USD CLO

10 Reported covers today – 8 x AA and 2 x BB rated.  The AAs trade 130dm-178dm given the different maturity/RP profiles.  The 2022 RP profiles trade 146dm-178dm with the outlier at the tight end being Blackrock’s MAGNE 2014-8A BR2 146dm / 5.8y WAL – performance and MV metrics are both slightly above average (MVOC 130.2 / ADR 0.3% / sub 80 assets 1.7%) but the manager’s exemplary record seeming to drive the DM tighter on this bond versus Onex, KKR and GSO which trade in a 163dm-178dm range for this cohort.  This profile has traded in 170dm context recently so today’s trades are by and large tighter to this generic level.  The 2021 RP profile AA trade today is also from Blackrock MAGNE 2016-18A BR 145dm / 5.1y WAL – this trades tight to 155dm recent context, once again the manager’s record an influence with performance metrics also good.  The 2020 RP profiles trade 145dm-164dm – at the tight end is BLUEM 2012-2A BR2 (BlueMountain) 145dm / 4.3y WAL – strong MV metrics (MVOC 129.3 / MVAP 22.7) with mixed performance (par build -0.82 / ADR 1.4% / sub 80 assets 2.2% / WARD 3036) and a weaker than average manager record.  At the short end of the curve a 2019 RP profile from Neuberger Berman (NEUB 2015-19A A2R2) covers 130dm / 3.2y WAL – strong performance record with the deal now post RP end.  The double-Bs, both 2021 RP profiles trade 688dm-742dm / 6y WAL – with generic trading recently in 720dm context for this profile, at the wide end is CATLK 2015-3A ER (Carlson Cap)742dm / 6.3y WAL with reasonably good performance aside from a low diversity 68 and high WARF 3009, whilst at the tight end is PGIM’s DRSLF 2014-36A ER2 688dm / 6y WAL with a very slightly lower MVOC (-0.8%) but has a high diversity 97 and a lower WARF 2896 with other metrics similar.

In terms of generic secondary spread movement on the week – AAAs are typically a little wider on the week : +12dm to 124dm at the long end (2024 RP), +8dm to 92dm at the short end 2019/2020 RP profiles.  AAs are tighter at the short end, eg. 2020 RP profiles -7dm to 156dm with marginal widening at the longer end +3dm to 170dm for 2023 RP profiles.  Single-As wider on the week in all profiles aside from 2022 RP which is -6 tighter to 217dm.  BBBs have a mixed delta on the week, wider at the shorter end, +41 to 352dm for 2019 RP profile and tighter in 2024 RP profile -12 to 379dm with tightening in 2022 RP profile to 345dm and widening in 2023 RP +13 to 359dm.  BBs -105 tighter in 2019 RP to 674dm and wider in 2023 RP +103 to 801dm but either side of this 2022/2024 profiles are tighter -30/-44 respectively.  In single-Bs some tightening in the short end, 2019 profile -230 to 704dm and widening in 2023 RP +78 to 964dm.

EUR CLO

Just 1 x BBB, 2 x B & 2 x equity today. The BBB is NWDSE 2019-19X D (Northwoods – Angelo Gordon) which traded at 101.52. It has a high margin of 400bps and isn’t callable until Nov 2021. It traded at 398dm|mat or 356dm|call.

The single Bs from Natixis and Anchorage traded at 790dm|mat and 890dm|mat dependent on their margins.

In equity EGLXY 2019-7X SUB (Euro Galaxy – Pinebridge) traded at 72.00 / 14.3%. Its NAV is 78 and it has traded below NAV. This could be because the deal is not callable until Apr 2021 and so far has only been paying 5% to equity. If you take in the NAV + the 5% return but discount at a required return of 15% for holding the equity to the call date you do get back to around 72. The AAA is paying a margin of 114bps so equity should be able to change to better financing rates at the call date.

ANCHE 1X SUB (Anchorage) traded at 76.55 / 12.45%. Nav is 78. It becomes callable in Jul 2020 but the AAA pays 85bps which mean there would only be a small refi benefit.

USD CLO

32 covers today – 7 x AAA, 5 x AA, 3 x A, 12 x BBB, 4 x BB, 1 x B and 1 x Equity.  The AAAs (all 2023 RP profile) trade in a 103dm-125dm range – at the tight end is Carlyle’s CGMS 2014-3RA A1A 103dm / 5.16y WAL with strong MV metrics (MVOC 160.3 / MVAP 37.6) despite the weaker ADR 2.1% and high sub80 asset balance 4% which make less of an impact.  At the wide end is Sound Point’s SNDPT 2013-3RA A 125dm / 5y WAL with much weaker MV metrics (MVOC 146.3 / MVAP 31.7) and ADR higher than normal 1.2% but still lower than the Carlyle deal, with Carlyle the more experienced manager and better manager metrics.  The AAs trade in a 153dm-182dm range – CBAM’s CBAM 2018-5A B1 at the tight end 153dm / 6.3y WAL from a strong manager with a good performance record, especially on maintaining a healthy Annual default rate of less than 0.5% on this deal with a WARF of 2745.  At the wide end is Hayfin’s KING 2018-9A BR 182dm / 6.3y WAL – albeit stronger MV metrics than the CBAM CLO but a much higher ADR 1.18% and higher WARD 2834 from a very inexperienced manager with 2 deals under management.  Incidentally the 2023 RP profile has traded in a late 160s DM context recently, the 2024 RPs today trade 180dm which is in line with recent comps (see PriceABS trade listing for details).  The single-As trade 201dm-213dm with a 2019 RP profile ATCLO 2013-1A CR (Crescent Cap) at the tight end 201dm / 4.6y WAL (trades wide to recent comps in late 100s DM context) whilst Sculptor’s OZLM 2017-19A B covers 213dm / 6.5y WAL at the wide end (2022 RP) trades tight to recent comps in 220s DM context.  The BBBs are as follows: 2020 RP 311dm-321dm (vs 281dm recent comps), 2022 RP 305dm-307dm (vs mid 300s dm recent comps), 2023 RP 292dm-352dm (vs mid 300s dm recent comps) and the 2024/2025 RP trade 371dm-402dm (vs late 300s dm recent context).  So in summary the BBBs trade in line / tight to recent market levels.  The BBs (2023/2024 RP profiles) trade 631dm-696dm (vs vh 600s-early 700s recent context) so these trade tighter, there is a 2021 RP profile trade from Sound Point (SNDPT 2013-2RA E) cover 944dm / 6.3y WAL with weak MV metrics (MVOC 103.11) and 1.48% ADR contributing to the wider level than generic BBs.  The single-B trade today from Oak Hill OAKC 2015-12X FR covers 904dm (2023 RP) which trades a shade wide to this profile generic level in late 800s dm context but nonetheless this tranche has a good performance metrics all round (MVOC 104.9 / ADR 0.29% / sub 80 exp 0.37%).  The equity today was Axa IM’s ALLEG 2014-1RX SUB which covers in lo-40s, we modelled this to a price of 42 and backs out to a 10.2% yield, stressing assets priced <90 with applicable haircuts and ran to a call of EoRP+32m taking into context the 2 defaulted assets (AAC Holdings) that are stressed to an immediate default / 18m recovery along with the 4 assets priced below 60 that have similar stresses applied, includes Catalina Marketing Corp carried at 39.5 recovery).

EUR CLO

Today there are 2 x A, 7 x BBB, 3 x BB, 4 x B & 1 equity trading. The single As traded around 255dm to 285dm|mat. With the New Issue market paying around 210bps to 230bps margin that would make the EGLXY 2016-5A CR bond a small premium (235bps margin) even though it is currently callable. GRANH 2019-1A C pays a margin of 280bps and traded at 101.03 / 286dm.

The BBBs have traded in a range from about 310dm for low margin bonds to 400dm for high margin bonds. Par trades took place around 310dm (290bps margin) which is a bit tighter than the New Issue market which is currently pricing around 300bps to 320bps margin.

The BBs traded strongly. With the New Issue market paying a margin of 575bps to 585bps. All 3 BBs pay lower margins from 475bps to 550bps and all 3 are currently callable. So certainly we would have expected all 3 to trade at a small discount but in fact they all traded through par at DM|mat between 500 and 550. Recent BBs in secondary have been more in the MH500s.

The single Bs traded mostly between 850dm|mat and 870dm|mat but there was one tight trade at 782dm|mat because of a short WAL and a low margin (HARVT 9X FR).

INVSC 1X SUB traded at 81.16 / 13.56% (NAV is 79). It’s a very clean collateral pool. It’s callable in about 1 year and the AAA pays a margin of 102bps so equity can refi.

