USD CLO

A pick up in flow today with 20 covers, all mezz – 5 x AA, 5 x A, 8 x BBB and 2 x BB rated.  At the upper end of the rating scale the AAs traded 339dm-464dm for 2022-2024 RP profiles (5.2-6.7y WALs), MV metrics being the biggest lever for levels with CVC’s APID 2016-25A A2R at the tighter end 339dm / 6.7y WAL with a 111.65 MVOC and a good ADR level 0.35%, whilst a weaker manager Hayfin’s KING 2018-8A B despite a healthy MVOC 113.03 and 0.21% ADR covers 420dm / 6.2y WAL.  To put into context DMs for this cohort was in 170area context pre-vol.  The single-As (2022/2023 RP profiles) trade in a 470dm-559dm range, at the tight end is Octagon’s OCT37 2018-2A B 470dm / 6.93y WAL which defies logic with the tightest DM amongst the cluster of single-As today despite a weaker manager record, weaker MV metrics and 1.28% ADR which is wider than it’s average across all deals.  At the wide end is ArrowMark’s AWPT 2018-10A C 559dm / 6.7y WAL with the highest MVOC 104.81 and lowest ADR 0.38% whilst the best diversity 84, lowest WARF 2779 and sound manager record!  The BBBs trade in a relatively tight spread 849dm-879dm (2023/2024 RP profiles) versus pre-vol levels of 325dm-350dm for similar cohort, there was an outlier today MARNR 2018-5A D (Mariner) 715dm / 7.4y WAL – strong manager metrics whilst the deal itself carries 0.12% ADR, 4.75% sub80 assets and a good WARF 2726.  The two double-Bs traded today in a 1267dm-1319dm range (2023/2024 RP profiles), to put into context the DMs have doubled from pre-vol levels of 685dm-775dm for similar cohorts, the trades today have not any material fundamental issues, only dislocation in terms of distressed underlying loan prices and liquidity in this rating level.

EUR CLO

3 x BBB & 1 x BB today. First a note of caution. We have adjusted our scenarios to decrease CPRs and increase the amount of reinvestment that takes place thus lengthening the WALs. Therefore today’s calculated spreads are not directly comparable with recent levels. Two of the BBBs are DNTs and one is a CVR. All three prices represent spreads between 720dm and 800dm. The tight end of this range is from CORDA 4X DRR which has a shorter RPE Date than the others and hence shorter WAL and is the traded bond. The wider levels DNT. Previous recent BBB spreads have been 900H, but that is under the previous assumptions with shorter WALs.

The BB is CONTE 5X E which traded at 1219dm/9.5yr. This bond traded at 97 price in Jan 2020 and traded at 59 today, a fall of almost 40 points. In Jan 97 price represented 535dm / 6.73yr and today 59 represents 1219dm / 9.46yr.

EUR CLO

2 x AAA today. DRYD 2017-27X A1 is a regular AAA with a RP End Date of May 2021 and a 2.89yr WAL. It traded with a 91h price at 430 dm. This compares with AAA trades in the middle of Mar at L300s dm.

JUBIL 2015-16X A1R has passed its RP End Date, is just about to start paying down and therefore only has a 1.68yr WAL however it also traded with a 91h price which is 611 dm. Either this is cheap even in today’s market or maybe it is not expected to be as short as the modelling shows. Prior experience would tell us that we can expect loan defaults to increase steadily and peak in around 12 months. If there are many loan extensions as well then maybe JUBIL 2015-16X A1R is not going to be as short as it looks. Most investor’s analysis would say that AAAs are still very well covered even if default rates go very high but of course they have less cushion than before and their risk of lengthening has gone up.

USD CLO

Today we saw the first trades trickle through for a few days, as expected all 1st pay AAAs (2023 RP profiles).  AAA DMs have widened significantly post-vol from v-l 100s to late 200s-early 300s handle, with todays trading range 262dm-320dm.  At the tight end of the range is PLMRS 2018-1A A1 (Palmer Square) 262dm / 4.77y WAL which has some of the most impressive performance stats on the day (ADR 0.17%, WARF 2744, MVOC 128.77).  At the wide end of the range is OZLM 2018-18A A (Sculptor Capital) 320dm / 4.91y WAL with predictably weaker stats (ADR 0.46%, WARF 2828, MVOC 126.15).  For a full list of trades with associated performance and MV metrics please refer to the trade listing in PriceABS.

