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%.

US CLO

After a quiet end of last week and Veterans Day yesterday today we observed 11 covers, mainly AAA.  We saw <4y WAL AAA spreads tighten 8bps to 127bps with almost $60m of supply of this specific profile.  With 10 x AAA trades today there were a variety of RP profiles with the 2022 and later RPEs trading in a 129dm-147dm range.  WELF 2019-1A A1 (Wellfleet Credit) covers 147dm / 6.4y WAL, this is a recently closed deal.  The key outlier today was a 2022 RP profile  OZLMF 2013-4A A1R (Sculptor) covers 140dm / 4.8y WAL, tranche OC metrics look fine whilst only tranche IC weak, IC level 172.65%.  Furthermore the deal has 115bps of defaults, a -0.86 par build and a lower Snr Sec balance than comps 96% so explains todays wider DM.  With generic BBs last week softening 77bps to 868bps todays sole BB cover was CSAM’s 2024 RPE MDPK 2019-35A E which covers 723bps / 9.3y WAL – an impressive tranche MVOC 108.28% whilst deal metrics all look in line with comps meaning this benchmark level trades through last weeks levels where the market has been starved of sub-IG paper since last Thursday for almost a week now.  Recent comps include ANCHC 2016-9A ER 778dm / 9.3y WAL (7 Nov) and the same CSAM shelf MDPK 2019-34A E 765dm / 9.1y WAL (4 Nov).

EUR CLO

Just 2 x AA & 2 x A today. Looking at the AAs first, NEWH 2X B1R (Bain Capital) traded at 96.83 / 187dm / 5.62yrs. This is in line with recent AA spreads where we have seen a number of trades in the 180s dm ad 190s dm. GLGE 3X B1 (Man Group) traded wide at 98.00 / 215dm / 5.22yrs. This is normal for the GLGE shelf. GLGE 3 has just been refinanced in Oct 2019. This deal actually has a healthy senior OC level at 142.53 but on the other hand it has high WARF at 3,042, it has had defaults and annualised par build is zero. In the single A, SPAUL 6A BRE (ICG) traded at 99.05 / 264dm / 5.28yrs and FOAKS 1A CE (Fair Oaks) at 99.75 / 288dm / 5.62yr. On the 8th Nov we saw single As trading around 250dm but todays trades are a return to the levels of around 2 weeks ago. The Fair Oaks deal only closed in July 2019.

EUR/GBP ABS/RMBS

A diverse mix of ABS today. A number of UK BTL deals. The post crisis AAA trades are around 110dm. The pre-crisis AAA trades more like 140dm to 145dm. Got an Irish NPL trade ERLS 2019-PL1 A at 85dm / 1.41yrs at AAA level. Also got an Irish BTL (MULC 1 A) at 92dm / 2.11yr at AAA level.

EUR CLO

11 x AAA & 2 x A today. Only 2 of the AAAs are not already callable and both of them are not trading at premium prices thus they are not indicating they are being prices to a refi. We have some short AAAs that have reached their RP End Date or about to in a range from 93dm to about 115dm (approx. 1.8yr WAL). The longer AAAs (approx. 3yr WAL) are around 120dm to 130dm. BLACK 2015-1X A1R (Black Diamond) is interesting in that it traded at 99.75 / 120dm / 1.61yr. This deal has been callable for 6 months and has now reached end of its RP Date hence its short WAL. It’s being priced to maturity but is still quite wide at 120dm for 1.6yr. The single As priced around 245dm to 250dm to maturity at discount prices for 5.65yr WALs.

US CLO

An active day with 33 covers observed across the capital stack – 10 x AAA, 8 x AA, 3 x BBB and 12 x BB.  The >4y WAL AAAs traded in a 116dm-144dm range, with a RP 2023 profile SNDPT 2013-3RA A (Sound Point Capital) cover at the wide end of this range 144dm / 5.2y WAL, this has a lo-MVOC 144.63, lo-MV AP 30.86 (34.31 AP) whilst the deal has challenges with 128bps of defaults, par build of -0.74, lo-diversity 72 and almost 7% of sub 80 priced assets.  The MM CLO AAs trade in a 262dm-268dm range whilst the 6 x BSL AAs trade in a 191dm-223dm range for predominantly 2023 RP profiles.  The BBBs trade in a 370dm-409dm range (WALs 6.8y-7.5y) for 2022 and 2023 RP profiles, as a comp we modelled FILPK 2018-1A D yesterday (RP 2023) to 373dm / 8.3y WAL which is tight to todays levels.  Since a number of BBs trading today with a variety of RP profiles we split up by RP profile – 2024 RP covers 778dm / 9.3y WAL, 2023 RPs trade in a 759dm-1035dm range (high volatility amongst deals) whilst the 2020/2022 RP profiles trade in a 759dm-904dm range (hi-vol too).  Taking a closer look at an outlier in the 2023 RP profiles, WINDR 2014-3KRA E (THL Credit Senior Loan Strategies) covers at 1035dm / 8.8y WAL – lo-MVOC 103.39, lo-MV AP 3.28 (AP 8.39), hi-sub 80 assets 6.3%, lo-diversity 68, hi-CCC 8.25%, par build -0.27 and 77bps of defaults on this deal accounting for the basis.

EUR/GBP ABS/RMBS

CAR 2018-F1V A (French autos – AAA) traded at 21dm / 1.22yr. There are 5 x Spanish RMBS, all of them original AAA but they include the original whole AAA, middle pay out of 3 and slow pay out of 2. The whole AAA have spreads between 15dm to 30dm. Middle pays are around 40dm and the junior AAA around 60dm. There are 4 x UK non-conforming pre-crisis deals. Running them all to maturity spreads range from around 50dm to 110dm. There is a French Prime RMBS at 19dm and a UK auto deal at 58dm.

