USD CLO

A busy day with 30 covers – 4 x AAA, 4 x AA, 2 x A, 11 x BBB and 9 x BB.  The AAAs trade 170dm-223dm including a mezz AAA (2nd pay) at the wide end of this range.  At the tight end is Oak Hill’s OHALF 2016-1A AR 170dm / 6.27y WAL (2025 RP profile) with strong MVOC 141.25, low ADR 0.19 and low relative WARF 2980.  The AAs trade in a narrow dispersion very close to the wide end of the AAAs 230dm-246dm grinding tighter to yesterday’s 230dm-270dm range.  The single-As trade in a wider dispersion 307dm-461dm (v week to date 289dm-375dm), so more or less in line at the tight end but at the wide end today is Carlson Cap’s CATLK 2018-5A C 461dm / 6.27y WAL – a 2022 RP profile with high ADR 1.17, high sub80 bucket 19.3 and a high WARF 3332 along with a spilled CCC bucket at 10.3%, the manager record is also weak to peers.  BBBs continue to trade in a wide dispersion given the volatility in this rating level, today 557dm-870dm (versus 497dm-739dm this week), a the wide end is an outlier…. Black Diamond’s BLACK 2016-1A CR 870dm / 7.25y WAL – high ADR 1.25, high sub80 17.8, high WARF 3595, neg par build -1.16 and a v-high CCC bucket 12.41%.  The BBs trade today in the narrowest dispersion seen post-vol 1052dm-1128dm with an outlier trade KKR 14 ER 1440dm (low MVOC 94.3, high sub80 20.2) bearing in mind we have seen BBs trade 973dm-2935dm this week!

EUR CLO

A handful of trades across a range of credit ratings again today. AAs traded between 240dm and 260dm. Spreads continue to grind tighter. The majority of AAs trading around 240dm now.

The single A, for Commerzbank, traded at 307dm. It has an unusually high MVOC at 134.19%, but it started out with a conservative tranching structure. This trade is at the tight end of recent levels.

The BBB, BLUME 5X D, traded at 85.94 / 621dm. Its credit metrics and pool quality hold up well given that it closed less than 6 months ago.

The BB, BCCE 2019-1X E, was a DNT but best bid was 70h / 1249dm. Recent BB trades have been in the 1100dm area so you can see why the seller decided not to let this bond go.

The single B is ARBR 7X F which traded at 56.81 / 1790dm. This deal closed in Jan 2020. Its credit metrics are fine as you would expect: WA Collateral Price 90.50, CCC Balance 3.4%, Assets sub 80 10%, MVOC 97.06. Around 1800dm is where we have seen other single B trades.

USD CLO

A busy day with 25 covers from AAA down to Equity.  The AAAs trade 172dm-206dm with an outlier trade ALM 2013-7R2A A1B2 246dm / 3.48y WAL (high WARF 3306 and negative par build -0.65), levels continue to tighten overall.  At the tight end APID 2013-15A A1RR (CVC) covers 172dm / 4.44y WAL which is the tightest level post-vol – strong MVOC 147, low WARF 2838 and high diversity 92 along with a stable CCC bucket 4.9%.  The AAs trade 232dm-271dm in line with tights of yesterday (230dm-290dm).  The BBBs trade 497dm-739dm, once again tightening effect with the first sub500 trade post-vol at this rating level - VOYA 2019-3A D (Voya) covers 497dm / 8.55y WAL (0 ADR, low sub80 9%, low WARF 2839 and CCC 2.4%).  The BBs remain volatile with trading range today 1169dm-2935dm, at the wide end is BSMC 2013-1A ER (Shenkman( 2935dm / 5.13y WAL – high ADR 1.98%, high WARF 3314 and a weaker manager record contributing to the softer level.  We saw 2 Equity cover from CSAM and Octagon, the first we have seen in a long while, cash prices are in 50s-60 area with the securities trading to a current cashflow premium over NAV which are both significantly negative (full details on PriceABS).

EUR CLO

Trades across a range of asset classes today. The AAA bond is GRANH 2019-1X A (managed by MeDirect Bank) which traded yesterday at 236dm and today at 231dm.

The two AAs traded around 250dm. This is a continued ratcheting in of AA spreads.

The single As have traded around 315dm which is quite a bit tighter than the MH300s that we have seen earlier this month.

The BBBs have mostly traded in a 550dm to 600dm range, but with two Dryden trades around 640dm. 550 – 600dm is not much of a change from previously observed levels. The two Dryden trades with wider levels, around 640dm, are from Dryden 73 and Dryden 69. The credit stats on both these trades look OK. Their MVOC is in the normal range (around 106%), they don’t have a high percentage of assets below 80 (13%) and they both have decent CCC cushions. Dryden deals do often trade wider, perhaps because of the high number of HY bonds in the pool.

