USD CLO

45 covers today.  The AAAs (all 1st pay) trade 166dm-206dm, with 2 bonds in a 2-handle DM.  At the wide end is Benefit St’s BSP 2018-5BA A1A 206dm / 3.86dm – high ADR 1.59 and 8.2% CCC whilst manager metrics are slightly weaker to peers.  There are 12 x AAs trading 223dm-270dm (2021-2025 RP profiles) more or less in line with 230dm-250dm levels seen this week and 220dm-280dm seen over the past 10 days, minimal widening effect.  There is an outlier trade DEN17 2018-1A B (Crestline) 325dm / 6.7y WAL – weaker MV metrics (MVOC 120.7) and CCC 10.3% with weaker manager metrics.  The single-As trade 310dm-360dm vs 290dm-320dm seen this week so a touch wider albeit at the wide end is BCC 2017-2A CR (Bain) 360dm / 5.93y WAL – vh ADR 2.26, low MVOC 109.9 and a higher Sub80 balance 8.8 vs peers today. 

The BBBs trade once again in a wide dispersion 417dm-650dm (2021-2024 RP profiles) which is in line with trading this week 430dm-620dm in same cohorts.  The BBs trade 793dm-1077dm vs 800dm-850dm trading levels seen this week, so there are 6 of todays 9 bonds that are wide of this range so we are seeing a little softening at this end of the cap stack today.  There is an outlier trade WINDR 2016-1A ER (First Eagle) 1077dm / 5.4y – which poor MV metrics 98.9, neg par build -0.97 and the manager’s metrics worse than its peers.  There is a single-B trade ARES 2016-40X DR (Ares) 886dm / 6.9y WAL with DM with strong MVOC 100.25 and good fundamentals so trades in line with the wider end of BBs seen this week.

USD CLO

A far busier day with 40 covers across the capital structure including 3 x Equity.  The AAAs (1st pay) trade 150dm-196dm, firmer tone at the tight end with a short dater from PGIM DRSLF 2013-30A AR 150dm / 2.44y WAL including clean metrics.  The AAs trade tighter 205dm-239dm with Onex’s OCP 2015-8A A2AR (AA+) cover 205dm / 2.86y WAL so slightly shorter than the other AAs and a notch higher rated reflecting in the level along wit strong MV metrics.  The single-As trade 217dm-336dm, tightening effect overall, at the wide end is MJX’s VENTR 2015-20A CR 336dm / 3.87y WAL – high ADR 2.6, high Sub80 16.75 and high spilled CCC basket 11%.  The BBBs trade 369dm-532dm, once again firmer at the tight end with comps trading 405dm-670dm over the past week, at the tight end is Onex’s OCP 2015-8A CR 369dm / 3.88y WAL – despite a high ADR 1.16, the sub80 balance is contained (5%) whilst CCC is 8% but the manager is debt friendly and has a stronger record than its peers.  The BBs trade 840dm-1378dm, two bonds with very different characteristics.  At the wide end is a 2017 RP profile WSTC 2013-1A D 1378dm / 3.2y WAL – vh ADR 4.88, vh Sub80 30.5 and 13.8% CCC with the deal deleveraging and reflects in low diversity 19.  The single-Bs trade 1232dm-2393dm and the wide dispersion is due to proximity to loss/thin tranches, at the tight end is Eaton Vance’s EATON 2015-1A FR 1232dm / 8.45y WAL – MVOC 99.7, low Sub80 6.23 and CCC is contained 5.1% from a strong manager.  Conversely at the wide end is Sculptor’s OZLM 2014-7RA ER 2393dm / 6.08y WAL – 95.88 MVOC, 12.12 Sub80 and 12.1% CCC.  There were 3 Equity trades today from ICG, First Eagle and BlueMountain.  BLUEM 2019-25A SUB trades to a 4.52% yield taking into context asset level haircuts based off pre-covid conservative stresses whilst the ICG (ICG 2018-1X SUB) and First Eagle (WINDR 2017-4A SUB) trade to 3-4y CF.  Please see PriceABS trade listing for data points and pricing/DM/yields on all trades today.

EUR CLO

9 trades today, a mixture of NIG and equity. There are 7 x BB, which have traded between 680dm and 780dm. The three trades at the tight end (ANCHE 2X E, RRME 1X E & CORDA 4X ERR) all have better deal performance – their MVOCs are around 107 compared to around 103 for the others and their Junior OC cushions are around 4% compared to 2% for the others. The last BBs we saw were about a week ago when spreads were more like 720dm to 820dm.

There is one B trade, DRYD 2017-52X F, which traded at 1047dm. The last single B trades we saw were also about a week ago, at which time spreads were very volatile. We saw single Bs trading between 1000dm and 1300dm.

In equity, JUBIL 2017-19X SUB traded at 45.77 / 1.9%. Its NAV is -12. There are no defaulted assets in the pool although there are a few distressed eg Technicolor, PlusServer & AS Adventure. Its Junior OC cushion is 2.92% and 9% of its assets are sub 80 price.

USD CLO

Today we saw 37 covers across the capital structure – 20 x AAA, 2 x AA, 1 x A, 3 x BBB and 11 x BB.  With the large number of AAAs, with some from more distressed deals the trading range was widely dispersed 163dm-265dm, the tights are where we have been seeing 1st pay AAAs trade.  At the wide end is JFIN 2013-1A A1NR (Apex Credit) 265dm / 2.83y WAL (2022 RP profile) – vh ADR 3.53% and 10.5% spilled CCC basket and manager record has been weaker than its peers.  Also trading towards the wide end of BSLs is a MM CLO from Golub GOCAP 2019-45A A 258dm / 4.88y WAL.  The AAs trade 231dm-248dm (2022 RP profiles) in line with recent trading levels (230dm-280dm).  The single-A trade is Apollo’s ALM 2013-7R2A BR2 309dm / 5.39y WAL (2021 RP profile) which is at the tight end of recent trading in this cohort 300dm-345dm.  The BBBs trade 451dm-620dm (2020, 2022-2023 RP profiles) which is more or less in line with recent trading 450dm-640dm.  The BBs trade 787dm-924dm across 2019-2024 RP profiles with recent trading volatile 650dm-1400dm today’s trade represent some stability with all MVOCs above 100.  At the wide end is Carlyle’s CGMS 2012-4A ERR 924dm / 8.01y WAL – with weaker metrics 0.98 ADR, 11.6 Sub80, 3530 WARF and a 11.4% CCC basket.  See PriceABS for full trade listings and associated data points.

EUR CLO

Just 4 trades today. There are 3 x A and two of these traded around 307dm and one of them, CIFCE 1X C, at 327dm. The CIFC bond has credit metrics as good as the other two bonds but the manager is not as large for CLOs. The 307bp print is within the range for recent trades.

