB and 1 x B.  There is one 2nd pay AAA from Angelo, Gordon WOODS 2018-12BA A2 (2023 RP profile) covers 190dm / 4.5y WAL tighter than a Trimarin 2nd pay AAA cover at the end of July in 208dm context (2024 RP profile), despite the Angelo, Gordon bond having some credit issues (Sub80 12.6, CCC 13.1).  The 1st pay AAAs trade 117dm-161dm, PGIM’s DRSLF 2018-64A A covers tight to maket 117dm / 4.34y WAL with metrics slightly weak to average (MVOC 143.5, ADR 1.33, CCC 10.3) this appears an outlier trade at the tight end of the scale.  However other 2023 RP profile AAAs trading 144dm-149dm with a better MVOC but reporting significantly worse ADRs (1.6 to 3.2) this appears to be the rationale.  We have not seen ADRs this high for so many bonds for a while, so it appears some of the data is now reflecting further weakening of fundamentals. 

    USD CLO Mezz.Equity

    The AAs trade 198dm-238dm (2022/2024 RP profiles), broken down the 2022 RP profiles trade 214dm-238dm versus 220dm-250dm context over the past week.  The single-A trade OCP 2015-9A BR (Onex) covers 240dm / 4y WAL (2019 RP profile) which is a fairly rare profile and hasn’t traded in the past 3 weeks.  The BBB is also from PGIM DRSLF 2014-33A DR2 cover 481dm / 5.53y WAL (2021 RP profile) trading at the wide end of a 410dm-500dm range over the past 10 days, the bond has relatively clean metrics.  The single-B is CIFC 2015-1X FRR cover 1371dm / 7.7y WAL (2023 RP profile) and trades back to CIFC 2018-3A F at the end of July 1248dm / 8.4y WAL which had a MVOC at par whilst todays bond has a 99 MVOC with other metrics reasonable.

    EUR MEZZ/EQUITY CLO

    There are 6 x BB & 6 x equity today. The BBs have mostly traded in a range from 720dm to 760dm but there are a couple of wider trades. HARVT 21X E traded at 805dm and TIKEH 2X E at 863dm. The Tikehau bond does have a slightly lower MVOC than the other trades (103.34 vs 104.50 to 106.00) and it does also have the lowest Junior OC cushion at 2.70.

    A lot of equity has traded today. GLGE 2X SUB traded at 15.78 / 20.98%. Defaulted items in the pool are CMCRAV (Italian cement company), SGB-SMIT & Takko. The NAV is -11.0. Its Fitch CCC bucket is 8.95% and its Junior OC cushion is low at 0.55%. It is only just passing its Reinvestment Test (by 5bps) and the previous month was in breach.

    CGMSE 2015-2X SUB traded at 29.76 / 15.58%. Its NAV is 6. Defaulted items are New Look, Technicolor, Takko and Hema BV.

    BABSE 2018-3X SUB traded at 40.09 / 12.34%. Its NAV is 1. It contains Travelex, SGM-Smit, Technicolor and Takko. Its Jnr OC cushion is very low at 0.11%.

    CONTE 2X SUB traded at 45.37 / 10.73%. Its NAV is 25. It is a clean pool without any defaulted items.

    BECLO 8X SUB traded at 57.78 / 2.4% and its NAV is 18. There are no defaulted items in the pool although there is one distressed name being Swissport.

    VOYE 1X SUB traded at 63.58 / 4.4% and its NAV is 15. It contains SGB-Smit but otherwise is clean.


  • 4 August 2020

    USD CLO Mezz/Equity

    2 covers today, both mezz – 1 x BBB and 1 x BB.  The BBB is CFI’s CFIP 2014-1A DR cover 617dm / 5.6y WAL (2021 RP profile) trading at the wider end of a 400dm-630dm range over the past few days – ADR is high 1.01 and CCC is high 8.7% whilst MVOC is lower (103.6) than peers and the manager is less experienced despite the decent track record over 4 CLOs.  The BB is Anchorage’s ANCHC 2014-4RA E cover 884dm / 6.2y WAL (2022 RP profile) which trades a touch wide to a 810dm-850dm range over the last few trading days in this cohort – ADR is high 1.15, Sub80 is high 9.8, MVOC is healthy 101.8 for a BB tranche and CCC is >threshold at 7.8% whilst Anchorage’s manager record is slightly below its peers.

    EUR MEZZ/EQUITY CLO

    We have 1 x A, 4 x BBB & 1 x BB today. The single A, JUBIL 2013-10X C1R, traded at 321dm. This is about 20bps wider than last week, when even a GLG bond traded at only 340dm.

    Of the 4 x BBB, three of them have traded around 450dm. One of them, BCCE 2018-2X D (Bain), traded at 513dm. These levels are in line with last week.