EUR CLO

3 x AAA, 5 x AA & 4 x BBB today. In the AAA first JUBIL 2014-14X A2R (fixed rate AAA) traded at S+167bps at close to par. The Class X of DRYD 2014-32X traded at 92dm / 0.41yr. CORDA 4X ARR traded at 100.20 which is 126dm to mat / 3.06yr or 94dm to call / 0.46yr. We are shortly going to be introducing DM to call and DM to worst fields for easier analysis of call/refi risk. The AAs traded between 155dm and 193dm. The tight end of the range is TIKEH 2015-1X BR at 155dm / 4.22yr which the RP Date has passed at 5/8/2019. The wide end of the range is SPAUL 3RX B1R at 193dm / 5.48yr. Apart from the short WAL TIKEH 2015-1X BR trade all the others have priced between approx. 180dm and 190dm. The BBBs priced between 351dm / 5.96yr and 390dm / 7.03yr.

US CLO

After an industry conference in NYC yesterday today was a little muted, however we observed 8 covers – 1 x AAA, 1 x AA, 4 x BBB and 2 x BB.  The AAA BABSN 2013-IA AR (Barings) was a short dater (profile RP 2020) and covers at 101dm / 2.4y WAL, this is a tight level given sub 3y WAL AAAs over the past week have traded 111dm-121dm.  The double-A ALM 2015-16A A2R2 (Apollo) also has a 2020 RP profile and covers at 179dm / 4y WAL,  note NEUB 2015-20A BR covered 175dm / 4.3y WAL on 31st October so this is in line with that whilst 5y WAL comps have traded in 190dm-200dm context.  The BBBs today trade in a tight range 373dm-405dm, the outlier today in terms of DM (not credit performance) was OCT32 2017-1A D (a 2022 RP profile) that covers 405dm / 6.8y WAL – tranche MVOC looks strong 110.4, sub 80 assets 4%, WARF 2816, 30bps defaults, diversity 84 is strong, CCC 5.9% whilst the manager has strong performance versus it’s peers.  Similar WALs traded in a wide dispersion over the past week (396dm-539dm) so this might go some way to explaining the basis between the 2023 RPE BBBs (which traded in a 373dm-390dm range today) to todays 2022 RPE BBB, at least potentially in terms of credit profile of these RPE profiles.  The BBs today traded in a complex fashion too, as follows – AMMC 2014-14A B2L1 (American Money Management), a 2021 RPE covers at 906dm / 6.6y WAL whilst CSAM’s MDPK 2017-26A ER covers at 765dm / 8.1y WAL.  AMMC has 3.6% lo-sub 80 assets, lo-WARF 2749, hi-diversity so performance seems strong whilst MDPK has 5.1% sub 80 assets, hi-WARF 2916, 74 diversity and -0.19 par build.  So the credit performance of these are not completely reflected into the price and the same scenario entails like outlined for today’s BBBs (around specific RPE profiles).

EUR CLO

6 x AA today. They traded between 177dm and 195dm running the deals to maturity. The tight end of these trades is ACLO 4X B (Spire Partners) at 177dm / 5.77yrs and the wide end is BABSE 2014-1X B1RR (Barings) at 195dm / 5.52yrs. Comparing these two deals for credit we can say that the Spire deal has an OC level of 141.54 to this tranche, IC level of 540.93, WARF of 2,784 and WAS of 419bps. The Barings deal has an OC level of 144.21 to this tranche, IC level of 584.91, WARF of 3,008 and WAS of 408bps. These levels don’t show any change from recent days.

EUR CLO

4 x AA, 2 x A & 2 x BBB today. The AAs traded between 181dm and 189dm for WALs between 5.2yrs and 5.7yrs.  AA spreads for middle of the range WALs, as these are, have been range bound for a while now. For the single A’s OZLME 6X C1 (Sculptor) traded at 280dm / 7.3yr and CORDA 5X CR (CVC) at 257dm / 5.68yr. The difference in spreads can mainly be accounted for due to term structure although CVC is a Tier 1 manager for investors. From a credit point of view the two deals are performing very similarly (OC levels, IC levels, defaults etc).  There were a couple of single A’s that traded much tighter on 31 Oct but they had WALs less than 5yrs. For WALs in the normal range of around 6yrs these spreads are in line with recent levels. Both BBBs  (Toro & Bain) traded at 374dm for approx. 6yr WAL. NEWH 1X DR traded at 99.50 / 371dm / 5.93yrs on 28 Oct 2019 and LM99 / 374dm / 5.91ys today and this is representative of the fact that BBB spreads have not really moved in the last week.

US CLO

There was a BB and a AAA cover today.  The BB  MDPK 2019-34A E (CSAM) has a profile of RP April 2024 and covers 765dm / 9.1y WAL – comparable BBs over the past couple of weeks have traded 729dm-827dm depending upon credit profile, so the e Madison Park BB cover today sits at the tight-middle end of this range .  This BB has a healthy tranche MVOC 107.26 and deal stats are mildly positive – hi-WARF 2930, 4.7% CCC, 0 defaults and 71 diversity which is a touch lower than comps, the Jnr OC cushion is 4.26% which is also a touch low, sub 80 assets 3.5%.  The AAA today is a shorter dated BABSN 2018-3A A1 (Barings) with a profile of 2021 RP and covers at 124dm / 3.5y WAL, note that comps have traded in a 107dm-134dm range, this sits at the wider end with a hi-WARF 2957, 9.1% CCC, 24bps defaults and a lo-Snr OC cushion 9.26% vs comps.

US CLO

A quieter end to the week and first day of November was greeted with 3 covers observed in the BB rated space.  The BBs traded in a tight 736dm-760dm range for later RP profiles 2023 and 2024 (WALS c.9y).  The managers on today’s lists were Ares Management, LLC, Voya Investment Management (ING) and Octagon Credit Investors, LLC.  Similar WAL BBs over the past couple of weeks have traded in a wide 729dm-829dm range whilst we have seen one notable BSL CLO outlier in LCM 14A ER (LCM AM) 929dm / 8.6y WAL (weak performance metrics to date).

