US CLO

A buoyant day with 54 reported covers across the capital stack – 43 x AAA, 5 x AA, 2 x A, 2 x BBB and 2 x BB rated.  The >4y WAL AAAs today traded in a 115dm-146dm range with the RP profile splits as follows: 2025 RP 133dm-135dm, 2024 RP 131dm-146dm, 2023 RP 115dm-135dm, 2022 RP 122dm-132dm, with the material outliers in the 2024/2023 RP profile brackets.  Analysing these, the Aug 2019 closed WBOX 2019-1A ANA (Whitebox Cap) with a coupon of +156 covers 99.75 / 146dm / 5.9y WAL, the WARF is 3300 and WAS 352bps with no further reporting available to corroborate further performance metrics as guidance for the wide DM.  Also in this bracket is  MP15 2019-1A A1 (Marble Point) cover 144dm / 6.1y WAL, the MVOC is 150.97 (low vs peers), diversity is vlow at 66, sub 80 assets 3.3% (which is not material) and other metrics broadly in line.  The manager is inexperienced with 3.3bn AUM across 7 CLOs with sound performance metrics nonetheless.  At the wide end of the 2023 RP profiles is PPMC 2018-1A A (PPM America) 135dm / 5.35y WAL – MVOC is 150.49 (low v peers) with only weak metrics being sub80 asset balance 5.4% and WAS low at 336bps whilst other metrics are all above average.  At the tight end of the 2023 RP profiles is Bain Cap’s  BCC 2018-1A A1 at 115dm / 5.2y WAL with a healthy MVOC 169.9 / 98 diversity /2808 WARF / 3.6% sub80 assets counteracting 90bps of defaults and -0.46 par build.  We have seen $143m of liquidity this week in AAAs with a WAL >4y with generic spreads widening only 1bp to 129bps – with 2023 RPs +122bps and 2024 RPs +138bps so seeing some steepening of spreads between 2023-2024 RP profiles.

The AAs traded 174dm-193dm with an outlier trade  MP15 2019-1A B (Marble Point) at 221dm / 7.7y WAL – with MVOC sound at 129.4 with only lo-diversity 66 and a relatively low Snr Sec balance 97.8% as key weaknesses along with the same remark above from the manager’s perspective.  We observed 4bps tightening this week in AAs to 188bps.  The single-As today traded 232dm-258dm with this week seeing a 28bp tightening at this rating level to 228bps, so today’s trades at the wide end of this weeks trading, with yet another Marble Point trade at wide levels, MP3 2013-1A CR 258dm / 6.4y WAL.  BBBs today traded 338dm-374dm with 76bps of tightening this week to 392bps so todays trades at the tighter end of BBB trading this week.  BBs today traded 626dm-675dm with 23bps softening experienced in this rating this week to 741bps despite the tighter trades on the day.  The widening this week in BBs is mainly attributable to the 2024 RP profiles that have traded this week at 846dm vs 718dm last week.

US CLO

Another active day with 20 observed covers across the liability structure which we ran DMs on – 7 x AAA, 1 x BBB, 11 x BB and 1 x B.  The >4y WAL AAAs (23/24 RP profiles) traded in a 119dm-134dm range split as follows : 2023 RP profiles trade 119dm-126dm (note in line with a recent comp this month GLM 2017-2A A 121dm / 4.9y WAL) and the 2024 RP profiles trade today 133dm-134dm (tight to a recent comp this month OCP 2019-17A A1 at 136dm / 6.3y WAL).

The BBB trade today is ATCLO 2019-15A D (Crescent Cap) covers at 466dm / 8.7y WAL, this is a 2024 RP profile, closed 5 weeks ago – there has been one 2024 RP profile BBB comp this month to date MDPK 2018-31A D at 341dm / 8.5y WAL, todays ATCLO 2019-15A D has a very low MVOC 108.9 but once again this deal is pending its first remittance report to be able to comment accurately on it’s performance metrics. 

The BBs today are from 5 different RP profiles (2020-2024 RPEs) – the 2024s trade 911dm – 1039dm, 2023s 649dm, 2022s range 654dm-705dm with 2 outliers LCM 23A D (895dm / 7.5y WAL) and HLA 2017-2A D (841dm / 6.95y WAL), note however that similar 2022 RPE bonds this month trading tighter 670dm-718dm.  The LCM 23A D has a very low MVOC 102.48, 7% sub 80 priced assets, par build negative -0.28 and a low annualized equity return of 9.4% which is very low versus peers, whilst the HLA has a lo-MVOC 103.71.  The 2021 BB RPE bonds traded with a wide basis 703dm-801dm with TRNTS 2017-6A E (Trinitas Cap) at the wide end 801dm / 6.2y WAL – this deal has >5% of sub 80 priced assets and weak performance metrics (WARF 2944, 43bps of defaults, annualized equity returns of 12% lower than peers.  2021 RPEs have traded 683dm-703dm so today’s TIA 2017-1A E (TIAA) 703dm / 6.2y WAL is at the wide end of month to date comps.  Finally the 2020 RPE profiles trade in a 601dm-644dm range, with month to date comps 541dm-697dm right in the middle of this zone with no significant outliers to note. 

The sole single-B tranche today was ARES 2016-40A ER (Ares Management), a 2021 RP profile that trades 982dm / 7.45WAL with the only market observed single-B this month TCW 2019-1A F 958dm / 6.8y WAL so today’s ARES trade fits this ‘term structure’ for an illiquid bond rating level nicely.

EUR/GBP ABS/RMBS

AAA Dutch prime RMBS at 12dm. AAA French autos at 19dm and AA Spanish autos at 39dm.

EUR CLO

2 x AAA, 1 x AA & 1 x BBB today. The AAAs are paying 85bps and 86bps margin. One is callable now and the other in Feb 2020. They have both traded at small premiums which is around 120dm to mat for around 3.5yr WAL or around 100dm to call for 0.15yr WAL. The AA is from a deal where the AAA pays 82bps margin. This is also traded at a small premium and the deal is callable now. It traded at 188dm to mat or 163dm to call. The BBB traded at 96.55 / 341dm to mat / 6.09yrs.

US CLO

Further to a few days of limited flow due to the Opal CLO Conference, there were 29 observed covers today split between single-A and triple-B rated that we derived DMs on. 

With regards to the single-As, the 2023 RP profiles traded in a 231dm-243dm range, this profile has traded sparsely over the past few weeks but nonetheless has commanded DMs much wider (258dm-321dm), with a number of benchmark managers amongst today’s names.  The 2019-2020 RP profiles traded 189dm-215dm, whilst this profile has been even less liquid over the past few weeks, the only comparable trade ALM 2015-17A BR was at a wider level 230dm / 4.5y WAL. 