USD CLO

Quite an active day with 21 covers – 8 x AAA, 3 x BBB and 10 x BBs.  The AAAs trade 176dm-217dm with an outlier trade KING 2018-8A A (Hayfin) cover 242 / 4.62y WAL – with no obvious reasons for the outlier level since all key metrics are in check, with only MVOC (139.7) and ADR 0.84 at the wider end of the scale and CCCs 4.7%.  At the tight end is a benchmark manager CIFC’s CIFC 2015-1A ARR 176dm / 4.4y WAL with clean fundamentals.  The BBBs trade 534dm-636dm (2023/2024 RP profiles), these are tightest levels post-vol for this cohort with mtd trading 554dm-968dm.  At the tight end is another benchmark manager CSAM’s MDPK 2018-31A D 534dm / 7.97y WAL with clean fundamentals and MV metrics despite a 11.45% CCC bucket.  The BBs trade today 973dm-1763dm, for the first time post-vol we are seeing BB trades sub 1000dm with continued volatility at the wide end given market conditions at this 2nd/3rd loss level.  At the tight end today is Kayne Anderson’s KAYNE 2018-1A E 973dm / 7.7y WAL – 0 ADR, 12% sub80 bucket and 2.5% CCC with good manager metrics for a relatively inexperienced manager.

USD CLO

19 covers today – 1 x AAA, 2 x AA, 8 x A, 8 x BB.  The AAA is Palmer Square’s PSTAT 2020-1A A1 cover 178dm / 2.1y WAL which is in line with tighter levels (inside 180dm) seen at the end of last week.  The AAs trade very narrowly 229dm-230dm (2022 and 2025 RP profiles) and affirm the tighter theme seen end of last week (230dm-260dm) albeit at the tighter end of this range with both deals clean and no spilled CCC buckets.  The single-As trade 289dm-375dm which is in bang in line with the 290dm-370dm range seen on Friday, a weaker manager props up the wide end PARL 2017-1A CR (DoubleLine) 375dm / 5.5y WAL – 1.02 ADR, 20% sub80 bucket and 7.84% CCC bucket.  BBs have traded this month to date in a wide 1100dm-1800dm range with today’s trading range no different 1073dm-1858dm, at the tight end is a clean Ares deal ARES 2015-4A DR and at the wide end is a weaker manager Bain Cap AVERY 2015-7A E 1858dm / 5.5y WAL with 94.5 MVOC and the manager profile dragging this wide.

EUR CLO

Trades across a range of asset classes today. In the AAA category the ICG bond traded at 205dm whereas GRANH 2019-1X A (managed by MeDirect Bank) traded at 236dm. Both deals have high CCC balances. These two spread levels are within the recent tight and wide end of the AAA range.

The AA (from Axa) has traded at 267dm which is a few bps tighter than the most recent AAs we have seen.

The single A from Chenavari traded at 400dm. This is about 40bps wider than recent trades. The CCC cushion has been eroded in this deal. The WA collateral price is 88.17 which is a little on the low side and there is 21% of the collateral below 80 price which is on the high side.

The BBBs have traded in quite a wide range – from 540dm to 640dm. This range is tighter than recent levels which have been in the 600dm to 700dm range as recently as 6 May. The tight end of today’s range is CONTE 4X DNE (Five Arrows) at 542dm. Its MVOC is only average at 105.17% but it does have a decent CCC cushion at 4.23%. The wide end of the range are HARVT 16A DRE (Investcorp) and CRWPK 1X C (GSO) at 640dm. The Investcorp bond has a low MVOC (103.26%) which explains its wide level but the GSO bond has a good MVOC (108.02%) but GSO bonds often trade wider. Both bonds have a decent CCC cushion remaining.

Finally, the BB trade, BLUME 5X E (Blue Mountain) traded at 1089dm. This is in line with, albeit slightly tighter, than a recent CADOG 11 BB on 7 May which was at 1110dm. BLUME 5X E has an MVOC of 99.06% which is high for a BB. It has a CCC balance of around 6% and only 12% of assets are below 80 price.

USD CLO

An exceptionally busy end to the week with 35 reported covers across the capital structure.  At the senior end AAAs continue to grind tighter, trading in a narrow dispersion 172dm-188dm with an outlier trade KKR 11 AR 217dm / 4.05y WAL – MV metrics poor (MVOC 132.7) and sub80 bucket high at 21%, manager has a good record nonetheless.  The AAs also trade tighter in a 229dm-287dm range versus a month to date range of 239dm-334dm, at the wide end is WINDR 2016-2A BR (THL) 287dm / 6.6y WAL – weaker MVOC 115.7 and a high WARF 3346 with a spilled CCC bucket 10.4%.  There were 17 single-A trades and these traded tighter 286dm-369dm across 2020-2025 RP profiles, versus 297dm-537dm range month to date, with high ADRs and weak MV metrics pushing bonds to the wide end of today’s range.  The 2 x BBBs trade in a wide range 615dm-846dm (2022/2023 RP profiles), but continue to trend tighter but not as tight as we saw yesterday with trades in lo-mid500s context, at the wide end is CECLO 2018-28A C 846dm / 7y WAL with a high ADR 1.88%, not covered by MV (MVOC 96.75) and a negative par build -1.86.  The double-Bs trade 1495dm-1671dm (2023 RP profiles) with comps trading in a similar range this month to date (1340dm-1608dm), both bonds today have spilled CCC buckets and ADRs >1% and negative par builds (See PriceABS for details).

