USD CLO AAA

A quieter end to the week with 9 covers today – 2 x AAA, 3 x AA, 1 x A, 1 x BBB and 2 x BB.  The AAAs trade 155dm-159dm (2020/2022 RP profiles) sitting comfortably within a 132dm-186dm range over the past 7 days. At the ‘wide’ end is a short dater GALXY 2016-22A A1R (PineBridge) 159dm / 1.84y (have traded as low at 132dm in short dated bonds recently), this has a lower MVOC than peers 141.2.  Otherwise both bonds are relatively clean from a AAA standpoint, see PriceABS for more information.

USD CLO Mezz/Equity

The AAs trade in a narrow dispersion 233dm-237dm (2022/2023 RP profiles) with comp trading 210dm-250dm for the past 2 weeks, so once again sitting comfortably within recent trades.  The single-A is BLUEM 2017-3A C (BlueMountain) 281dm / 6.06y WAL (2023 RP profile) which trades at the tight end of a 280dm-320dm range over the past 2 weeks – ADR 1.2, sub80 is 6.9, CCC 7.3% and MVOC 112.8 which are all reasonable metrics.  The BBB trade today is WINDR 2013-2A DR (First Eagle) 603dm / 6.6y WAL (2022 RP profile) which is through the wides of 440dm-530dm trading for this cohort over the past 3 weeks – ADr is 1.5, Sub80 8.9, CCC 10.1%, par build -1.03 and a cuspy MVOC 102.9 which is lower than peers.  The BBs trade 898dm-1072dm (2023 RP profiles) within the 750dm-1300dm trading range over the past 2 weeks in this cohort.  At the wide end BLUEM 2018-3A E 1072dm / 7.5y – 2.2 ADR and a sub 100 MVOC (99.5) contributing as levers to the wider DM.

USD CLO AAA

A busier day today with 25 covers from AAA down to Equity.  The 1st pay BSL AAAs trade 147dm-181dm which is broadly in line with recent trading.  There are 2 Middle Market AAA CLOs today which trade 231dm-233dm which represents some tightening on the last MM CLO trades from 2nd of June in 260dm context which again is in line with market sentiment.

USD CLO Mezz/Equity

The AAs trade 254dm (2021/2022 RP profiles) which is at the wides of the past 10 days trading 210dm-250dm, the MVOCs on the double-As today are weak (120 context) versus peers whilst part builds are significantly negative and managers’ records are at averages versus peers (see PriceABS trade listing for details).  The BBBs trade 458dm/2025 RP and 673dm/2024 RP profiles, the 2024 RP profiles trade this month 390dm-580dm context so the 673dm today is well wide of the range (VIBR 2016-4A DR ADR 1.81, -3.9 par build so weak metrics) whilst the 2025 RP profiles trade 400dm-460dm so today’s trade is at the wides.  The BBs trade 841dm-1215dm (2020-2023 RP profiles) versus a  volatile 760dm-1590dm range for this cohort over the past 10 days.  At the wide end is VIBR 2017-7A D 1215dm / 6.8y WAL (2022 RP profile) which is 150dm wide to the wide end of this cohort’s trading range this month to date – high ADR 1.45, MVOC <100 (99.4), neg par build -0.66 and DFG’s manager performance is worse than its peers.  There single-Bs trade 975dm-1275dm (2021/22 RP profiles) which trade at the tights of the 1300dm-2000dm range with only limited liquidity this month with 3 trades prior to today’s two trades, both bonds today are clean.  There is one Equity today from a benchmark manager CIFC CIFC 2015-3A SUB that trades to a 36.16 cash price which is around 2y CF, NAV is negative and int div cushion is healthy 2.8% as is the Jnr OC cushion 3.8% (RPE 2021).

USD CLO AAA

15 covers today, AAA down to Equity.  The AAAs trade 167dm-205dm, the tight end in line with recent tights but at the wide end is ACIS 2014-5A A1 (Highland Cap) which is post-RP end and has very weak metrics (1.5 ADR, 11.3 Sub80, 4188 WARF and 17.8% CCC). 