We have observed >4y WAL AAAs are flat to last week’s levels at 135bps absorbing 5x the supply of last week, AAs have widened 4bps to 200bps absorbing 4x supply of last week, single-As are 37bps tighter at 256bps with half the supply of last week, BBBs saw a significant increase in supply (almost 4x $86m) with spreads widening 32bps to 425bps.  BBs outperformed this week with spreads tightening 4bps to 795bps with almost double the supply of last week ($34m) including today’s firmer trades.

EUR CLO

Today we have 3 x AAA and 2 x AA. The AAAs traded between 120dm and 122dm for WALs between 3.7yrs to 3.9yrs. This is probably around 3 to 4 bps tighter than AAA trades at the beginning of the week. The AAs traded at 184dm / 3.93yr (PENTA 2015-2X BR – Partners Group) and 191dm / 4.63yr (CADOG 8X B1 – CSAM). These levels are in line with the trades in the week commencing 21 Oct. On the 31 Oct there were a couple of tighter levels but they have not been maintained.

US CLO

There were 10 observed covers for month end today – 1 x AAA, 3 x AA, 2 x BBB and 4 x BB.  The AAA ANCHC 2014-5RA A (Anchorage) was a short dater which covers at 121dm / 3y WAL whilst similar 1st pays have traded this month to date between 96dm-142dm.  The AAs traded in a 175dm-200dm range today (WALs 4.3-5.3y) with comparable BSL CLOs trading in a 165dm-204dm range in October, so today’s levels are inside these boundaries with only the BSP 2013-IIIA A2R (Benefit St) at the wider end (explained away as MVOC a touch low vs comps 126.23%, 5% sub80 assets, 110bps defaults and 5.3% CCC).  The BBBs traded in a 396dm-427dm range (profiles RP 2022) at just under 7y WAL, with similar WAL BBBs this month trading in a 360dm-599dm range, granted some of the 5-handle DMs are from distressed deals.  The BBs today trade in a 729dm-863dm range, with the 2021 RP profile CLO BABSN 2018-3A E (Barings) trading at the wide end 863dm / 6.8y whilst the 2023 RP profiles trade in a 729dm-848dm range.  The BABSN 2018-3A E is an outlier given the short WAL / RP profile so looking into this deeper we note the following: lo-MVOC 103.67%, hi-WARF 2957, hi-CCC 9.14%, lo-Jnr OC cushion 3.9% and hi-sub80 assets 5.64% which go some way to explaining away the basis.

EUR CLO

Today we have 3 x AAA all trading between 119dm and 128dm (spread over unfloored Euribor) and all have around 3.6yr WAL. All have a Reinvestment End Date around the end of 2021. These are unchanged levels. You have to go back to the first week in Oct to see wider levels. There are 3 x AA. HARVT 10X BR (Investcorp) traded at 155dm / 3.19yr, BABSE 2015-1X B1R (Barings) at 168dm / 4.05yr and ADAGI V-X B1R (Axa) at 202dm / 6.12yr. The Axa deal has a very long Reinvestment End Date of Jan 2023. Obviously a large part of the wider pricing of the Axa deal is due to the term structure of the curve, but also this deal does have High WARF (3,000), low WAS (375bps) and low OC cushions. Most recent trades have been between the high and low levels of today. There are 3 x A, of which two traded around 210dm for approx. 4.5yr WAL but AQUE 2019-4A C (HPS) traded at 268dm / 7.21yr. The HPS deal has a Reinvestment End Date of Jan 2024 which is very long. There are 2 x BBB. ARBR 3A DR (OakTree) traded at 281dm / 5.33yr and AVOCA 19X D (KKR) at 366dm / 6.99yr. Both deals are performing well from well known managers so we can put this difference in spread levels down to term structure. The Avoca deal has 3 years longer of Reinvestment than the OakTree deal. These traded levels do look tighter than recent trading eg on 28 Oct there were 3 x BBB trades between approx. 340dm and 370dm for WALs between 5.8yr and 6.5yr.

US CLO

A similar yield to yesterday, 14 covers today however a wider dispersion of rating levels on show – 6 x AAA, 1 x AA, 3 x A, 3 x BBB and 1 x BB.  The >4y WAL AAAs trade in a 130dm-142dm range which is in line with ~135bp observed last week at this rating level - ALLEG 2017-1A A (Axa IM) covers at 142dm / 4.9y WAL – MVOC looks fine 150.3% but hi-WARF 2969, 122 defaults, -0.26 par build and 4.6% sub80 assets from an inexperienced manager with weaker default record and par build vs comparables.  The AA was TIA 2018-1A A2 (TIAA) which covers at 210dm / 7.6y WAL (profile RP 2024) with comparable WAL AA’s trading 178dm-204dm this month and this is wider than the ~196bps generic AA levels we observed last week.  The single-As trade in a 245dm-268dm range with the 2020 RP profile cover NEUB 2015-20A CR (Neuberger Berman) the tighter end at 245dm / 4y WAL whilst the two 2023 RP profiles trade in a tight 258dm-268dm range.  Today’s BBBs trade in a 371dm-430dm range (RP profiles 2020 and 2023) compared to yesterdays wider dispersion of RP profiles trading in a 345dm-539dm range.  KKR 20 D (KKR) covers at 430dm / 7.6y WAL and is well wide of the generic ~393bps levels we observed last week – the MVOC is healthy 110.35 but a hi-WARF 2925, hi-CCC 7.7%, 45bps of defaults and 4.3% of sub80 assets are likely to account for this basis.  The BB trade today MAGNE 2014-8X ER2 (Blackrock) covers at 727dm / 7.8y WAL (RP 2022) compares favourably with a 2022 RP BB trading range yesterday of 769dm-794dm – this tranche has a strong MVOC 104.97, healthy WARF 2799, 0 defaults, 4.8% CCC, +0.14 par build, 81 diversity and only 2.9% of sub80 assets accounting for the outperforming level.