USD CLO

15 covers today with a continued tightening tone – 1 x AAA, 3 x AA, 5 x A, 4 x BBB and 2 x BB.  The AAA is CBAM 2019-10A A1A (CBAM) cover 190dm / 5.52y WAL – despite the tight DM this is not a completely clean transaction (sub80 21.5%, ADR 0.9% and CCC spilled to 8.07%) but this does provide a backstop for cleaner deals to price tighter.  The AAs trade 251dm-285dm which are more in line with the tighter levels seen yesterday in 240a but this cohort has been trading 240dm-330dm since month end.  At the wide end is Hayfin’s KING 2019-1A B1 285dm / 6.1y WAL driven by weaker MV metrics (119 MVOC) versus peers (121-123) with other fundamental metrics good.  The single-As trade 297dm-364dm (2022/2023 RP profiles) which is tight to comps around month end 350dm-500dm, there is an outlier trade today CATLK 2013-1A BR (Carlson Cap) 476dm / 6.3y (high ADR 0.99, 18.5% sub80 bucket, 3247 WARF and a spilled CCC bucket 10%).  BBBs trade in a narrow dispersion 518dm-548dm (2018-2025 RP profiles) tight to comps since month end trading 505dm-756dm, there is an outlier trade today GALXY 2018-29A D (PineBridge) at a very high 1003dm / 4.5y WAL – MVOC 98.9, sub80 24%, 3710 WARF and 11.6% CCC bucket as pretty clear explanations.  The BBs trade 1164dm-1340dm (2023/2024 RP profiles) with comps since month end trading 1175dm-1675dm, both the bonds today aren’t covered by MV (95-96 MVOC) but CCC baskets remain within the 7.5% limit.

EUR CLO

2 x BBB & 1 x BB today. The BBBs traded around 575dm. This is quite a bit tighter than the previous day when there were a number of trades in the LM600s and a few wider than that. Both these deals are in good shape with WA Collateral price of over 90.00, both have CCC cushions of around 4% and MVOC around 106.50%.

The BB traded at 1110dm. This is the tightest BB level we have seen since the crisis started. Most of our previous observations have been in the 1200 to 1350 DM range. The MVOC is 96.51 and it looks like the CCC test has been breached. The WA collateral price is 88.21.

USD CLO

We saw 16 mezz covers today – 3 x AA, 1 x A, 7 x BBB and 5 x BB.  The AAs trade in a narrow range 239dm-252dm (2022-2024 RP profiles), this range is significantly tight to recent AA levels seen in 270dm-330dm context – today’s trades are from benchmark managers with clean deals and CCC buckets in check.  The single-A trade today is GSO’s CPARK 2015-2A DR cover 408dm / 4.5y WAL (2020 RP profile) – a clean deal from a benchmark manager and once again significantly tighter than the late400s-early500s context.  The BBBs trade as we have seen recently, in a wide dispersion, 639dm-968dm for 2020-2024 RP profiles – tiering generally driven at this rating level by ADR, manager record and state of CCC bucket, for instance at the wide end is Crescent Capital’s ATCLO 2016-7A DR 968dm / 7.3y WAL (2023 RP profile) with 1.32% ADR, 27% sub80 bucket, MVOC 96.5, high WARF 3347, weaker manager profile and a spilled CCC bucket 8.1%.  At the tight end Axa’s ALLEG 2019-1A D 639dm / 7.8y WAL (2024 RP profile) which is covered by MV (MVOC 101.3), lower relative sub80 15.4% and CCC bucket in check, the cover is in line with 550dm-680dm trading range for this cohort.  The BBs trade 1341dm-1790dm, tranches have a 4-7% shortfall of MV coverage in a rating category that has significant volatility given the proximity to loss and downgrade risks as already mentioned this week.

EUR CLO

A good number of mezz trades today. The single As traded around 360dm. This is quite a bit tighter than the 421dm level we saw for the Goldentree bond on 30 Apr.

A raft of BBBs have traded. The majority are in the LM600s spread but 3 traded around 700dm and 2 around 800dm. Looking at the 2 around 800dm first, these are BABSE 2018-2X D and GLGE 5X D1. They both have MVOCs that are at the low end of the normal range but also they both have high CCC buckets and the Barings deal is failing the CCC test and the WARF test. Additionally GLG bonds always trade wide. The 3 bonds with spreads around 700dm are the ones from Partners, Barings and Bain. All of these also have low MVOCs, high CCCs and are failing quality tests.

The BB is PENTA 2017-3X E from Partners Group. It traded at 62.57 / 1352dm. This is a wide level but the bond has a low MVOC at 95.82, a low CCC cushion and is not from a top tier manager.

The two single Bs have traded in LM50s price and around 1800dm. The MVOCs are around 95%. The Fitch CCC percentages are not that high at around 3% and the WA collateral prices are also pretty good at around 90.00. Both managers, however, would not be considered top tier – Commerzbank and Voya ING.