USD CLO Mezz/Equity

The AAs trade 203dm-242dm (2018/2019 RP profiles) versus 210dm-225dm range this month for these shorter dated profiles, at the wide end is CTWTR 2014-1A A2R (Cutwater) 242dm / 2y WAL – 2.82 ADR, 30% Sub80, 4512 WARF and 28% CCC.  The single-As trade 296dm-326dm (2020 RP profiles) versus 305dm-320dm range this month, so in line.  The BBBs trade 445dm-477dm (2020/2021 RP profiles) versus a 400dm-700dm in these profiles this month to date with last 10 days wider 500dm-700dm, so the levels today are through the tights seen over the past 2 weeks.  The BBs trade 920dm-1008dm (2024/2025 RP profiles) versus 830dm-1100dm recent range so these are in line, note the bonds that trade today are clean.  There are 4 x Equity that trade today, with NAVs still weak but improving the cash prices are in 4 & 5-handles with securities trading with NAV +3-4y CF (See PriceABS for more details).

USD CLO AAA

22 covers today – 6 x AAA, 4 x AA, 3 x A, 5 x BBB, 2 x BB and 2 x Equity.  The AAAs trade 132dm-197dm, at the tight end is a short dater BABSN 2013-IA AR (Barings) 132dm / 1.87y WAL, EoRP was Jan-20 with sound metrics and a short WAL compressing the DM.  At the wide end is CSAM’s MDPK 2018-29A A2 197dm / 5.6y WAL (2023 RP profile), trades wide given the 14.2% CCC basket.

USD CLO Mezz/Equity

The AAs trade 208dm-233dm in line with trading in 210dm-250dm over the past 10 days in this rating level.  The single-As trade 303dm-324dm versus 260dm-325dm trading range past 10 days, with an outlier trade ZAIS1 2014-1A BR (Zais) trading at a cash price 79.11 / 825dm / 4.4y WAL, the deal is distressed with 3.3% ADR, 21.5% Sub80, Int div and Jnr OC cushions both negative and 17.5% CCC.  The BBBs trade 450dm-611dm (2022/2023 RP profiles) which is bang in line with yesterday’s trading levels for these profiles, at the wide end LWCLO 2014-1A DRR (Tall Tree) 611dm / 5.74y WAL with Sub80 (10.6), CCC (9.5%), WARF (3601) and weak manager metrics driving the DM wider. The BBs trade 1040dm-1311dm (2020/2021 RP profiles) with these profiles trading tight at 770dm and as wide at 1500dm over the past 10 days, the wide end driven by MVOC predominantly with LCM 19A E2 cover 1311dm / 5.05y WAL – 98.5 MVOC and other metrics in line.  There are 2 Equity piece that trade today, both Elmwood deals, both trading to circa NAV plus 2-3y CF, please see PriceABS for further detail.

USD CLO AAA

13 covers today, all IG rated with tightening effect across most tranches.  The 1st pay 2022-2023 RP profiled AAAs trade tight 154dm-167dm (vs 162dm-196dm month to date) with an outlier trade STCR 2017-1A A (Steele Creek) 186dm / 4.04y WAL (weaker metrics 1.1 ADR, 14.8 Sub80, 12.1% CCC, 141 MVOC).  At the tight end is a benchmark name CIFC 2017-5A A1 154dm / 3.96y WAL – 143 MVOC, 0.36 ADRE, 7.9 Sub80, 6.9% CCC. 

USD CLO Mezz

The AA is Neuberger’s NEUB 2016-21A BR 208dm / 3.81y WAL which trades at the tight end of a 210dm-250dm range seen in AAs this month to date.  The single-A is CECLO 2014-21A BR2 (Columbia) 325dm / 5.85y WAL (2022 RP profile) which trades towards the wide end of the 260dm-340dm range seen in the cohort this month to date, the wider level is not due to technical but certain key metrics are weak – eg. 2.12 ADR and -0.97 par build.  The BBBs trade 463dm-612dm across 2021 and 2023 RP profiles which is firmly within the 400dm-700dm trading range seen recently across this cohort.  The outlier trade today at the wide end is First Eagle’s WINDR 2014-1A DRR 612dm / 7.35y WAL – softer metrics: 1.36 ADR, 10.7 ADR, 3404 WARF and 8.2% CCC along with a weak MVOC 103.2.