USD CLO

17 reported covers today – 7 x AAA, 2 x AA, 1 x BBB and 7 x BB rated.  The AAAs all have >4y WAL (2023/2024 RP profiles) and trade in a 99dm-127dm range – at the tight end is SYMP 2018-19A A (Symphony AM) 99dm / 5y WAL – this has a strong 153.5 MVOC / 34.9 MVAP whilst ADR is low 0.09%, sub 80 2.4% whilst the manager although mid-sized ($5bn AUM CLOs) does have excellent performance metrics versus peers, eg. par build +0.29% across all CLOs vs -0.25% cohort / Jnr OC cushion 4.24% v 3.76%.  At the wide end is Canyon Capital’s CANYC 2019-2A A, which covers above par at 100.62 for a late 2019 vintage carrying a +137bps coupon modelling to 127dm / 6.3y WAL – here the MV and perf metrics are good.  The same goes for TPG’s late 2019 vintage TICP 2019-14A A1A that covers 124dm / 6.3y WAL again with good performance/MV metrics.  So the bid for higher coupon later 2019 vintage AAAs even from mid-sized managers seems to be relatively weaker than earlier vintages, notably 2018 as seen today.  Today’s AAs (2021/2023 RP profiles) from Sculptor and Carlyle trade 163dm-169dm which are both in line with recent DMs in these profiles.  The BBB today is Neuberger Berman’s NEUB 2018-29A D (2023 RP profile) that covers 306dm / 8.1y WAL – this trades at the tighter end of similar profiles that have traded in mid-300s context recently, with strong perf/MV metrics on this.  The BBs are 2022-2024 RP profiles and trade in a 627dm-735dm range, the 2022/2023 RP profiles trade 627dm-692dm which are at the tight end of recent trading seen in 700s DM context, the 2024 RPs trade 666dm-735dm which again are at the tighter end of recent trading seen in lm 700s DM context.  For a full list of today’s trades please see PriceABS daily DMs.

EUR/GBP ABS/RMBS

Two Irish NPL trades. Both are the senior tranches, rated A, and traded in the +95 to +115 area. Also 2 UK NC RMBS. An orig AA which is AAA now traded at +50 and a single A at +115.

EUR CLO

7 Equity trades today. GLGE 1X SUBR traded at 64.33 / 19.77%. Has a NAV of 53.50. This deal contains CMCRAV which has defaulted (Italian – Building & materials business). It becomes callable in Apr 2020 but the AAA is paying 74bps so we do not think equity can refi.

CONTE 2X SUB traded at 69.50 / 9.47% (NAV 68). This deal has started paying down.

CGMSE 2016-1X S2 traded at 84.03 / 16.19% (NAV 62). Again no real prospect of any refi benefit for equity.

BCCE 2018-1X SUB traded at 62h / 18.27% (NAV 49). AAA pays 78bps so nothing assumed for refi benefit.

ARBR 2014-1X SUB traded at 64.25 / 3.73%. Its NAV is 71. This deal has substantially delevered already and the equity now comprises 16.7% of the pool MV. In theory the equity is worth the NAV but it is likely that equity holders will continue to take advantage of cheap AAA financing before calling the deal and so it has priced between its cashflow value and NAV.

ACLO 2X SUB traded at 75.75 / 9.7% (NAV is 69). AAA pays 68 so assumed no refi.

USD CLO

30+ covers today with the majority BB rated, with also 3 x AA, 1 x B and 1 x Equity.  The AAs, all 2023 RP profiles, traded 160dm-179dm – at the wide end Sound Point CLO VI-R (Sound Point) trades 179dm / 6.8y WAL and carries a low MVOC 124.38 / MVAP 19.6 whilst at the tight end is LCM XVIII Limited (LCM) at 160dm / 6.3y WAL with a stronger MVOC 127.6 / MVAP 21.63, note also the ADR on the Sound Point AA is 2.41% which is much higher than the cohort.  2023 RP Double-As have traded generically in 167dm context recently as a comparable.  The double-Bs were from numerous RP profiles from 2019-2024 - 2024 RP profiles trade 640dm-684dm which is tight to recent comps in lm700s context, 2023 RP profiles traded in a wider dispersion 581dm-697dm with 2 outliers with 8-handle DMs (this profile has traded in 700dm generic context recently but as tight at 604dm) and the 2 outliers both have weak MV metrics (MVOCs in 104s / sub80 assets >5%).  The 2022 RP BBs trade 644dm-679dm which is tight to recent generics in 700dm context.  The same story with the 2021, 2020 and 2019 RP profiles, note there is an outlier 2019 RP profile trade today Allegro CLO III (Axa) BB covers 751dm / 5.1y WAL and this has very poor MV metrics (MVOC 102.98 / MVAP 2.9) and low diversity 61.  The single-B trade is Flatiron CLO 2015-1 (New York Life) cover 693dm / 5y WAL (2019 RP profile) which has traded significantly tighter to recent comps, this carries a 104.5 MVOC / 4.3 MVAP and is tight to NEUB 2015-19A ER2 (Neuberger) 795dm with similar MV metrics.  There was one equity today, Octagon Investment Partners XVI (Octagon Credit) which covers with a 26 handle, we applied asset level haircuts to all assets priced sub 90 and ran to a call of EoRP+2y to arrive at a yield of 15.2% - there are 11 defaulted assets in the portfolio including Southcross Energy and Constellis which are both carried in mh 20s recovery context, the deal has an ADR of 1.25% which is higher than cohort.

EUR/GBP ABS/RMBS

A lot of RMBS trades today. To highlight spreads for sectors we have seen AAA French Consumer Loans at +26. There are a lot 1.0 Spanish and Italian mezz trades. Spanish orig BBBs traded around +80 to +110 and orig BB at +250. Italian orig single A at +80 and orig BBB around +110 although CORDR 4 D could be much wider at because if its potentially short WAL. UK prime AAA swapped to EUR and STS eligible traded at +17. Belgian and Dutch prime AAAs traded around +20 to +30. CFHL 2014-1 A2A, a French prime RMBS rated AAA traded at +64, but this is a deal that has stepped up. UK BTL and NC RMBS rated AAA has traded around +60 to +80. See the archive for details on each trade.

USD CLO

A quet start to the week with 4 reported covers - 3 x BBB and 1 x BB rated.  The BBBs today are 2022/2023 RP profiles with varied degrees of performance triggering the wide trading range of 297dm-428dm.  At the tight end is CLRCK 2015-1A DR (40/86 Advisors)  297dm / 7.3y WAL which outperforms this cohort which trades in mid 300s area, the bond has a 101 MVOC, 9.9 MVAP, vlo ADR at 0.06%, high diversity 98 and a low sub 80 assets exposure of 1.6%.  At the wide end is VENTR 2017-26X D (MJX) 428dm / 6.3y WAL, this has a 109.5 MVOC, 8.7 MVAP, hi ADR 1.16%, diversity is good 109 but sub 80 asset exposure is high at 5.3%, furthermore MJX is a weaker manager with more equity friendly metrics.  The BB today is Invesco's RSRVA 2016-3A ER that covers 641dm / 6.1y WAL (2021 RP profile) -  this profile has traded generically c. 712dm whilst this Invesco bond shares a better MVOC 106.5 than recent comps (105.3a), a better MVAP 6.1 vs 5.1 recent comps, a low ADR 0.26% vs 0.56%, sub 80 exp 2.04% v 3.5% and a lower WARF (2753 v 2917) / higher diversity (87 v 83) than recent comps too.

EUR CLO

Today there are 2 x AAA, 2 X BBB, 2 X BB & 4 x B. Both AAAs traded at a small premium. Both are quite short, have been callable for some time and nearing their RP End Date. Both have priced around 107dm|mat for around 2.3yrs WAL. Previous recent AAA levels have been around 117dm for 5.5yrs, so these levels look in line.

Both BBBs traded at a discount px and around 295dm|mat for 6.3yrs WAL. This is also in line with recent spreads.

The BBs also traded at discounts and around 595dm|mat for 6.6yrs. Last week BB spreads were more like 540dm for this mat but for the last few days they have been at this wider level.

The single Bs also traded at a discount. The DM|mat are in the range 820dm to 900dm for 7yr WAL. The widest is PENTA 2018-4X F (Penta – Partners Group) which traded at 87.80 / 904dm|mat / 6.97yrs. Considering the big discount price this is a little wide to generic levels. The deal is performing fine with WARF 2941, MV OC 105.4%, CCC bucket 1.85%.