With regards to triple-Bs today, the RP profiles ranged from 2021-2024 - the only 2024 RP profile was CSAM’s MDPK 2018-31A D 341dm / 8.5y WAL with no other comps with this profile trading over the past few weeks.  The 2023 RP profiles traded 335dm-382dm with CGMS 2014-1A DR (Carlyle) trading at the wide end 382dm / 8.2y WAL, the tranche MVOC is 108.6 which lower than comparable bonds, sub80% assets close to 6% and par build -0.52 with all other metrics sound, this profile has traded in the past 3 weeks in a wider range/basis 431dm-581dm.  The 2022 RP profiles traded 340dm-345dm whilst there was a further outlier LCM 25A D (LCM AM) 424dm / 7y WAL which has a very low MVOC 107.35 and almost 7% of the pool marked below a price of 80 accounting for this outlier.  The 2021 RP profile BBBs traded in a 345dm-466dm range today with a comparable bond KKR 17 D recently trading 383dm / 5.9y WAL, at the wide end of this range is LCM 13A DR which traded 466dm / 5.9y WAL which also has weak performance metrics (lo-MVOC 107.25, close to 6% of assets priced under 80 and annualised equity returns in a 12.7% range which is lower than comps whilst metrics like diversity (99), WARF (2700) and CCC (4.3%) suggest slightly modest overral performance but key MV metrics remain weak.

EUR CLO

A busy day for EUR CLOs today. 5 x A, 6 x BBB, 1 x BB & 3 x B. Looking at the single As first, only one of the trades was at a significant premium. BECLO 8X C1E traded at 100.21 but because of the higher par DM to call and the fact that the Non Call End Date is not for another 1.6yrs it means the DM to worst in all cases is the DM to mat. Looking at the DM to mat the spreads are in the range from 273dm to 280dm for WALs from 5.5yrs to 7.6yrs. These single A spreads are in line with levels from the end of Nov. At the beginning of Dec we did see trades between 190dm and 240dm but they were for shorter WALs. The short bond is OCPE 2019-3X CE (Onex) which given that it is only 5.5yrs could have been tighter but shows that this manager does trade a little wider. The bond that is most likely to be refinanced is CGMSE 2019-2X B which pays 111bps of margin on the AAA. It traded at 99.50 which is 276dm to mat / 7.14yrs or 321dm to call / 1.71yrs. Even though it is a strong refi candidate it has been conservatively priced to maturity. The BBBs all traded at a discount. The Dms to maturity ranged from 312dm to 363dm for WALs from 5yrs to 6.4yrs. One of the bonds CGMSE 2015-2X CR has passed its RP End Date and will start delevering soon. Around the end of Nov we were seeing BBBs trade around 370dm to 390dm, and with a 4handle for long WALs, so this set of trades consolidates the tightening that has taken place since then. The BB is CRWPK 1X D (Crosthwaite Park – GSO) which traded at 98.50 / 662dm / 7.88yrs. This deal is performing well but is a long bond (RP End Date is Sep 2023) hence the relatively wide level. The single Bs traded around 915dm for WALs between 6.3yrs to 8.6yrs. This is a definite tightening – at the end of Nov we saw trades around 965dm. All these deals are performing well.

EUR/GBP ABS/RMBS

A lot of ABS today. Single A French autos at 140dm. A stranded utility deal, which was AAA but now A, at 58dm. AAA Spanish consumer loans at 36dm. AAA Dutch BTL at 82dm. AAA French autos at 8dm. DILSK 3 A at 68dm. A 2014 Credit Foncier RMBS deal at 104dm, was AA now AAA. Two 1.0 Spanish RMBS deals around 40dm. TPMF 2019-GR4X C (UK Prime RMBS) at single A traded at 216dm. A AAA bond for Silverstone Master Trust at 63dm. Lastly a UK BTL which was AA+, now AAA at 125dm.

EUR CLO

1 x AA & 1 x A today. CONTE 2X BR (Contego) traded at 99.75 / 152dm / 3.74yr. This deal had a RP End Date of Nov 2018 and has now started delevering. It has traded at a tight level given that it is a short bond. Other AAs have traded recently around 200dm for 6.5yr WAL. TYMPK 1X BR (Tymon Park) traded at 99.35 / 187dm / 4.83yr. This deal pays a margin of 59bps at the AAA level so cannot be refinanced again. It was refi’d in Jan 2018 and has been callable since then. It will start delevering after Jan 2020. The deal is performing well but the main thing about it is that it is short. Longer single A’s have traded recently in a 240dm to 270dm context for WALs between 5.1yrs to 6.9yrs.

US CLO

A quieter end to the week with 8 covers, all BB rated today.  The RP profiles were 2022-2024 and the trading range is 670dm-761dm, with the 2024 RP profiles trading with the tightest basis 718dm-739dm.  At the wide end of the BB trades today is TIA 2016-1A ER (TIAA) 761dm / 8.5y WAL, the metrics on this bond are as follows – MVOC 104.3, MVAP 4.1 (both in line with peers), 5.2% sub80 assets, annualised equity return 10.9% (low), lo-diversity 73 whilst other metrics are sound.  We have run DMs on 27 double-Bs this week which trade in generic terms 726dm across almost $70m of supply, we have seen almost 40bps of tightening from the prior week.  Breaking these BBs down further, given the generic levels include an array of RP profiles, the 2019/2020 RPEs traded this week 615dm, 2021 RPEs traded 720dm, 2022 RPEs trade 711dm, 2023 RPEs trade 769dm and 2024 RPEs trade 718dm so we are seeing some inversion amongst the 2022 and 2024 RP profiles which have outperformed other profiles in the term structure.  In AAAs this week we observed significant supply with $161m of liquidity of AAAs / >4y WAL which traded 2bps wider week on week with a generic 128dm.  For single-A, BBB and single-Bs there was far less liquidity this week so based off those we ran DMs on this week we have the following traded levels : single-A 267dm (vs 269dm last week), triple-B 399dm (vs 468dm last week) and single-B 958dm (no observations last week).  However we observed $74.4m of liquidity in AAs this week versus none last week and only $20m the week before, we calculate generic level of 192dm for AAs this week across 2020 to 2023 RP profiles.

EUR/GBP ABS/RMBS

GAPPL 2019-1 A (Green Apple – Dutch RMBS) traded at 19dm for the AAA. SAPPA 2019-1 A (Sapphire One – French autos) traded at 7dm for the AAA. SCGC 2015-1 D (German consumer loans originated by Santander) traded at 326dm for the BB.

EUR CLO

3 x AA, 1 x A, 1 x BBB & 1 x BB today. All the AAs traded at a premium price. Because of the upward sloping yield curve the spreads to call are greater than the spread to mat for a par price. Thus even with the amortisation of the premium price taking place more quickly if priced to call, still the DMs to call and mat are not that different. All three AAs closed in Apr 2019 and callable around Apr 2021. All three are potentially refinanceable especially BILB 2X A2A (Guggenheim) in which the AAA pays a margin of 114bps. We will be recording the DM to call as an enhancement to the Archive but for now we can say here that the DMs to maturity range from 197dm to 203dm and the DMs to call are 189dm to 216dm. ARESE 11X B1 DMs have been calculated using a price of 100.50 because all that was disclosed was a CVR of 100h. These spreads are not a noticeable change on previous AA levels. The single A is BABSE 2016-1X CR which traded at 98.27 / 237dm / 5.05yr. Even allowing for the fact this is quite a short WAL bond (it was refi’d in July 2018 and RP End Date is July 2020) this is a tight level. Recent single As have been in the 270dm to 290dm area for 6.5yr to 6.9yr trades. The BBB is from the same deal and traded at 97.95 / 336dm / 5.36yr.Again this is a strong level with other recent trades being in the 370dm to 380dm region. The BB is ARBR 4X E which traded at 99.63 / 590dm / 6yr. This is also a tight level with recent trades having been in the 630dm to 680dm range for WALs in the 5.9yr to 7.8yr range. The deal is performing well and from a good manager. The deal could be being managed for debt since the equity return has been quite low at 9.7% pa.