USD CLO

A much more active day with 24 covers – 13 x AAA, 3 x AA, 6 x BBB and 2 x BB.  The AAAs (2019-2023 RP profiles) trade 180dm-302dm with a large distribution of bond profiles today including a 2nd pay AAA at the wide end.  The 2021 RP profiles (2015/2015 vintages) traded in the narrowest range 287dm-294dm, softer levels but the transactions in this cohort today have fundamental issues with high ADRs and high WARFs along with negative par builds.  At the tight end OCT32 2017-1A A1 (Octagon) covers 180dm / 3.78y WAL – with fundamentals not entirely impressive but sub80 asset migration levels are much lower on this deal than others (10.5%) and MV metrics are sound.  The AAs trade 318dm-334dm (2020/2023 RP profiles) which is wider to hi200s context we have seen recently in these cohorts, the trades today suffer from high ADRs (1%>) and negative par builds c.-1%.  BBBs trade 505dm-864dm across 2019-2023 RP profiles, these cohorts have traded in this extremely wide range recently (558dm-922dm to be precise) given proximity to the HY rating threshold.  Today’s trades have high WARFs 3200+, negative par builds and at the wide end tranches are not covered by MV (MVOC’s in 98 context), please see PriceABS trade list for full details.  The BBs (2023/2024) trade 1175dm-1598dm, we have seen these profiles trade 1157dm at the tight end recently (so in line with today’s levels) but as wide as 1946dm at the wide end, given this rating level has seen significant rating actions recently in response to the covid 19 crisis.  At the wide end is MJX’s VENTR 2018-31X E 1598dm / 7.75y WAL – the tranche has a significant MV shortfall (MVOC 93.6), sub80 bucket is 21%, ADR is 0.76% and CCC bucket is spilled over at 7.7% so this is reflected in the softer level on this bond today.

USD CLO

A quiet start to the week, with 4 covers today – 3 x AAA and 1 x BBB.  The AAAs (2024/2025 RP profile) trade in a 193dm-212dm range with WALs c. 6y, WARFs have tightened into late 2000s-3000 area now as par builds and sub80 buckets normalise too following weeks of vol since late March.  This longer dated profile has very rarely traded through April with the CIFC 2019-3A A1A cover 189dm / 5.75y WAL in 9m size at the end of April the only real recent comp.  The only BBB trade is MAGNE 2019-23A D (Blackrock) 554dm / 8.6y WAL (2024 RP profile) – this represents a tightening tone given comparable trades for this cohort have been in 600dm-700dm context over the past 2 weeks in a fairly liquid cohort.

EUR CLO

Just 2 x BBB trades today. They have traded at very different spreads. CORDA 7X DRE traded at LM80s / 608dm. ACCUN 1X DR traded at H70s / 840dm. The Accunia bond has a much lower MVOC – 102.46 versus 107.77. It has a much lower WA Market Price of Assets – about 3pts lower. Their percentage of CCC assets is not that different. Recent BBB trades have all been between these two levels so CORDA 7X DRE represents a new tight level and ACCUN 1X DR is a wide. Irrespective of their specific deal performance it is fair to say that all bonds from the Accunia shelf trade wide.

USD CLO

A quiet end to the week and first day of the month with month end valuations now crystallised.  There were 2 covers today – 1 x AA and 1 x A.  The AA PSTAT 2018-4A A2 (Palmer Sq) is a short dater and covers 268dm / 2.6y WAL (2018 RP profile) – at this WAL there have been few trades over the past 2 weeks, with dm’s in 270dm-320dm context so this trade is tight to comps and fundamentals are clean on the deal.  The single-A is Carlyle’s CGMS 2015-1A CR2 cover 474dm / 6.1y WAL (2022 RP profile) – this trade is wide to recent comps in 400dm-430dm context, the fundamentals are poor here with ADR 1.21, sub80 22%, par build -1.35 and high WARF 3481 (vs early 3000s peers).

EUR CLO

Just one AAA trade today. VOYE 1X A traded at 97.03 / 201dm. This is about 7bps tighter than recent AAA trades. This bond does have a higher MVOC, at 153.21%, than the majority of its peer group.

USD CLO

A relatively quieter day compared to what we have seen recently, perhaps month end books had some part to play.  There were 8 covers today – 1 x AAA, 2 x BBB and 5 x BB.  The AAA is MP3 2013-1A AR (Marble Point) cover 252dm / 4.03y WAL (2022 RP profile) – weaker manager, higher WARF than average 3331and weak MV metrics (MVOC 131.33 / MVAP 23.9) versus peer AAAs accounting for the softer level.  The BBBs trade 696dm-806dm bar belled across 2 RP profiles (2021 and 2025) with the 2021 RP profile AMMC 2015-16A DR (American Money) cover 806dm / 5.4y at the wide end – this has a 1.1 ADR and only just covered by MV 100.1 whilst the manager profile is weak.  Note that this profile of BBB trades as tight at 674dm but has also been as wide as 922dm recently for weaker credits so remains constructive at the tight end.  The BBs continue to trade with extremely high dm, range today is 1675dm-2469dm, once again with the universe of downgrades and watch placements at this rating level the dm’s continue to reflect near equity type returns.