USD CLO

A quieter end to the week with 7 reported covers across IG and sub-IG – 2 x AAA, 1 x A, 3 x B and 1 x Equity.  The AAAs were both short daters with trading levels 85dm / 1.7y WAL and 90dm / 3y WAL.  The single-A ARES 2014-1A BR (Ares) covers 211dm / 3y WAL (2018 RP profile) which is wide to the last 2018 comp GALXY 2018-29A C (Pinebridge) 2 weeks back 174dm despite much better MV metrics, but has a higher ADR 0.58% (v 0.1%), higher sub80 exposure 3.42% (v 1.3%), higher WARF 3225 (v 2863), lower diversity 57 (v 71) and lower par build -1.5 (v -0.53).  The single-Bs are all 2018 RP profiles trading in a 691dm-970dm range – at the tight end is OFSBS 2014-7X F (OFS) 691dm / 4.5y WAL (105.2 MVOC / 4.91 MVAP / 1.17 ADR) whilst at the wide end are CVPC 2014-2A D (Credit Value) and AVERY 2014-1A E (Bain Cap) trading 970dm/922dm / 4y WAL with much weaker MV metrics driving the softer levels (MVOCs 101-102 / MVAPs 1-2) as well as higher ADRs 1.5-1.7% with the latter metrics also having a pronounced effect given their proximity to loss as second loss tranches.  We modelled OCT37 2018-2A SUB (Octagon) to a yield of 9.97% / 4.7y WAL at a cover of 75.5 cash price (NAV 61.3) and to a call of EoRP+24m (EoRP is 2023) and applied asset level haircuts (with the 8 defaulted assets modelled to recover 18m and immediate default – including notably 2 x Constellis Cov-Lite TLs due 2024 $1.7m at MV 27.75.  The deal has a relatively high ADR 1.25%, 2.7% sub 80 priced assets exposure and WARF / Diversity are healthy at 2748 and 76 respectively.

In terms of secondary market spread direction week on week, >4y WAL AAAs have tightened 5bps on the week to 107dm.  AAs at the shorter end have softened with 2019 RP +5dm (145dm) and 2020 RP +13dm (163dm) on the week, at the longer end, 2022 RP -1dm (169dm) and 2023 RP -1dm (167dm).  Single-As have firmed across most RP profiles, eg. 2019 RP -11dm (180dm) at the short end and 2022 RP -28dm (223dm).  Triple-Bs have widened across most maturities, at the short end (2019 RP +24dm to 311dm ) and longer end (2023 RP +25dm to 347dm).  Double-Bs have widened across all maturities/RP profiles, at the short end 2019 RP +125dm to 779dm and long end 2023 RP +12dm to 698dm.  Single-Bs have also widened across all maturity profiles, 2019 RP +140dm to 935dm and 2022 RP +112dm to 967dm, whilst 2023 RP profiles are relatively stable +4dm to 886dm.

EUR CLO

 Quiet end to the week. There are 3 x BB & 1 x equity. The three BBs all have a margin of 566bps to 575bps which is where new issues are pricing. They have all traded around 100.50 which is around 590dm|mat which is about 10bps tighter than new issue DM. None of them have an immediate call risk with the first call coming between 0.5yrs to 1.5yrs. If they did get called the buyer would be getting between 500dm and 580dm for the short WAL.

HARVT 7X SUB traded at 46.50 / 14.99%. Its NAV is 44. It contains Prezzo Restaurants which is in CVA. The deal is refinanceable now and the AAA pays a margin of 92bps so there is some value there, which would mean its yield excluding refi value is even higher.

USD CLO

33 covers today – 2 x AAA, 2 x A, 16 x BBB, 10 x BB and 3 x B rated.  The >4y WAL AAAs trade 104dm-105dm (both 2023 RP), these levels are a touch firmer to the 103dm-114dm range seen on Tuesday (and 112dm generic for this RP of recent), benchmark names Carlyle and Golden Tree both feature today both with strong performance and MV metrics.  The single-As were 2022/2023 RP profiles and trade 213dm/256dm(221dm-228dm range yesterday for same RP profiles), the 2023 RP profile tranche today is Steele Creeke’s STCR 2018-1A C with weaker MV metrics (MVOC 117 / MVAP 14.55 vs MVOC 120 / MVAP 17 generics trading recently in the early 200s dm context).  With little in the way of BBBs this week the 16 x BBBs provided some good liquidity in this rating band and an opportunity to post some data points, there are multiple RP profiles from 2019-2024 today, as follows:

2019 RP : 307dm / 4.3y WAL (MVOC 108.5), trade tighter to Tuesday’s 380dm-390dm range but wider to generic 2019 comps 287dm context / 111.5 MVOC

2020 RP : trade 279dm-293dm (MVOC 111a), tight to 312dm / MVOC 110 recent comps

2021 RP : trades 420dm / 6.5y WAL / MVOC 110.3, versus 405dm recent comps / MVOC 110.3, so some softening here.

2022 RP : trades 336dm-422dm, with the tight end WAL 6.6y / MVOC 110.9 (336dm) trading flat to recent comps 334dm / MVOC 111.  At the wider end WAL 7.4y / MVOC 109.7-109-9 (420dm-422dm) highlighting some tiering.

2023 RP : trades in a wide range 320dm-493dm, with a sliding scale based upon MVOC so at the tight end is OCT27 2016-1A DR (Octagon) 320dm / MVOC 111.4, in the middle of the range is ATCLO 2018-10A D (Crescent Cap) 399dm / MVOC 109.2 and at the wide end is MCLO 2018-11A C (Marathon) 493dm / MVOC 107.9

2024 RP : trades 369dm-400dm, with VENTR 2019-37A D (MJX) trading wider than OCT45 2019-1A D1 (Octagon) despite a better MVOC & diversity 93 (v 60).  We have seen no trading in this profile recently so these are good data points going into month end.

The BBs also trade in a range of RP profiles 2021-2024.  2021 RPs trade 654dm (tight to late 600s-700a recent comps).  The 2022 RPs trade 724dm-801dm (wide to mh 600s dm recent comps), with MVOCs on today’s trades c.1pt lower contributing.  The 2023 RPs trade 620dm-688dm (MVOC range 106-107.5) with an outlier CGMS 2014-2RA D (MVOC 104) at 820dm.  Note however similar comps (ie. similar RP / MVOC) have traded 603dm-750dm so in quite a wide range which today’s range falls neatly into.  The single-B APID 2015-21A ER (CVC) trades 913dm / 6.3y WAL / 103.8 MVOC (2020 RP) vs recent comp 802dm / 104.7 MVOC, BABSN 2017-1A F covers 930dm (2022 RP) which is a shade tighter to yesterday’s levels in mh 900s dm context and OCT26 2016-1A FR (Octagon) which is a 2023 RP profile covers 1031dm / MVOC 104.3 vs the only recent RP profile comp ELMW3 2019-3A F 885dm / 107.6 MVOC – a 3pt diff in MVOC explains some of this as well as the 0.58% ADR v 0% on this thin 2nd loss tranche.

EUR CLO

Heavy trading in CLOs today. There are 1 x AAA, 7 x AA, 1 x A, 8 x BBB, 10 x BB, 3 x B & 1 x equity. The AAA is HARVT 8X ARR which traded at 100.07 or 110dm to mat / 3.48yrs or 80dm to call / 0.21yrs.

The AAs that traded at a discount traded in a range of 156dm|mat to 170dm|mat. The two premium priced trades had their prices limited by their call risk and therefore were a little wider.

The single A ALME 4X CR traded at 99.86 / 197dm|mat / 5.64yr which is considerably tighter than trades earlier this week in M250s.

The BBBs have traded around 320dm|mat for a par trade and have got as tight as 284dm|mat for low margin bonds and as high as 392dm|mat for high margin bonds.

The BBs have traded at about 550dm|mat for a par trade and the range for dm|worst is from 489dm to 600dm.

The single Bs have traded from 790dm|mat to 881dm|mat. This looks about 40bps wider on earlier in the week.

In equity INVSC 1X SUB (Invesco) traded at 80h / 13.72%. This becomes callable in Jan 2021. The AAA pays a margin of 102bps.

USD CLO

27 covers reported today with around half AAA and the remainder AA, A, BB and B rated.  The AAAs are all shorter daters with RP profiles 2018-2021 with quite dispirit levels within profiles, for instance the 2021 RPs trade 84dm-120dm for similar WALs with the strength of the manager a bigger pull here on DMs, eg. TFLAT 2016-1A AR from an inexperienced manager TCI Cap covers 120dm / 3y WAL whilst a benchmark name CSAM’s MDPK 2018-30A A covers 84dm / 3.3y WAL.  The Barings managed BBDC 2019-1A A2 double-A covers 160dm / 3y WAL, this is a 2019 RP profile and trades wide to recent comps in 150dm context, despite better MV metrics.  Whilst a 2022 RP profile Sound Point SNDPT 2017-3A A2 covers 170dm / 5.8y WAL which is flat to recent comps.  Single-As today trade in a wider range 203dm-272dm (across 2021-2023 RP profiles) but sideways on the whole to yesterday’s slimmer 221dm-228dm range for 2022/2023 RP profiles, at the wide end is Oak Tree’s OAKCL 2014-1A BR 272dm / 5.4y WAL explained by weaker metrics - MVOC 114.6 / MVAP 12.8 / ADR 1.66 / WARF 3058.  The BBs were 2020/2022 RP profiles trading 806dm/690dm respectively, the 2022 RP 690dm level is wider to yesterday’s 614dm-679dm range (MVOC 105 today v 106/107.4 yesterday) but in line with recent comps over the past 2 weeks in vh 600s context.  There was a relatively high number of single-Bs today, 6 in total, trading 726dm-784dm / 5.1/5.8y WALs at the shorter end (2019/2020 RP) and 933dm-985dm for 2022/2023 RP profiles which are wide to recent comps in vh 800s context.  There was one exception today, Investcorp’s JTWN 2018-11A E covers 1127dm / 9.1y WAL (2023 RP profile) with performance metrics in line with HPS’s HLM 11A-17 F (2022 RP) which covers 985dm / 7.4y WAL with only the weak manager profile and slightly longer WAL +1.5y to account for this additional 140dm basis.