US CLO

An active day today with 34 observed covers – 13 x AAA, 11 x AA, 10 x BB.  There was a MM CLO from Golub Cap which covers 185dm / 5y WAL, whilst the BSL CLO AAAs with >4y WAL (2022/2023 RP profiles) trade today in a 115dm-140dm range.  The range is tighter for the majority of these AAAs at 115dm-124dm (tight to similar profiles recently in mid-120s context, eg. 126dm-127dm as we calculated yesterday) given two outlier trades - PIPK 2018-2A A (Partners Gp) 136dm / 5.8y WAL (MVOC 152.3 / lo-div 71) and WOODS 2017-16A A (Angelo, Gordon) 140dm / 4.7y WAL (lo-MVOC 148.4 / lo-div 70 / -0.31 par build).  A flurry of 11 double-As today, with 9 of these 2023 RP profiles and 1 each of 2021/2022 – the AAs trade today in a 179dm-208dm(223dm) range with an outlier trade SNDPT 2018-2A B (Sound Point) 223dm / 6.7y WAL (lo-MVOC 126.13, -0.59 par build, lo-div 74).  We have observed similar profile AAs over the past 3 weeks trade in a 176dm-207dm (229dm outlier trade) range so today’s range is very much in keeping with recent comps.  The double-Bs today included four RP profiles (2021-2024), however the trading range for the majority is 683dm-724dm with 2 outliers both from Carlyle IM (CGMS 2017-4A D / CGMS 2016-3A D) 854dm / 8y (2023 RPE) and 898dm / 6.5y (2021 RPE) respectively.  The latter 2021 RPE profile bond trade has very weak stats – lo-MVOC 102.8, MVAP 2.7%, 6% sub80, hi-WARF 2991, hi-CCC 6.3% and 77bps ADR.

EUR/GBP ABS/RMBS

Two trades today that we can calculate DMs for. TPMF 2018-A12X A (Towd Point Auburn – the Cerebrus shelf – BTL loans originated by Capital Home Loans) traded at 82dm for the AAA. TOWCQ 1 B (Italian Consumer Loans originated by Accedo) traded at 281dm for the single A.

US CLO

Today we observed 13 covers across the capital structure – 6 x AAA, 1 x AA, 1 x A, 5 x BB.  The AAAs were a mix of 2022 and 2021 RP profiles, the 2021 RP profiles traded in a 122dm-138dm range for ~3y WAL, with similar profiles trading recently 122dm-136dm as mentioned yesterday, with the exception of a couple of outliers which we covered already in the prior wrap.  However the 2022 RP profiles traded in a tighter basis 126-127dm with a WAL >4y, note similar profile bonds have traded 119dm-135dm (with an outlier trade 114dm) so today’s levels squeeze into the middle of this observed range, with the bonds from benchmark managers CIFC and Blackrock.  The double-A trade today was AVERY 2015-6A BR (Bain Capital) 169dm / 4.2y WAL, this is a 2020 RP profile which we haven’t seen much of over the past 2 weeks and the last 2020 RP profile trade we observed and was ALM 2015-16A A2R2 in early November at 179dm / 4y WAL so today’s trade is at a firmer level.  The single-A trade today was ANCHC 2014-4RA C (Anchorage Cap) 267dm / 6y WAL, a 2022 RP profile – looking at recent similar profiles which traded 260dm-315dm over the past 2 weeks then today’s DM is at the tight end of this range despite the hi-WARF 3206, lo-diversity 64 and hi-CCC 9.5% on the deal, the manager has an excellent par build record of +0.51 which outperforms peers.  The BBs today were 2023/2024 profiles and trade in a 711dm-779dm range, with an outlier at 832dm / 8.5y WAL - OZLMF 2012-2A DR2 (Sculptor) has a healthy MVOC 104.6 but harbours 5.7% sub80 priced assets, annualised EQ return of just under 15% but otherwise sound performance metrics with the only stain being the manager’s poor par build record of -0.37 across all their CLOs.

EUR CLO

4 x AAA, 1 x A & 1 x BB today. 3 of the AAA traded at par or a discount and one at a premium. All 3 of the par/discount trades are junior AAAs. Running the deals to maturity they have traded at between 159dm and 163dm for WALs around 6.2yrs. RRME 1X A2 (Redding Ridge) attaches at 42% and detaches at 44% but the other two attach at 37.5% and detach around 40%.  For comparison whole AAAs are trading around 125dm for 4.3yr WAL. The premium priced trade is AQUE 2019-4X A (Aqueduct – HPS) which traded at 100.34 which is 131dm to mat / 5.36yr or 132dm to call / 1.64yr. A refi in July 2021 is the most likely option here since the AAA pays a margin of 111bps. 132dm for 1.64yr is a little wider than most recent AAA trades we have seen where we have seen levels of around 110bps for 2yr WAL. The single A is AVOCA 19X C which traded at 99.50 / 268dm / 6.59yr. This is in line with recent levels. The BB is BECLO 7X E which traded at 94.08 / 633dm / 7.85yr. We don’t see BB trades all that often but this does look like a tighter level eg BABSE 2018-3X E traded at 677dm / 7.86yr on 2 Dec and EGLXY 2016-5X ER at 659dm / 5.89yr on 13 Nov. This could be a tightening of 30-40 bps, mind you BlackRock deals always trade well.

US CLO

Another relatively quiet day with 6 observed covers but nonetheless some high quality trading levels today – 1 x AAA, 1 x BBB and 4 x BB rated.  The 2021 RP profile AAA  VIBR 2017-6A A (DFG Investment) with 148.17 MVOC / 32.51 MVAP covers at 128dm / 3.6y WAL, which fits nicely in the middle of comparable profile bonds that have traded in a 122dm-136dm range over the past two weeks as modelled by SCI. With the exception of a couple of outliers: TICP 2016-6A AR 113dm / 2.9y WAL has a vh-MVOC 157.8 albeit a little shorter and VOYA 2015-1A A1R 108dm / 3.3y WAL has a lower MVOC 147.32 than today’s VIBR but note a very high diversity score of 97 as the only material anomaly to explain the outlier status.  The BBB trade today is BSP 2017-12A C (Benefit St) 2022 RP profile has a sound MVOC of 109.47 and covers 399dm / 7.2y WAL, which is at the tighter end of comparable RP profile BBB trades over the past 2 weeks, which have traded in a 382dm-439dm range.  The BBs today were 2019/2020 RP profiles and traded in a 541dm-697dm range, at the wide end of this range is the outlier, GALL 2018-1A E (Gallatin Loan Management) cover of 697dm / 5.5y WAL – this has a lo-MVOC 104.1, very low diversity of 63, hi-WARF 2907, retail concentration of close to 5% and WAL test cushion of 0 (WAL test has been falling since start of year 5.43 to 4.73 now @ trigger) but the deal has a positive par build +0.37 and lo-sub80 asset balance incidentally.  Ignoring this outlier the BBs today trade in a high quality 541dm-605dm range for the 2019-2020 RP profiles, these are very tight levels and we have to go back to September to even see the last BB trade with a 6-handle, let alone a 5-handle on 2 of todays trades (Napier’s REGT6 2016-1A ER 593dm / 6y and Blackrock’s MAGNE 2015-16A ER 541dm / 6y).