The BBB trade is SNDPE 2X D which traded at 484dm. This is also unchanged from recent levels.

USD CLO

6 covers, all BB rated trading 774dm-1014dm (2022-2024 RP profiles) versus a volatile 743dm-1424dm trading range for this cohort this week.  At the wide end today is ArrowMark’s AWPT 2013-1A D1R2 1014dm / 6.2y WAL – ADR 0.69, 11% Sub80 and 8.3% CCC whilst the manager’s record is slightly weaker than its peers.  At the tight end is a recently closed CLO for AGL AGL 2020-5A E 774dm / 6.45y WAL – high coupon of 652bps at new issue, pre-trustee so no metrics available at this point.

EUR CLO

Just 5 trades to finish the week on. 4 x A, traded between 290dm and 310dm. This is in the range of trades in the last few days.

1 x BBB, CRNCL 2018-9X DNE, traded at 404dm. This is a lot tighter than the recent trades we have seen in H400s area.

USD CLO

A quieter day with 22 covers – 1 x AAA, 2 x AA, 3 x A, 8 x BBB and 8 x BB.  The only AAA trade today is Sculptor’s OZLM 2014-8A A1RR 200dm / 3.02y WAL, this is a wider DM given the weaker MVOC 141.1, the interest diversion cushion is -1.97%, ADR 0.84%, sub80 high 12.4% and CCC basket is 11.1% whilst the manager’s record is weaker than its peers.  The AAs trade 229dm-260dm with this cohort trading 220dn-280dm this week so levels are in line.  The single-As trade 301dm-395dm (2020/2021 RP profiles) with this cohort trading 336dm-445dm so largely in line too, at the tight end today is Park Av’s PAIA 2017-1A B 301dm / 5.75y WAL – strong MVOC 113.9, lower sub80 8.6 and a debt friendly manager with key metrics better than peers.  The BBBs trade 407dm-540dm (2021/2022 RP profiles) with this cohort trading 440dm-520dm there is a slight tightening effect on better quality bonds, however there is an outlier trade today Anchorage’s ANCHF 2019-7A D 670dm / 7.85y WAL – a very high ADR 2.72, high Sub 80 16.2, high WARF 3527 and a high CCC basket 12.4% as contributing factors.  The BBs once again trade in a wide dispersion which is a trend we have seen post-vol at this end of the liability spectrum – 743dm-1217dm (vs week to date comps 780dm-1400dm), once again levels at the tight end have outperformed with Blackrock’s MAGNE 2015-12A ER cover 743dm / 7.98y WAL – MVOC is above par 101.2, respectable ADR 0.55, low Sub80 7.7%, lower WARF 3220 and CCC 6%.  Furthermore the WAS is low 3.27% so this is a more conservative portfolio.

EUR CLO

16 CLO trades today with all rating classes featuring. 4 x AAA, all trading between 165dm and 180dm. This is wider than the recent trades we have seen which were around 160dm but is in line with the OCP 2020-4 new issue pricing (175dm) as reported by Bloomberg.

There are 3 x AA. Two of them have traded between 210dm and 230dm. One of them, BLACK 2019-1X B1, has traded at 256dm. The first thing is that the Black Diamond bond is about 2 years longer but also it does have an MVOC which is on the low side (126.90) however it has a perfectly respectable Junior OC cushion at 3.85%. Black Diamond tends to be one of those managers that trade a little wider than its peers.

There are 2 x A which have traded at 283dm and 310dm (OCP 2020-4 was 280dm per BBG). The 283dm level is the tightest secondary trade we have seen for some time. Yesterday’s trades were around 300dm.

The 2 x BBB traded between 460dm and 490dm (OCP 2020-4 was 420dm). Yesterday’s trading level was 480dm to 520dm.

The 4 x BB have traded between 700dm and 820dm, all in line with the respective credit performance of the deals. The wide trade is SPAUL 9X E which has the lowest MVOC at 101.90 and the lowest Jnr OC cushion at 1%. The tight trade is OCPE 2017-2X E (Onex) which has the highest MVOC at 105.71 and a healthy Jnr OC cushion at 3.95%.

The single B trade is TCLO 5X F which traded at 1128dm (OCP 2020-4 was 875dm per BBG). Single B spreads seem to be very volatile. On 16 June one traded at 970dm and the day before that several traded around 1300dm.

USD CLO

36 covers today.  The 1st pay AAAs trade 160dm-180dm with an outlier trade CGMS 2015-3A A1R (Carlyle) 205dm / 1.92y WAL – weaker MVOC 143.2, highly negative par build -1.08 and a higher WARF 3547 whilst CCC basket 10.2%.  The BSL AAs trade in a tight dispersion 228dm-253dm whilst there was a MM CLO AA trade today FSKMM 2019-1A A2 (FS KKR) 395dm / 4.14y WAL.  The BSL single-As trade 276dm-336dm whilst another MM CLO trade DIMND 2019-1A C (GSO) trading wider 445dm / 4.7y WAL.  The BSL BBBs trade 423dm-518dm in line with this week’s trading whilst another MM CLO trade ANTR 2017-2A D (Antares) 639dm / 5.42y WAL.  The BBs all trade sub 1000dm - 808dm-909dm with an outlier trade at the wide end RMRK 2018-2A D (Shenkman Cap) 909dm / 7.5y WAL – weaker MVOC 101.15 and the manager has a weaker record versus its peers.

EUR/GBP ABS/RMBS

TOGET 1 A (UK Non-conforming RMBS) traded at 99.88 / 112dm / 15cpr / step up call date at the AAA level.

EUR CLO

12 CLO trades today. 2 X AAA, both trading around 160dm, unchanged from recently.

3 x A, all around 300dm to 330dm. This looks a bit tighter, on average, and makes up some of the ground lost last week.

5 x BBB, all around 480dm to 520dm. This is unchanged for clean deal levels.

2 x BB, one at 810dm and the other 900dm. This looks wider than yesterday’s BB trades which were between 615dm and 800dm.

