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%.

USD CLO

We saw 11 covers today, with 5 of them MM CLOs and total distribution as follows: 2 x AAA, 1 x AA, 1 x A, 7 x BBB.  The AAAs (both BSL CLOs) traded 251dm-341dm but both are story bonds and not benchmarks, at the wide end ANCHF 2015-2A ARV (Anchorage), a 2025 RP profile, covers 341dm / 6.24y WAL but carries some excess risk taking (high ADR 1.21, high WARF 3269 and low diversity 60) whilst at the tighter end MVEW 2017-1A AR (Seix) is from a weaker manager with a high ADR 0.82 despite decent fundamentals.  The AA trade today ANCHF 2015-2A BRV (Anchorage) covers 464dm / 7.95y WAL (2025 RP profile) wide to recent activity in 300-early 300s area context, once again this deal carries higher risk despite a decent manager record (high ADR 1.21, sub 80 assets 27.3%, low diversity 60 and high WARF 3269).  The single-A today AUDAX 2020-1A C (Audax) covers 712dm / 5.8y WAL (2022 RP profile) -which trades wide to recent activity in mid-400s context, this deal only closed 2 months back with a spread of L+360 pre-vol and is a mix of BSL and MM assets so explains away the widening effect seen vs BSL comps.  The majority of BBBs today are MM CLOs so these represent the first meaningful data points post-vol for this asset class, the trading range is 1189dm-1310dm with an outlier trade 1666dm.  The outlier trade is MMCLO 2019-2A C (Middle Market Credit Fund) 1666dm / 4.1y WAL, this is a static MM CLO from a first time manager so carries a premium plus also the inability for the transaction to mitigate risks and delever assets or take advantage of opportunities in the loan market in the current climate.  The BSL CLO BBB today ANCHF 2019-8A D (Anchorage) covers 823dm / 7.8y WAL which is wide to the early-mid 700s context for this cohort, the deal carries a higher risk appetite with WARF 3339, low diversity 54 and a 26% sub80 priced asset bucket.

USD CLO

The busiest day this month with 21 covers – 9 x AAA, 8 x AA, 1 x A, 2 x BBB and 1 x BB.  The AAAs (2022-2025 RP profiles) trade in a wide range today 182dm-307dm but slightly tighter, with 2 outliers at the wide end 286dm / 307dm – at the wide end is OFSBS 2018-1A A (OFS) a 2023 RP profile covers 307dm / 4.2y WAL (weaker manager, high ADR 0.77, neg par build -0.34), at the tight end is Elmwood’s ELMW3 2019-3A A1 at 182dm / 6.1y WAL (2024 RP profile) which is from a less experienced manager (3 CLOs) but an excellent record, a 0 ADR, low sub 80 asset migration 11.05%, good WARF 2717 and good MV metrics.  The AAs trade 266dm-399dm which is firmer at the tighter end of this range (versus 292dm-423dm range seen since month end), at the tight end today is OCT25 2015-1A BR (Octagon) cover 266dm / 3.83y WAL (strong MVOC 31.7, relatively low sub 80 bal 18.06, good WARF 2739 and conversely a slightly weaker manager record than the deal performance suggests.  The single-A trade today MVEW 2016-1A CR (Seix), a 2025 RP profile covers 445dm / 8.13y WAL, this trades tighter than comps seen recently in 450dm-457dm context and is a clean deal with good fundamentals.  The BBBs today trade in a narrow range 642dm-643dm (2022 RP profiles), with no comps this month to date from similar RP profiles the BBBs have traded 692dm-948dm generically so todays trades represent significant tightening at this mezz level, both deals are not completely clean but have good fundamentals that support the price today, for instance KKR is a top manager but the KKR 12 DR2 has a high WARF 2947 and a slightly higher relative sub 80 balance 23.8 but ADR is healthy 0.38.  The BB trade today is RRAM 2018-3A DR2 (Apollo), a 2023 RP profile covers 1211dm / 7.6y WAL – with BB trading in 1300dm-1600dm context this also represents significant tightening, the manager has a good record but the deal is not completely clean (high WARF 2942, high ADR 0.99) but some positives (positive par build +0.11, 19.6 sub 80 balance along with the manager record), so investors signalling some interest in taking additional risk at this level of mezz.