EUR/GBP ABS/RMBS

A few German and French auto loan deals at the AAA level traded between 6dm and 17dm. BLCRD 2018-1 A (credit cards) traded at 21dm for a AAA bond. AURUS 2017-1 A (Dutch consumer loans) traded at 19dm for a AAA. In RMBS we had Dutch and French prime residential deals at the AAA level trading between 11dm and 14dm.

EUR CLO

2 x AAA & 2 x AA, with disclosed prices today. The two AAAs traded at 125dm & 126dm. They have similar WALs, around the 3.5yr mark. They both have a Reinvestment End Date in 2021. These are unchanged AAA levels from previously. The AAs also show a high degree of consistency in their pricing, with trading taking place at 184dm & 186dm. These are also unchanged levels.

US CLO

14 covers today - 2 x AAA, 9 x BBB and 3 x BB rated.  The AAAs trade in a 139dm-143dm range -  BCC 2019-1X A1A (Bain Cap) covers at 143dm / 6.1y WAL with the only notable sign of weakness the MVOC 150.47 (for a 1st pay AAA) and the weak manager record (annualised default rate at the manager level 106bps v 64bps cohort and par build -0.99) accounting for the softer level, otherwise the deal itself has strong performance metrics.  The BBBs trade in a 345dm-539dm range with numerous RP profiles from 2020 right up to 2024 – at the tight end is  ALM 2015-16A CR2 (Apollo) that covers at 345dm / 5.3y WAL (profile RP 2020), the tranche has a hi-MVOC 110.77 at the rating level, manager record is very much at cohort levels whilst performance metrics are relatively weak with a hi-WARF 3025, 55bps defaults, hi-CCC 6.7%, lo-diversity 67, hi-sub 80 assets 5%, hi-Snr OC cushion 9.6% and par build weak at -0.9.  The short life of the bond and manager record makes up somewhat the weakness of the deal.  At the wide end is TRNTS 2017-7A D (Trinitas) covers at 539dm / 6.8y WAL (RP 2022) and carries a hi-WARF 2923, lo-MVOC 109.6%, 153bps of defaults and -0.73 par build.  The BBs trade in a 769dm-829dm range, the 2022 RPs trade 769dm-794dm with similar bonds recently trading in a 730-811dm range so these are within the upper and lower boundaries, the longer WAL  CIFC 2013-3RA D (CIFC) covers at 829dm / 8.6y WAL with recent comps trading in a 707dm-951dm range so this sits right in the middle of this wide range with the OZLM 2018-22A D the nearest comp covering at 847dm / 8.4y WAL on 21st October.

EUR CLO

Just the one EUR CLO today, with disclosed prices. ALME 3X ERV (Apollo) traded at 625dm / 6.05yr. It is a BB bond. This is tighter than most recent trades which have been in the range of 640dm to 670dm. ALME 3X has a lower than average WARF at 2816, below average WAS at 368bps and 0.36% annualised par build.

US CLO

The start of this week we saw 19 covers mainly in the mezz space.  There was one AAA trade today, NEUB 2018-29A A1 (Neuberger Berman) covers at 127dm / 5.5y which is inside the generic 135bps levels we saw last week – this is a well performing deal (1st pay AAA) from a strong manager nonetheless.  At the BBB level there were 12 trades, a 2019 RP CLO  CGMS 2015-2A CR (Carlyle) trades at 303dm / 5.1y WAL whilst the 2022/2023 RP profiles trade in a 376dm-462dm range (similar bonds this month traded in 348dm-480dm range) barring one outlier trade NCC 2017-IIA D (Nassau Corp Credit) that covers at 599dm / 6.6y WAL (tranche MVOC is very weak 107.82, hi-sub 80 assets 8.3%, 41bps defaults, hi-CCC 5.4%).  At the BB level, several profiles traded today (RP 2021 up to RP 2024) in a 773dm-1020dm range, at the wide end of the range  SNDPT 2013-2RA E (Sound Point) trades at 1020dm / 6.6y WAL – lo-MVOC 102.23, hi-sub 80 assets 8.1%, hi-CCC 6.4%, par build -0.11 and 70 diversity.  This is significantly wider than any other BB seen this month, the nearest comp is DEN14 2016-1X ER (Crestline Denali) which covers at 951dm and a longer 8.7y WAL (MVOC 104.44) on 18th October.  BBs this month to date have traded in a 637dm-951dm range with only 2 of these with a 9-handle at a generic spread level of 799bps, as noted on Friday.

EUR/GBP ABS/RMBS

A few GBP AAA UK prime RMBS traded today. 2 tranches from the Permanent Master Trust (UK Prime RMBS originated by Halifax BoS) - PERMM 2018-1X 1A2 at 51dm / 1.57yr and PERMM 2016-1 1A1 at 35dm / 0.21yr. LAN 2019-2X 2A traded at 70dm / 2.76yr and LAN 2017-1X 2A at 72dm / 2.74yr (loans originated by Yorkshire Bank and Clydesdale Bank). BRASS 5 A (Yorkshire BS) traded at 53dm / 1.7yr to the step up date / 12 cpr.