USD CLO

A very busy day with 65 covers.  The 1st pay AAAs trade 176dm-217dm, at the wide end is ICG’s ICG 2014-1A A1R 217dm / 2.97y WAL – weaker MVOC 140.2, high ADR 1.38, high Sub80 14.9%, high WARF 3682 and a spilled CCC basket 12.2%.  At the tight end is GSO’s GILBT 2017-1A A 160dm / 4y WAL – 143 MVOC, 0.05 ADR, 8.45 Sub80 and 6.1% CCC.  The AAs trade 221dm-280dm across RP profiles, the trading range this month for this cohort has been wide 190dm-350dm in comparison whilst trading tighter to the 280dm-300dm range seen yesterday.  The single-A trade is ARES 2019-51A C (Ares) 283dm / 7.2y WAL (2024 RP profile) which is in line with GoldenTree’s GLM 2019-5A C comparable from 9 June 281dm / 7.73y WAL also a 2024 RP profile.  The BBBs trade 422dm-499dm across RP profiles which is more or less in line with recent trading which has been in mid-400s context, there is an outlier trade today DEN11 2015-1A CR (Crestline) 637dm / 5.1y WAL (2020 RP profile) – weak MVOC 102.9, higher Sub80 11, high WARF 3567 and a significant CCC basket 14.2% whilst the manager’s record is weaker than its peers.  The BBs trade 657dm-1059dm, DMs have been significantly volatile in this rating level as wide as 1424dm in past few days.  At the tight end is Onex’s OCP 2015-8A D 657dm / 4.4y WAL – strong MVOC 104.6 despite the high ADR 1.16, lower relative Sub80 7.7 and CCC basket cuspy at 7.8% whilst Onex’s performance has been debt friendly and better than many of its peers.  At the wide end today is KKR’s KKR 18 E 1059dm / 6.6y WAL – MVOC below 100 at 99.4, high ADR 1.41, higher Sub80 10.3 and a 8% CCC basket whilst KKR’s performance has been below its peers recently.

EUR CLO

A heavy day’s trading today with 35 CVRs which includes 3 equity pieces. There is 1 x AAA, BNPAM 2015-1X ARR, which traded at 160dm. This is in line with recent secondary levels. Bloomberg reported yesterday that OCP 2020-4 priced its AAA at 175dm. The new issue would have had a longer WAL.

The AAs traded between 200dm and 250dm. BBG reported the OCP 2020-4 AA priced at 220dm.

The single As traded between 315dm and 370dm with the exception of HLAE 2017-1X C (Bardin Hill) which traded at 417dm. The Bardin Hill bond does have a lower MVOC than the others and also a low Junior OC cushion (0.76) although it hasn’t been breached unlike BABSE 2016-1X CR which is at -1.20. BBG reports the single A from OCP 2020-4 priced at 280dm. Secondary trades at the end of last week were more in the range of 300dm to 330dm so the market does look to have widened from that point in time.

BBBs traded between 440dm and 510dm with the exception of GLGE 2X DNE which traded at 642dm. This is in line with recent days trading. The Onex new issue priced at 420dm. The GLGE bond does have poor credit metrics and GLGE bonds always trade wide to the rest of the market.

The BBs are quite dispersed in their trading range from 615dm to 800dm. This is in line with the trading range of the last few days. The Onex BB priced at 730dm according to BBG.

There is one single B, CORDA 12X F, which traded at 966dm. This compares with 875dm for the Onex new issue. These are massively tighter levels than we saw only yesterday when a number of single Bs traded in a 1250dm to 1320dm range.

There are 3 equity trades. CGMSE 2015-2X SUB traded at 31.45 / 19.5%. It contains New Look and Hema which are defaulted items. CGMSE 2018-1X SUB traded at 49 / 9.95%. CADOG 12X SUB traded at 60 / 1.93%. It contains Paper Industries, Solocal and Doncasters Group which have all defaulted. There is a wide variation in prices and yields on these equity trades. Calculations are very sensitive to assumptions, especially now, around factors like timing of breaching Interest Diversion tests and Manager ability to keep trading the portfolio / reinvesting the portfolio.

USD CLO

26 covers today – 11 x AAA, 2 x AA, 1 x BBB, 10 x BB and 2 x B.  The AAAs trade in a 130dm-206dm range given the range of profiles today, JTWN 2014-4A A1AR (investcorp) is a short dater 130dm / 0.79y WAL (post RP almost 2y).  Away from that levels have cooled a little with KAYNE 2020-7A A1 (Kayne Andersen) at the tight end 172dm / 6.35y WAL – 0 ADR, 2.3 Sub80, 1% CCC, this is a 2020 recent vintage so has priced with a 3.0 high coupon.  At the wide end is MP14 2018-2A A1 (Marble Point) 206dm / 5.05y WAL – weak MVOC 141.3, high ADR 1.86 and 10% CCC basket.  The AAs trade 281dm-304dm versus a 240dm-300dm recent trading range for AAs.  The BBB trade is ALLEG 2015-1A DR (Axa IM) cover 471dm / 4.17y WAL, a rare 2019 RP profile as compared to the 400dm-600dm range seen for BBBs this month to date, the deal has 0.83 ADR, 13.5 Sub80 and 15.2% CCC basket whilst MVOC is weaker at 104.2.  The BBs trade 826dm-1424dm vs a 650dm-1500dm range seen for similar cohort this month reflecting the volatility and tiering within BB tranches.  At the tight end is CIFC 2019-3A D (CIFC) 826dm / 8.6y WAL  - 0 ADR, 5.8 Sub80, 3158 WARF and 2.3% CCC from a benchmark manager whilst add the wide end is TRNTS 2016-4A ER (Trinitas) 1424dm / 7.7y WAL – 1.39 ADR, 11 Sub80 and 8.3% CCC from a weaker manager.  The single-Bs trade 1217dm-1457dm (2023 RP profiles) versus a CIFC RP trade in 1240dm context so the levels today at the tight end are in line, at the tight end is another benchmark manager CSAM’s MDPK 2018-29A F 1217dm / 8.1y WAL – 0.31 ADR, 10.5% Sub80 with MVOC at a slight shortfall 99.62 which is expected for these thin second loss pieces.

EUR CLO

13 CVR prices today across a range of ratings. In AAs we have 4 prices although 2 of them are DNTs. The spreads are around 245dm to 250dm. This is on line with the last AA trade we saw on 11 June which was the date the market sold off.

There is one single A trade, SNDPE 3X CE, which traded at 333dm. This is a little wider than we saw on Fri of last week where trades were mostly around 320dm. On 12 June SNDPE 2 C traded at 319dm.

There are 3 x BBB. They have traded between 450dm and 490dm with the widest trade coming off the CQS shelf. These levels fit within the traded range we observed on Thu and Fri of last week.

There are 5 x B and the spread range is 1230dm to 1370dm. This is a significant widening on what we saw last week. On 11 June we saw trades in the 1070dm to 1140dm range.