USD CLO

A quieter start to the week, with Easter Monday bank holiday in the Europe.  We saw 2 covers today - 1 x AAA and 1 x AA rated.  We saw AAAs sneak beneath 190dm on Friday for clean transactions, ROCKT 2017-3A A (King St) covers today 246dm / 4.44y WAL - the manager's record has been good albeit only 7 deals under management but the migration to sub 80 priced assets balance is high at a shade under 30%, the Blackrock AAA (2021 RP profile) that traded sub 190dm had 17.4% of sub 80 priced assets as a guide.  Furthermore the King St AAA is a longer 2023 RP profile and this cohort has traded recently wider in a 250dm-280dm range. The AA today KKR 25 B1 covers 316dm / 6.9y WAL (2024 RP profile) which trades at the wider end of the recent AA trading range (292dm-317dm) but is tight to other 2024 RP profiles that have traded in late 300s context, KKR has a good record across it's CLOs, the sub80 assets balance is relatively low (21.89%) but only WARF looks out of place, high at 2917.

USD CLO

A positive end to the week with AAAs trading below 200dm for the first time post-vol, we saw 11 covers today with 7 x AAA and 4 x A rated.  The AAAs traded in a 183dm-252dm plus a 2nd pay AAA cover at 241dm / 5.9y WAL.  The AAA levels are reflective of the support that the Fed has put in place for Leveraged Loan CLOs (direct support for Static CLOs) and also a continued improvement in sentiment and stabilisation of underlying loan prices.  At the tight end today Blackrock’s MAGNE 2012-7A A1R2 (2021 RP profile) covers 183dm / 2.8y WAL which will give an interesting data point to pending static/semi-static CLO public/private placements given the comparable short WAL – this deal is however very clean with a low ADR 0.29, low sub80% 17.4% and good diversity and WARF.  At the wide end is MJX’s VENTR 2016-25A AR at 252dm / 2.7y WAL (also 2021 RP profile) – this deal carries a high ADR 1.07, high sub80% 30.5 and low MVOC 131.6 from a weak manager.  The single-As today (all 2023 RP profiles) trade 408dm-474dm which is much tighter than comps seen in 500dm-550dm recently.

We are seeing the single A's trading around the 500dm mark and the BBB at 680dm. We have extended the bond scenario so we do get a longer WAL than one of the dealers who is showing this trade at M700s dm.

USD CLO

Today was a lot busier and a positive day all round with 20 covers reported – 9 x AAA, 2 x AA, 6 x BBB and 3 x BB rated.  The AAAs trade in a narrow range 221dm-279dm even despite the range of RP profiles (2021-2025), these levels are broadly flat to recent comps, with the tight end of today’s trading the tightest post-vol - OHALF 2016-1A AR (Oak Hill) 221dm / 6.3y WAL with good performance including ADR 0.18, sub80 23.3 and an excellent manager performance record.  AAs today trade 292dm-317dm (2023/2025 RP profiles) which is a narrow range and are tightest levels post-vol, levels have been 317dm-393dm since the turn of the month, the managers on show today are benchmark managers (GSO and Oak Hill) with deals with good fundamentals which are reflected in the DMs today.  The BBBs trade in a wide dispersion today 692dm-872dm (vs month to date trading range 703dm-948dm) with fundamentals driving the tiering as expected at this level of the capital structure, at the tight end KKR 26 D (KKR) covers 692dm / 8.4y WAL with no defaults, low relative sub80 27%, good WARF 2878 and a very good manager record.  At the wide end of the BBBs is GUGG4 2016-1A CR (Guggenheim) 872dm / 7.9y WAL – the manager has a sound performance record but the low par build (-0.45) and high WARF (3055) reflect some additional risk taking which the market has discounted and reflected in the DM today.  The BBs trade in the narrowest range seen post-vol 1319dm-1395dm, perhaps partially down to the fact that these are all 2024 RP profiles with the transactions not carrying excessive ADRs and positive par builds (as reported to date) from benchmark managers (Ares, TPG and Neuberger), we have seen this cohort trade 1339dm-1588dm this month to date so there is some stabilisation and mild tightening effect at this end of the capital structure.

EUR CLO

A couple of BWIC prices today. The AAA DNT’ed but best bid is at 260dm.

The single A is at 486dm.

Both bonds are from managers that can trade a bit wider than top tier.