EUR/GBP ABS/RMBS

Two Australian Non-conforming RMBS from the Pepper shelf with both tranches denominated in EUR. Both are AAA rated and traded around 137dm at 34cpr and priced to the step up/optional call date.

EUR CLO

Just 4 x B & 3 x equity today. The single Bs all traded at a discount price and their spreads ranged from 612dm / 4.97yr (HARVT 10X F) to 825dm / 7.76yr (DRYD 2018-66X F). The HARVT 10X deal has already started delevering hence its short WAL. The spreads of 800a we have seen today for around 7yr WAL is around the same levels as we have been seeing recently although in the beginning of Jan single B spreads were wider. In equity BECLO 6X SUB (BlackRock) traded at 81.18 / 12.66%. Its NAV is 72. It becomes callable in Dec 2020 and the AAA pays a margin of 87bps thus there is some benefit to equity in a refi. The collateral pool is pretty clean with only 3 semi-distressed positions (TMF, Prophylaxis & Mulhacen). HLAE 2014-1X SUB (Halcyon – Bardin Hill) traded at 61.50 / 12.13%. Its NAV is 52.  This deal was reset in 2017 and has been callable for almost a year. The AAA pays 87bps which does make you think there could be some benefit in a refi, but it hasn’t happened. There are a number of semi-distressed positions, most of the likely names eg SGB-SMIT, Holland & Barrett and Dummen Orange amongst others. ARESE 7X SUB (Ares) traded at 58.30 / 13.77%. Its NAV is 55. This deal was reset in Aug 2017 and has been callable since Nov 2019. The AAA pays 85.5bps so there is some potential refi advantage to equity here. The deal is very clean with no distressed assets.

USD CLO

A busy day with 40 covers – 11 x AAA, 3 x A, 3 x BBB and 23 x BB rated.  The >4y WAL AAAs trade tightest for many months 103dm-114dm from a number of benchmark managers (Carlyle, PGIM< HPS, MidOcean and Symphony) and MVOCs / MVAPs both north of 154 and 35 respectively as high as 167 & 40 respectively.  This is an encouraging sign given equity holders will be eyeing up potential refi/reset opportunities as AAA spreads tighten.  The single-As trade in a wide range 180dm-228dm given the array of RP profiles (2019-2023) – the 2019 RP profile MVW 2015-10X CR (Seix) covers 180dm, with no 2019 RP profiles seen last couple of weeks this trade is not far off the only 2018 RP profile seen on 16th Jan at 174dm.  The 2022/2023 RP profiles trade 221dm/228dm with recent comps in 251dm/210dm context with the 2023 RP profile an MJX managed VENTR 2018-34A C with the manager having a weaker profile than its peers contributing most likely to the softer level.  The BBBs (RP 2019-2023) trade om a 380dm-391dm context, so rather agnostic to WAL, which are at the wide end of recent levels seen in early-mid 300s area with the exception of 2021 RP profiles that have been in 400dm context, albeit weaker MV metrics on today’s BBBs contributing to the softer levels in this rating today.  The BBs (2019-2024 RP) trade in 594dm-971dm range, breaking these down :

2019 RP 840dm / 5.3y WAL, MVOC 103.34 / MVAP 3.23 vs mid600s recent dm context based off bonds with better MV metrics MVOC 104.88 / MVAP 4.65

2021 RP 766dm-897dm, vs vh 600s recent dm context again based off bonds with slightly better MV metrics

2022 RP 614dm-679dm with MVOCs 106-107.4 / MVAP 5.7-6.9 are tight to vh 600s recent dm context based off MVOC 106 / MVAP 5.5 so marginal tightening in this profile

2023 RP 594dm-971dm with a range of performance profiles (MVOC 103.8-108.3) vs recent comps 686dm / MVOC 106area.  Comparable MVOCs trade flat to recent comps so no tightening here

2024 RP 749dm / MVOC 108.4 / MVAP 7.8 trades wide to 709dm recent context carrying weaker MVOC 107.2, so some widening in this profile, however just one trade from Octagon Credit (a manager with a reasonable track record).

EUR CLO

A busy day for mezz trades. We have 3 x A, 4 x BBB, 16 x BB & 4 x B. The single As all traded at a discount price and their DM to mat ranges from 216dm to 261dm. At the tight end is CADOG 7X C1 (CSAM) and at the wide end are both HLAE 2014-1X CR (Halcyon – Bardin Hill) and GLGE 3X C (Man Group). The 4 x BBBs all traded at a premium price. All of them are already callable except for OHECP 2018-7X DE which becomes callable on 20 Oct 2020. For the three callable bonds we have run the DMs to mat and they are between 311dm and 343dm. For OHECP 2018-7X DE it traded at 329dm to call and for reference the AAA pays a margin of 95.50bps making it a good refi candidate. Of the BBs 5 of the trades were at a premium but we have run even these bonds to maturity either because the deals are callable now or because the DM to call is not much different to the DM to mat. The Dms are centred around 539dm to 593dm. The notable outlier is GLGE 1X ERR which traded at 90.01 / 698dm to mat / 6.68yrs. The GLGE shelf always trades wide and here we can quantify that at the BB level it is about 130bps wide to its generic peer group level. Credit metrics for this deal are WARF high at 3066, Junior OC cushion average at 3.84%, CCC bucket low at 2.03% and defaults high at 0.77%. Another trade to take note of is ALME 5A ER which traded at 100.53. This is 558dm to mat / 6.73yrs or 466dm / 0.47yrs if it were to be reset at its first available date. The AAA pays a margin of 85bps in this deal. The single Bs traded at 716dm for the 5.6yr (ADAGI IV-X F) or around 820dm for the 7.8yr trades (LAUR 2016-1X FR  &  CORDA 11X F). These single B levels are tighter than we have seen recently where we have seen trades in the M/H800s to L900s DM.

USD CLO

Just one reported cover today, an Equity piece from Premium Credit Management (Crown Point CLO 7).  The tranche covers at 64.50 which equates to 14.41% yield / 4.33y WAL.  We applied asset level haircuts as follows - for the 3 defaulted assets an immediate default / 18m recovery at current MV which includes Fusion Telecom and McDermott Intl (Business Services) both <60%, furthermore all assets priced sub 90.00 have haircuts with severity based upon the price band it belongs to. We ran the deal to EoRP+24 months, Global CDR 2 and LGD based upon asset type, 12m recovery.  The tranche has a 60.6 NAV, 1.21% ADR and an EoRP October 2023.  Note the manager only has 3 CLOs under management ($1.2bn) and ADR, par build and Int diversion test cushion all below peer deals of same vintage.

EUR CLO

A quiet day today with just 3 x BB. The traded range is 538dm to 594dm. The tight end of the range is AVOCA 16X ER which traded at 100.08 which is 538dm to mat / 6.79yrs or 540dm to call. It has a low WARF 2916, low WAS 357bps, low CCC bucket 2.28% and zero defaults. The wide end is JUBIL 2018-20X E which traded at 93.89 which is 594dm to mat / 6.68yrs. The comparable metrics for this deal are above average WARF 2977, above average WAS 379bps, low CCC bucket 1.65% and zero defaults.

USD CLO

A strong end to the week with 25 covers reported – 8 x AAA, 12 x BB and 5 x B rated.  With the majority of AAAs short dated, the >4y WALs traded 110dm-115dm (smaller managers King St and Greywolf), these are amongst some of the tightest levels we have seen in a while for non-benchmark names, which may well trigger refi activity should there be more liquidity at these levels.  Note that we calculated a modest 2bp of tightening week on week in >4y WAL AAAs to 118dm.  With 12 x BBs today and a range of RP profiles the trading levels were 608dm-788dm, breakdown as follows:

• 2023 RP profiles traded 608dm-672dm, with BLUEM 2018-3A E at the wide end 672dm / 8.4y WAL (MVOC 106.03 / ADR 1.58% / MVAP 5.69 / MVOC 106.03
• 2022 RP profiles traded 620dm-639dm with an outlier CGMS 2013-3A DR cover 769dm (low MVAP 4.5 / MVOC 104.7 / ADR 0.94%
• 2021 RP profiles traded 649dm-685dm with an outlier CGMS 2013-2X ER 788dm cover / 6.1y WAL – low MVAP 3.85 / MVOC 104 / ADR 0.9%
• 2020 RP profiles trades 610dm / 5.6y WAL

The single-Bs traded in a number of profiles too.  The 2019 RP profiles had a wide dispersion given performance metrics, at the tight end NEUB 2015-19A ER2 795dm / 5.3y WAL (MVOC 104.66 / MVAP 4.46 / WARF 2859 / sub 80 0.43%) whilst at the wide end is WINDR 2015-2A F 1166dm / 5.6y WAL (MVOC 102.57 / MVAP 2.51 / WARF 3075 / sub 80 6.1%).  Whilst the 2023 RP profile single-Bs traded 868dm-896dm, these are the tightest consistent levels at this end of the rating scale for some time.