USD CLO

28 covers today to round out a very liquid week – 3 x AAA, 1 x AA, 5 x A, 12 x BBB, 6 x BB and 1 x B.  The 1st pay AAAs trade softer in a 173dm-197dm range, however these are all from the same manager American Money Management Corp, the ADRs are high on the 2 bonds at the wide end of the range (in 1.2-1.3 context) as well as negative par build and weaker MV metrics.  AMMC 2018-22A A trades at the tight end 173dm / 4.3y WAL with good performance metrics.  The AA TRNTS 2018-9X B1 covers 297dm / 6.7y WAL, this trades wide to the 190dm-240dm range seen this month to date – the manager has a weak record, negative par build -0.65 and ADR 1.45.  The single-As trade 275dm-399dm across 2021-2025 RP profiles, the comparable trading range this month for this cohort has been 250dm-460dm so today’s trades sit firmly within these boundaries.  The BBBs trade 415dm-601dm with comparable liquidity in 360dm-650dm range this month so the trading levels today are also within these boundaries.  The BBs trade 775dm-1499dm, at the wide end is OFS’s OFSBS 2017-1A E with MVOC shortfall 97.53 from an inexperienced manager with a slightly weaker performance record vs benchmark.  At the tight end is Symphony’s SYMP 2018-20A E cover 775dm / 8.72y WAL – MVOC is 5pts higher than the OFS trade at 102.52, ADR is low 0.18 and the manager’s record is strong.  The single-B trade is CIFC’s CIFC 2018-3A F cover 1238dm / 8.44y WAL (2023 RP profile), with single-Bs trading this month to date in a wide dispersion 1100dm-2200dm this trade is at the tight end – the manager has an excellent profile, ADR is near zero, sub80 is 9% and CCC is 4.2% whilst MVOC is near 100 (99.54).

EUR CLO

A quieter end to a busy week. There are 9 CVRs. Both AAAs traded around 165dm. This is in line with AAA trading earlier in the week.

The single As traded between 300dm and 320dm. On 11 June we saw trades between 260dm and 290dm and earlier in the week they were more like 250dm – so the sell off continued to the end of the week.

The BBB and BB trades are both in PURPLE 2 – the Natixis shelf. The BBB traded at 507dm. On 11 June the BBB trading range was 400dm to 500dm – so it is hard to reach too much of a conclusion from this one trade. The PURP 2 BB traded at 840dm. On 11 June the traded range was 700dm to 820dm. PURP 2 BBB has an MVOC of 108.15 which is on the low side and a BB MVOC of 101.06 which is also low however the Junior OC cushion is quite healthy at 4.04%. The deal closed in Oct 2019 so it is still pretty clean.

USD CLO

A more modest day’s trading with 21 covers – 6 x AAA, 1 x A, 7 x BBB and 7 x BB.  The AAAs are all 1st pays and trade in a narrow dispersion 156dm171dm (2022-2025 RP profiles) firmly within the trading cohort of 150dm-200dm range this week.  The single-A trade is DFG’s VIBR 2016-5A C 343dm / 5.44y WAL (2021 RP profile) which trades at the tighter end of 330dm-460dm seen this month to date in this single-A cohort – ADR is 1.47, sub809 13.9, CCC is cuspy 7.5% and par build is -2.36 so this represents fairly average performance which is reflected in the dm level.  The BBBs trade 426dm-490dm (2022-2025 RP profiles), this cohort has traded as low as 360dm this week.  There are two outlier trades LCM 25A D & MP11 2017-2A D that trade wider 575dm-615dm respectively – MVOC is low on both trades (in 102 context vs 104+), ADRs are high 1-1.3, sub80 12.5-13 which is toppy and cuspy CCC 6.6% / 10%.  The BBs trade 754dm-882dm (2020-2024 RP profiles) at the tighter end of this week’s trading range 729dm-1281dm, there is an outlier trade DEN15 2017-1A E1 (Crestline) 1381dm / 6.45y WAL – MVOC is below par 98.29 whilst all other BB trades today are covered by MV, sub80 bucket is at the top end 13.1, WARF is toppy 3551, negative par build -0.55 and notably the CCC basket is spilled at 13.6%.

EUR CLO

Another very heavy day’s trading in CLOs. In AA space CGMSE 2019-2X A2A traded at 241dm. On 8 June we saw AAs trading between 190dm and 220dm.

In single A space trades were in the range 260dm to 290dm. Broadly speaking these are the same as the wider levels we saw on 10 June.

In BBBs the trading range is 400dm to 500dm. The tight trade is AVOCA 21A D which is also the longest bond. The shortest bond is also one of the widest trades: ARESE 2013-6X DR at 484dm. There is actually very little to set these two trades apart in terms of their credit metrics. Ares has the slightly higher MVOC and Jnr OC cushion. We think the difference in spreads is due to Manager tiering. On 10 June the generic trading level was 420dm to 460dm so today’s trades are around that range.

In the BBs there were quite a lot of DNTs but where the best bid was disclosed. We have included these in our analysis. The spread range is quite dispersed between 650dm and 850dm. The DNTs were spread across both wider spreads and tighter spreads. The actual traded range is from 700dm to 820dm which is the same range as trades on 10 June.

There are 3 x single B but two of them are DNTs. The trade is CGMSE 2015-2X E at 78.64 / 1145dm. This is a further retreat from 10 June levels which were more in the 1000dm to 1080dm range.

There are 3 x equity trades. CADOG 9A M traded at 34.28 / 9.84%. We are using the same post-crisis scenario we have used for months now, to allow for comparison in yields as the equity market has rallied from its March lows. This deal contains two defaulted names – Travelex and SoLocal. NAV is -21. CADOG 11X SUB traded at 52.77 / 2.37%. It contains SoLocal and Doncaster which have defaulted. NAV is -32. MDPKE 14X SUB traded at 62.39 / 5.74%. Its NAV is -4. It contains Paper Industries which has defaulted. All 3 equity pieces have some Jnr OC cushion remaining, between 2.5% and 4.5%.

USD CLO

71 covers today – 6 x AAA, 11 x AA, 19 x BBB, 23 x BB, 2 x B, 1 x CCC and 10 x Equity.  The AAAs trade in similar theme to prior days 158dm-179dm with an outlier trade CRMN 2014-1A A1AR (Trimarin) 204dm / 3.71y WAL – this deal has a high ADR 1.37, 8.2% CCC and high sub80 14.75%.  The AAs trade 193dm-235dm with an outlier trade TELOS 2013-4A BR (Telos AM) 347dm / 4.92y WAL – high sub80 18% and weak MV metrics MVOC 115.8 and CCC 8.9%.  The BBBs trade 349dm-648dm in line with trading levels month to date.  The BBs trade 683dm-1121dm, with 683dm at post-vol tights, GLM 2020-7A E (GoldenTree) trades 683dm / 5.5y WAL – 0 ADR, 0.71 sub80 and low WARF 2623 with no CCCs, this is a recently closed 3.0 CLO @ high coupon.  2 x B’s trade 1093dm-1486dm tight to 1600dm-2200dm range seen month to date in similar cohort.  A CCC rated SYMP 2014-14X F covers 2206dm and is a useful datapoint for a rare rating.  There are 10 Equity positions covered today and please contact PriceABS for more color.

EUR CLO

A huge day’s trading by BWIC, all of it in the mezz space. The only single A trade is OHECP 2018-7X C which traded at 291dm. Recent single As have been around 250dm so after many days of tightening we see the market reversing direction.