USD CLO AAA

More liquidity day on day, with 18 covers across the capital structure – 6 x AAA, 5 x AA, 6 x BB and 1 x Equity.  The AAAs (all 1st pay) trade in a 162dm-223dm range (2018-2023 RP profiles), with trading at 162dm at the tights for this month to date.  At the wide end today is a short dater from Highland Capital ACIS 2014-5A A1 cover 223dm / 1.26y WAL (2019 RP profile) – high ADR 1.51, high sub80 11.3, low diversity 40 (deal deleveraging) and high CCC 17.8% accounting for the mismatch.

USD CLO Mezz/Equity

The AAs trade tighter 208dm-221dm vs 210dm-270dm range month to date, at the tight end is a bond that is post RPE with clean metrics from Palmer Sq PSTAT 2018-3A A2 208dm / 3.13y WAL.  The BBs trade in a tighter dispersion today 833dm-983dm with a fixed rate CBO trading at a yield of 8.62%.  There was one Equity, Anchorage’s ANCHC 2013-1A SBAR that trades to a 55 cash price (c. 3y CF) – key metrics are reasonable including interest diversion cushion 1.3%, ADR 0.72, sub80 8.9%, CCC 12.1% and Jnr OC cushion of 1.8% with low retail concentration 2.8%, see PriceABS for more detail.

USD CLO Mezz

A quieter day with 11 covers, all mezz – 2 x A, 2 x BBB, 6 x BB and 1 x B.  The single-As trade 277dm-292dm (2023 RP profiles) tighter to a 280dm-350dm range for this cohort this month, at the tight end is Palmer Sq’s PLMRS 2018-1A B 277dm / 6.35y WAL with clean metrics and 114.1 MVOC.  The BBBs trade in a wide dispersion 493dm-616dm, at the tighter end of the range is VOYA 2018-3A D (Voya) 493dm / 7.22y WAL (2023 RP profile) which is wide to a 390dm-480dm trading range this month in this profile, with key metrics more or less in line with only the manager’s record and tranche MVOC slightly weaker than cohort.  At the wide end is Wellfleet’s WELF 2017-2A C 616dm / 6.02y WAL (2021 RP profile), this cohort does trade softer and has traded in a 400dm-700dm range this month, the weaker metrics on this bond are 10.2 Sub80, 8.85% CCC and a weaker manager record to peers.  The BBs trade in a wide dispersion as they have done post-vol in a 757dm-1536dm range, at the tight end GSO’s HRPK 2020-1A E is the firmest level this month in this cohort 757dm / 7.37y WAL (2023 RP profile), this deal was issued post-vol so has very clean metrics.  At the wide end is Carlson’s CATLK 2015-3A ER 1536dm / 5.83y WAL – 1.72 ADR, 11 ADR and 7.6% CCC with a manager record much weaker to peers.  The rare single-B trade is CIFC 2015-3A FR cover 1531dm / 6.35y WAL (2021 RP profile) with only 2 other single-B data points this month 1300dm/2000dm, this bond has clean metrics and is from a benchmark manager with only MVOC of 97.8 below average.