EUR CLO

3 x BBB today. TCLO 3X D and JUBIL 2013-10X DR both traded around 374dm for around 5.65yrs. JUBIL 2013-10X DR is potentially refinanceable now which if it happened would be upside. It has been priced to maturity. GLGE 2X D traded at 95.76 / 489dm / 5.68yr. Obviously this is a much wider level. The WARF is high (3018), the junior OC cushion is very low (2.75%) and defaults are high (2.79%). Even when the deals are cleaner than this, this manager trades behind most other managers. The market is pricing this tranche to maturity.

US CLO

An expected quiet start to the week post holidays.  We observed 5 covers – 4 x AAA and 1 x B.  Three of the AAAs were short daters, the 2020 RP profile AAAs from Napier Park  RGTII 2013-2A A1R2 and Brigade Cap  BATLN 2016-10A A1R both trading 125dm with ~3y WAL, the 2021 RP profile AAA was an outlier given the relatively similar WAL, the  TRNTS 2016-5A AR (Trinitas Cap) has a lo-MVOC 148.44 (2pts shy of median values across similar vintages) whilst the deal has some performance issues (WARF 2934, par build -0.34, 117bps defaults, 77 diversity, sub 80 assets 6.5%).  The RGTII 2013-2A A1R2 has a 149.64 MVOC, 2765 WARF, 33bps defaults, 87 diversity, 4.2% sub 80 priced assets, in essence reflects the tighter level.  We have now seen 7 x single-Bs over the past 10 days which is quite a flurry at this rating level, this has helped form some price structure dynamics.  Today the single-B was from TCW AM  TCW 2019-1A F, a 2021 RP profile that covers 958dm / 6.8y WAL – we have seen a wide disparity of DMs for similar profiles given the relative thickness of these tranches and proximity to loss.  The TCW single-B today has a strong MVOC 105.37 and MVAP 6.6% versus its peers, whilst the deal itself carries no defaults and a positive par build 0.35% and a low sub 80- priced asset concentration of <2%.  The other two comparable RP profile-singleBs, as mentioned, traded 898dm / 7.3y WAL MAGNE 2016-18A FR (Blackrock) and 1246dm / 6.1y WAL CIFC 2015-3A FR (CIFC AM) – the Blackrock single-B has a strong MVOC 104.35 / MVAP 5.5%, 0 defaults, +0.08% par build. sub 80 assets 2.6% whilst in contrast the CIFC single-B has a low MVOC 102.56 / MVAP 4.6%, negative par build -0.34, 5.1% sub 80 priced assets and a 2916 WARF.  Since there is not a material difference in quality between the TCW and Blackrock single-Bs one has to look through to the manager’s track record to discover any further differential explanations, the tighter Blackrock single-B has a far more impressive manager record in terms of managing defaults (13bps) and par build (+0.16) versus TCW defaults 56bps and negative par build -0.34.

EUR CLO

Just 1 x BB today. BABSE 2018-3X E (Barings) traded at 95.27 / 677dm / 7.86yr. This is a 2018 vintage deal. It has high WARF (2984), high WAS (409bps), good junior OC cushion (5.03%) but has a number of distressed assets eg SGB-SMIT (German capital equipment, transformers), Boparan (UK food & restaurants) and others. This trade has a long WAL given that it priced in Dec 2018 has a RP End Date of July 2023. Given the long WAL its spread is in line with recent BB trades.

EUR ABS

On Thanksgiving weekend we only saw 2 EUR ABS CVRs. There is a modelling error on the cashflow system we use for TOWCQ 1 M which we have advised to our supplier. PARGN 10X C1B (a pre-crisis UK BTL RMBS, rated single A) traded at 96.00 / 151dm / 10.15yr run at 2cpr.

US CLO

With markets gearing up for the Thanksgiving break, with no lists expected (as of now) tomorrow we observed 16 covers today – 9 x AAA, 1 x A and 6 x BB rated.  With all but one of today’s AAAs with a WAL of >4y, they traded in a 122dm-138dm range (all 2022/2023 RP profiles) which is fairly representative of our latest generic >4y AAA spread levels of 127bps, especially when we omit the obvious outlier from today which is a 2023 RPE MP11 2017-2A A (Marble Point) which covers 138dm / 4.9y WAL – this has a lo-MVOC 145.2, lo-MVAP 31.1 whilst deal metrics are weak (sub80 assets 9%, WARF 2917, diversity 71 and 37bps of defaults).  When you compare this to the tight end of the range PLMRS 2018-2A A1A (Palmer Sq) covers 122dm / 5.4y WAL which has a 157.1 MVOC, 36 MVAP and much stronger deal metrics (sub80 asset 2%, WARF 2623, 78 diversity for instance).  The single-A trade of the day was GALXY 2017-23X C1 (PineBridge) which is a 2021 RP profile which covers 269dm / 5.7y WAL (note week MVOC 116.3 / par build -0.37), which is tight to our single-A generic spreads 280bps but interesting to note this is the first single-A 2021 RP profile trade of this month to date, with 2022 RPEs trading 260dm-272dm with a 315dm outlier in VENTR 2017-29A C whilst the only 2020 RP profile trading 230dm 2 days ago.  In a month that we have seen heavy BB supply, especially over the past week, the BB trades today were from 2020-2024 RP profiles.  A less frequent 2024 RP profile BB tranche from a recently closed Oak Tree Capital deal, tight end of this month's 723dm-992dm range covers at 783dm / 10y WAL today.  Today’s BBs in aggregate traded in a 200bps range, 639dm-839dm, with an interesting dynamic as the explanation for the 200bps swing.  The 2020 RP profiles traded at the tight and wide end, at the tight end was APID 2015-21A DR (CVC) 639dm / 6.2y WAL (MVOC 104.4, hi-diversity 91, 2828 WARF, 4.9% sub80 assets, par build -0.36, strong Jnr OC cushion 4%) whilst at the wide is SNDPT 2016-1A ER (Sound Point) with a cover of 839dm / 6y WAL (MVOC 104.2, lo-diversity 75, 2506 WARF, 4% sub80 assets, par build -0.34, Jnr OC cushion 4.6%) so not much between the two from a fundamentals point of view, however upon analyses of the managers there are differences in profile – CVC has a better annual default rate (39bps) than peer managers (69bps average), strong par build (+0.08) than the same cohort (-0.18)  and stronger avg interest diversion test 3.8% v 3% cohort.  Sound Point on the other hand has a weaker annual default rate (58bps) than CVC, weaker par build (-0.71) than CVC and weaker avg interest diversion test 2.6% v 3.8% for CVC – careful assessment of Manager metrics at this end of the rating scale certainly have more of a bearing given the proximity to loss and successful management of OC.