There are 6 x BBB trades. Four of them are relatively clean and have traded in a 420dm to 460dm range. This is wider than yesterday when the generic range was more like 390dm to 410dm. The two wider trades today are CADOG 8X DR at 560dm and HLAE 2016-1X DR at 650dm. Both these deals have low MVOCs (Halcyon is 102.07 and Madison Park is 104.55) and Halcyon is breaching its Class F Par Value Test.

There are 23 x BB trades. There is quite a dispersion of spreads – from 690dm to 810dm and then also with one outlier at 930dm. Yesterday we saw BBs trading generically between 670dm and 730dm so overall this rating has also widened. There is one trade today at 670dm (DARPK 1X D) but this is explained by the fact that this deal has started paying down. The wide trade at 930dm is GLGE 1X ERR. Its credit characteristics are poor eg MVOC is 99.05 and Jnr OC cushion is 1.56 but it is not unique in this regard. For example SPAUL 8X E has similar metrics but traded at 810dm. The GLG shelf always trades at a premium spread.

There are 9 x B. These have traded between 950dm and 1080dm but with one outlier at 1260dm. For comparison we have only saw 1 x B trade, about a week ago which was 970dm. We think this rating class has widened along with the rest of the market yesterday. The wide trade at 1260dm is CGMSE 2013-1X ER which has a low MVOC at 95.73 and a low Jnr OC cushion at 1.53.

USD CLO

A very active trading day with 47 covers.  The 1st pay AAAs trade 151dm-199dm, with CCC levels having a major pull on DMs today since a number of deals have weaker fundamentals.  There is an outlier trade ZAIS8 2018-1A A (Zais) 255dm / 2.34y WAL – vh ADR 3.37, vh sub80 31.88, vh WARF 3792 and 16.9% CCC basket making this a significant outlier.  The 2nd pays trade 194dm-247dm today which is inside the outlier 1st pay AAA and the CGMS 2014-2RA A2 194dm / 6.02y is in line with the wide end of the 1st pays.  The AAs trade in a wider range today 236dm-305dm (2021/2023 RP profiles) with trading seen 205dm-270dm since month end in this cohort, the wide end of the range is KVK 2016-1A B with reasonable perf metrics but the manager in inexperienced and has a weak record to date which drives the wider level.  There is a MM CLO AA GRMML 2018-2RA A2R that trades through the BSL levels at 342dm / 5.8y WAL.  The single-As trade tighter 246dm-329dm today versus 304dm-462dm range since month end.  The BBBs continue to tighten and trade 358dm-512dm versus 390dm-650dm range since month end, at the tight end is TPG’s TICP 2018-10A D 358dm / 6.71y WAL – strong MVOC 108.3, low ADR 0.09, low sub80 6.63 and CCC basket in check 5.3%.  The BBs trade 762dm-1022dm with the tight end in line with tights seen since month end with trading range 760dm-1924dm, please see PriceABS trade listing for details.

EUR/GBP ABS/RMBS

DILSK 3 A (Prime Irish RMBS) traded at 108dm at the AAA level.

EUR CLO

A lot of trades today, mostly mezz – but we’ll start with the 2 x AAA. They both traded around 165dm. This is in line with previous levels.

There are 10 x BBB trades. All trades apart from LAUR 2016-1X DR traded between 385dm and 410dm. LAUR 2016-1X DR traded at 454dm. This is a widening on the generic BBB curve of around 30bps. The LAUR 2016-1X DR bond, managed by GoldenTree, has around 1.5pts less of MVOC than its peers and a Jnr OC cushion of 1.1% compared to around 4% for the other bonds.

There are 8 x BB. They mostly traded in a 720dm to 750dm range but with a couple of outliers, at the tight end and the wide end. Leaving aside the GSO BB that traded very tight yesterday because it has delevered and has the MVOC of a BBB, these generic levels are a good 80bps tighter than we were seeing. The trade at the tight end is HARVT 11X ER at 676dm. It doesn’t have a particularly good MVOC (99.68%) or Jnr OC cushion (2.12%) so we cannot really explain this level tighter than the rest. The trade at the wide end is TCLO 2X ER at 806dm. It does have a lower MVOC (98.10%) than its peers and a lower Jnr OC cushion (1.83%).

USD CLO

22 covers today – 7 x AAA, 2 x AA, 2 x A, 6 x BBB and 5 x BB, with some liquidity seen in recently closed ‘3.0 CLOs’.  The AAAs trade in a wide dispersion given different characteristics today – 138dm-190dm.  At the tight end is a Investcorp’s JTWN 2014-4A A1AR short dater 138dm / 0.8y WAL (RP end 2018).  At the wide end is a recently closed 3.0 CLO from AIG AIGIM 2020-1A A 190dm / 3.26y WAL (pre-trustee reporting) with a high coupon +205bps and has a 1y RP with only 3.95% of the portfolio sub 80 price as expected from a new issue.  The AAs continue to trade tight 222dm-230dm in comp to the 205dm-241dm range for this cohort over the past week.  The single-As trade 459dm-462dm (2021 RP profiles) wide to lo-mid300s context seen for this cohort recently – both are recently closed Apollo CLOs pre-trustee reporting carrying high coupons 3.0 CLOs.  The BBBs trade 346dm-488dm (2019-2022 RP profiles) with similar cohort trading seen 391dm-652dm recently, at the tight end is Invesco’s RCTTE 2015-1X DR 346dm / 5.43y WAL with good metrics – 0.53 ADR, 8.49 sub80, 3189 WARF, 111.96 MVOC and 4.76% CCC from a benchmark manager.  The BBs tighten as well with a trading range 760dm-807dm versus a volatile 763dm-1924dm seen for similar cohorts since month end – at the wide end is Assurant’s ASRNT 2018-1X E 807dm / 7.44y WAL with MVOC cuspy at 99.72 (with all other BB trades today covered fully by MV), high sub80 bucket 17.97 and a spilled CCC bucket 8.8%.

EUR CLO

Of the 2 x AA trades today OZLME 4X B traded at 189dm and BECLO 8X B1 at 218dm. The tighter level for the Sculptor bond can partly be explained by its 1yr shorter WAL and the fact that it has nearly 2pts of MVOC more than the BlackRock bond but as traded prices have steadily increased to be nearer to par we think the market is pricing in some chance of a refi/call uplift. The Sculptor bond has 50bps less of stated margin but the possibility of a call increases its value from what it would otherwise have been.

There are 5 x single A trades. They range from 230dm to 260dm. This is a lot tighter than the single As we saw last week which were in the L300s. Again there is now some correlation between stated margin and discount margin. The exception in this group of trades is CADOG 7X C1 which has a relatively low stated margin at 175bps but a relatively high DM at 262dm. Its MVOC is on the low side at 113.93 but this is not exceptionally low and also its Junior OC cushion is low at 2.86%.