EUR CLO

2 x A and 3 x BBB today. In the single As GLGE 3X C (Man GLG) traded at 285dm / 5.72yr and DRYD 2017-51X C (PGIM) at 253dm / 5.94yr. GLGE 3X C has just been refi’d, on 15 Oct 2019. 285dm is certainly at the wide end for recent single As but even 253dm is – most recent trades have been between 230dm and 240dm. The GLGE 3X deal does have less OC and IC coverage than the DRYD 2017-51X  deal. At the BBB level the trades ranged between 342dm (HARVT 15X DR – Investcorp) and 371dm (NEWH 1X DR – Bain Capital). These levels look to be within the normal recently traded range.

US CLO

Today we observed 5 shorter dated AAAs with 2021 and 2020 RP’s.  At the shorter end the 2020 RP BABSN 2013-IA AR (Barings) covers at 100dm / 2.5y WAL, the 4 x 2021 RP CLOs cover in a 107dm-126dm range for ~3y WALs.  There don’t appear to be any outliers today as these levels neatly fit the term structure for this rating level.  However AAA spreads (>4y WAL) widened 2bps on the week to 135bps for smaller supply so we have observed some softening at this end of the curve.  Furthermore BB spreads have also widened, to 799bps after a week of tightening in the 2nd week of October into 732bps.  In terms of other rating classes we have run DMs on this week and can showcase our proprietary generic levels for BSL CLOs - AA spreads are ~196bps, A spreads are ~293bps and BBB spreads are ~393bps.

EUR/GBP ABS/RMBS

3 more AAA German auto trades today. According to our calculations these all traded in the low double digits for spread. The originators were Mercedes and Volkswagen.

EUR CLO

2 x AAA, 2 x AA and 4 x Equity today. See the PriceABS archive for the details of which bonds traded at which levels but the summary is that the AAAs traded at 118dm / 3.04yr and 127dm / 4.53yr. Recent AAAs have been around 127dm but usually for WALs between 3.2 to 3.6yrs. For the 4.53yr to still price at 127dm and then for the shorter bond to price at 118dm does imply a few basis points of tightening. The AAs traded at 179dm and 192dm. This is in line with recent levels. The tighter pricing was achieved by the PGIM deal and the wider one by Cairn Capital. There were 4 equity trades. The tightest yield was achieved by PRVD 2X SUB (Providus – Permira) at 14.88%. There aren’t really any distressed names in the pool and all the metrics look steady. BILB 1X SUB (Bilbao – Guggenheim) traded at 14.95%. This is also a clean deal. All of these equity deals closed in 2018 so perhaps this isn’t surprising. OHECP 2018-7X S1 traded at 16.11%  (Oak Hill) and BECLO 6X SUB (BlackRock) at 16.28%. The only surprising thing about this is that these two managers are normally amongst the tightest pricing. That being said all these levels are within the range of normal recent trading.

US CLO

Flows today was concentrated around lower mezz with 8 x BBs, 3 x BBB and 1 x A.  The single-A CRMN 2015-1A C2R (Trimaran Advisors) has a shorter WAL than the majority of single-As traded this month, with profile RP Apr-19 and so covers at 304dm / 4.1y WAL – the only recent comparable is WSTC 2014-1A CR (Allianz) that covered at 300dm / 3.5y WAL 2 days back, making today’s single-A in line with this.  The BBBs today traded in a 341dm-409dm range (compared to yesterdays 401dm-461dm range), the 2 x 6y WAL BBBs today TSYMP 2016-1A DR (TCI) and TRMPK 2015-1A DRR (GSO) cover at 371dm / 6.3y WAL and 341dm / 5.8y WAL respectively – similar WAL BBBs this month have traded in a 320dm-438dm range this month to date.  The 8y BBB today OCT22 2014-1A DRR (Octagon) covers at 409dm / 8.1y WAL with profile 2023 RP, similar WAL BBBs have traded this month in a 374dm-433dm range.  The 8 x BBs traded in a very wide range 690dm-903dm with an array of profiles on show – the 2023 RPs trade 747dm-849dm (8y WAL), 2022 RP trades 796dm (~7y WAL), 2020 RPs trades 785dm-903dm (~6y WAL) and 2019 RPs trade 690dm-739dm (~5y WAL).  The outlier here is the 2020 RP BLUEM 2015-2A ER (BlueMountain) that covers 903dm / 6.3y WAL which invariably has weak stats – tranche lo-MVOC 102.93, deal level hi-WARF 2953, hi-defaults 146bps, lo-par build -1.47, lo-Jnr OC cushion 2.49% and hi-sub 80 assets at 5% accounting for this basis.

EUR/GBP ABS/RMBS

We’ve seen a raft of German Auto AAAs trade today. The details of each trade can be found in the PriceABS archive most of the spreads have been in the 7dm to 14dm range for Volkswagen, Mercedes and BMW deals. Since the WALs of these tranches are relatively short and can sometimes be very short the calculated DM is very sensitive to the cashflow modelling. According to our calculations we did some trades in the 20s and even in the 40s DM but it is possible other market participants, using different models, may have got different results. The wider spreads were in deals like RNBLG which are loans originated by ALD and is a multi-manufacturer deal. We also saw French credit cards (PMACC 2018-1 A) trade at 14dm / 1yr. We saw a couple of AAA UK non-conforming trades but they both have very short average lives. We calculate DMs around 50dm to 70dm but this is very sensitive to the WAL. Lastly PERMM 2015-1X A3 (UK Prime – Bank of Scotland) traded at 28dm / 0.98yr.

EUR CLO

2 x B and 1 x Equity today. The single Bs traded at 1026dm / 7.98yr (CORDA 11X F) and 1033dm / 7.44yr (BNPAM 2018-1X F), according to our assumptions. Both were issued in Sep 2018 but the CVC deal has a 6 month longer Reinvestment End Date than the BNP deal. This is a softening from previously observed levels. At the beginning of Oct the traded range was centered around 900dm to 930dm. BLUME 3X SUB (Blue Mountain) traded at 17.29% on a risk-adjusted yield basis. This is at the wide end of recent trades – but possibly could have been even wider if the valuation had not been floored at the NAV. This is a Sep 2018 deal which has been paying 16% pa to equity holders so date. The deal is performing as expected – the only semi-distressed asset is Teva Pharmaceuticals (Israeli company) valued at around 69. Otherwise the deal has a 1% CCC bucket and reasonable WARF and WAS.