EUR/GBP ABS/RMBS

A number of mezzanine trades today. There is a single A, fixed rate, Finnish auto trade at S+94. There are French autos: AA at 88dm & BBB at 136dm. AA Italian auto at 108dm. BB French consumer loan at 136dm. Single A Dutch prime RMBS at 146dm. AA Irish Non-conforming RMBS at 147dm. AA French prime RMBS at 84dm and finally a pre-crisis Spanish RMBS which is now rated AA+ at 78dm.

EUR CLO

3 x AAA, 1 x AA, 2 x A & 2 x B today. All 3 AAAs traded at a discount price and have been priced to maturity. All of them also closed in 2018. There was very consistent pricing with all 3 trading between 124dm and 125dm for WALs around 4.3yrs. This is around the AAA spreads we were seeing before, perhaps a little firmer. ACCUN 3X A traded on 20 Nov at 136dm / 4.23yr for a similar WAL and TIKEH 2X AR traded at 123dm / 2.92yr for a shorter WAL on 8 Nov. The AA trade is BABSE 2018-2X B1A which traded at 197dm / 5.82yr. Again, if anything, this is a very slight firming eg SPAUL 3RX B1R traded at 200dm / 5.45yr on 20 Nov. In the single As DRYD 2018-66X C traded at 99.52 / 274dm / 6.9yr. HARVT 21X C traded at 100.16dm / 294dm to mat / 6.9yr. This bond is not callable for another 1.4yrs and it’s DM to call is around the same as to mat. These spreads are unchanged from previous single A spreads. The single B trades were CORDA 7X FR (CVC) at 965dm / 8.13yr and NEWH 2X FR (Bain) at 971dm / 6.93yr. Both these bonds have similar OC levels. The equity trade is OHECP 2015-3X SUB (Oak Hill) which traded at 45.00 / 18.84% / 4.17yr. Its NAV is 39. This deal was reset in 2017 and has been callable since July 2019. With the AAA paying a margin of 90bps this is potentially possible. We estimate the refi uplift to be worth around 1.5pts. The deal is performing adequately; WARF is above average at 2986, defaults are higher than average at 0.76%, Junior OC cushion is below average at 3.73% but Return on Equity has been above average at 18%.There are 2 defaulted assets in the pool: New Look (29) and Lecta (41). In addition there are some other distressed names eg L1R HB & La Financiere Atalian.

US CLO

A busy start to the week with 35 covers with the majority sub IG rated – 8 x AAA and 27 x BB rated.  The >4y WAL AAAs traded today in a 114dm-134dm range for 2022 RP profiles only, which is more or less in line with the generic 127bps AAA levels we observed last week.  The MAGNE 2014-8A AR2 (Blackrock) is the stand out with a cover of 114dm / 4.3y WAL, this has a steady MVOC 149.3% and deal stats are impressive (WARF 2784, CCC 4.8%, 25bps defaults, 81 diversity, 3% sub80 assets) whilst the manager has an excellent track record (eg. annual default rate 13bps v 69bps peers / par build +0.17).  As for the BBs, the range of RP profiles is 2021-2023 and DMs range from 669dm-1014dm, with the bulk of the liquidity today in the 2023 RPEs these trade in a 677dm-1011dm range, with our generic BB spreads last week of 823bps / 2023 RPEs traded 820bps in generic terms.  The 2022 RP profile BBs also traded in a similar range 703dm-1014dm versus last week’s 873bps 2022 RPE levels – the SNDPT 2017-3A D (Sound Point) covers 1014dm / 7.8y WAL with a lo-MVOC 103.22 with only the par build record on the deal -0.56 a concern (reflected in the tranche MVOC).  This deal aside the 2022 RPE trades from today are in a 703dm-828dm range which is well tighter to the 873bps levels seen last week in the similar profile, noting of course that a number of distressed bonds last week distorted numbers.  Note also that the 2021 RPE BBs traded in the tightest range 669dm-789dm.

EUR/GBP ABS/RMBS

A wide range of ABS and RMBS today. BUMP 2019-DE1 A (German autos) traded at 28dm. BRICQ 2019-1 A (Italian consumer loans – AA rated) traded at 51dm. HLFCT 2019-1 A (French Prime RMBS) traded at 25dm. A number of Dutch Prime RMBS traded in the low teens DM. ELVET 2018-1 A (UK RMBS for the Challenger Bank Atom based in Durham) traded at 70dm. DELAM 2017-1 A1 (UK credit cards for Tesco) traded at 53dm.

EUR CLO

2 x AA today. TYMPK 1X AA1E (Tymon Park – GSO) covered at 99.95 / 103dm to mat / 2.04yrs. This deal has been callable since Jan 2018. The AAA pays L+59. It is not likely to get refi’d again so is being priced to maturity. TCLO 1X ARE (Toro – Chenavari) traded at 100.10. This bond pays L+92. It has been callable since July 2019. It probably is refinanceable. If it got called on the next IPD you would get 62dm / 0.14yrs and if it ran to maturity it would be 126dm / 3.35yrs. Of course the most likely outcome is somewhere in-between these.

US CLO

A busy end to a buoyant week with 33 covers today – 9 x AAA, 3 x AA, 4 x A, 3 x BBB, 11 x BB and 3 x B rated.  All the AAAs had a WAL >4y and trade in a 119dm-140dm range for 2022/2023 RP profiles.  We saw generic >4y WAL AAAs tighten 2bps to 127bps this week despite the heavy supply ($118m in this bracket), note that 110m of this shared the same RP profile of today (2022/2023), if we isolate 2022/2023 RP profiles week on week we have seen 1bp of tightening to 126bps (>4y WAL AAAs 22/23 RPE).  AAs today trade in a tight range 181dm-196dm (2021/2022 RP profiles) whilst generic AA spreads this week are 194bps for 2021-2023 RP profiles.  The single-As today trade in a 230dm-272dm range for 2020-2023 RP profiles whilst we observed generic single-As this week trade 280bps for 2020-2023 RPEs (290bps if we exclude the 2020 RPEs).  BBBs today trade in a 382dm-439dm range (2021-2022 RPEs) whilst we observed generic BBB spreads from trades this week widen 83bps to 468bps, predominantly due to a number of distressed bonds offered this week.  The BBs today trade in a 644dm-826dm range for 2020-2023 RPEs, we observed 6bps of tightening for generic BB spreads to 832bps with $81.5m of liquidity (vs $90m last week), 2022 RPE BBs this week widened 105bps to 873bps whilst 2023 RPE BBs tightened 26bps to 820bps given a number of distressed offers in 2022 RPE BBs this week as noted during the course of the week.  There were 3 x single-Bs that traded 898dm-1266dm, the CIFC 2015-3A FR (CIFC) and SHACK 2014-6RA F (Alcentra) both trade ~1250dm with week MVOC 102.52 and 100.84 respectively so these metrics are reflected in the levels for very thin second loss tranches with equity type returns.