There is one BB trade. CASPK 1X D traded at 99.00 / 584dm. This is much tighter than recent BB trades which were around 90.00 price and 800dm. This deal is currently paying down with half the AAA already paid back. Therefore the BB has a very short WAL at 4.77yrs and a very high MVOC at 106.7%.

USD CLO

29 covers today to round off a very busy week – 12 x AAA, 3 x A, 10 x BBB, 2 x BB and 2 x B.  Of the 12 AAAs there are 7 x 2nd pays and 5 x 1st pays, the 1st pays trade in a tight dispersion 160dm-167dm with an outlier short dater trade OCP 2015-8A A1R (Onex) 132dm / 1.3y WAL.  On the other hand the 2nd pays trade firmer and also in a tight range 182dm-202dm.  The single-As trade 288dm-328dm with DMs in 290dm-360dm context for this cohort over the past ten days, at the tight end today is a short dater from Shenkman ADML 2014-1A C1R at 288dm / 2.91y WAL (2018 RP end).  The BBBs trade inside 400dm for the first time post-vol in a 387dm-541dm range, for instance York’s YCLO 2014-1A DRR 391dm / 5.96y WAL (2021 RP profile) has a low ADR 0.33, 11.1% sub80 and strong MV coverage 105.32 MVOC for a bond still in RP period.  At the BB end volatility is still ripe with trading range today 1281dm-1924dm for 2 bonds still in RP, high ADRs 1.23/2.04, high sub80 22-24% and spilled CCC baskets 10.2%/11.8% whilst MVOC’s at in 95 context.  The single B’s trade with equity type returns 2059dm-2191dm (cash prices in 50a context) with CCC baskets spilled and MV shortfall on both trades accounting for the distressed levels.

EUR CLO

3 x AAA trades today. BECLO 3X A and AVOCA 12X A1R traded around 155dm. This is a tighter level. The last AAA trades we saw, which was about a week ago were in the 170s range. BLACK 2017-2X A1NE traded at 182dm. It does have a lower MVOC (151.48) and Junior OC cushion (2.38) than the others and is also slightly longer with a 9 month longer RPE period.

There are 6 x BBB of which 5 traded very tightly grouped at around 355dm. One trade, TIKEH 5X D1, traded wider at 426dm. This is another significant tightening. We had only recently been seeing BBBs trade between 420dm and 460dm. Spire priced Aurium VI earlier this week (according to Bloomberg) at 440dm for the BBB. This new issue had a more normal Reinvestment Period at 3 years whichh would have made it a longer bond than these secondary trades. The Tikehau bond in secondary does have a relatively low MVOC (107.84) but it isn’t unique in this set of secondary trades. Its Junior OC cushion is quite adequate at 4.95% but it does have a long WAL and a long RPE date of Jan 2024.

USD CLO

A ‘quieter’ day with 20 covers – 8 x 1st pay AAA, 3 x 2nd pay AAA, 2 x AA, 2 x BBB and 5 x BB.  The 1st pay AAAs trade in similar context 155dm-198dm, at the wide end of this range is Wellfleet Credit’s WELF 2018-2A A1 198dm / 4.87y WAL – the ADR 0.50 and sub80 12.6 levels are in line with peers but with the negative par build -0.18 comes weaker MV metrics (MVOC 140.88 vs mid-140s-153 for peers) from a less mainstream manager with relatively weaker credentials than peers.  The second pays trade tight 187dm-197dm and are migrating tighter as the market grinds in.  The AA is PGIM’s DRSLF 2013-28A A2L 221dm / 5.27y WAL which is in the 210dm-240dm range seen for similar comps this week.  The BBBs trade in a wide dispersion 439dm-643dm, with the tight end the lowest seen for this 2021 RP cohort post-vol as this range trades with significant tiering of 500dm-880dm over the past week.  At the tight end is TCI’s TFLAT 2016-1A DR 439dm / 5.45y WAL – 0.16 ADR, 8.3 sub80, 106.5 MVOC and CCC basket of 5.2%.  Conversely, at the wide end is Wellfleet’s WELF 2017-1A C 643dm / 5.33y WAL – 20.3 sub80, -0.9 par build and a 10.45% CCC basket with MV only just covering the notes 100.8.  The BBs trade 815dm-1107dm versus a comp trading range for equivalent cohorts this week 763dm-1312dm, DMs at this level largely driven by a combination of volatile ADR, CCC and sub80 buckets whilst MV coverage not quite achieving 100% (in 97-99 context) all taking responsibility for the significant tiering.

EUR/GBP ABS/RMBS

We have 1 ABS CVR today, PCLF 2017-2 A, A Premium Finance deal in GBP at AAA level which traded at 99.11 / 152dm to step up date.

EUR CLO

A lot of trades today. Starting with the 2 x single A – they both traded around 320dm. This is within the range for trades earlier this week.

There are 6 x BBB and they have traded from 400dm to 460dm. For reference the MVOCs of these bonds has ranged from 104.7 to 107.6 and Jnr OC cushions from 1.7 to 4.4.

There are 4 x BB. Three of them have traded between 800dm and 810dm but one of them, CADOG 8X ER, traded at 929dm. The CSAM bond does have a long WAL with an RPE date of 15 Apr 2024 and it also has the lowest MVOC at 97.97. One of the other bonds, JUBIL 2017-19A E, also has a low MVOC at 98.03 but traded much tighter at 800dm but then it is much shorter with an RPE of 25 Jan 2022.

There is 1 x B, CIFCE 2X F, which traded at 970dm. The last single B trade we saw was BOPHO 4 F which traded at 1258dm on 28 May 2020, so obviously single Bs have tightened considerably.

USD CLO

An even busier day today than yesterday with 52 covers.  There are AAA trades today, all 1st pay and a range of credit profiles trading 162dm-221dm.  At the wider end of the range is ATCLO 2014-1A AR2 (Crescent Cap) 221dm / 2.64y WAL – this has a high ADR 1.62, high sub80 24.5, high WARF 3518 and 12.3% CCC basket with a -1.04 par build and weaker MVOC 134.6.  All the AAAs that trade with a 2-handle have ADRs near 1 or higher and significant sub80 buckets with spilled CCC baskets.  The AAs on the other hand trade in a tight dispersion and overlap the weaker AAAs trading 205dm-269dm from a range of RP profiles (2020-2025) tighter to the 220dm-240dm range seen over the past week, at the tight end is AIMCO 2018-AA B (Allstate IM) 205dm / 5.96y WAL – low ADR 0.5, low sub80 9.3 and +0.19 par build and CCC is spilled 8.2%.  The single-As trade 308dm-319dm (2022/2024 RP profiles) which is flat to recent comps in 300dm-330dm.  The BBBs trade 482dm-504dm (2024 RP profile) which is in line with 450dm-500dm recent trading levels for this cohort.  The BBs trade 763dm-1679dm, with the tight end of this range trending firmer than mid-800s seen recently.  The wide end of this range is concentrated in Middle Market CLOs since they trade back to BSL and trade today 1252dm-1679dm, at the wide end is MMCLO 2017-1A D (Middle Market Credit Fund) 1679dm / 3.7y WAL with 1.48 ADR and 30% sub80 balance and -0.45 par build.  Nonetheless these are good data points to have as the market evolves.