EUR CLO

We have a number of trades today across a range of rating classes. Most likely the 3 recent EUR deals that priced have provided some transparency and confidence over market levels. The AAAs have traded in a tight grouping clustered around 205dm to 210dm. MDPKE 14A A1N (CSAM) is the outlier as it traded at 236dm.

The AA (JUBIL 2015-16X B1R) traded at 272dm which is in line with Avoca 24 new issue pricing.

The A is LAUR 2016-1X CR which traded at 421dm, again in line with new issue levels. This deal has a high Fitch CCC bucket, for a European deal, at 11.6% and therefore a low CCC cushion.

The majority of the BBBs have traded in a 620dm to 650dm range, just slightly wider than the recent new issue levels. 3 out of 4 of these bonds (from Brigade, CVC and OakTree) have MVOC around 107%. The Tikehau bond (650dm) has a MVOC of 104% which is more like the two wider trades from GoldenTree and Bain, which traded around 730dm. The Goldentree and Bain deals also have high Fitch CCC buckets.

The BB is CRNCL 2018-9X E which traded at 1200dm. This is wider than the spread reported by Bloomberg on the recent Providus 4 transaction. It could be that the warehouse provider/equity holder for that deal had to take some BB at the 1025dm reported level in order to get the deal away.

There are also 2 equity trades. HARVT 15A SUB traded at 30.30 / 14.86%. The WA Price of the collateral is 88.44 and there is still some CCC cushion at 3.7%. HARVT 20A SUB traded at 33.02 which we make 6.55% yield. In our scenario cashflow to equity is cut off after 4 IPDs and it is the case that the CCC cushion is only 1.6%. However it is possible that the buyer sees more cashflow going to equity, especially earlier in the deal, and therefore may get a higher yield.

USD CLO

We saw 19 covers today, mostly mezz – 1 x AAA, 1 x AA, 6 x A, 8 x BBB and 3 x BB.  The AAA cover today is CIFC’s CIFC 2013-2A A1LR 191dm / 4.02y WAL, clean deal and good manager record, benchmark AAAs continue to trade inside 200dm.  The AA is Canyon Capital’s CANYC 2018-1A B 260dm / 6.56y WAL – a 2023 RP profile and again a clean deal and good manager record, this level is tighter than the 300s dm context seen recently.  The single-As trade 362dm-416dm  across 2022-2025 RP profiles which is a narrower trading range than the 350dm-500dm seen recently, so there is some mild tightening effect at this mezz level, at the tight end is CVC’s APID 2019-32A C (low WARF 2810, 15% sub80 and above all a good manager record).  The BBBs also trade in a narrower range 589dm-664dm across 2022-2024 RP profiles with an outlier trade ANCHF 2018-5A D (Anchorage) at 738dm / 7y WAL, this trade has weaker fundamentals (high WARF 3687, 26% sub80, 2.95 ADR), this cohort has traded in a much wider dispersion recently (596dm-833dm) so once again some positive sentiment here.  The BBs today, as we have seen recently, trade very wide (1333dm-2153dm).  These levels have continued to trade at low cash prices / high DMs given the spate of recent downgrades below IG and proximity to loss (full list of trades in PriceABS).

EUR CLO

Just one BBB again today. CRNCL 2019-11X D traded at 82.88 / 701dm / 8.56yr. Its MVOC is good at 104.93%. Its WA Collateral Price is 89.33.

USD CLO

Busiest trading day for US CLOs in a while with 31 covers across the capital structure – 12 x AAA, 1 x AA, 8 x A, 6 x BBB and 4 x BB.  The AAAs (2020-2024 RP profiles) trade in a wide dispersion 186dm-264dm, at the wide end ARES 2017-46A A2 (Ares) and TSYMP 2017-1A A (TCI) trade 264dm / 5.04y and 263dm / 3.86y respectively, both good manager records but the bonds have weak MV coverage (134/138 respectively) and WARFs remain high 3287/3172 respectively.  At the tight end we are now seeing trading consistently below 190dm with around $8m trading in 186dm/187dm including a weaker manager Octagon’s OCT25 2015-1A AR At 187dm but this is a 2020 RP so very short dated in nature (1.65y WAL).  The only AA trade today is TRNTS 2018-9A B1 (Trinitas) covers 395dm / 6.8y WAL (2023 RP profile), which is wide to hi200s for similar cohort, however manager record is weak and fundamentals on this deal are also weak (1.27 ADR, high WARF 3277 and neg par build -0.64).  The 9 x single-As are all 2023 RP profiles and trade in a 370dm-497dm range, at the wide end is Golub’s GOCAP 2015-26A CR 497dm / 6.58y WAL which is from a traditional MM CLO manager – the WARF is high 3475 along with sub80 at 20.2%.  At the tight end ANCHC 2018-1RA C (Anchorage) covers 370dm / 6.6y WAL – manager record close to peers and fundamentals sound.  The BBBs trade 636dm-922dm given the wide dispersion of RP profiles (2021-2025), at the wide end is KKR’s KKR 17 D 922dm / 5.6y WAL – high WARF 3198, high sub80 21 and poor MV coverage MVOC 98.4.  At the tight end is Brigade’s BATLN 2020-15A D 636dm / 8.9y WAL – low WARF 2773,  0 ADR and a great manager record.  The BBs today trade 1157dm-1635dm, the levels at this end of the spectrum still trade at extremely high DMs given the fact that so many are on downgrade watch and proximity to loss.  At the tight end is Canyon Cap’s CANYC 2019-2A E 1157dm / 8.8y WAL – 0 ADR, low sub80 8.5% and low WARF 2790 from a good manager with the tranche almost covered by MV 99.25 MVOC.