USD CLO Mezz/Equity

21 covers today, no AAA – 2 x AA, 1 x A, 3 x BBB, 13 x BB and 2 x Equity.  The AAs trade 243dm-250dm (2021/2022 RP profiles) in line with 210dm-270dm trading range this month to date in this cohort.  The single-A is MAGNE 2017-19X C (Blackrock) that covers 261dm / 5.84y WAL (2022 RP profile) compared to 310dm-340dm trading comps this month to date, this shelf typically trades tighter with stronger metrics (0.49 ADR, 6.04 Sub80, 3212 WARF and 5.9% CCC) and a lower WAS 3.31.  The BBBs trade 391dm-444dm (2023/2024 RP profiles) versus 390dm-480dm trading range (ignoring outlier trades 5 and 6-handles) for this cohort this month to date, so largely in line with recent liquidity.  The BBs trade 740dm-958dm across RP profiles which are not misaligned to recent trading, there is an outlier trade VENTR 2017-28AA E (MJX) that covers 1588dm / 5.9y WAL – low MVOC 97.1, high ADR 1.9, high sub80 11.24, negative par build -0.88 and a weaker manager record than its peers all contributing to the soft level.  There are 2 Equity that trade today, in teens and 60s cash price context trading to 1.5y and 4y CF respectively, please refer to PriceABS trade listing for more details.

USD CLO AAA

16 covers today across the cap stack – 4 x AAA, 2 x AA, 2 x A, 4 x BBB and 4 x BB.  The AAAs trade 162dm-184dm for RP profiles 2021-2023 versus 165dm-200dm trading dispersion this month today’s distribution is narrower.  At the tight end is a shorter dated CSAM’s MDPK 2015-19A A1R2 162dm / 2.44y WAL – 0.39 ADR, a high WARF in fact 3632 and a CCC 11.2% so the shorter WAL compensates this relative fundamental weakness. 

USD CLO Mezz

The AAs trade 211dm-225dm (2021 RP profiles) versus 210dm-270dm trading range this month to date so today’s levels are in line with the tighter end.  The single-As both trade 305dm (2020/2021 RP profiles) which trades tighter to the 320dm-350dm range seen this month to date in this cohort.  Both bonds have similar MVOCs 111 area and are from benchmark managers with slightly elevated ADRs around 1.15 (see PriceABS for details).  The BBBs trade 445dm-552dm with an outlier trade BLUEM 2013-1A CR (BlueMountain) 700dm / 5.16y WAL, this bond has a low MVOC 101, high ADR 1.7, high sub80 11.3 and high WARF 3569 resulting in the softer level.  The 445dm-552dm range is made up of 2021/2022 RP profiles which have traded in a very wide dispersion this month to date 390dm-690dm so today’s trades are more or less in line with recent trading.  The BBs trade as usual in a wide dispersion 827dm-1268dm given the variety of RP profiles (2022/2023/2025), at the tight end is GRIPP 2017-1A E (GSO) 827dm / 6.6y WAL (2022 RP profile) which compares favourably versus 850dm-1050dm trading range this month to date in this cohort – 0 ADR, 8.1 Sub80, 7.1% CCC and MVOC > 100 (100.5).

USD CLO

4 covers today, all mezz.  The AA rated ALLPK 2019-1A B1 (GSO) covers 211dm / 7.64y WAL (2025 RP profile), with very few AAs seen over the past couple of weeks this trade is tighter to the 225dm-270dm trading range seen recently, albeit a clean bond with good fundamentals.  The single-As trade 327-337dm (both 2022 RP profiles) in line with recent trading in this cohort 310dm-340dm.  The BBB, PGIM’s DRSLF 2018-57A D covers 452dm / 7.2y WAL (2023 RP profile) again in line with the 400dm-480dm range seen in this cohort recently, the bond has a 10.2% CCC basket but away from that most other metrics are sound.