    The BB, MDPKE 14A EN, traded at 793dm which is within the range of traded levels last week.


  • 3 August 2020

    USD CLO AAA

    With month end out of the way and summer break there were only 5 covers today, all 1st pay AAAs.  The trading range is 147dm-155dm.  The 2022 RP profiles traded in a narrow dispersion 147dm-149dm and trade tighter than the 150dm-180dm context seen over the past week in this cohort.  Finally a 2021 RP profile ALM 2012-7A A1A2 (Apollo) covers 155dm / 2.6y WAL which is bang in the middle of a 145dm-165dm trading range seen recently, the metrics look relatively clean on this bond with only ADR 0.9 and Sub80 10.5 slightly above average.

    EUR AAA CLO

    2 x AAA today. They have traded around 155dm which is about 10bps tighter than the end of last week.

    EUR MEZZ/EQUITY CLO

    One BB, CORDA 4X ERR, traded at 739dm / 6.7yrs. This is a lot tighter than last week’s levels which ranged from 775dm to 891dm.


  • 31 July 2020

    USD CLO AAA

    With month end today only 6 covers surfaced – 2 x AAA and 4 x AA.  The AAAs are recently closed pre-reporting CLO 3.0s that trade 205dm-208dm which shows tiering between post-covid high coupon AAAs that priced in early/mid June which are pre-trustee reporting that trade close to par versus legacy AAA that trades with a lower DM and further from par.  The 2 bonds have, given recent new issue, good metrics all round but note that manager records (WAMCO and Pretium) are below those of its peers.

    USD CLO Mezz/Equity

    The AAs trade 203dm-238dm with tiering as follows: 2025 RP profiles trade 203dm-204dm which are tight to 210dm-220dm recent context.  Whilst the 2022 RP profiles trade 218dm-238dm which again trade tighter to recent context 230dm-250dm.  Full bond details available on PriceABS trade listing.


  • 30 July 2020

    EUR AAA CLO

    2 x AAA today. They have traded around 165dm which is about 20bps wider than recent new issue pricing.

    EUR MEZZ/EQUITY CLO

    The 4 x AA trades have traded around 236dm.

    There are 4 x A trades. Permira and CVC traded around 265dm and Partners and Man GLG traded around 330dm. The Man GLG bond is weaker than the rest but the Partners bond is not.

    There are 4 x BBB trades which all traded around 480dm, again a lot wider than recent new issues.

    The 3 x B traded around 1150dm (recent new issue levels were reported by Bloomberg as being around 900dm).


  • 29 July 2020

    USD CLO AAA

    Less liquidity today as we go into month end with 13 covers – 2 x AAA, 6 x BBB, 4 x BB and 1 x Equity.  The 1st pay AAA ALLEG 2018-3A A (Axa) trades in line with recent levels 162dm / 4.8y-211dm, a 2nd pay AAA CAVU 2019-1A A2 (Trimaran) covers 211dm / 6.32y WAL which is at the wide end of a 180dm-220dm range for 2nd pay AAAs which haven’t been seen since June.

    USD CLO Mezz/Equity 

    The BBBs trade 408dm-527dm (2021/2024/2025 RP profiles) which is more or less in line with a 400dm-550dm range in this cohort.  There is an outlier trade OFSBS 2017-1X D (OFS Cap) 631dm / 5.8y WAL – a low MVOC 104.4, a higher CCC 7.4% and a marginally weaker manager record accounting for the wider DM.  The BBs trade unlike yesterday’s narrow range, today the range is 686dm-850dm for 2018/2019 RP profiles with only a 740dm comp middle of this month so these levels are in line, there is a significant outlier trade BLUEM 2013-1A DR (BlueMountain) 1803dm / 5.3y WAL – 1.7 ADR, 11.3 Sub80, 3548 WARF and 9.4% CCC along with a weaker manager record vs peers.  There is one Equity today, Sound Point’s SNDPT 2016-1A SUB that trades to 2.75y Cashflow, the NAV is negative, reinvestment has just ended but the AAAs have a low coupon +110 so there is small chance of near term refi/reset, the deal has strong metrics with 1.6% Int diversion cushion and 2.6% Jnr OC cushion signalling less chance of interest diversion whilst key metrics like ADR 0.59 and WARF 2871 mean the manager isn’t taking excessive risk so we feel comfortable there is at least 2y CF for equity.

    EUR MEZZ/EQUITY CLO

    Today there are 2 x A, 5 x BBB, 1 x BB, 3 x B & 1 x equity. The AAs traded around 280dm.

    The BBBs traded in a range from 470dm to 560dm.

    The BB, JUBIL 2019-23X E, traded at 891dm.
    Single Bs are around 1080dm to 1160dm.

