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
  • 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).


  • 24 July 2020

    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.

    EUR MEZZ/EQUITY CLO

    After a 2 week holiday for EUR commentaries we come back to a day with 3 x AA & 1 x A trades. The AAs traded at 235dm except for DARPK 1X AA2R where the deal has started paying down, which traded at 211dm.

    The single A, OZLME 1X CRE, traded at 321dm.


  • 23 July 2020

    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).


  • 22 July 2020

    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).


  • 21 July 2020

    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.


  • 20 July 2020

    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.


  • 16 July 2020

    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.


  • 15 July 2020

    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.