USD CLO

17 covers today – all lower mezz/equity.  The BBBs trade 437dm-582dm (2021-2024 RP profiles) versus comps trading as we have seen for a few months also in a wide dispersion 390dm-690dm.  Drilling down into a more liquid subset to give a flavour as to market sentiment, the 2023 RP BBBs trade today in a tight dispersion 437dm-466dm which are broadly in line with a 400dm-480dm trading range this month to date.  The BBs also trade as expected in similar context, with a range today 796dm-1316dm across 2021-2025 RP profiles versus 810dm-960dm comps this month to date.  Note however that stripping out the outlier trades (which are plentiful) the trading range today is 796dm-879dm.  As is expected the probability of outlier trades at the moment is quite high so the BBs that trade >900dm all have high Sub 80 loan price migration buckets (8-10pc) from less mainstream managers (eg. DFG and ArrowMark) with Black Diamond’s BLACK 2017-1A D at the wide end 1316dm / 5.7y WAL – vh WARF 3617 and vh CCC basket 14.35% tugging the DM wider.  There is one Equity trade today, BlueMountain’s BLUEM 2012-2X SUB which trades at a cash price of MH20s, the RPE is 4 months away whilst the NC has passed last year, with the senior tranche locked +105bps there is no obvious path to refi/reset.  The Int Diversion test cushion is negative (-0.84%), negative par build -1.05 (but expect this to normalise as asset prices rebound) whilst the Jnr OC cushion is cuspy 0.66% and ADR sits at 1.5% and the NAV is negative (-14.3 but note same point on par build) and this trades at circa 2.25y CF despite the transaction begin to deleverage later this year, there are still 2 x IPDs within the realms of the existing RP period.

USD CLO

43 covers today, all mezzanine bonds – 4 x single A, 28 x BBB and 11 x BB.  The single-As trade 279dm-346dm (2022/2023 RP profiles)  which is broadly in line with 255dm-360dm trading levels over the past 2-3 weeks in this cohort.  At the tight end is Octagon’s OCT37 2018-2A B 279dm / 6.64y WAL – strong MVOC 112.65 but a weaker ADR 1.6 and 10.3% CCC but the manager’s record is constructive.  The high volume of BBBs today trade in an understandably wide dispersion 386dm-687dm across 2020=2025 RP profiles, with weaker MV metrics, sub80 buckets and CCC baskets driving the wide end.  At the tight end is Blackrock’s MAGNE 2019-23A D 386dm / 8.42y WAL which is fairly classic of this shelf (low CCC 1.9, low WARF 3045, low sub80 2.84 and 0 ADR), closely followed by TPG’s TICP 2016-5A DR 403dm / 7.4y WAL – strong MVOC 107.9, low ADR 0.46, low sub80 4.01 and CCC in check 6.6%.  The BBs trade 656dm-955dm, with once again a number of RP profiles represented hence the wide dispersion.  In the more liquid RP profiles (2023/2024) the trading range is 682dm-955dm versus a tighter past 2-3 week trading range 790dm-870dm, so firmer levels at the tight end but a couple of outlier trades through recent wides.  At the wide end is Fort Washington’s FWIA 2019-1A E 955dm / 8.64y WAL (2024 RP profile) with the high ADR 2.96% as the standout outlier in performance since all other metrics are reasonable including MVOC > 100 (102.3) but this is a debut manager with 1 x CLO under management with a weaker manager record versus peers (ADR for peers 1.11, annualised par build -0.81 v -.49 peers).

EUR AAA CLO

A very busy day today with 34 trades in all. There are 2 x AAA which both traded around 171dm. This is a widening of around 15bps on our AAA curve. New issues, earlier this month, had got in to as tight as 150dm.

USD CLO

14 covers today, all 1st pay AAA from a range of RP profiles trading 150dm-226dm.  At the wide end is Man Group’s GLGU 2018-2A A1R 226dm / 2.04y WAL (2020 RP profile) – high ADR 1.61, neg par build -1.45 and a weaker manager record vs peers.  Also at the wider end is Wellfleet’s WELF 2016-2A A1R 212dm / 2.02y WAL (also 2020 RP profile) – neg par build -1.13, low MVOC 137, high sub80 13.2, high WARF 3466 and CCC spilled 9.9% with a manager record stronger than Man’s but weaker vs peers.  At the tight end is a short dater from ArrowMark AWPT 2015-4A AR 150dm / 1.06y WAL – despite the weaker metrics (1.47 ADR, 11.7 ADR and 16% CCC) the deal is deleveraging at this tranche level post RP providing implicit support to this tranche.