EUR CLO

Just one BBB today. CONTE 6X DE traded at 79h / 690dm / 7.8yr. Its MVOC is good at 104.95%. As a comparison Bloomberg reported that the recent new issues, at the BBB level, were: Providus 4 and Avoca 24 at 625dm and Zinnia Finance at 575dm. All of the new issue bonds will have higher coupons than the secondary trade and presumably less distressed collateral.

USD CLO

A busy start to the week with 20 IG covers – 8 x AAA, 1 x AA, 2 x A and 9 x BBB.  The AAAs trade 186dm-223dm (2022-2024 RP profiles) with 2 short dated outliers, the 2 outliers are EGCLO 2018-1A A1 (Tall Tree) and LONGF 2013-1A ARR (First Eagle) which are 2020/2021 RP profiles and cover 275dm/325dm respectively, both of these continue to have significant migration to sub 80 priced assets (24% and 27% respectively) whilst most other have tapered back into the teens%, furthermore the manager records are weak on both, with negative Reinv Test cushions across CLOs for instance., these profiles have traded in short WAL in mid200s context recently.  At the tight end today is GLD11 2015-11A AR2 (GoldenTree) 186dm / 4.33y – great manager record, good MV coverage 141.3 and 12.6% sub80 as a comparison.  The 186dm-223dm range today represents a tightening effect back to levels seen a couple of weeks back since these traded in lo-mid200s last week.  The AA trade today is GILBT 2017-1A B (GSO) covers 275dm / 5.8y (2022 RP profile) – this is tighter than comps seen last week in 285dm-300dm context, the deal today is clean.  The single-As today (2022/2023 RP profiles) trade 351dm-430dm, this range is firmer at the tight end with comps seen last week in 375dm-425dm range, Invesco’s ALINE 2018-1A C 351dm / 6.8y WAL – 0.29 ADR, 13.4% sub80 and low WARF 2705, good stats.  The BBBs today are from a range of RP profiles (2019-2023) and trade in a 558dm-833dm range, the 2023 RP cohort was the most active today but also the widest dispersion in trading levels (596dm-833dm).  At the wide end is Greywolf’s GWOLF 2015-1A CR 833dm / 6.5y – manager stats are in line with peers but the bond is not covered by MV (99.38) and has seen excessive risk taking with WARF well north of averages at 3476, at the tight end is Voya’s VOYA 2018-1A C cover 596dm / 7.8y WAL which is back to the post-vol tights we saw 10 days back, this bond is covered by MV, high diversity 94 and low WARF 2860 which makes it an attractive bond for investors in these uncertain market conditions.

EUR CLO

Just one AAA today. AVOCA 11X ARR traded at 96.57 / 224dm / 2.96yr. It has 14% sub 80 assets and MVOC of 146%. According to reports from Bloomberg Providus IV (managed by Permira) priced yesterday at 200dm for the AAA bond for a deal which has a 1yr Reinvestment Period. Also yesterday Redding Ridge priced the AAA for Zinnia Finance at E+225 / 4.3yr.

USD CLO

A quet end to the week with 4 covers – 2 x AA and 2 x A.  The AAs trade 284dm-299dm (2022/2023 RP profiles), we haven’t seen AA trade for a week when they traded tighter 266dm-275dm for longer WAL/RP profiles.  KKR’s KKR 20 B covers 299dm / 6.1y WAL (neutral manager, deal ADR 0.54, 21.8 sub80 and MVOC 115.3) whilst GSO’s GILBT 2017-1A B covers tighter 284dm / 5.8y WAL with better fundamentals (positive manager stats, deal ADR 0.06, 16.98 sub80 and MVOC 117.2).  The single-As trade 352dm-439dm, these (2018/2019 RP profiles have not traded post-vol and carry WALs of c. 3.5y, the shortest dated single-As we have seen recently have traded 459dm-491dm for 5y WAL so these levels appear consistent with the term structure and given the deals are delevering, at the tight end today is Onex’s OCP 2015-8A BR 352dm / 3.5y WAL which has a strong MVOC 122.1 and relatively low sub80 13.9 which counteract the high ADR 1.2 which is close to the manager’s record across all CLOs.

EUR CLO

Just a couple of BBBs again today. They have both traded around 720dm. This is slightly tighter than the approx. 770dm levels of the day before but both of these bonds have high MVOC (around 104.50%). They also have around 14% sub 80 assets.