In terms of week on week moves, the AAAs we covered above.  AAs softened 9dm to 170dm this week, but this is based upon double the liquidity $48m vs last week’s $24m.  Single-As have tightened 44dm to 197dm, BBBs have tightened 60dm to 292dm albeit 35m v 51m of liquidity last week.  BBs have widened 14dm to 696dm based upon $111m of liquidity vs $170m last week.  Finally single-Bs have ended the week on the much tighter note, as mentioned, trading in a 860dm generic context whilst levels around the turn of the year were in the mid-late 900s area.

EUR CLO

Another day with a lot of trading: 11 x BBB, 9 x BB, 1 x B & 2 equity. Looking at the BBBs the 4 tightest trades are all at a discount price. These trade tight because a refi works in their favour and thus their dm to mat reflects this positive optionality. These trades have priced with DMs in the range from 277dm to mat to 319dm to mat. The other 7 BBBs have all traded wider and are all at a premium price. A refi is a negative event for these bonds and thus they are limited by their DM to call. These 7 bonds have traded in a range from 335dm to mat to 375dm to mat but their dm to calls have been around 250 for 0.5yr to around 200dm for 0.2yrs. The BBs have traded in a range from 513dm to mat to 587dm to mat. They are all around the same WAL  and all at a discount price so the difference in spread is due to the manager and the credit. The tight end of the range is BLUME 2016-1X ER (Blue Mountain) at 513dm and the wide end is CRNCL 2017-8X E (Cairn) at 587dm. The single B is CIFCE 1X F (CIFC) which traded at 99.68 / 887dm to mat / 8.32yr. In equity DRYD 2015-39X SUB traded at 99.08 / 12.63%. Its NAV is 82. This deal was reset back in 2017 and is callable now. With the AAA paying a margin of 87bps there is some benefit to the equity in a refi. The equity in this deal is quite highly levered at x 11.8 but it attaches quite high at -1.1%. BECLO 1X SUB traded at 84.11 / 11.91%. Its NAV is 69. This deal was reset in 2018 and becomes callable in Mar 2020 but since the AAA pays a margin of 71bps there is less of an obvious benefit to equity in a refi. The collateral pool is very clean with only two semi-distressed positions: TMF Group (Business services) and Curaeos (Dentistry healthcare).

USD CLO

A very active trading day with close to 50 covers right through the capital structure at every rating level through to Equity – 7 x AAA, 12 x AA, 6 x A, 8 x BBB, 14 x BB and 1 x Equity.  At the AAA level, >4y WALs trade in a 108dm-124dm range (all 2023 RP profiles), with Carlyle’s CGMS 2014-2RA A1 covering 108dm with better MV metrics (MVOC 153.58 / MVAP 34.89) despite higher ADR 1.79% / higher sub 80 balance 4.34% / lower diversity 86 / higher WARF than MJX’s VENTR 2018-34A A which covers 124dm.  The flow of liquidity in AAs continues with the 12 bonds trading in a 154dm-186dm range with a range of RP profiles on show – the 2024 RP profiles trade 182dm-186dm, 2023 RP profiles trade in a wide dispersion 154dm-177dm (Goldentree’s GLM 2018-3X B1 at the tight end 154dm – hi-MVOC 135.03 / MVAP 25.94 despite low div 61 / hi-WARF 2927), 2022 RP profiles trade 166dm and 2020 RP profiles trade 158dm-167dm.  The single-As trade 175dm-224dm given a range of RP profiles – at the wider end 2023 RP profiles 186dm-209dm, 2021 RP profiles 175dm-224dm and a 2020 RP profile 208dm.  Since the 2021 RP profiles trade with the largest delta, these are broken down – at the tight end MDPK 2018-30A C (CSAM) 175dm – MVOC 119.46 / MVAP 16.29 / sub 80 assets 2.7% / ADR 0.36% / stronger manager AND AWPT 2014-2A CR (ArrowMark) - MVOC 119.12 / MVAP 16.05 / sub 80 assets 4.1% / ADR 0.59% / weaker manager, the manager experience/metrics and MV metrics having the most effect on levels on this rating.  The BBBs trade 260dm-396dm since across numerous RP profiles, at the wide end is STCR 2014-1RA D (Steele Creek) 396dm / 6.8y WAL which is a 2022 RP profile (low MVOC 109.25 / MVAP 8.5) whilst at the tight end PARL 2015-1A DR (DoubleLine) which is a 2019 RP profile 260dm / 4.8y WAL (MVOC 110.64 / MVAP 9.6) so with the shorter WAL the contributing to the delta since a very fine line in performance metrics between 2 bonds from very inexperienced managers at the BBB level.  With regards BBs,, here is the breakdown given the significant liquidity today:

2024 RP profiles trade 582dm-953dm – tight end is an experienced manager GoldenTree GLM 2019-5A E 582dm / 9.6y WAL (MVOC 107.1 / MVAP 6.6 / 0 ADR / 2% sub 80 assets) & wide end is Zais’s ZAIS 2019-13A E 953dm / 9.1y WAL (MVOC 106.2 / MVAP 5.8 / 0 ADR / 6.2% sub 80 assets)

2023 RP profiles trade 624dm-672dm – levels today trending inside the tight end of similar profiles yesterdays which traded as low as 646dm-649dm

2022 RP profiles trade 690dm-691dm

2021 RP profiles trade 659dm

2020 RP profiles trade 736dm

With one equity cover today, Octagon’s OCT15 2013-1X INC, we applied asset level haircuts to all deeply discounted assets and this yields 10.3% trading very close to the NAV.  The deal has an EoRP of 2022 and carries 2.5% sub 80 assets balance (all with haircuts) and is modelled to RPE+2y call.

EUR CLO

Lots of trades today: 10 x BBB, 5 x BB, 1 x B & 2 equity today. The BBB trades range in DM to mat from 326dm to 413dm. The lower stated margin bonds have the lower DMs. The tightest trade is CORDA 12X D which traded at 100.75 and has a stated margin of 320bps. This traded at 326dm to mat / 7.13yrs or 285dm to call / 1.02yrs. The widest trade is PURP 2A DE (Purple - Natixis) which traded at 100.92 and has a 410bps margin. This is 413dm to mat / 7.1yrs or 394dm to call / 1.77yrs. The BBs traded in a DM to mat range from 538dm to 631dm. The tight end is ARESE 10X E (Ares) which traded at 98.85 and has a 501bps margin. This is 538dm to mat / 7.27yrs or 700dm to call / 0.74yrs. The wide end is OHECP 2016-5X E (Oak Hill) which traded at 100.53 and has a 620bps margin. This is 631dm to mat / 5.93yrs or 595dm to call / 0.85yrs. The single B trade is CORDA 9X F which traded at 94.52 which is 770dm to mat / 6.38yrs or a very high yield if it were to get reset. CORDA 4X SUB traded at 57.12 / 9.76%. It has a NAV of 60. This deal has a good chance of a refi for the equity. It was last reset in Mar 2019 and becomes callable again in Apr 2020. The AAA pays a margin of 97bps. It does have one defaulted asset in the pool, Lecta. CADOG 7X M traded at 65.66 / 14.13%. Its NAV is 46.5. This was reset back in 2018 and becomes callable in May 2020 but the AAA pays a margin of 78bps so there is less refi incentive for equity. This deal also contains Lecta. The equity in this deal is on the lower levered side since it comprises around 12.1% of the collateral pool which is approx. x 8.3 levered.