US CLO

A quieter day after 2 days of heavy flow, 7 covers – 6 x AAA and 1 x BB.  The >4y WAL AAAs traded 121dm-134dm (2022/2023 RP profiles) with CSAM, TCW and Carlyle the managers, the 2023 RP profiles traded 130dm-134dm so a fairly low basis between them, but spreads still wide of last weeks +127bps area for similar profiles and +125bps the prior week.  Analysing the Carlyle CLO  CGMS 2017-1A A1A 134dm / 5.1y WAL, the MVOC is weak 146.2% vs peers with 6.2% sub80 assets, hi-WARF 2942 and 6.1% CCCs.   At the other end of the scale, CSAM’s  MDPK 2015-18A A1R covers 121dm / 4.6y WAL with a hi-MVOC 158.4% vs peers with 4% sub80 assets, 2878 WARF but conversely has higher CCCs 6.6% and carries 134bps of defaults.  The impressive metrics that CSAM as a manager has seem to outweigh those of Carlyle’s, especially at this end of the rating scale whilst proximity to defaults seem to carry less significance for AAAs, as expected.  The sole BB today  AMMC 2014-14A B2L2 (American Money Management) covers 815dm / 6.8y WAL for a 2021 RP profile – similar profiles have traded this month to date 759dm-1030dm for a variety of credit profiles.  Since this is towards the tight end of comparables this month, it is not surprising the MVOC 104 is favourable vs peers and deal performance is strong (3.6% sub 80 assets, 2747 WARF, 98 diversity) with the only weak signal being a high concentration Oil & Gas exposures 6.8%, the manager’s performance metrics across their deals has also been strong, their annualised default rate (54bps) and par build levels (-0.05) are favourable vs peers (67bps and -0.16 respectively).

EUR/GBP ABS/RMBS

A mixed bag of ABS today. AA Italian consumer loan at 48dm. AA Italian auto floater at 25dm and a fixed rate AA at S+19. AAA Irish auto at 27dm.

EUR CLO

1 x AA, 1 x A, 2 x BBB, 1 x B & 3 x Equity today. The AA is CRNCL 2016-6X BR (Cairn Capital) which traded at 100.18 & 193dm to mat / 4.52yrs or 109dm to next call / 0.19yr. This bond has been callable since July 2018 and does not look like an imminent refi candidate. The next iteration of our Archive will hold DMs to call as well as Mat and will be rolled out soon. This bond is quite short for a AA and its DM looks in line with recent trades. The single A traded at 99.89 / 275dm / 6.64yr. This is a long single A because the RP End Date is Apr 2023 and therefore the DM looks in line with recent spreads. The BBBs traded at 368dm / 5.68yr and 387dm / 7.07yr. These levels look firmer than trades on 14 Nov eg DRYD 2019-69X D traded at 99.00 / 437dm / 7.28yr on 14 Nov. We have seen our first single B trade on a BWIC this month. ACLO 5X F (Aurium) traded at 95.49 / 964dm / 8.35yr. On 24 Oct there were trades at 1030dm for shorter WALs. There are 3 equity trades today. ANCHE 2X SUB (Anchorage) traded at 67.00 / 13.36% (risk adjusted). This deal is not refinanceable until Jan 2021 but with its AAA paying a margin of 96bps it does look like a potential candidate. This could be worth a couple of points. This deal has a lower than average WARF at 2836, a good junior OC cushion at 6.4%, zero defaults and an equity return of 18% pa to date.  Its NAV is 71 but as already stated it is not callable till Jan 2021 so allowing for the risk of the NAV changing and what equity distributions might be received in the interim it is reasonable that it has traded at a discount to NAV. CONTE 4X SUB (Five Arrows) traded at 65.76 / 13.75%. The deal has just become callable but the AAA is paying 88bps which makes it a more marginal decision. The deal is performing well although its equity return is on the low side at 11.5%. The last equity trade is ARMDA 1X SUB (Brigade Capital) which traded at 71.57 / 13.98%. This deal will become callable in Dec 2019. The AAA pays 93bps which makes it a potential refi candidate. WARF is 2835 (good), junior OC cushion is 4.39% (average), CCC bucket 0.27% (good), equity return 14% (below average). With all 3 trades coming in below 14% this looks like evidence equity has rallied. Previously yields have been in the 13.5% to 16.5% range.

US CLO

A second day in a row of > 30 observed covers with heavy supply of mezz including a number of highly distressed BBBs and BBs, 33 today – 2 x AAA, 4 x AA, 11 x BBB, 15 x BB and 1 x B rated.   The AAA with a WAL >4y ALLEG 2018-1A A (Axa) covers 132dm / 5.5y WAL (2023 RPE), which is wide to recent 2023 RPEs we have priced – this deal has some performance challenges – hi-WARF 2985, 94bps defaults, -0.62 par build and hi-sub 80 assets balance 5.6% whilst the manager is not a frequent issuer with 3.2bn AUM over 8 deals.  The AAs today traded 190dm-204dm for 2022/2023 RP profiles with the term structure of pricing consistent today, eg. the 2023 RP profile ELMW2 2019-2A B (Elmwood AM) cover 204dm / 6.3y WAL whilst the 2022 RP profile ELMW1 2019-1A B covers 190dm / 5.5y WAL and RRAM 2019-6A A2 196dm / 5.7y WAL sits nicely in the middle.

The BBBs from 2020 up to 2023 RP profiles as such traded in a wide 349dm-777dm range.  Breaking it down, the 2023 RPEs traded 431dm-581dm with similar profiles trading 364dm-409dm, upon closer inspection today’s bonds all have extremely low coverage with low MVOCs versus peers.  The 2022 RPs traded 384dm-430dm with similar profiles trading 346dm-408dm so the HLM 2013-2X CR (HPS) 430dm / 7y WAL cover is the outlier – note 7.3% of sub80 assets in this deal, 82bps of defaults and 6.5% CCCs.  Two other notable outliers, MCLO 2017-10A C (Marathon) covers 671dm / 6.3y WAL for a 2021 RPE (vlo-MVOC 105.86) and ZAIS5 2016-2A C (Zais) covers 777dm / 5.5y WAL for a 2020RPE (vlo-MVOC 105.14).

BBs, from 2021 to 2023 RP profiles also traded far and wide – 696dm-1123dm.  The 2023 RPEs had a wide dispersion 696dm-917dm with the SHACK 2014-5RX E (Alcentra) cover 917dm / 8.3y WAL – lo-MVOC 103.17, -0.45 par build, 115bps defaults and 6.4% sub 80 assets.  The 2022 RPEs have recently traded in a wide dispersion 735dm-1065dm and today traded no differently 736dm-1123dm with WOODS 2017-16A E (Angelo Gordon) cover 1123dm / 7.6y WAL (2022 RPE), this deal has a vlo-MVOC 102.52, 2.5% MVAP, -0.31 par build, 7.3% CCC and 97.2% of Snr Secured whilst the manager is very inexperienced 2.7bn / 5 CLOs.  The 2021 RPEs traded in similar fashion 789dm-1099dm range with similar profiles recently trading 749dm-906dm making the ALLEG 2016-1A ER (Axa) 1099dm / 5.7y a very significant outlier (lo-MVOC 102.14%, MVAP 2.1%, 6.7% sub80 assets, 213bps defaults whilst the Int Diversion Test (Reinv OC) cushion only 1.18%. 