EUR CLO

Just 2 x equity trades today. Whereas all the previous equity trade prices we have seen post-crisis have been in the VH20s/L30s price these two are at 42 and 50. CLNPK 1X SUB (GSO) traded at 42.01 / 7.19%. This is using the same post-crisis scenario we moved to approx. 2 months ago. Its probably the case that some buyers have relaxed the severity of their scenarios but in order to keep things comparable and until the economic outlook becomes clearer we will use the same scenario as before. CGMSE 2018-2X SUB (Carlyle) traded at 50.25 / 4.76%. Both deals have a decent Junior OC cushion at around 4%. The Carlyle deal contains the defaulted asset Hema BV – the Dutch retail company.

USD CLO

A very active day with 48 covers with all ratings aside from AA covered.  The 1sy pay AAAs continue to tighten and trade in a 155dm-184dm range for 2023-2025 RP profiles which have traded 160dm-220dm over the past week as a comp.  At the tight end is GLD11 2015-11A AR2 (GoldenTree) 155dm / 4.21y WAL – 0.66 ADR, 9.2 sub80 and 6.4% CCC basket with strong MV metrics (MVOC 147).  The single-As (2021/2023 RP profiles) trade 306dm-374dm which is broadly in line with the 290dm-370dm range seen over the past week in this cohort.  The BBBs (2020-2024 RP profiles) trade tighter and in a lower dispersion 416dm-652dm in comparison to the 460dm-880dm range seen in this cohort over the past week, at the tight end is NEUB 2018-27A D 416dm / 6.97y WAL – low sub80 relative balance 11.8, 5.9% CCC and strong MVOC 105.4 versus peer bonds.  The BBs also trade tighter/smaller dispersion 834dm-1167dm (2021/2023 RP profiles) versus 892dm-1464dm range for the same cohort over the past week, at the tight end is VOYA 2018-2A E (Voya IM) 834dm / 7.46y WAL – 0.56 ADR, 2886 WARF and 5.6% CCC with near 100% MV coverage (99.3) with most other BBs in 96-99 area coverage.  There were 2 x single-B trades today trading in a 1606dm-1865dm range, trades at this rating level provide a signal of recovery with risk appetite improving, we haven’t seen single-B trades since the immediate covid-19 fallout in early April where MDPK 2018-30A F from CSAM covered 1979dm / 6.9y WAL.  At the tight end today is Octagon’s OCT26 2016-1A FR cover 1606dm / 9y WAL – 0.87 ADR, 11.7 sub80, 3160 WARF and despite a spilled CCC basket 9.4% with MV coverage 96.84, this is also longer dated than the CSAM trade from early April.  There are 4 x Equity trades today from Anchorage, Ares and DoubleLine with trades in late30s to mid 50s cash price context, further colour on these is available in the trades listing for today in PriceABS.

EUR CLO

17 trades today across AA, A, BBB & BB. The AA is BECLO 6X B1 which traded at 221dm for a 6.3yr. This is within the tight end of the range of recent trades but it is a longer bond so actually does probably represent a modest tightening to the spread curve.

There are 4 x single A trades. 3 of them have traded between 290dm and 320dm. One of them, HLAE 2018-1X C, has traded at 377dm. The Halcyon bond (Bardin Hill) is in significantly worse shape than the others eg MVOC is around 112 vs 115 (avg), Junior OC cushion is 1.4 vs 4, WA collateral px is 89 vs 93. On average these spreads represent a widening of the levels we saw last week which were more in the 260dm to 310dm range.

There are 8 BBB trades. There is a wide dispersion in spreads – from 400dm to 550dm. The tight end of these trades is DRYD 2017-56X D at 400dm and the wide trade is BOPHO 5X D at 550dm. In terms of the credit performance of these deals there isn’t that much to distinguish them. MVOCs range from 106.0 to 108.8 without any particular correlation to traded spreads. Jnr OC cushions range from 1.2 to 4.6 again without any correlation to traded levels. The spreads are correlated to WAL. The 400dm trade is the shortest bond at 6.6yrs WAL and the wide trade of 550dm is one of the longest bonds at 8.3yrs WAL. It seems that the credit curve is very steep in this portion of the term structure. Last week BBBs traded between a 450dm to 550dm range approx.

There are 3 x BB trades. 2 traded around 760dm and one, CADOG 8X ER, at 940dm. The CSAM bond has a low MVOC 97.61 vs around 100 for the other two and it also has a lower Jnr OC cushion and higher percentage of assets below 80 price. Last week’s BB trades were around 900dm so we have seen another significant tightening for clean deals.

EUR CLO

2 x A, 1 x BBB & 2 x BB trades today. The single As traded at 255dm and 310dm. Last week we saw single As trading around 270-280dm, so these straddle that range. Comparing these two bonds – the 255dm is BECLO 1X CR and the 310dm is ARESE 13X C1. Respectively they have MVOC 114.23 vs 112.75, Junior OC cushion 4.41 vs 4.20, WA Collateral price 92.16 vs 92.68. The BlackRock bond is slightly stronger but it is also 1.5yrs shorter.

The BBB is CGMSE 2018-1X C which traded at 450dm. Last week we saw trades from 480dm to 560dm.

The BBs have traded around 890dm to 920dm. Last week we only saw one EUR CLO BB. It was a best bid that DNT’ed at 906dm. Both these deals have relatively high CCC buckets (10% to 12%) and low Junior OC cushions (1% to 2%).