USD CLO

Lots of mezz today with 20 covers – 7 x A and 13 x BBB.  Single-As trade 376dm-491dm across 2020-2023 RP profiles.  The 2020 RP profiles trade at the wide end 486dm-491dm whilst single-As across RP profiles have traded 388dm-459dm recently so a little softening of levels has set it today.  OCT37 2018-2A B (Octagon), a 2023 RP profile, covers at the tight end 376dm / 6.9y WAL, fully covered by MVOC 107.1 and a lower WARF than the market average 2722 nut carries a high ADR 1.28 which seems not to have affected the cover.  The BBBs trade in a wide range today 608dm-1061dm, with numerous profiles trading, once again a little softening has set in with the recent broad trading range 595dm-969dm.  With most of today’s liquidity in the 2024 RP profile, these trade 608dm-772dm compared only with one recent datapoint, a 655dm cover.  At the wide end of today’s range a 2023 RP profile STCR 2018-2A D (Steele Creek) covers 1061dm / 7.2y WAL – not covered by MV with 98.4 MVOC and sub80 bal 24.5%, with the MV coverage being the key lever for the wider trading level since most other BBBs had full cover.

EUR CLO

Just a couple of BBBs today. They have traded around 770dm. They both have positive MVOC although the PGIM bond is only at 100.9%.

USD CLO

A third day of lacklustre trading with 4 covers again – 1 x AAA, 2 x BBB and 1 x BB rated.  The AAA BATLN 2015-8A A1R2 (Brigade) covers 233dm / 3.8y WAL – this is a 2022 RP profile with a good manager record, however this deal carries a high ADR 1.29 and high WARF 3165 suggesting some additional risk taking, we have seen another day of softening in levels since this cohort traded lm220s yesterday and as low as 190s last week.  The BBBs trade wider 946dm-957dm, this cohort traded as tight at 607dm last week (607dm-823dm range).  MJX and Steele Creeke bonds trade today, these managers are from different ends of the spectrum with Steele Creek’s record far superior, despite this and the fact that the Steele Creek’s STCR 2019-1A D has good fundamentals (aside from an understandably high WARF 3201) the covers didn’t meet with firm demand.  The BB today is GALXY 2018-25A E (Pinebridge) which covers 1281dm / 8.04y WAL, recent comps have been as low as 1116dm but as wide as 1382dm for weaker deals/managers.  The Pinebridge BB today has good fundamental metrics but again demand at this end of the cap stack has softened a little on the day, as the market absorbs the ramifications of the pandemic on numerous demographics.

EUR CLO

Trades today in AAA, BBB, BB and the first equity trade we have seen via BWIC since the start of the crisis. AAAs are in the L200s area. Obviously we only see periodic snapshots of trading activity via BWICs  so we have to go back to the beginning of Apr for previous AAA trades and these levels are certainly tighter than they were then when they were more like H200s.

The BBB has traded at 768dm. This is within the range of recent trading activity.

We’ve seen 6 x BB trades today. The range is around 1250dm to 1350dm but with one outlier at 1650dm. The outlier is BABSE 2018-3X E, managed by Barings. Its MVOC is 92.3% and its Moodys CCC bucket is 8.8% which has breached the 7.5% threshold, and this is as of March. In the pool it has Travelex which has defaulted and a lot of assets below 70.

EGLXY 2015-4X SUB (managed by PineBridge) has traded at 28.11. The last Investor Report we have seen is as of March where the CCC bucket is still only around 3.5%. We know the Rating Agencies have been more aggressive in downgrading USD leveraged loans than EUR so we don’t expect the CCC test to trip straight away. The NAV is now -53 and MVOC is 82.5% but actually, relatively speaking, there aren’t very many distressed price collateral items in the pool. We have adjusted our scenarios to make the default vector peak at 10cdr and come back down again, over a 2 year period. We have increased the loss severity on senior secured loans but for 2nd liens it was high anyway. We have also increased a little the reinvestment post RPE but haven’t changed our CPRs meaningfully. All of this gives us an 18% yield on this trade under our new assumptions.

USD CLO

A similar day in terms of execution to yesterday, with only 4 covers reported – 2 x AAA and 2 x BBB – with some softening in levels seen in the IG space.  The 2022 RP profile AAAs trade 224dm-227dm, this cohort has traded tighter in the 190s dm context in the past week.  With the signal that negative oil prices have given to the technical backdrop, we have observed some widening in AAA today since a benchmark bond CIFC 2017-2A A with strong deal fundamentals and manager record trades 227dm / 3.6y WAL, which is circa 30dm back from recent comps but back to levels seen in early-mid April.  The BBBs today (2021 / 2021 RP profiles) trade 715dm-765dm which is wider to the 600dm-740dm trading range seen over the past week, so some weakness is felt at this rating level, with a little fundamental weakness evident in the KKR 23 D (KKR) trade today which covers 765dm / 7.4y WAL (high WARF 3179, 23.4% sub80 balance) but is not underwater by MV (MVOC 101.11).