US CLO

A quieter day with 6 mezzanine covers, but certainly an opportunity to be forensic on this segment of the capital structure.  At the bottom end of the rating scale both the BBs covered at 793dm with similar WALs -  OCT35 2018-1A D (Octagon) at 793dm / 8.1y WAL and  TSYMP 2017-1A E (TCI Cap) at 793dm / 7.6y WAL.  Similar BBs this month have traded in a 717dm-873dm range so today’s covers sits in the middle of this range, both securities have similar MVOC and sound performance metrics to date.  The BBBs traded in a 401dm-461dm range, similar bonds this month have traded in a wide range 348dm-433dm (ignoring an outlier trade at 510dm) so todays BBB DMs are at the wide end of the scale – for instance ALLEG 2017-2A D (Axa IM) covers at 461dm / 7.6 WAL, profile is 2023 RP and has a lo-MVOC 110.5 vs comparables, hi-WARF 2913, 53bps defaults, weak Snr OC / WAL cushions and the manager has a weak par build record in aggregate -0.33.  BABSN 2017-1A D (Barings) on the other hand covers at 401dm / 6.8y WAL, profile is 2022 RP and has a hi-MVOC 112.65, WARF 2773, 0 defaults, healthy cushions, hi-CCC 6.3%.  The sole single-A trade today is  STCR 2017-1A C (Steele Creek) cover of 347dm / 6.8y WAL with comparable WAL single-As this month trading in a 245dm-295dm range whilst a similar WAL MML CLO GOCAP 2013-17A BR covering at 370dm / 6.7y WAL.  This Steele Creeke single-A has experienced some weak performance, the tranche has a lo-MVOC 116.96, the deal has hi-sub 80 assets 7.8%, hi-CCC 8.7% and lo-diversity 76 but other metrics seem respectable, however the weak metrics are certainly key signs of clear weakness in the transaction from an inexperienced manager with 6 CLOs under management.

EUR/GBP ABS/RMBS

MCCPF 2019-1 A (French credit cards – Master Trust) traded at 24dm / 2.67yr to step up date at AAA level. GLDR 2019-A A (German autos – Ford Credit Europe) traded at 18dm / 2.28yr at 5cpr at the AAA level.

EUR CLO

7 CLOs today comprising 1 x AA, 4 x A, 2 x BBB. The AA is HNLY 1A B1 (Henley – Napier Park) which traded at 205dm / 5.67yr. This is wider than recent AA trades which have been more in the 180dm to 195dm range. This deal closed in July 2019. Napier Park is a less established CLO manager with, we think, 9 CLO deals under management. The single A trades took place between 196dm and 201dm. This is considerably tighter than recent trades. ALME 4X CR traded at 231dm 2 days ago, and a few days before that there were trades in the 240dm to 270dm region. The two BBBs have very different DMs. SORPK 1X CR (Sorrento Park – GSO Blackstone) traded at 297dm / 4.66yr. TCLO 2X DR (Toro 2 – Chenavari) traded at 371dm / 5.66yr. It’s hard to tell if this represents a tightening or widening in BBBs since most recent BBB trades have been in-between these two levels.

US CLO

A very active day with 34 covers across every debt rating level – 16 x AAA, 3 x AA, 5 x A, 5 x BBB and 5 x BB.  The >4y WAL AAAs traded in a 126dm-143dm range today - OCP 2017-13A A1A (Onex Credit) covers at 126dm / 4.45y WAL(RP 2022) and backed up by good deal performance to date, whilst at the wide end is CANYC 2019-2A A (Canyon Cap) covers 143dm / 6.5y WAL (RP 2024), this is a new issue closing only in September so the longer WAL (than comps) is reflected in the DM (AAA spread +137).  The AAs trade in a 186dm-204dm range, this month we have seen AAs in a range from 172dm-204dm whilst it is interesting to note the longer WALs on today’s trades (6-8y) so SYMP 2019-21A B (Symphony AM) at 204dm / 7.8y WAL is a relatively strong level at this end of the term structure.  The single-As traded in a 254dm-320dm range, note that 2 trades WSTC 2014-1A CR (Allianz Global) and GLGOH 2013-1A D (Man Group) traded at 300dm / 3.5y WAL and 320dm / 2.8y WAL respectively, both are post RPE and both deals have weak performance (the Allianz Global deal has eg. WARF 3302, 11.4% sub 80 assets and the Man Group deal has ~18% sub 80 assets).  The BBBs traded in a 322dm-407dm range with all trades looking in line with those levels observed this month across maturities.  The BBs traded in a 702dm-873dm range across WALs 5.6y – 9.6y - at the short end is MVW 2015-10X E (Seix) covers 702dm / 5.6y WAL which is the tightest and shortest BB seen this month.  The 8y WALs traded 811dm-873dm with the equivalent range seen this month 744dm-863dm so the OCP 2014-6A DR (Onex Credit) cover at 873dm / 8.1y WAL is the widest print seen at the 8y WAL level (RP 2022, 4.2% sub 80 assets, -0.42 par build but healthy WARF 2834 and weak manager metrics – annualised def 82bps v 60bps cohort and -0.36 par build).