USD CLO

A similar day to yesterday in terms of reported covers, however there were a number of DNTs in Equity, we saw 11 covers – 3 x BBB, 7 x BB and 1 x B.  The BBBs were 2022/2023 RP profiles and trade in a narrow 284dm-296dm range which is tight to the 315dm-323dm range we have seen last week for similar profiles, granted today’s names are benchmarks (CVC and Blackrock) with superior MV metrics (MVOCs in 112-113 range vs 110-111 range seen last week) and performance metrics (ADRs 0.04-0.50 ranges vs around 1% mark last week).  To put this in perspective Blackrock’s MAGNE 2014-8A DR2 today covers 284dm / 7.1y WAL (MVOC 112.88, ADR 0.3%, par build +0.06, WARF  2824, div 81) with MAGNE 2015-15A DR covers 279dm / 8.1y WAL (MVOC 113.57, ADR 0.16%, par build +0.11, WARF 2794, div 84) so in terms of benchmark levels spreads are relatively unchanged.  BB trading today was in 2021, 2022 and 2023 RP profiles which traded in a 646dm-762dm range – the 2023s traded as tight at 646dm-649dm at the tight end.  Octagon’s OCT22 2014-1A ERR cover 649dm and CSAM’s MDPK 2014-14A ER cover 646dm proving levels can dip below the 650dm mark, noting yesterday’s 2022/2023 RP profiles traded 673dm-696dm and there were also 2 trades last week that dipped under the 650dm level for this profile (from York CLO and CSAM) with similar excellent MV metrics.  Finally we saw a single-B trade ELMW3 2019-3A F (Elmwood) 885dm / 9.9y WAL, a recently closed CLO with a high MVOC 107.61, 0% ADR and 0 sub 80 priced exposure (as expected given the seasoning, the bond carries a spread of 869bps over Libor and this is the tightest single-B trade seen since last summer with trades since (for similar RP profiles/WAL) in mid-late 900s dm context.  So in summary spreads remain supportive of potentially tighter levels with today's trading demonstrating repeat prints at the recent tights.

USD CLO

10 reported covers today following the holiday weekend – 6 x AA, 4 x BB rated.  The AAs (2023/2024 RP profiles) traded in a 167dm-179dm range which now sets a tighter range than comparables that have traded since the new year in a 152dm-266dm range.  At the wide end of today’s range is OZLM 2014-6A A2AS (Sculptor) cover 179dm with performance naturally weaker than the remaining bonds that trade 167dm-174dm – sub 80 priced assets 4.14%, ADR 0.76%, MVOC 130.26 (tight end CSAMs MDPK 2018-31A B 167dm sub80 1.29% / ADR 0%, MVOC 131.65).  The double-Bs trade as follows : 2020 RP profile 589dm / 6.1y WAL, 2022/2023 RP profiles 651dm-766dm.  Comparable 2020 RP profiles have traded recently in a wide range 570dm-691dm with the range tighter for MVOCs > 105 at 570dm-596dm, since todays 2020 RP profile VOYA 2015-2X ER (Voya IM) has a 105.73 MVOC this trade looks in line with comps this year to date.  With The 2022/2023 RP profiles trading 673dm/696dm respectively this year to date today’s range needs further analysis given the disparity in levels, the INGIM 2013-2A DR (Voya IM) 2023 RP profile covers 651dm / 8.1y WAL which trades at the tighter end of comparable bond trading this year – for instance the nearest comps being BLUEM 2015-4A ER 666dm and LCM 16A ER2 675dm (both on 14th Jan).  At the wider end of the 2022/2023 profile BB range today are OZLM 2018-22A D (Sculptor) and CGMS 2013-3X DR (Carlyle) that trade 765dm/766dm respectively – these trade wide of the generic levels seen for similar RP profiles as mentioned, note however that these deals carry >0.9% ADR, MVOCs around 105, MVAP 4.5-5.1 (lower than tight end today 5.4) and diversity scores of 78 and 87 (lower than the tighter end today in mid-90s area).  So with some weaker names in BBs contributing to naturally softer levels, the benchmark names continue to grind tighter.

EUR/GBP ABS/RMBS

Quite a few legacy UK NC trades today. 6 of them in all. The spreads have mostly been in the 80s to L100s area but EHMU 2007-2 M2 was at 189dm. This bond is rated BB currently. We also had some more recent Dutch prime RMBS. GAPPL 2017-1 A traded at around 17dm and EDML 2018-1 A at 34, both rated AAA.

USD CLO

A quiet end to a busy week as expected with the holiday weekend anticipated.  There were four reported covers today, all BBB rated.  There has not been a 2022 RP profile trade this week but today Blue Mountain’s BLUEM 2017-2A C BBB covers 315dm / 7.4y WAL.  The 3 x 2023 RP profile BBBs trade in a 279dm-310dm range, whilst this profile has traded 300-early 300s DM this week the MAGNE 2015-15A DR (Blackrock) outperforms the tightest comparable trade (OCT17 2013-1A DR2 from Octagon at 295dm / 7.6y WAL).

In terms of generic spread migration this week, the AAAs have widened 5bps to 120dm mainly due to a trade in a very inexperienced manager Five Arrows OCTR 2019-7A A1 at 136dm (2022 RP profile).  Double-As have tightened into 161dm from 171dm at the turn of the year.  Single-As have widened 24bps to 241dm with 16m of liquidity versus 9m last week.  BBB generic levels have widened 16bps to 352dm this week, despite 2023 RP profiles tightening 13bps to 323dm there was 17.5m of liquidity in 2021 RP profiles that traded in 409dm context versus 346dm last week which has driven generic BBBs wider this week.  BB liquidity was 170m versus 209m last week with generic levels widening 16bps to 682dm across all RP profiles – breaking these down the 2021 RP profiles firmed 11bps to 692dm, 2022 RP profiles softened 24bps to 696dm and 2023 RP profiles softened 24bps to 697dm.  There were no single-B trades to report on this week.

EUR CLO

7 x BBB, 2 x BB & 2 equity today. There is quite a spread of DMs between the BBB trades. They range from 281dm to mat to 425dm to mat. The reason for this is that the trades at the tight end have low stated margins and so would be discount price trades but the chance of a refi/reset drags their price up and lowers the DM. On the other hand the higher DM trades have higher stated margins and would be premium priced trades but the risk of a refi/reset keeps the premium down and widens their DMs. The tightest trade is DRYD 2017-59X D1 which traded at 98.56 which is 281dm to mat or about 19% to next call date and has a 240bps stated margin. The widest trade is DRYD 2019-73X DE which traded at 101.03 which is 425dm to mat and 410dm to call and has a 425bps stated margin. This follows the pattern for BBBs which have been pricing in a range from 300dm to 400dm already in Jan. The BBs traded in a much tighter range. Since they were both at a discount price the effect of a possible refi or reset worked in the same way for them both and in fact is not a likely outcome anyway. The range for the BBs was between 552dm and 546dm and followed their term structure. In equity DRYD 2016-48X SUB traded at 69.55 / 13.82%. It has a NAV of 58. It just got reset in Oct 2019 so cannot be called again Oct 2021. The collateral pool contains Galapagos (German company which makes Heat Exchangers) and is severely distressed. ACLO 4X SUB traded at LM92h / 12.82%. It has a NAV of 72. It becomes callable in Jul 2020 but since the AAA is paying a margin of 75bps it does not look like there are easy gains for equity there. Interestingly ACLO 4X SUB is a more levered equity piece than DRYD 2016-48X SUB. Looking at their MVAP and MVAP (see archive for details) it can be seen that ACLO is 9.1% of the collateral pool whereas DRYD is 10.7% but to offset this ACLO attaches higher.

EUR/GBP ABS/RMBS

A bunch of ABS/RMBS today. In autos we see GBP AAA autos (COMP 2019-UK1 A) at 49dm. Italian autos at AA level traded at 35dm and German autos, also at AA, at 73dm. There are a few legacy deals. CHAPE 2007 A2 (Dutch RMBS) traded at 38dm, BCJAM 3 A2 (Spanish RMBS) at 29dm and GRIF 1 A (Greek RMBS) at 123dm. A AAA Dutch RMBS (TULP 2019-1 A) traded at 46dm and AAA French RMBS (HFHL 2019-1 A) at 32dm and 23dm (HLFCT 2019-1 A). A BBB Italian consumer loan deal (BRICO 2019-1 B) traded at 107dm.

USD CLO

38 reported covers today across the capital structure – The >4y WAL AAAs trade in a 108dm-122dm range, which is a similar range to that we have seen recently.  Note that a Fortress managed FCO 2015-6A A1TR returned a 161dm / 4y WAL, which is a MM CLO that does anyhow trade wider to BSL CLOs.  With an abundance of double-As trade recently, this trend continues today as the 11 x AAs trade today in a similar context to recent levels, a  161dm-184dm range despite the array of RP profiles today including 2021-2024.    The single-As trade tighter in a 202dm-205dm range for 2023 RP profiles, there is an outlier trade today which is Steel Creek’s STCR 2015-1A CR at 268dm (2021 RP profile) – poor MV metrics including 117.5 MVOC / 7.8% sub80 priced assets.  With an array of RP profiles and performance in the BBBs that traded today, the 2023 RP profiles trade 331dm which is tighter to yesterday’s late 300s levels, the 2019/2020 RP profiles trade 290dm-361dm with an outlier trade Cutwater 2015-I DR cover 464dm / 4.8y WAL – vlo-MVOC 106.49 / MVAP 6.1% / 10.5% sub 80 priced assets / hi-WARF 3255 / Oil & Gas & Retail concentrations >4%.  In BBs today the 2019-2021 RP profiles trade in a 642dm-785dm range with a 2020 RP profile Kramer Van Kirk managed KVK CLO 2018-1 E cover 785dm and at the wide end (vlo-MV metrics and Int div cushion of 1.7% which is very low / 1.45% ADR and negative par build -1.38.  There were 3 Equity covers today all carrying very low NAVs in the very early 30s area, the Axa managed ALLEG 2016-1X SUB covers with a 4m CF premium to NAV (2021 RPE), the MidOcean managed MIDO 2017-7X INC covers with a 9m premium to NAV (2021 RPE) and the Alcentra managed SHACK 2014-5RX SUB covers with 12m CF premium to NAV (2023 RPE).