USD CLO

A busier trading day with 15 covers to report with more liquidity – 1 x AAA, 1 x AA, 10 x BB, 2 x BB and 1 x B.  The AAA covers 247dm / 2.7y WAL (2021 RP profile) which is not a profile we have seen since month end but trades comfortably in the stable zone we have seen since month end, the bond is MARNR 2015-1A AR2 (Mariner Inv) with a decent MVOC 134.15, low ADR 0.23 and a very good manager performance record.  The AA covers 612dm which trades extremely wide to 3-handle AAs seen since month end, the deal suffers from a high ADR 0.94, low diversity 60, negative par build -1.04 and very weak manager credentials versus its peers.  With the glut of BBBs trading today there is a wide range given the volatility at this end of the spectrum, the range is 705dm-948dm across all RP profiles, we have seen a similar theme since month end with trading ranges 703dm-849dm for similar RP profiles.  2 outliers KKR 16 CR (KKR) today trading 929dm and BLUEM 2015-2A (BlueMountain) DR 948dm, both have extremely weak MV metrics versus peers (95%/96% vs 97%+), high sub80 asset migration (c. 40%) and high WARFs c.3000, the manager record for BlueMountain is weak whilst KKR is stronger and this is somewhat reflected in a wider level for BLUEM 2015-2A DR which also carries a 1.75% ADR.  We are starting to see more liquidity in BBs, today’s trading range is 1450dm-1586dm for 2024 RP profiles, comparable with DMs post month end in 1339dm-1588dm, at the wide end is MDPK 2018-32A E covers 59.1 / 1586dm / 8.7y WAL which despite an excellent manager (CSAM) is taking a bit more risk reflected in the high WARF 2920 and high sub80 assets bucket 40.81% which are intrinsically larger levers for spread direction at this end of the capital structure.  There was a rare single-B today, the first one post-vol, covers 1979dm / 6.9y WAL, again from (CSAM MDPK 2018-30A F), the transaction has strong metrics and a decent MVOC versus peers in these distorted times (92.8) but given the thin nature of this second loss tranche and equity yields into the 30s this reflects in a significant DM on this tranche.

USD CLO

6 covers today – 4 x BBB and 2 x BB rated.  The BBBs (2023/2024 RP profiles) trade in a 706dm-763dm range which is comparable to level seen end of last week so no material movement here, at the tight end of the range is Oak Hill’s OHALF 2013-1A DR2 706dm / 7.91y WAL – cuspy MVOC 98.85, 0.71 ADR, sub 80 assets 33.23% (lower than most) and -0.2 par build, furthermore Oak Hill is an experienced manager with an excellent performance record so a big driver of direction.  The BBs trade 1466dm-1588dm (cash prices around the 60 mark), with a Golden Tree BB trading 1339dm post month end there is little in the way of comps here. Although MVOC’s are sub 100 (95-96) the ADR on both is 0%, par build’s are (so far) positive and both bonds are from good managers (CIFC and CSAM) so technical are driving direction at the BB level rather than fundamentals.

USD CLO

Today was a relatively active day with 14 covers – 5 x AA, 3 x A, 4 x BBB and 2 x BB rated.  The AAs (from 2023/2024 RP profiles) trade in a 351dm-423dm range which is flat to levels seen around March month end.  At the wide end of the range is BlueMountain’s BLUEM 2014-2A BR2 423dm / 6.64y WAL – this has weaker MV metrics (MVOC 110.5), a high ADR 1.4% and a negative par build -0.84 compared to the other AAs today.  The single-As (2022/2023 RPE) trade 508dm-547dm which are a touch tighter to March month end levels in mid-hi 500s.  The BBBs trade in a 730dm-780dm range (2020-2023 RP profiles) which are tighter to March month end levels seen in mid 800s context (please see PriceABS trade listing for detail).  At the lower end of the capital structure at the BB level DMs can be quite explosive given the CV19 dislocation, the trading range today is 1339dm-2092dm with cash prices at the wide end in mid 40s context - CIFC 2014-2RA B2 (CIFC) covers 44.25 at 2092dm with stressed CDR and CPR vectors now in place, the fundamentals of the transactions today are not weak (eg. ADR 0.67% and sub 80 asset migration 26.15% on the CIFC trade) but technical factors are driving cash prices lower which is reflected in high DMs at this end of the capital structure.