EUR CLO

13 CLOs today comprising 1 x AAA, 6 x AA, 1 x A, 1 x BBB, 1 x BB & 3 x Equity - a full house. The AAA is BECLO 4X A (BlackRock, 2017 vintage) which traded at 123dm / 3.76yr. This is in line with other AAA trades in the last 10 days which have been in the range 124dm to 132dm. The AAs have traded in the range 176dm to 195dm. At the beginning of this month we were seeing AAs in a range between about 190dm and 215dm – so today’s trades represent a firming in levels from that period. Of course the firmer levels could have occurred earlier – we only have public bwic data to draw from. The single A is ALME 4X CR which traded at 231dm / 5.81yr. This is in line with previous trades on 16 Oct & 18 Oct but is tighter than trades in early Oct (as has previously been commented on). The BBB is OCPE 2017-1X D (Onex Credit Partners, 2017 vintage) which traded at 353dm / 5.74yr. In the first half of Oct BBBs have traded between about 320dm and 400dm. The BB is BECLO 1X ER (BlackRock, 2018 refi) which traded at 644dm / 6.78yr. Previously on 10 Oct BBs traded in a range between approx. 600dm to 670dm. In equity ACLO 5X SUB traded at 13.11%, BECLO 7X SUB at 14.66% and HARVT 21X SUB at 16.22%, according to our assumptions. This is in line with recent equity yields. A few notable metrics to highlight on these three equity trades are that the BlackRock deal has distributed 30% pa to equity holders thus far. Also the Spire Partners trade is unusual in that it covered at 79.63 when it has an NAV of 83.51. The Spire Partners deal does have better attachment and detachment points than the other two, at (1.5)% and 7.7% respectively.

US CLO

6 single-A covers today from a range of managers putting the focus firmly on the middle part of the capital structure.  The profiles of 5 of the 6 single-As is a RP 2023 and for 1 is RP 2021.  The bonds trade in a 251dm-290dm range, similar single-A profiles have traded in a 245-300dm range this month so today’s single-As sit well within this range.  At the wide end is BABSN 2016-1A CR (Barings) which covers at 290dm / 7.4y WAL – this tranche has a lo-MVOC 116.73, hi-CCC 7.3%, 49bps of defaults, sub 80 assets 3.93% and 75 diversity as signs of relative weakness, whilst the manager’s profile is weak vs the cohort in par build -0.47 and annualised EQ return 13.97% v 15.3%).  On the other hand, at the tight end of todays single-A trades is OHALF 2013-1A CR2 (Oak Hill) which covers at 251dm / 7.4y WAL – this tranche has a hi-MVOC 119.51, hi-CCC 7.2%, 2bps defaults, sub 80 assets 1.68%, 69 diversity and a strong manager profile (28bps annualised defaults v 59bps cohort / annualised EQ return 15.72% v 15.3% cohort).  So with the 2 similar CLO profiles the 40bps basis is accounted for primarily by differences in MVOC, defaults, asset price migration to <80 metrics and manager tiering, as mentioned, which all seem reasonable all things considered.

EUR/GBP ABS/RMBS

QUARC 2 A (Italian consumer ABS originated by Futuro SpA) traded at 43dm / 3.54yr for the AA bond. COMP 2018-FR1 A (French autos originated by Credipar (PSA FINANCE)) traded at 8dm / 0.87yr at the AAA level. CATSN 4 A (Dutch Prime RMBS originated by Venn Hypotheken (a non-bank lender) in the Ember Group) traded at 44dm / 4.86yr for the AAA bond.

US CLO

A quiet day today with 2 x BB covers observed, this week has been starved of BBs which has been quite rare post summer.  The BBs trade in a 938dm-951dm range for long WALs.  At the wide end is DEN14 2016-1X ER (Crestline Denali) which covers at 951dm / 8.6y WAL – this deal has a profile of Oct-23 RP, Oct-20 NC, 2016 vintage refi’d in 2018.  The performance stats are lo-MVOC 104.9, hi-WARF 2929, 0 defaults, hi-90 diversity, lo-CCC 2.52% and lo-Jnr OC cushion 3.94% whilst the manager has a good record.  The other BB today is comparable in terms of DM, AWPT 2018-9X E (ArrowMark Colorado) covers at 938dm / 8.9y WAL – this deal has a similar profile of RP Jul-23, NC Jul-20 and a 2018 vintage.  The performance stats are lo-MVOC 105.02, WARF 2825, 0 defaults, 84 diversity, hi-CCC 5% and a sound Jnr OC cushion 5.21% whilst the manager also has a sound track record versus cohorts and quite comparable to Crestline.  To date this month these have been the widest BB prints, only OZLM 2018-22A D on 8 Oct 863dm / 7.9y WAL compares with a slightly shorter WAL.  Other 8-9y WAL BBs have traded this month in a 686dm-779dm range so some softening is apparent at this end of the capital structure, note we calculated that BBs last week traded ~732dm as mentioned last Friday.  We have also observed softening this week in AAAs, the >4y WAL AAAs widened 9bps on the week to 133dm and yet a lower level of supply versus last week at this rating level.

US CLO

We observed 23 covers today – 17 x AAA, 2 x A and 4 x BBB.  The 13 x >4y WAL AAAs traded in a 116dm-150dm range so some signs of softening versus the ~ 124dm levels seen last week.  Comparing both ends of the range today:

• SYMP 2018-19A A (Symphony AM)          116dm / 5.3y WAL / RP Apr-23: MVOC 152.64 l WARF 2705 l WAS 3.06 l CCC 3.04 l def 17bps l Par build +0.15 l Div 71 l Snr OC cushion 9.98% l Sub 80 assets 1.73% l Manager 69 bps def, +0.19 par build

• SNDPT 2019-2A A1 (Sound Point)             150dm / 6.1y WAL / RP Apr-24: MVOC 167.89 l WARF 2597 l WAS 3.80 l CCC 0.44 l def   0bps l Par build n/a l Div 67 l Snr OC cushion 9.84% l Sub 80 assets 0.45% l Manager 17 bps def, +0.07 par build

Comparing it this way there doesn’t appear a material reason to account for the 34bps basis between the two 1st pay bonds that are at opposite end of AAA trading today.