EUR/GBP ABS/RMBS

A couple of legacy bonds traded today. Both are UK RMBS loans from different Ludgate shelves but the bonds are swapped to Euros. LGATE 2008-W1X CB (Non-conforming) Orig A, now BB traded at 94.43 / 209dm / 6.07yrs / 9cpr. LGATE 2006-1X C (BTL) orig A, now BBB traded at 91.25 / 177dm / 7.05yrs / 8cpr.

EUR CLO

A good range of trades today throughout the capital structure: 5 x AAA, 2 x AA, 6 x A, 1 x BB, 2 x B & 3 equity today. The AAAs traded in a tight range of 115dm to 120dm to mat. They were all priced to maturity. None of them are callable soon – the shortest NC date is ACLO 1X ARRE which is 23/9/2021. This is the highest premium price trade at 100.62 but even this high premium and relatively shorter NC Date still gives 115dm to mat / 5.45yrs or 108dm to call / 1.71yrs. Bearing in mind these are 5yr to 6yr WAL trades these levels do seem a little tighter than recently eg SNDPE 2A A traded at 100.26 / 129dm to mat / 5.57yrs on 7 Jan 2020. The two AAs traded at 168dm and 183dm to mat. They have both been priced to maturity because while the DM to call is slightly tighter than the DM to mat it isn’t enough for its much shorter WAL. In other words if an investor could guarantee a call they would have paid more for these bonds. These levels are also a rally on the 180dm to 200dm range we saw in early Jan. The single As have traded in a range from 217dm to 257dm to mat. The tight end of the range is ACLO 3X CNE (Aurium – Spire Partners) which traded at 217dm to mat / 5.6yrs or 181dm to call / 0.76yrs. The wide end is CFOUR 1X C (Capital Four) which traded at 257dm to mat / 7.57yrs or 243dm to call / 2.04yrs. The BB is PHNXP 1X DR (Phoenix Park – GSO) which traded at 98.00 / 576dm / 7.5yrs. The single Bs traded at 858dm and 881dm which is in the middle of the recent spread range. The three equity trades have travelled at quite different yields. JUBIL 2016-17X SUB traded at 54.30 / 18.5%. Its NAV is 47. Its AAA pays a margin of 95bps and it is callable in Oct 2020 so there is a chance of extra value to the equity through a refi. It is important to note also that it is the riskiest of the 3 equity trades having a MVAP at -6.1% and MVDP at 5.4%. SPAUL 7X SUBR traded at 59h / 13.12%. It has been callable since Apr 2019 and the AAA margin is also 95bps so again some refi value possible. It is less risky with a MVAP of -5% and MVDP of 6.1%. Its NAV is 54.5. DRYD 2015-44X SUB traded at 70 / 8.68%. The AAA margin is 72bps so no refi uplift likely. It is the least risky equity piece with a MVAP of -3.5% and MVDP of 7.4%. Its NAV is 67.

USD CLO

25 covers today – 1 x AA, 5 x BBB and 19 x BB.  The AA is a rare 2024 profile Zais managed ZAIS 2019-13A B1 covers 266dm, the last comparable profile was a Shenkman managed RMRK 2019-3A A2 prior to Christmas at 207dm which had far better MV metrics than todays Zais CLO / Zais a weaker manager of the two.  The 2023 RP profile BBBs traded 377dm-405dm which is wide to yesterdays 295dm-315dm range (note at the tight end today is a Bardin Hill managed HLA 2018-1A C which has weak MV metrics and trades 377dm) while the 2021 profiles trade in similar wide context 388dm-420dm.  With a number of BB trades also today here is the breakdown, in summary the tightening tone for this rating level continues as we see a continued stream of liquidity supporting levels:

2024 RP profiles trade 657dm-660dm which is tight to yesterday’s 660dm-724dm range

2023 RP profiles trade 629dm-680dm which although wider at the tight end is a slimmer range to yesterdays 604dm-777dm range

2022 RP profiles trade 623dm-683dm (with an outlier trade TRAL 2017-4A E 799dm – vlo MVOC 104.08 / MVAP 3.92% & neg par build -0.29 / high retail conc >5%, lo-int div cushion 2.43%) which is tight to yesterdays 674dm-733dm range for comparables

2021 RP profiles trade 684dm-711dm which is wide at the tight end / flat at the wide end to yesterdays 645dm-711dm range

2020 RP profiles trade 570dm-631dm which is flat to the majority of comps seen in late 500s-early 600s dm range YTD.

EUR/GBP ABS/RMBS

One ABS deal that we could calculate a DM on. BRICO 2019-1 A (Brignole), an Italian consumer loan deal traded at 100.53 / 37dm / 1.35yr at the AA level.

EUR CLO

A lot of trades today: 2 x A, 3 x BBB, 14 x BB & 3 x B today. In the single As ARBR 5X C traded at 99.46 / 210dm / 6.59yr. BOPHO 3X C (Commerzbank) traded LM100h / 230dm / 3.52. It is already paying down which is why it could trade at a premium and in fact its spread is still quite wide given how short it is. For reference recent single As have been trading in M200s DM. All 3 BBBs traded at a premium but all of them are not immediately callable. HAYEM 3X D (Hayfin) traded at 100.75 / 404dm to mat / 7.62yrs or 394dm to call / 1.8yrs. NWDSE 2019-19X D (Angelo Gordon) traded at 100.69 / 405dm to mat / 7.86yrs or 401dm to call / 1.92yrs. Both of these are a little wide to recent trade levels eg recently EGLXY 2018-6 D traded at 295dm and back in Dec the level was M300s DM. The last BBB trading today is BECLO 7X D (BlackRock) which traded at 100.35 / 308dm to mat / 7.16yr or 203dm to call / 0.79yr. The only trade with a big difference between DM to mat and  DM to call is the BlackRock trade and here the DM to maturity is the same as the stated margin so a refi is not being priced in. There are a raft of BB trades with a spread range of 526dm to 630dm which largely follows the term structure. The tight end of the pack is BECLO 5X E (BlackRock) which traded at 96.20 / 526dm / 6.94yrs and the wide end is CADOG 13X E which traded at 97.55 / 630dm / 7.83yrs. BB trades earlier this month have been around LM600s DM. The three single Bs traded between 866dm and 928dm. All 3 are good managers. OakTree and Oak Hill traded around 880dm and Aurium at 930dm. Performance on all 3 deals is solid with not much to distinguish them. These spreads roughly fit in with recent traded levels which have been as tight as 840dm and as wide as 910dm.

USD CLO

A busy day with 49 reported covers across the capital structure.  >4y WAL AAAs continued to hold levels in large in the 110s dm area which has been the case since the new year with a trading range of 109dm-123dm.  We have a 2nd pay AAA today BLUEM 2014-2A A2R2  (Blue Mountain) that covers 159dm / 6.9y WAL which was run to RPE+36m call assumption.  The 2019/2020 RP profile AAs today trade in a 136dm context at the short end / 3.5y WAL.  The 2021-2023 RP profiles trade in a 150dm-164dm range with an outlier trade SNDPT 2014-1RA B (Sound Point) 188dm (very low MV metrics – MVOC 125.5 and MVAP 20.3 / negative par build -1.38).  The single-As today were 2021/2022 RP profiles and they trade in a 251dm-279dm range, this cohort has been rare with trading pre-Christmas in 214dm-300a context so these trades today are within the wider end of this range.  The BBBs are 2023 RP profiles which trade 295dm-315dm, compares in line with a similar profile Octagon’s OCT17 BBBs yesterday cover 302dm).  There are 26 BB trades today from across RP profiles:

2024 RP trade 660dm-724dm

2023 RP trade 604dm-777dm (2 x outliers 854dm and 900dm) versus a smaller range 603dm-637dm yesterday

2022 RP trade 674dm-733dm versus a wider yet similar context range 635dm-768dm yesterday

2021 RP trade 645dm-711dm which is tighter to the 672dm-715dm range yesterday

2020 RP trade 691dm which is wide to late 500s-early 600s dm range seen this year, but note the trade CRNPT 2018-5A E (Pretium) has very poor MV metrics – 104.47 MVOC and 4.28 MVAP with >7% of sub 80 priced assets carried / 1.95% ADR.

2018 RP trade 498dm-616 dm

The equity today is NEUB 2015-19X SUB (Neuberger Berman) that trades around the MV NAV, this is a deal that is post RPE and with no clear path to refi since AAAs are locked at tights, performance is relatively good and recent equity distributions yielding close to 19% on par as a result despite the low WAS of 320bps.