Finally the only single-B GLM 2019-4A F (Golden Tree) covers 1027 / 9.6y WAL (2024 RPE) which is very comparable to yesterday’s APID 2016-24A ER single-B that covered 1093dm / 9.6y WAL.  That’s now 3 x single-Bs over the past 2 days which is rare for this end of the mezz scale, so very encouraging to see these data points which will be useful for future reference.

EUR/GBP ABS/RMBS

A lot of ABS & RMBS today. AAA German and French autos traded traded High teens DMs (SCGA 19-1 A and ANORI 2019-1 A). A number of 1.0 deals traded at the senior level. MARS4 4X B1A traded at 36dm, CORDR 3 A2 at 44dm and BCJAM 4 A2 at 47dm. In 2.0 deals we have two prime RMBS, HLFCT 2019-1 A (French) at 26dm for the AAA and BERAB 4 A (Italian) at 66dm for the AA. There are also a number of non-prime RMBS deals from different jurisdictions in Europe ranging from 40dm to 60dm for the AAA and 120dm for the AA (see PriceABS archive for details).

EUR CLO

1 x AAA, 2 x AA, 4 x A & 1 x Equity today. The AAA is ACCUN 3X A (Accunia) which traded at 99.33 / 136dm / 4.23yrs. This represents a widening at the AAA level of 6 to 8 bps. Most AAA trades, earlier in Nov, have been for shorter WALs but we can find a few longer bonds. ALME 4X ARE traded at 120dm / 3.76yr and ACLO 4X A1NV at 122dm / 4.18yr both on 4 Nov. On 8 Nov we saw 2.9yr bonds trade around 123dm, which implies H120s for a >4yr bond at that time. 2 x AA trades were both from the SPAUL shelf, at 200dm / 5.45yrs and 211dm / 6.61yrs. This also represents a widening. SPAUL 3RX B1R traded at 97.10 / 193dm / 5.48yr on 7 Nov and has traded at 97.00 / 200dm / 5.45 yr today which is a softening of 7 bps. Of the 4 x A, three of the trades are grouped between 249dm and 259dm for WALs between 5.89yr and 6.60yr. The outlier is SNDPE 1X C1 (Sound Point) which traded at 100.00 / 307dm / 6.92yr. This deal closed in May 2019 and has a NC date of Aug 2021. It has traded at par and is being priced to maturity. The trades between 249dm and 259dm are in line with recent single A levels. The equity trade is CORDA 11X M1 which covered at 68.00 / 14.92% / 5.1yr. This deal closed in July 2018 and is not callable until July 2020, but with the AAA paying 84.5bps of margin it is not a refi candidate anyway. We haven’t seen any other EUR Equity trades in Nov so this is welcome price discovery. Back in Oct we were seeing equity yields in a range from 14% to 16.5%. This CVC deal has mixed metrics: WARF 2948, Junior OC cushion low at 3.61%, Defaults high at 0.19%, equity return high at 25%pa.

US CLO

The busiest day in some time saw 35 trades – 22 x AAA, 5 x A, 6 x BB and 2 x B rated.  The >4y WAL AAAs traded in a 124dm-140dm range, with the longer 2024 RP profile CGMS 2012-4A A1RR (Carlyle) at the wide end of the term structure 140dm / 6y WAL and the 2022/2023 RP profiles trading in a tight 124dm-139dm range, with a 2023 RP profile SNDPT 2018-1A A (Sound Point) cover at 139dm / 5.3y WAL as an outlier – the 149.33 MVOC is a touch lower than peers, whilst the deal carries 103bps of defaults, a -0.79 par build and a low diversity 71 amongst other stronger performance metrics (WARF 2605 / CCC 1.6%).  The single-As today trade in a slim 270dm-321dm range for 6.5-7y WALs and 2022/2023 RP profiles – with BCC 2018-2A C (Bain Cap) outperforming the benchmark 270dm / 7.3y WAL with sound performance metrics across the deal.  The 6 x BBs trade in a 784dm-1045dm range across 2022-2024 RP profiles – at the wide end is another Sound Point CLO SNDPT 2014-1RA E cover 1045dm / 8.5y WAL with a lo-MVOC 102.4%, lo-MVAP 2.3%, 155bps of defaults, 6.4% of sub80 priced assets and low diversity of 70 (whilst 2655 WARF / 2.25% diversity).  At the tight end is OCT21 2014-1A DRR (Octagon Credit) 784dm / 8.9y WAL (2024 RP profile) – hi-MVOC 104.35, hi-MVAP 4.2% and deal metrics relatively strong.  There were two rare single-Bs trade today 1093dm-1219dm for ~9y WAL – the MIDO 2018-8A F (MidOcean Credit) trades at the wide end 1219dm / 8.9y with only weak points being 84bps of defaults a 73 diversity and the manager’s record weaker than peers (eg. 99bps annualised defaults v 66bps average and par build -0.99 v -0.15 cohort.

EUR/GBP ABS/RMBS

5 ABS/RMBS deals today. In GBP there are 2 UK Master Trust Prime RMBS deals, rated AAA at 55dm. One is Permanent from HBOS and the other is Lanark from Clydesdale Bank & Yorkshire Bank. There has also been a AAA French Prime RMBS (HLFCT 2019-1 A) at 26dm, a AAA German auto (BUMP 2019-DE1 A) at 25dm and a single A French consumer loan (NORIA 2018-1 C) at 95dm.

US CLO

Today we observed 10 x 1st pay AAA trades from a range of profiles from 2020 RP to 2023 RP.  At the short end the two 2020 RP profiles traded 89dm-109dm with similar WALs - BSMC 2013-1A AR (Shenkman Cap) covers 109dm / 2.35y WAL which is wide to a comp MAGNE 2015-16A AR 89dm / 2.4y WAL – the Shenkman Cap CLO has a lo-MVOC 146.39 along with weak deal performance metrics (WARF 3059 / CCC 7.5% / sub 80 assets 5.7% / WAL test failing) explaining the basis between the two bonds.  The 2021 RPs traded in a tight range 121dm-126dm for ~3y WAL.  At the longer end (2022/2023 RP profiles) todays bonds traded in a tight range 119dm-124dm with 3 Carlyle CLOs within this range.  2022 and 2023 RP profiles this month have traded this month in a 116dm-144dm range from a range of credits, with today’s levels proving the strength of the bid at present in >4y WAL AAAs from benchmark names.