The single-As traded in a 254dm-265ddm range which is a tight spread at the tights of this month for comparable WALs.  Finally the BBBs traded in a 388dm-510dm range, excluding the 510dm outlier these traded in a tight 388dm-418dm range and we have seen BBBs trade in a 389dm-480dm range over the past week so there are some signs of tightening week on week.  The outlier BBB trade is ATCLO 2017-8A D (Crescent Cap) 510dm / 6.6y WAL and has a lo-MVOC 110.5 / sub 80 assets 4.12%, hi-CCC 6.04%, lo-Div 76 and lo-WAL cushion 20.62%.

EUR CLO

There are 3 x A and 3 x equity CVRs with disclosed prices today. The A trades have traded in a range from 240dm to 272dm. 240dm represents the same kind of level that single A trades took place at earlier this week, after their big rally. 272dm however is closer to the pre-rally levels of around 10 days ago. The 272dm trade is OHECP 2016-5X C (Oak Hill) which also has the shortest WAL at 5.4yrs. The three equity trades, in order of increasing yield are BECLO 4X SUB at 13.73% / 4.58yr. This has a NAV of 65. It attaches at -3.8% and detaches at 7%. It has annualised equity payments of 19% to date. There is a 2.92% CCC bucket. The only slightly distressed asset in the pool is Mulhacen (Spanish – banking). ALME 5X PTC (Apollo) traded at 15.01% / 4.82yr. This has a NAV of 75 and attaches at -2.6% and detaches at 7.7%. It has made annualised equity returns of 13% and has a 1.37% CCC bucket. This deal doesn’t have any distressed assets with Douglas (Kirk Beauty) trading back above the 90s. AVOCA 16X SUB traded at 15.97% / 4.89yr. It has a NAV of 61. This deal has also returned 13%pa to equity holders to date and also doesn’t have any distressed assets. We see equity yields, according to our assumptions, as having been in the 12.5% to 14% range in Sep, whereas they are more like 14% to 16% this month.

USD CLO

Today was a chance to analyse the top end of the rating scale with 13 x AAA covers.  The majority were shorter dated with WALs all under 4y as calculated by SCI, these bonds trade in a 85dm-144dm range for WALs 1.1y-4y.  The levels reflect not market softness but the majority of these AAA securities are from deals with some weaknesses.  For instance at the wide end of the range is MVEW 2019-1A A1 (Seix Investment Advisors), a 1st pay with profile RP Apr-21 / NC Apr-20 / Vintage 2019 and covers at 100.00 with 144dm / 3.3y WAL – this deal is unusual since the RP 2y / NC 1y are so short there is a different dynamic the manager needs to take, there are no obvious signs of distress in the portfolio or concentrations (tranche MVOC 156%, WARF 2700, 0 defaults, sub 80 priced assets 1.47%) but the manager Seix is relatively inexperienced with 3bn AUM / 7 CLOs and default record is poor (118bps annualised default rate v 56bps cohort).  BLACK 2017-1A A1A (Black Diamond Capital Management) covers at 143dm / 3.7y WAL which is a weaker AAA DM even despite its WAL – this deal has more obvious signs of stress with hi-WARF 2979 (WARF test failing), hi-CCC 6.7% and 3.23% sub 80 priced assets, the profile is RP Jul-21 / NC passed Aug-19 whilst the manager again is inexperienced with 1.5bn AUM / 4 CLOs with 129bps annualised default record (v 56bps cohort) and a lower Annualised equity return than comparables at 12.47% (this deal BLACK 2017-1A is no different with 12% annualised equity return).  See list below for full details of DMs with WALs.

EUR CLO

There are 5 x AAA CVRs and 3 x A with disclosed prices today. The AAA trades are very tightly grouped being between 127dm and 129dm. The WALs are between 3.2yrs and 3.6yrs. These spreads are in the same range as last week but about 5 to 10bps firmer than the beginning of the month. The single As are between 235dm and 242dm. Single As have rallied hugely, about 55bps tighter than the beginning of the month.

US CLO

Following the Columbus Day break yesterday there was a slow start to the week with 9 covers today – 3 x AAA, 3 x AA, 1 x A and 2 x BBB.  With 2 short dated AAAs (<3y WAL) the sole >4y WAL AAA was CIFC 2013-3RA A1 (CIFC AM) which covers at 99.03 / 118dm / 5.2y WAL, remember last week’s AAAs traded at ~115dm (ignoring an outlier trade) so this trade is slightly wide to that but compares to the 117dm levels seen the week before.  The double-As traded in a wide range, 165dm-204dm, with ICG 2014-1A A2R (ICG) cover 98.38 / 204dm / 5.35y WAL – analysing this tranche the MVOC is healthy 128.37 whilst at the deal level there are 108bps of defaults, hi-WARF 2929, hi-CCC 8.1% and hi-WAS 371bps (correlates to hi-WARF) so there are some weaknesses inherent in the deal accounting for the softer DM.  The single-A cover today was LCM 13A CR (LCM AM) which covers at 304dm / 5.85y WAL – this is at the wide end of single-As we have analysed this month (lo- MVOC 114.61, 48bps defaults, 325bps WAS and a v low int-div cushion of <2%) with only the end of last week the VOYA 2017-3A B trading in a 258dm-264dm / 6.4y WAL range whilst month to date single As traded in a M-MH 200s range.  The BBBs today traded in a 438dm-480dm range which is very much at the wides we have seen this month (as mentioned on Friday BBBs this month have traded in a wide 320dm-477dm range so the SNDPT 2019-1A D (Sound Point Cap) 480/8.4y WAL widens the range further (lo-MVOC 112, Snr OC cushion low 9.95%, lo-WAL test cushion, lo-int div cushion 3.46% and lo-Diversity 63) despite the accolades of the manager.