USD CLO

Fifty covers today – 11 x AAA, 3 x AA, 3 x A, 16 x BBB and 18 x BB.  The AAAs tighten and trade 158dm-218dm, at the tight end PGIM’s DRSLF 2019-76A A1 covers 158dm / 5.98y WAL (2024 RP profile) – good metrics 0 ADR, 12.8 sub80, 88 diversity, 3.8% CCC and -0.19 par build.  At the wide end is Sound Point’s SNDPT 2015-1RA A 218dm / 3.24y WAL (2022 RP profile) – weaker stats 3.07 ADR, 17.4 sub80, 6.62% CCC and -3.74 par build.  The AAs (2020/2022 RP profiles) trade 228dm-230dm in line with comps in 225dm-240dm recent context with an outlier trade HLA 2014-1A CR (Bardin Hill) 441dm / 1.92y WAL (2018 RP) which is post RP end and given the deleveraging this is an ex-single-A (A2) credit now upgraded to Aa1 hence the basis from traditional AA levels.  The single-As trade 289dm-370dm (2022/2023 RP profiles) with this cohort trading 290dm-460dm over the past 2 weeks today’s levels are within the tighter end of this range, at the wider end today is Carlyle’s CGMS 2017-2A B 370dm / 6.23y WAL – weaker metrics vs peer trades today 1.03 ADR, 18.1 sub80, 9.2% CCC and 3458 WARF.  The BBBs trade 459dm-884dm across a range of RP profiles (2021-2025), which is slightly tighter versus past 2 weeks trading across these cohorts 480dm-900dm. However we are now seeing many more sub-500dm trades which is evidence of tightening across benchmark transactions.  The BBs trade 864dm-1464dm which is a narrower range than the same cohort 886dm-2276dm over the past 10 days but we are now also seeing more sub-1000dm trades.  At the tight end today is Blackrock’s MAGNE 2019-23A E (2024 RP profile) 864dm / 9.03y WAL – 0 ADR, +0.32 par build, 5.99 sub80, 3045 WARF and 1.9% CCC basket which are extremely good benchmark metrics.

EUR CLO

3 x AAA, 2 x BBB & 1 x B trades today. The AAAs have traded very tightly grouped between 173dm and 176dm. These levels are a few bps wider than yesterdays ANCHE 1 A1 trade. The Spire deal is performing the best of the three but at the AAA level these differences flatten themselves out.

In BBBs HARVT 20X D traded at 486dm and DRYD 2014-35X DRR at 565dm. Comparing these two bonds we get (respectively) that MVOC is 107.33 vs 105.93, junior OC cushion is 3.35 vs 1.30, WA coll px is 91.85 vs 91.14. These differences are not huge but we believe Dryden deals always have an extra risk premium because of the high percentage of HY Bonds in the collateral, which of course will have lower recovery rates.

In single B BOPHO 4X F traded at 69.17 / 1258dm. This is a very dramatic change from single B trades earlier this month which were mid-50s price and 1800dm area.

Bloomberg reported today that Henley II priced (from Napier Park). For comparison purposes the AAA priced at 200dm, the BBB at 500dm and the single B was a fixed rate bond.

USD CLO

An extremely active day with 46 covers – 20 x AAA, 5 x AA, 3 x A, 1 x BBB and 17 x BB.  The 1st pay AAAs traded 165dm-217dm with the tighter end in line with the firmer tone seen recently and an outlier trade OFSBS 2017-1A A (OFS) 255dm / 2.56y WAL (weak MV metrics, neg par build -0.5, high sub80 16.4, high WARF 3451, spilled CCC basket and a weaker manager record).  The MVOC differential between the tight and wide end today is 17pts with a 156.2 MVOC on BLUEM 2018-23A A1 at 165dm / 4.86y WAL.  The AAs trade 218dm-241dm (2022/2023 RP profiles) essentially a tightening effect versus a 230dm-320dm range seen for this cohort over the past 10 days, at the tight end is AIMCO 2018-AA B (AIMCO) 218dm / 5.98y WAL – MVOC 121.5, sub80 10.7, WARF 3173 and pos par build +0.19 with an excellent manager track record.  The single-As trade 300dm-331dm (2022/2024 RP profiles) with this cohort trading wider 330dm-460dm over the past couple of weeks so once again a further tightening effect at the mezz level.  Only one BBB trade today ALLEG 2018-1A D cover 540dm / 7.24y WAL (2023 RP profile with relatively clean metrics – MVOC 102.4, 12.4 sub80, CCC 5.9%), this is tighter to the 570dm-670dm range seen for this cohort over the past week.  With the sheer volume of BB trades today there appears to be a narrower dispersion of DM than seen over the past week to ten days, the trading dispersion is 400dm with a trading range today of 886dm-1286dm (940dm-2300dm trading range for same cohort past 10 days), at the tight end is OAKC 2015-11A ER (Oak Hill) 886dm / 8.3y WAL – MV almost fully covered 99.6, low ADR 0.35, low sub80 9.7, lower WARF 3006 and CCC bucket cuspy 7.3% with an impressive manager record overlaying this.

EUR CLO

1 x AAA, 7 x AA & 2 x A trades today. The AAA is ANCHE 1X A1 which traded at 98.14 / 168dm. This is around 20bps tighter. On 20 May we saw AAA trades in the 180dm to 194dm range.

The AAs have traded in a range from about 200dm to 240dm. This is also tighter. Although it is a while ago, in the 2nd week of May we were seeing AA trades in a range from 240dm to 270dm. The tight trade today is AVOCA 15X B2R at 96.51 / 202dm. The wide trade is CGMSE 2014-3A AA2R at 94h / 244dm. The credit metrics on these two deals do not seem as different as you might expect. In the order Avoca/Carlyle we have: MVOC 126.43 vs 125.61, Junior OC cushion 4.43 vs 3.14, WA Coll px 92.42 vs 90.04, Fitch CCC 5.50% vs 8.92%. The Avoca bond outperforms on all measures but the Carlyle bond does not score badly compared to its peer group.

The 2 single A’s traded around 275dm. Last week single As were trading around 300dm to 330dm.

USD CLO

Five covers to start this week, AAA-BB.  The AAA CGMS 2015-5A A1R (Carlyle) covers 177dm / 5.09y WAL (2024 RP profile), this profile has traded as tight as mid-late 160s dm last week – this bond today has a spilled CCC basket 9.6%, higher sub80 bucket 18% and a high WARF 3576 with a neg par build -1.37.  The single-As trade 271dm-297dm (2020/2021 RP profile) which is at the tighter end of trading over the past couple of weeks for this profile which has been in 280dm-430dm context.  The BBB is Carlson Cap’s CATLK 2018-5A D 701dm / 7y WAL (2022 RP profile) which is in the middle of the 590dm-900dm trading range seen for this profile over the past week – CCC basket is 14.2, ADR 1.58, 17.4 sub80 and -0.83 par build.  The BB ACIS 2017-7A E (Highland Cap) covers 1654dm / 4.24y WAL (2019 RP profile) – this profile hasn’t traded this month but 2018 and 2020 profiles have traded as wide as 1705dm over the past week so this trade is at the wide end, with the manager’s record much weaker than its peers for a bond which is post RP end and carrying almost 17% sub80 exposures.

EUR CLO

Just one trade today, CRNCL 2014-4X ERR. A BB which DNT’d but best bid was 85.67 / 906dm. Even though this bid is tighter than most bids we have seen recently which have been in the range from 970dm to 1100dm, still it did not trade. The MVOC is high for a BB at 101.74%, there is still a decent junior OC cushion of 4.22% and high WA collateral price of 91.51.