USD CLO

We had 7 mezz trades today – 5 x BBB and 2 x BB rated.  The BBBs are firmer and trade in 703dm-755dm range, with an outlier trade BCC 2019-2A D (Bain Cap) 849dm / 8.3y WAL – this trade has a longer WAL than the vast majority of triple-Bs that traded in the aforementioned range, but more importantly the MV metrics are significantly lower (MVOC 97.63 versus peers 99.4-102 and MVAP -2.43 versus peers -0.4-2.1).  The BBs traded much softer with DMs into the 1900s from established names like GSO and Oak Hill which both have good performance records versus peers, to give some perspective of dislocation on underlying loan prices the sub 80 asset price migration on these BBs is around 27% and MVOCs are c. 93, in summary BB trades today have been in 56-58 cash price range softening from recent comp trades in 60 px context.

EUR CLO

One Class X & 2 x AAA traded today. All 3 are from deals that have just closed. The Class X is SNDPE 3X X which traded at 300dm / 1.2yr. The AAAs traded between 275dm and 310dm for 6.2yr WAL at around 90 dollar px.

USD CLO

Nine covers today for the first trading day of April, all IG – 6 x AAA, 1 x AA and 2 x A rated.  The AAAs (2020-2024 RP profiles) traded tighter in a 226dm-259dm range, there is a 2nd pay AAA SCOF 2015-2A B1R (Symphony) that trades 344dm / 6.1y WAL which is fair given we have seen AAs trading wider to this.  Conversely the AA trade today LCM 14A BR (LCM AM) covers 356dm / 6.39y WAL (2023 RP profile) which is in line with similar profiles seen just prior to March month end.  The single-As trade today 450dm-588dm (2024/2025 RP profiles) – at the wide end of this range is JTWN 2019-14A B (Investcorp) 588dm / 7.92y WAL trading at 82.18 px, the manager’s record is weaker than its peers and sub80 loan prices have migrated significantly for this deal to 14.64% whilst other metrics are broadly in line, this trading behaviour (manager/asset price migration) for this rating level is in keeping with what we have seen recently.

USD CLO

We saw 6 x AAA trades today, with 2019-2023 RP profiles trading in a 248dm-322dm range, which is flat to levels seen over the past week, AAA DMs appear to have stabilised in mid-late 200s context.  At the wide end of this range is AVERY 2015-6A AR (Bain Capital) 322dm / 2.2y WAL (2020 RP profile) – the manager’s record is weaker than its peers whilst the ADR is 1.00%, this is running to RP+24m, running this bond to maturity generates a 228dm / 3.9y WAL as a comp (circa 100dm difference).

EUR CLO

2 x A & 1 x BBB today. The single A’s traded around 500dm. In the middle of last week we were seeing single A’s trade with M70s dollar price and MH600s dm but now these trades are L80s px and 500dm (albeit we have changed our assumptions in between to make the bonds longer).

The BBB has traded 73h price and 850dm. This is in line with last Friday’s levels which were themselves a pickup from the lows of 2 days previously when BBBs were trading at H60s px.

USD CLO

Today we saw an equally busy day with 19 covers across the capital structure – 3 x AAA, 3 x AA, 11 x A, 1 x BBB and 1 x BB.  The AAAs (2021 & 2024 RP profiles) traded tighter in a 225dm-275dm range today versus levels in v-h 200s/300 area last week, at the tight end is Octagon’s OCT44 2019-1A A 225dm / 6.05y WAL (2024 RP profile) which has a relatively strong MVOC 132.22, a lower migration of asset prices (sub80 assets 6.96%) and a low WARF 2735 despite a high ADR 1.63% which is for the most part irrelevant at the AAA level.  The AAs traded flat/marginally tighter in a 349dm-366dm range, with an outlier trade VENTR 2016-25A B (MJX) 510dm / 4.4y WAL which has a large asset price migration to sub80 15.03% and notably weak MV metrics (MVOC 107.6 v 113 for comps trading tighter today).  With 11 x single-A trades there was good liquidity today, the trading range for a range of RP profiles (2018-2024) was 476dm-662dm which is flat to recent levels and MV metrics, asset price migration and manager performance records seeming to roughly tier levels but with market dislocation this is not binary.  The BBB trade today CAVU 2019-1A D (Trimaran) covers 906dm / 8.2y WAL which is wide to recent comp levels in 715-880dm context despite good manager and deal performance metrics.  The BB trade today is PSTAT 2020-1A D (Palmer Square) 1537dm / 5.73y WAL (2020 RP) with the only recent comps 2023/2024 RP profiles with longer WALs trading in 1300dm context last week.

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.

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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.

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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.