EUR CLO

6 x BBBs traded today in a range from 680dm to 760dm but with one outlier at 840dm. ARBR 5X DE managed by OakTree traded at 680dm. It’s MVOC is 101.8% and its CCC bucket as of Mar was 6.2% per Moodys and 3.6% per Fitch. OHECP 2018-7X DE managed by Oak Hill traded at 840dm. Its MVOC is 101.3% and the rating agency CCC buckets are around 4%. The Oak Hill bond is no more distressed than most other BBBs and does look a cheaper level than the other trades.

USD CLO

The start of the week was active from a lists point of view but quieter on execution with 3 x BB covers to report on.  The BBs (2018-2020 RP profiles) traded in a 1174dm-1273dm range, with the trading range seen last week 1000dm-1500dm today’s trades sit firmly in the tighter end of this range.  For instance at the tighter end is Palmer Square’s PSTAT 2018-2X D 1174dm / 4.3y WAL – MVOC over 100 at 101.95, 0 ADR, sub80 balance 17.7% and flat par build coupled with an excellent manager record.  At the wider end is NY Life’s FLAT 2015-1A E 1273dm / 4.55y WAL – 98.71 MVOC, 0.44 ADR, 21.2 sub80 balance and a high WARF 3249 with the strong manager record supportive of the DM from migrating towards 1500dm it would appear.

EUR CLO

AAs and BBBs traded today. The AAs traded around 290dm. This is unchanged from recent levels.

The BBBs have traded in a range from around 650dm to 810dm. This again is stable relative to recent trades. The tight end is ACLO 2X DR managed by Spire. The CCC bucket has jumped from around 1.5% to around 6% as reported in Mar. The MVOC has fallen to 99.4% so the tranche is no longer fully covered by MV. The wide end is DRYD 2016-48X DR managed by PGIM. This deal is breaching its S&P CCC test at 8.5% in Mar (was 1.3%). The MVOC is 97.2% and MV NAV is 56%.

USD CLO

A busy day to end the week with 25 covers – 6 x AAA, 2 x AA, 7 x BBB and 10 x BB rated.  The AAAs trade in a 187dm-266dm range, at the wide end are 2 bonds from weaker managers ATCLO 2014-1A AR2 (Crescent Cap) and VENTR 2016-23A AR (MJX) trading 263dm / 2.7y and 266dm / 2.3y respectively – these deals both have high ADRs in excess of 1%, sub 80 priced assets of circa 30% and weak MV metrics.  At the tight end are two CIFC bonds that cover 187dm and 198dm with much stronger fundamentals and manager records.  The AAs trade 266dm-275dm which is the tight end of this week’s 266dm-464dm range – the bonds are from strong managers CSAM and CIFC with strong fundamentals.  The BBBs trade 607dm-709dm (tight end of recent trading) with an outlier trade AMMC 2015-16A DR (American Money Management) which is from a neutral/weaker manager and the deal carries a high ADR 1.1%, high WARF 2945 and weaker MVOC 100.97.  The BBs trade 1103dm-1444dm with recent activity tiering within a 1000dm-1500dm range – at the tight end is Oak Hill’s OAKC 2015-11X ER 1103dm / 8.57y WAL – good manager record, strong fundamentals (15.9% sub 80, 0.27 ADR).  We have noticed that at the BB end clearly the manager’s performance and record of navigating through crisis is an important consideration along with a focus on the asset price migration of the underlying, especially the sub80 priced asset % balance.

USD CLO

A very active day with 24 covers – 2 x AAA, 3 x A, 7 x BBB and 12 x BB rated.  There is a fixed rate AAA that trades to a 3.96% yield, this is ANCHF 2020-10A AV that closed only a month back.  The other AAA is a FRN PLMRS 2015-2A A1R2 (Palmer Sq) and covers 196dm / 3.9y WAL.  The single-As trade 388dm-459dm which is tighter than the 410dm-475dm range seen in recent days, so at the tight end RRAM 2018-3A BR2 (Apollo) covers 388dm / 6.34y WAL – this is from an experienced manager but weaker stats and represented with higher risk taking on this deal (WARF 3126, high ADR 1.28 and low diversity 64) showing investors are able to start taking more risk not at the compromise of return.   With the large number of BBBs from various RP profiles the trading range today is 595dm-969dm, so at the tight end we now see sub600 DMs for BBB for the first time post-vol with the tightest levels seen in 640dm context until today, bonds from Napier Park and Apollo break through into 5-handle territory.  There are 12 BBs today with a trading range of 1056dm-1526dm across 2021-2025 RP profiles, so at the wide end we continue to see levels as wide as 1500dm but at the tight end we now break through 1200dm with a 1056dm trade (PLMRS 2018-2A D – Palmer Sq) – please see PriceABS for a full listing of the BB trades and associated data.

EUR CLO

Just one BB today. BNPAM 2018-1X E traded at M60s which we calculate to be around 1260dm / 8yr. The CCC bucket has ticked up, as reported this month, but is still only 0.9% according to Moodys and 1.8% according to S&P. The MVOC for this tranche is 93.9%.