EUR CLO

2 AAA trades today. The Partners Group bond traded at 173dm. The GLG bond traded at 192dm. GLGE bonds always trade wider than their peers and in fact, in this case, this is one of the European deals in which the Junior OC cushion has been breached and interest diversion should be taking place. Bloomberg reported yesterday that Northwoods 21 (for Angelo Gordon) achieved 150dm for its AAA, the tightest AAA print since the crisis started.

USD CLO

9 covers today – 1 x AAA, 2 x AA, 1 x A, 2 x BBB, 2 x BB and 1 x B.  The AAA SNDPT 2015-1RA A (Sound Point) trades 191dm / 3.46y WAL (2022 RP profile), although this cohort has traded 170dm-185dm in most recent trading it has traded as wide as 2-handle for weaker credits – this deal would be considered weaker with a high ADR 2.96 and a weaker manager profile than peers.

The AAs trade 225dm-272dm for shorter duration (2018/2021 RP profiles) more or less in line with recent trading in 240dm-300dm context.  The single-A GWOLF 2015-1A BR (Greywolf) covers 337dm / 5.7y WAL (2023 RP profile) at the wide end of 250dm-360dm recent trading – ADR is a little high 0.88 as well as Sub80 balance 9.2% and a low diversity 67 whilst Greywolf’s record has been in line with peers so this trade represents a little softening at this rating level.  The BBBs trade 415dm-429dm (2020/2023 RP profiles) at the tight end of recent trading in 420dm-580dm context, both bonds are from GSO and relatively clean.  The BBs are shorter dated and trade 632dm-672dm (2017/2020 RP profiles) tighter than recent comps in 800dm-1400dm – the GSO bond is deleveraging significantly (2017 RP) so has a 3y WAL whilst the Palmer Sq bond is pre-trustee reporting with no metrics yet available with the bond carrying a +423bps coupon so potentially pricing at a discount in new issue given the deal closed on 23 June.  The single-B is DEN14 2016-1A ER (Crestline) 1297dm / 7.9y (2023 RP)  – MVOC 96.7, ADR 0.32, 9% Sub80 and 12% CCC with the only real comps from 2 weeks back in this profile seen in similar 1200dm-1400dm context.

EUR CLO

1 AAA trade today. PURP 2X A (Natixis) traded at 169dm / 4.95yr. The last AAA we saw, via BWIC, was DRYD 2015-39 AR at 166dm / 3.4yr. Today’s trade represents an approx. 10bps tightening on the AAA curve.

EUR CLO

1 AAA trade today. DRYD 2015-39X AR traded at 166dm. This is about 10bps wider on the generic AAA curve.

USD CLO

What is expected to be a more muted week given the pending 4th of July weekend, there are 5 covers today – 4 x BBB and 1 x Equity.  The BBBs (2021/2024 RP profiles) trade 416dm-479dm, the tight end is in line with the volatile 420dm-650dm range seen in this cohort over the past week.  At the tight end is Palmer Sq’s PLMRS 2019-1A C 416dm / 8.5y WAL (2024 RP profile) – strong metrics 0.7 ADR, 3.9 Sub80, 2943 WARF, 3.64% CCC and 108.4 MVOC.  At the wide end is Eaton Vance’s EATON 2013-1A CRR 479dm / 5.9y WAL – 1.05 ADR, 6.4 Sub80, 3157 WARF, 4.2% CCC and 105.65 MVOC reflecting the basis to the Palmer Sq bond.  There is one Equity that trades today Seix’s MVEW 2017-2X SUB that trades at a cash price of 48, NAV -40 and reasonably good metrics (ADR 0, Int Div cushion 2.3%, ADR 0.14, par build +0.21) with only the CCC basket (8.4%) a concern as the manager has a reasonably good track record versus its peers, this trades to around 3y CF with EoRP in 2023 and a low coupon on the AAAs (+121bps).