EUR CLO

Good to see a little bit of BWIC trading colour today. There are 3 trades and 3 DNTs (but where the best bid has been disclosed), across single A and BBB. The 3 single A’s (one CVR and 2 x DNT) priced between 650 and 700 dm|mat. For reference purposes these were around 300 dm at beginning of Mar and between 200 and 250 dm in Feb.

The 3 BBBs comprise 2 x CVR and 1 x DNT. These have priced between 880 and 980 dm|mat. Again for reference, on 17 Mar these were trading around 750 to 780 dm|mat, at the beginning of Mar they were more like LM400s and back in Feb they were M300s.

EUR CLO

3 x AAA today but also a AA which DNT but best bid was shown. The Ares and Harvest AAAs traded around 320dm|mat. MKSE 1X A (MacKay Shields by New York Life IM) traded around 360dm|mat. This is, perhaps, a touch wider than the HPS AAA on 17 Mar 313dm|mat because on-the-run managers are now trading at 320dm.

The AA is CGMSE 2018-1X A2A which received a best bid of around 507dm|mat but it DNT. This bid is way wider than where CONTE 2X BRNE traded on 16 Mar at 319dm. Clearly AAs are behind 319dm now since AAAs are behind that but in the sellers view AAs are not yet at 507dm.

USD CLO

6 x BBB covers today, providing some context into the softer market conditions.  The BBBs today had RP profiles across the spectrum (2019-2023) and traded in a 568dm-697dm range.  At the wide end of the range Octagon's OCT31 2017-1A D covers 697dm / 6.94 WAL - the MV metrics are extremely weak (MVOC 101.39 / MVAP 1.37) and with all other performance metrics broadly in line with the other BBBs that traded, the manager has weaker metrics than its peers so goes some way to account for the wide level.  Conversely, at the tighter end of the range is PGIM's DRSLF 2013-28A B1LR which covers 568dm / 7.02y WAL, once again performance metrics broadly in line with the others including Octagon with MV metrics a shade better, but it is the manager's excellent performance record which is driving this DM tight.

EUR CLO

1 x AAA & 5 x BBB today. The AAA is wider again. AQUE 2019-4X A (HPS) has traded at 313dm|mat. This compares with several trades around 290dm|mat just yesterday.

The BBBs have all gapped wider to trade between 750dm|mat and 790dm|mat. All I can say is wow. Even on 10 Mar they were trading at M400s spread.

EUR CLO

1 x AA & 4 x AAA today. AAAs are wider again. Today’s trades are between 260dm|mat and 290dm|mat. For similar margin bonds of 75bps spreads were around 230dm on Fri and are around 275dm today.

The AA is CONTE 2X BRNE which traded at 319dm|mat. This deal has started paying down and is therefore quite short. The last AA trades we saw on BWICs were on 11 Mar which were around 250dm to 260dm|mat.

EUR CLO

4 x AAA today. AAA spreads widened by another 10bps from Thursday’s levels. Today’s trades are between 222dm|mat and 243dm|mat. ACLO 4A A2 is a fixed rate AAA paying a coupon of 1.62% and it has traded at 278bps over Euribor.

EUR CLO

4 x AAA today. Another significant widening of AAA spreads. We have moved from around 180dm|mat on 10 Mar to a range of 210dm to 235dm to mat today. TIKEH 2015-1X A1RE is paying down and is only 1.9yr WAL thus it traded at 191dm|mat.

EUR CLO

Just the one AA today. INVSC 3X B1 traded at 96.06 / 272dm|mat which is wider again than recent AA trades, although this is a smaller manager. This is around another 30bps wider.

EUR CLO

We’ve got 2 x AAA, 2 x AA and 2 x BBB to look at today. Pricing everything now just to maturity without any chance of a call they have both traded at around 180dm|mat which is a lot wider than Dryden 74 New Issue talk of 100a over floored Libor.