    The equity piece, JUBIL 2013-10X SUB, traded at 18.26 / -12.11% yield. This is off our early crisis scenario. In terms of loan prices markets have mitigated hugely since then although many commentators do still believe that the eventual out-turn for CDRs will be as severe as originally forecast, which if that turns out to be true then these yields will be realistic. The NAV is zero.


  • 28 July 2020

    USD CLO AAA

    A more active day with 29 covers – 9 x AAA, 4 x AA, 6 x A, 9 x BB and 1 x B.  The AAAs are all 1st pay BSL CLOs and trade in line with recent comps 130dm-171dm, with an outlier trade ZAIS8 2018-1A A 251dm / 2.39y WAL which is a 2021 RP profile but has significant credit issues with 4.6 ADR, 24% Sub80, 3582 WARF, -1.85 par build and 14.4% CCC whilst MVOC is well below peers in the 140s/150s at 136.8.

    USD CLO Mezz/Equity

    The AAs again trade in a tight dispersion 209dm-227dm which is at the tight end of a 200dm-250dm range in the equivalent cohort this month to date.  The single-As trade 264dm-311dm (2021-2023 RP profiles) which is again in line with recent trading 280dm-320dm in this cohort, no outlier trades.  The BBs trade in a very tight dispersion today for the first time post-vol 809dm-853dm (2022, 2024, 2025 RP profiles) which is at the tight end of a 820dm-980dm trading range over the past 2 weeks excluding outliers.  There is an outlier trade today CRNPT 2018-7A E (Pretium) 1116dm / 7.84y WAL – MVOC <100 (99.95), high ADR 1.71, high Sub80 9.91, neg par build -0.78 and a manager record which is weak to peers explaining the wider DM.  One single-B trade today, Voya’s INGIM 2013-3A ER 1248dm, / 6.8y WAL (2023 RP profile) which is bang in line with single-B levels from this RP cohort this month.

    EUR AAA CLO

    There is 1 x whole AAA and 3 x Junior AAA trades today. The whole AAA is GLME 1X A1A and it traded at 159dm / 3.5yr. The junior AAAs all traded around 190dm / 6.1yrs. The junior AAAs have traded around 120% of the whole AAA spread.

    EUR MEZZ/EQUITY CLO

    There are 11 x AA trades. The bulk of them are between 215dm and 240dm. The DARPK 1 deal has started paying down which is why the AA has traded at 214dm.

    The BBB is ELMP 1X CR which traded at 370dm and this deal has also started paying down.

    The BB is SNDPE 2X E which traded at 775dm.


  • 27 July 2020

    USD CLO AAA

    15 covers to start the week off today – 1 x AAA, 2 x AA, 2 x A, 8 x BBB, 1 x BB and 1 x B.  The AAA is VOYA 2014-4A A1RA 164dm / 3.9y WAL (2023 RP profile) with this profile trading 155dm-175dm – the metrics are a little weak with ADR high 1.79, Sub80 high 10.6, neg par build -1.67 and manager record weaker to cohort.  Despite all this the trade is wide of the tights but within the middle of the recent trading range in this cohort.

    USD CLO Mezz/Equity

    The AAs trade 203dm-222dm (2020/2023 RP profiles) with these profiles trading 210dm-240dm over the past 2 weeks, at the tight end is a shorter dater OCT25 2015-1A BR that is past RP end in April 2020 and covers 203dm / 3.7y WAL.  The single-As trade 264dm-304dm (2020/21 RP profiles) with these profiles trading 295dm-325dm over the past 2 weeks, so these bonds trade through recent tights with the tight end again a short dater that is imminently ending reinvestment period and has clean metrics (ALM 2015-17A BR – see PriceABS trade listing).  The BBBs trade 390dm-447dm (2020-2023 RP profiles) with an outlier trade 643dm, this cohort trades 450dm-610dm over the past week so these are in line.  The outlier trade is RACEP 2015-9A CR (Bain) 643dm / 6.4y WAL – 1.23 ADR, 8.9 Sub80 and -0.79 par build.  The BB trade today is Neuberger’s NEUB 2017-24A E 822dm / 6.42y WAL (2022 RP profile) at the tight end of a 830dm-1200dm trading range past 2 weeks – this bond has clean metrics all round from a benchmark manager.  The single-B trade today is a benchmark clean bond CIFC 2018-3A F 1248dm / 8.4y WAL (2023 RP profile) which trades flat/touch tighter to a comp DEN14 2016-1A ER (Crestline) 1297dm / 7.88y WAL towards the early part of this month and is a very similar profile bond.

    EUR MEZZ/EQUITY CLO

    1 x BB yesterday. CADOG 7X ER traded at 833dm. This is wider than the 3 new issues of last week which priced BBs in a range from 680dm to 750dm (as reported by Bloomberg).