USD CLO

9 covers today, all mezz – 2 x AA, 2 x A, 2 x BBB and 3 x BB.  The AAs trade very narrow 222dm-223dm (2023/2024 RP profiles), trading at the tight end of a 223dm-270dm range this week for this cohort, the 2 bonds are clean fundamentally and come from benchmark managers.  The single-As also trade in a narrow dispersion 252dm-261dm (2023/2025 RP profiles) and also trade at the tight end of comps trading in 250dm-360dm this week, once again both bonds have relatively clean fundamentals.  The BBBs trade 528dm-655dm (2021 RP profiles) which is through the wide end of this week’s comps seen 450dm-580dm.  At the wide end today is Sculptor’s OZLMF 2013-3A CR 655dm / 5.25y WAL – high ADR 1.06, high Sub80 10.93 and CCC basket spilled 9.5% whilst the manager record is weaker than its peers.  The BBs trade 828dm-1072dm which is broadly in line with comps seen this week for this cohort 800dm-1100dm, at the tight end is a benchmark manager CIFC’s CIFC 2019-1X E 828dm / 8.33y WAL – 0 ADR, 5.4 Sub80, 3126 WARF and 3.7% CCC all reflective of a clean deal.

USD CLO

55 covers today across the cap stack – 20 x AAA, 15 x AA, 6 x A, 4 x BBB, 8 x BB and 2 x Equity.  The AAAs (all 1st pay) trade 151dm-216dm, levels at the tight end dominated by shorter WAL bonds with high quality longer WAL bonds in 160dm-180dm context.  At the wide end is Pretium’s CRNPT 2018-6A A1 216dm / 1.93y WAL – the EoRP is in a few months whilst ADR is vh 4.4, Sub 80 is high 11.3.  There is an outlier trade from WhiteHorse WITEH 2014-1A AR 377dm / 0.55y WAL, very short dated and deal delveraging fast but the remaining portfolio is concentrated in weaker credits – 19% Sub80, 2.6 ADR and 21% are CCC.  The AAs trade 223dm-325dm which is a touch wider to the 205dm-260dm range seen for similar RP profile cohorts this week.  At the wide end is Crestline’s DEN17 2018-1A B 325dm / 6.7y WAL – weak MVOC 120.4, CCC basket spilled 10.3% and weaker manager metrics.  The single-As trade 268dm-366dm which is also a touch softer vs a 220dm-360dm trading range for similar cohorts this week.  The BBBs trade 420dm-502dm which is in line with trading levels this week (see PriceABS trade listing).  The BBs trade 791dm-972dm (2021-2023 RP profiles) which is in line with 790dm-890dm trading range this week.  There are 2 Equity today from Bain and Octagon trading to cash prices in the 50s and 3y CF with both 2023 RP profiles and NAVs -5 to +4 so very cuspy, please see PriceABS trade listing for full breakdowns.

EUR CLO

22 trades today. We’ll start with the solitary single A, ARESE 9X C, which traded at 290dm. This looks unchanged from recent day’s levels in secondary. For comparison Bloomberg reported that Harvest 24 priced its single A at 300dm and Albacore (a debut issuer in EUR) priced at 320dm.

There are 12 x BBB trades. All but a couple of outliers priced between 430dm and 510dm. Again this is in line with recent secondary levels. Bloomberg report that Harvest 24 priced at 400dm and Albacore at 425dm. The outlier in today’s trades at the tight end is ARBR 3X DR which traded at 370dm. This deal stopped reinvesting in Mar 2020 and the AAA has started paying down. The outlier at the wide end is GLME 3X D which traded at 551dm. Its credit metrics look normal to us and while it is a long bond at 8yr WAL it just looks a cheap level.

There are 8 x BB. The majority have traded in a range from 730dm to 820dm with just CRNCL 2016-7X E trading at 873dm. For reference Bloomberg report that Harvest 24 priced at 713dm and Albacore at 710dm. Again, to us, the performance of CRNCL 2016-7X E looks OK. Its MVOC is 103.94 which is at the low end but in the normal range and its Junior OC cushion is 3.58 which is adequate. It even has some CCC cushion left which a lot of deals these days don’t have.

The single B trade is BILB 1X E which traded at 1060dm which is in line with recent spread levels.

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.