The AAs traded around 250dm|mat which is wider again than trades last week which were in the 220a.

In the BBBs BECLO 5X D (BlackRock) traded at 417dm|mat and CLRPK 1A CR (GSO) traded at 478dm|mat. Blackrock is a Tier 1 manager but also this bond has 110bps lower margin than the GSO bond. Even though refi’s look unlikely right now maybe that could change in 6 months, which could explain the relatively tighter level.

EUR CLO

Just 1 x BB traded today. ADAGI IV-X ER traded at 89.34 / 796dm|Mat. This bond has a slightly low margin at 490bps and has started delevering. Both the low margin and short WAL will make this bond trade at a tight spread. Post-vol BBs have traded 700 to 750dm for good managers up to 900dm for weaker managers. This trade at 800dm given the margin and WAL benefits is on the wider side of where top tier managers could have traded.

EUR CLO

3 x AA traded today. CGMSE 2015-2X AA2R has started paying at the AAA level and is only 3.8yr WAL. This and the low margin of 140bps meant it traded the tightest at 210dm|mat, which was a price of 99.30. The other two bonds, with WALs of nearly 7 years traded around 230dm|mat depending on their margins. VOYE 2X B1 traded at nearly par (99.76) with a margin of 190bps which gives you an indication of the margin that would be required today for a new deal.

EUR CLO

6 x A & 1 x BBB traded today. In the single As the lower margin bonds (240bps to 250bps margin) have traded around 290dm to 300dm to maturity. The two higher margin single As EGLXY 2019-7X C and VOYE 2X C with 275bps margin have traded close to par at 320dm|mat.

The BBB is HARVT 8X DRR which has a low margin at 255bps. It traded at 94.13 / 410dm|mat.

EUR CLO

1 x AA & 3 x BB traded today. The single A is SPAUL 6X BR which traded at a discount price and is callable. It traded at 280dm|mat which is in line with the new levels seen since the end of Feb.

In the BBBs BECLO 3X D has a low margin at 320bps and so traded tightest of the three at 370dm|mat. The other two have margins of 360bps and 400bps and traded at around 445dm|mat. Spreads of 445bps are the widest we have seen for BBB since the sell-off although they both have relatively high margins and are not immediately callable.

EUR CLO

4 x BB traded with disclosed prices today. The bonds from Investcorp, Blackrock & PGIM all traded around 720dm|mat. But HLAE 2014-1X ER (now managed by Bardin Hill) traded around 900dm|mat. This deal is in reasonable shape: the CCC bucket is high at 4.64%, defaults is zero, junior OC cushion is good at 5.24% and MVOC is 109.7%, but this shows that this manager trades considerably wider than its peer group. Looking at the trading style of this manager it appears that they sell credit risk assets quite early and therefore have a high rate of credit risk sales but get higher prices for them. They can be considered an activist manager.

USD CLO

A busy start to the week with 27 reported covers, all IG rated – 8 x AAA, 8 x AA, 8 x A and 3 x BBB.  Given the market softening seen late last week, this is the first meaningful day of trading to observe levels across the stack.  The >4y WAL AAAs trade around 20-25dm wider 124dm-155dm (from pre-vol levels of 105dm-125dm), the transactions are relatively clean but from less experienced managers like Fort Washington, Birch Grove and Elmwood, whilst APID 2013-12A AR from a more experienced manager CVC trades tightest at 124dm with a clean performance record on the transaction with MV metrics only weaker than the other deals today.  The AAs are from a wide range of RP profiles (2019-2024) and trade in a 158dm-237dm range, at the shorter end CSAM’s 2019 RP profile MDPK 2014-15A A2R covers 158dm / 2.7y WAL which is 20dm wide to pre-vol, at the longer end a 2024 RP profile from Steele Creek STCR 2019-1A B covers 237dm / 6.97y WAL which is around 30dm wide to pre-vol levels for this cohort.  The single-As (2021-2024 RP profiles) trade in a 250dm-302dm range, with most of today’s liquidity in 2023 RP profiles, these trade in the widest dispersion 250dm-302dm (trading in 227dm context pre-vol) so seeing a significant amount of widening at this mezz rating level of around 50dm.  The BBBs (2022/2023 RP profiles) trade 359dm-369dm versus 325dm pre-vol so less of a pronounced widening effect than singl-A but nonetheless widening of 40dm, for instance a benchmark manager CSAM’s MDPK 2014-14A DRR covers 359dm / 8.01y WAL with an ADR 0.58% / sub80 assets 4.12% (touch high) / par build +0.2 which are relatively good metrics.