US CLO

Quite a busy day for sub-investment grade trading with 13 x BBs trading whilst there was 1 x BBB, 1 x A and 2 x AAA rated.  The AAAs both had >4y WALs and traded in a 119dm-123dm range, both names MDPK 2018-27A A1A (CSAM) and BLUEM 2013-2A A1R (Blue Mountain) are 2023/2022 RP profiles respectively and have strong MVOCs but neither deal is exempt from some weaker performance metrics, eg. BLUEM 2013-2A A1R has 223bps of defaults, -0.94 par build whilst MDPK 2018-27A A1A has 56bps of defaults and 7.06% CCC / 2945 WARF.  Both trades are at the tighter end of trades post summer and we observed >4y WAL AAA generic levels this week widen 2bps to 129bps.  The single-A trade today is TRNTS 2014-2A C (Trinitas Cap) cover 307dm / 3.22 WAL, the first single-A trade seen this month.  The BBB trade today was MP12 2018-1A D (Marble Point) cover 430dm / 8.5y WAL, this has a 2023 RP profile and is at the wide end of trades this week where we have seen generic levels of 385bps across $30m of trades – the MVOC is low 108.94, whilst lo-WARF 2914, 50bps defaults and 7% of assets priced under 80.  With BBs the focus today and also for this week, today saw 2021-2023 RP profiles trade in a 683dm-943dm range – at the tight end MAGNE 2014-8A ER2 (Blackrock) cover 683dm / 7.5y WAL, this has a 2022 RP profile and has a hi-MVOC 104.98, 2784 WARF, 81 diversity along with excellent performance metrics.  Since we observed almost $100m of BBs trade this week we analyse the activity as follows:  generic BB spreads tighten 30bps to 838bps, 2024 RPs traded 852bps, 2023 RPs traded 846bps, 2022 RPs traded 768bps and 2021 RPs traded 816bps.

US CLO

Today we saw observed 24 covers – 2 x AAA, 3 x AA, 6 x BBB and 13 x BB.  The AAAs were short daters trading 110dm-116dm for 2020/2021 RP profiles (2-3y WAL) – similar profiles have traded in a 95dm-132dm wide range this month to date so neither of this are un-towards in terms of levels.  The AAs traded in a tight 184dm-193dm range for 2022-2023 RP profiles (6-7.3y WAL) with similar profiles this month trading 191dm-210dm, given the relative lack of liquidity at this rating level there is a strong bid here for AA benchmark names like today’s including the following managers – Napier, King St and Kayne Andersen (at the wide end today is KAYNE 2018-2A B 193dm / 7.3y WAL / RPE 2023 / hi-MVOC 130.6).  The BBBs today traded 310dm-434dm with the disparity due to a range of RP profiles, 6 in total from 2019-2024.  One notable BBB outlier today was SHACK 2016-9A D (Alcentra) which covers 434dm / 5.5y WAL / RPE 2021, this tranche has a lo-MVOC 109.6 v peers, lo-MVAP 8.76 whilst the deal has some weaker performance metrics (5.6% sub-80 assets, hi-WARF 2916, hi-CCC 5.8%, 90bps defaults) explaining it’s basis to the other BBBs today.  The BBs trade today 735dm-1079dm for 2021-2024 RP profiles - the 2024 RP profiles trade 802dm-992dm with WOODS 2019-18A E (Angelo, Gordon & Co) 941dm / 9.4y WAL and VENTR 2019-36A E (MJX) 896dm / 9.3y WAL the outliers, the WOODS 2019-18A E has a lo-MVOC 104.93 / lo-MVAP 4.7% whilst the deal has 4.8% sub-80 assets and a 65 diversity score but a strong WARF 2664 with no defaults to date.  The 2023 RP profile BBs traded 735dm-1079dm with two Nassau Corp Credit managed CLOs - NCC 2018-IIA E 1079dm / 8.6y WAL (lo-MVOC 103.2 / lo-MVAP 3.1) and NCC 2019-IA D 1065dm / 7.8y WAL (lo-MVOC 103.7 / lo-MVAP 3.57%).  The 2021 and 2022 RP profile BBs traded 883dm-949dm for ~7y WAL with the only relevant comps so far this month trading in a 834dm-906dm range so today’s levels a touch softer.

EUR/GBP ABS/RMBS

A few SUNRI deals – Italian consumer loan deals originated by Agos Ducato. All at the senior level which is AA rated. One of them is not modelled in our system but for the two we could perform analysis on they traded H40s DM for around 2yr WAL.

EUR CLO

6 x AA, 1 x A & 2 x BBB today. Looking at the AAs first, the range of DMs to maturity is 177dm to 198dm for WALs from 4.10yrs to 6.94yrs. The tightest is ORWPK 1X A2RE (Orwell Park – GSO) which priced at 100.12 / 177dm / 4.10yr. Even though it has traded at a premium and the deal is callable now it is being priced to maturity. This deal was refi’d in 2017 and its NC period was not extended. If it did get called on the next Optional Redemption date it would only give 121dm / 0.19yr. At 4.1yr WAL to maturity the GSO deal has the shortest WAL by some way because its RP End Date has finished and it has started delevering. The two deals with the longest WALs are BNPAM 2018-1X B (BNP AM) which traded at 198dm / 6.02yr and AVOCA 17X B1R (KKR) at 195dm / 6.94yr. The single A OHECP 2016-5X C (Oak Hill) priced at 270dm to mat / 5.37yr. There are 2 x BBB which priced at 437dm / 7.28yr and 448dm / 7.56yr. This evidences a widening to the last BBB trades we have seen. Even though these are both long WALs we can see back in the beginning of Nov CADOG 12X D traded at 390dm / 7.03yr and there were other shorter WAL trades around 350dm to 370dm. It looks to us like BBBs have widened by around 40 bps.

US CLO

A quiet day with 7 covers, all mezz  – 5 x BBB and 2 x BB rated.  The BBBs traded in a 346dm-431dm range for 2022-2024 RP profiles - the 2022 profile covers at the tight end 346dm / 7y WAL, the 2023 profiles trade in a tight range 378dm-383dm / 8.3y WAL and the 2024 profiles also trade in a tight range 425dm-431dm / ~8.4y WAL.  Note BBBs (across RP profiles) so far this month have traded in a 370dm-409dm range so although the 2022 RP profile today TICP 2019-13A D (TPG) trades tight, the longer end of the curve (2024 RPs) PIPK 2019-4A D (Partners Group) and MP15 2019-1A D (Marble Point) trade wide to comps.  The 2 x 2023 RP profile BBs traded in a 726dm-811dm range with similar WALs this month to date trading wider 765dm-906dm, notwithstanding both BB trades today (CVC’s APID 2017-28A D 726dm / 8y WAL & TIAA’s TIA 2016-1A ER 811dm / 8.6y WAL) are also inside the softer generic BB levels observed last week 868bps (v795bps prior week).

EUR CLO

Just one BB trade today. EGLXY 2016-5X ER (Pinebridge) traded at 98.33 / 659dm / 5.89yrs. This is the first BB in a while. If we look back to the middle of Oct we can see BB trades in this range, albeit that they generally had longer WALs, because this one is quite short for a BB. The last BB trade was ALME 3X ERV at 625dm / 6.05yr. This trade is wider but doesn’t necessarily represent a widening in the market overall since EGLXY shelves to trade wider than the mean. This deal got refinanced a few months ago. The WARF is quite high at 2,984, the junior OC cushion is average at 4.36% and the CCC bucket is 3.95%.