EUR/GBP ABS/RMBS

4 trades that we saw on bwics today. There are 2 Italian Prime RMBS both Aa3 rated. SIENA 2010-7 A3 is from a 2010 deal. It is the slow pay orig AAA which is Aa3 rated now and traded at 59dm. POPBA 2017-1 A is a 2017 deal which traded around 70dm. There are also 2 auto deals from Auto Noria. The bond with Spanish collateral traded at 132dm for a Aa3 and the French bond traded at 86dm for the same rating.

USD CLO

With volatility across global capital markets over the past 24 hours this has manifested itself into CLOs with DMs generally drifting wider but significantly wider on bonds where there is fundamental weakness in performance to date.  We reported 5 covers today across all IG rating bands which will present an opportunity to assess the impact on DMs – 2 x AAA (1 x 1st pay and 1 x 2nd pay), 1 x AA, 1 x A and 1 x BBB.  The 1st pay AAA is VENTR 2014-18A AR (MJX AM) with some fundamental weakness (ADR 1.71%, sub80 assets 7.8%, par build -0.77) and covers 134dm / 3.4y WAL which is 14bps wide to comps seen pre-vol.  The 2nd pay AAA is AWPT 2017-6A A2 (ArrowMark) cover 157dm / 4.7y, this is overall a clean deal and in line with BLUEM 2014-2A A2R2 which is the last 2nd pay comp we have seen last month with similar DM.  The AA today DRSLF 2017-50A B (PGIM) covers 200dm / 6y WAL, which is a 2022 RP profile and relatively clean transaction with good manager metrics, trades 35dm wide to similar bonds seen pre-vol.  The single-A today is MCLO 2013-5A BR (Marathon) which is a 2019 RP profile, covers 354dm, this is significantly wider than comps seen pre-vol of 190dm-200dm – once again fundamentals are very weak on this deal (ADR 2.66%, sub80 6.9%, par build -1.67, WARF 3206, MVOC 110) so trades to a weaker bid at present.  The BBB ALM 2012-6A CR3 (Apollo)  is a 2020 RP profile covers 268dm / 4.95y WAL – this is a clean deal and trades at pre-vol levels.

EUR CLO

A chance to get some post-sell off price discovery in rating classes other than BB which we saw trade on 27 Feb. Today we have 2 x A, 4 x BBB & 2 x BB. In the single A’s the bond with the closest to par margin is BECLO 9A CE which has a 240bps margin. It traded at 98.75 / 290dm|mat. About two weeks ago single A’s trading around par were in the 210dm to 230dm range.

In the BBBs trades that 2 weeks ago would have had par margins ie around 330bps are now trading with 96h or 97h which is around 410dm|mat. This is about 70bps wider than where we were.

In the BBs BLUME 2016-1X ER traded on the tighter side (for today’s market) at 650dm|mat but it has a very low margin at 438bps which explains this. ACCUN 2X E has a higher (but still below par) margin at 498bps and it traded at M80s / 834dm|mat which is wide even by these new levels.

USD CLO

The first trades post Vegas seen today, 21 covers – 10 x AAA, 5 x A and 6 x BBB rated.  The AAAs are all short daters (sub 3y WAL) trading 109dm-121dm with the exception of TRNTS 2016-5A AR (Trinitas) that trades 141dm / 2.6y WAL – this has an October 2020 RP end and reasonable performance / MV metrics, the deal is managed by an affiliate manager White Star which is an inexperienced manager with weak manager metrics all round, for instance avg Int diversion cushion is only 0.82% and par build record across all deals is -0.61 and an ADR of 1.09%.  The single-As trade 198dm-267dm given various RP profiles, with the 2023 RP profile ALLEG 2018-2A C trading wide at 251dm / 7y WAL (comps in 227dm area) but the manager record is weaker than its peers despite performance/MV metrics being largely in line.  The BBBs trade 311dm-385dm across 2019-2023 RP profiles, at the longer end 2021/2022 RP profiles trade 362dm-385dm wide to 300dm area comps seen recently with comparable metrics, whilst the 2023 RP trade 328dm / 8y WAL ROCKT 2018-2A D (King ST) which is in line with market.

EUR CLO

These are the first CLO trades since the global sell off due to COVID-19. We have 11 x BB trades to look at. The DM|Mat on the low margin trades is around 625bps but for the trades with stated margins around 625bps the DM|Mat is around 700bps. A week ago we were seeing EUR BBs which traded around par price having a DM|Mat around 550bps to 570bps so this looks like over 100bps in widening to us. ARBR 2014-1X E traded at 100h even though it only has a margin of 500bps which is 530dm|mat but this is because the deal has substantially delevered and the MVAP is much higher and it is only a 4yr WAL.

USD CLO

With the SFIF Conference a few days away liquidity has tapered off in CLOs with 2 short dated AAAs covered today, both are 2020 RP profiles and trafr 81dm-85dm / 2.2y WAL and trade inside comps we have seen for this profile in 90dm area context.  The managers are CIFC and Barings with performance / MV metrics good.  For a full breakdown of these metrics please see the PriceABS trade listing and associated performance/MV metrics from today.

EUR CLO

Just 2 x BBB & 1 x BB today. Both BBBs have below par margins and have traded at 271dm|mat and 307dm|mat.

The BB is also a below par trade and traded at 592dm|mat.

USD CLO

3 reported covers today, all BBB rated.  At the long end, a recently priced East West BSL CLO (pre-trustee reporting) EWIM 2019-1A D covers 468dm / 10y WAL with a 2025 RP end, we have seen one other comp recently which is BABSN 2019-4A D (Barings) around 2 weeks ago at 402dm with a slightly shorter WAL 9.1y so today’s trade looks largely in line.  Furthermore there were 2 x 2020 RP profile BBBs today that trade 305dm-320dm / 5.3y WAL, with recent comps towards the tight end of this range – at the wide end of the range today is KVK 2018-1A D (Kramer Van Kirk) at 320dm with weaker MV metrics (than the WELF 2016-1A DR at the tight end) with MVOC 108.7 v 110.4 and a high ADR 1.38% but otherwise performance metrics look good.  The manager Kramer Van Kirk is also inexperienced with only 3 deals under management and prevailing performance metrics lagging its peers in key areas.

EUR CLO

Looking at AAAs TIKEH 2X AR traded at 100.15. It has a margin of 88bps, only slightly back of the recent print from the Carlyle deal at 92bps however it is quite short having a RP End Date of Dec 2020. It traded at 125dm|mat or 102dm|call. OHECP 2017-6X A1E has a margin of 73bps and traded strongly at 100.16 / 109dm|mat / 9dm|call.

For AAs the below par margin bonds have traded 175dm|mat and the above par margin bond HAYEM 3A B1 (Hayfin) at 202dm|mat.

For BBs, which are all below par margin, the general trading range is 530dm|mat to 570dm|mat but there is one bond that has traded a lot wider. PENTA 2017-3X E (Partners Group) which has a 490bps margin traded at 628dm|mat.

CORDA 3X SUB traded at 59.89 / 15.34%. NAV is 54.50. It does have lower than average MVAP (-4.8%) and MVDP (6.2%). The AAA pays a margin of 78bps.

BLUME 2016-1X SUB traded at 76.76 / 13.65%. Its NAV is 66. AAA margin is 79bps. Both deals are very clean.

USD CLO

A far busier day with 31 covers right across every rating band – 9 x AAA, 3 x AA, 5 x A, 12 x BBB, 1 x BB and 1 x Equity.  The >4y WAL AAAs trade in a narrower range than we have seen recently 116dm-126dm (all 2023 RP profiles) but wider to the 106dm context we have seen for this RP profile, furthermore all of today’s trades have performance and MV metrics in line with recent trades in this profile so some of the widening is explained away with less experienced managers (Trimaran, CBAM, MidOcean) but not completely so there is some widening trending today in this rating level.

The AAs trade 165dm-187dm with Carlyle’s CGMS 2017-1A A2 at the tight end 165dm / 6.3y WAL, a benchmark manager with slightly weaker manager metrics than it’s peers (eg. par build -0.59 v -0.26 average, ADR 1.06% v 0.75% average) but not withstanding lower ADR on this deal 0.8% than it’s average / lower par build -0.47 and otherwise reasonable metrics driving this around 7bps tighter than the generic level 172dm we have on this RP profile recently.  The single-As are all shorter daters (2018/19 RP profiles) and trade in a 184dm-257dm range, given the fact that deals are post RP and deleveraging in different ways the range is wide.  We have this RP profile trading in 190dm context recently the levels are at the wider end, with ADR’s noticeably high 0.93%-3.21% on todays trades as well as high sub80 asset price migration in early-mi-teens % context which is extremely high and high risk inherent in these deals with WARF well in excess of 3000 on all trades today.  The BBBs traded 244dm-374dm with a number of RP profiles, at the longer end the 2023/24 RP profiles trade in a 288dm-369dm range with recent comps trading in 330am-350dm context so today’s trades are at market.  Bain Capital’s BCC 2019-2A D trades at the wide end 369dm with reasonable performance / MV metrics but the manager’s performance is weaker than its peers (eg. par build -1.13 and interest diversion test cushion 1.66% v 2.85% average) so has an effect on the level.  The BB trade today is ARES 2019-54 A E (Ares) 709dm / 9.8y WAL which is wide to recent levels in late600s dm context, the MVOC is lower than these comps 106.8 v 107.6 but otherwise performance metrics are fine.  We modelled one equity today, Carlyle’s CGMS 2015-4A SBB1 which covers 94.2 for a small stub but backs out to a 7.75% yield, we haircut the assets (Constellis loans carried at highly distressed levels 5.5 for a 2nd lien cov-lite / 31.25 for a cov-lite with immediate default and 18m recovery) along with haircuts on other sub 90 priced assets running the deal to a EoRP +24m call.

EUR CLO

Euro market is more active today with 1 x AA, 2 x A, 1 x BBB, 4x BB, 2 x BB & 2 x equity trading. The AA is BHLAE 2019-1X B1 (Bardin Hill) which traded at 100.26 / 210dm|mat / 207dm|call. Recent AAs have been around 180dm|mat. Some of the wideness of today’s trade could be due to the market widening and some due to Bardin Hill trading wider than its peers. This deal does have a high CCC bucket at 2.35%.

In the single As TCLO 2X CR has a higher than new issue margin at 240bps and traded at 100.28 / 269dm|mat and BILB 1X B has a margin of 170bps and traded at 99.59 / 208dm|mat.

The BBB trade is TCLO 2X DR which has a margin of 330bps and traded at 100.26 / 358dm|mat.

In the BBs the two high margin bonds have traded as follows: DRYD 2019-69X E at 101.42 / 632dm|mat and CRNCL 2016-7X E at 100.77 / 652dm|mat. The two bonds with approx. par margins have still traded at premium dollar prices: CRNCL 2014-4X ERR at 100.62 / 607dm|mat and MDPKE 14X E at 100.63 / 594dm|mat.

Both single Bs traded at a discount between 812dm|mat to 859dm|mat.

PRVD 2X SUB (Providus 2 – Permira) traded at 71.11 / 12.58%. It is a very clean pool in terms of only one asset priced <85 but it does have a high CCC bucket (4.01%). It has generated good returns to equity holders thus far of 21% pa.

BECLO 6X SUB traded at 81.78 / 12.68%. For reference the CCC bucket in this deal is 2.48% and equity returns have been 22% pa. Both deals closed towards the end of 2018.