USD CLO

A quiet start to the week with 10 reported covers – 1 x A, 1 x BBB, 7 x BB and 1 x Equity.  The single-A trade today was a 2023 RP profile Eaton Vance EATON 2018-1A C cover 223dm, which is flat to yesterdays 216dm-226dm range for similar profiles.  The BBB trade today is a 2023 RP profile Octagon OCT17 2013-1A DR2 cover 302dm / 7.9y WAL which is tight to comparable profiles of last week in 336dm context.  The double-Bs traded in a 550dm-768dm range, breaking these down the 2023 RP profiles traded 603dm-637dm which are tight to 673dm context for similar profiles last week, the 2022 RP profiles traded 635dm-435dm (ICG 2014-1A DR at the wide end 768dm – MVOC 104.13 / MVAP 3.96 both below average) with similar profiles last week trading in 672dm context.  The 2021 RP profiles today traded 672dm-715dm versus 703dm context last week for similar profiles.  The Equity today was a Crescent Cap CLO, ATCLO 2013-1A SUB, covers 27.35 – the NAV at 16.5, AER is 19% with recent par distributions in early-mid teens % context, the deal is past RPE and Int Div cushion is 2.43%.  With the RP ended and with the AAAs starting to delever along with the highly unlikely path to a refi the pricing today reflects <1y CF which is fair for a deal post RPE with all things considered as mentioned.

EUR CLO

Just 1 x BBB, 2 x BB & 2 x B today.  The BBB is EGLXY 2018-6X D which traded at 97.50 / 295dm / 6.53yrs. This is much tighter than the M300s DM BBB levels were at back in Dec. The two BBs from Alcentra and Goldentree traded around 625dm. Both deals are very similar in that both closed in Dec 2018, are callable in Jan 2021 and have RP End Date of July 2023. Performance wise as well they are very similar. These spread levels are unchanged from recent trades. The single Bs (the CVC and OakTree deals) have traded in line with recent levels. CVC traded around 838dm and OakTree at 909dm. In terms of performance both are quite similar. Neither have any defaults and they all have similar OC levels.

USD CLO

Today saw 25 covers, mostly mezz – 1 x AAA, 3 x A, 8 x BBB, 12 x BB and 1 x B rated.  The single-As traded 179dm-226dm with the tight end of the range the 2020 RP profile CIFC managed CIFC 2012-2RX B at 179dm / 4.3y WAL - trades tight to similar profiles in mid-200s area around year end.  The 2023 RP profiles trade in a 216dm-226dm range which trade a shade tight to similar profiles around year end in a 226dm-236dm range.  With regards to BBB trades today, the 2023 RP profiles trade in a 304dm-347dm range which are tight to year end levels in mid 360s area.  The 2022 RP profiles trade in wide dispersion 327dm-433dm range, with VENTR 2017-26A D (MJX) cover 433dm (lo-MVOC 109.46 and lo-MVAP 8.64, 5.8% sub 80 assets, -0.24 par build, 84bps ADR) with year end levels in 378dm context.  The 2021 RP profile today trades 281dm.  In BB trading, 2024 RP profiles trade 629dm-763dm with another MJX bond propping up the wide end of a range, this time VENTR 2019-36A E at 763dm (lo-MVOC 104.75, lo-MVAP 4.53, -0.42 par build, 1.17% ADR) versus year end levels of 716dm for similar profiles, so today’s tight end trades tight in this context.  The 2023 RP profiles trade 584dm-640dm which are tight to year end levels of 657dm for similar profiles.  The 2022 profiles trade 590dm-707dm versus year end levels of 683dm for similar profiles.  The single-B trade today is a 2022 RP profile OCT31 2017-1A F (Octagon) covers 999dm / 7.6y WAL, with similar profiles few and far between but recent liquidity has been in mid-late 900s context so this trade is in similar context.

With regards to generic levels, we observed 3bp tightening this week in >4y WAL AAAs to 115dm.  In AAs there have been very few trades since Christmas but we have seen modest tightening of 11bps to 171dm.  In single-As, mostly covered above but we have seen a significant amount of tightening with trading in early-mid 200s context versus 264dm around year end.  BBB generic levels we have seen 36bps of tightening to 349dm.  BB generic levels have tightened 3bps to 666dm since year end with a significant amount of liquidity ($210m) seen at this rating level since year end.

EUR/GBP ABS/RMBS

A few interesting trades in RMBS today. Two AAA Dutch Prime RMBS between 11dm and 14dm. Also two subordinate 1.0 RMBS trades. These are quite rare beasts, at least by public auction. ALBA 2007-1 F is a UK NC RMBS from 2007 originated by Oakwood Homeloans. It is an original BB which is single B now. At the moment the tranche paying down is the A3 which was the slow pay AAA!! We have calculated a spread for this trade, but really these type of deals need a deep dive to do them justice. Contact us for more details. Superficially however the spread is coming out at 345dm / 9.45yrs for the traded price of 98.38. The last record we have of this bond trading was in L50s in 2012. BCJAF 7 D is also an original BB which is single B now. These mortgages were originated by Bankia. We calculate a spread of 100.42 / 246dm / 13.67yrs. This bond also traded in 50s in 2013 but it also traded at 99.13 in June 2018.

EUR CLO

Today we have 6 x BB, 2 x B & 2 x Equity. Most of the BBs traded in a range from 607dm to 634dm, but with a couple of outliers. The outlier on the tight side is ALME 4X ER (Apollo) which traded at 97.07 / 541dm / 6.39yrs. This deal is performing well; the WARF is low at 2859 and the CCC bucket is low at 1.23%. The outlier on the wide side is CRNCL 2016-7X E (Cairn) which traded at 99.75 / 662dm / 5.85yr. This deal is also performing well actually; WARF is 2937 and CCC bucket is 1.02%. OZLME 1X ER (Sculptor) traded at a premium (100.20) which is 607dm to mat or 604dm to first call in Dec 2020. The single Bs traded LM800s DM. CLRPK 1X E is advertised as a 100h trade but it was probably in the L100h area. These spreads are a tightening from recent trades observed in the L900s DM area. In equity OHECP 2017-6X SUB traded at 63.50 / 16.84% / 3.97yrs. This deal is just about to become callable but the AAA is paying a margin of 73bps so we haven’t assumed any uplift due to refi. The collateral pool contains Lecta (Lux – paper supplier) which has defaulted. The junior OC cushion is quite low at 3.69%. CORDA 6X SUB traded at M50s / 13.42% / 4.2yr. This deal was reset in Apr 2018 and becomes callable in Apr 2020. Again the AAA margin is only 76bps. This deal also contains Lecta. This equity piece looks slightly lower levered than normal. Its thickness is about 13.8% whereas for OHECP 2017-6X SUB it is 10.3%. The equity has returned about 21% pa since its close in 2016. The yield on CORDA 6X SUB at 13.4% is certainly in line with recent EUR CLO equity yields but the yield on OHECP 2017-6X SUB at 16.8% is on the high side.

USD CLO

An exceptionally busy day with 57 reported covers from the top and bottom ends of the capital structure – 13 x AAA, 43 x BB and 1 x B rated.  AAAs continue their strong start to the year with the >4y WAL AAAs (2022/2023 RP profiles) trading in a 108dm-122dm range with comparable AAAs trading within todays range 115dm-117dm over the past week.  At the wide end of this range is SHACK 2019-14A A1 (Alcentra) cover 122dm / 4.34y WAL – this has a weak MVOC 150.35 / MVAP 33.49 versus peers, but nonetheless the deal performance metrics appear sound.

The BBs include the whole array of RP profiles – from 2019 to 2024 with analyses as follows:

- 2024 RP trade 609dm : trades tight to 716dm prevailing year end levels for similar RP profiles

- 2023 RP trade 614dm-792dm : trades sideways to yesterdays 626dm-773dm range for similar RP profile (v 657dm prevailing year end levels) with 2 outlier trades TRNTS 2016-4A ER 844dm (lo-MVOC 104.34) / WOODS 2018-14BA E 916dm (vlo-MVOC 103.38)

- 2022 RP trade 610dm-683dm : trades a touch tighter to yesterdays 621dm-682dm range for similar RP profile (v 683dm prevailing year end levels) with 1 outlier trade WOODS 2017-16A E 903dm (vlo-MVOC 103.54)

- 2021 RP trade 661dm-763dm : vs a comp profile 746dm trade yesterday : trades wide to 654dm prevailing year end levels with one outlier trade APEXC 2017-2A E 879dm (lo-MVOC 103.92)

- 2020 RP trade 532dm-630dm : trades around a comp profile 587dm trade yesterday (v 574dm prevailing year end levels)

- 2019 RP trade 510dm : ALM 2015-12A DR2 (Apollo) trades well inside the last comp RP profile trade at this rating level was ANCHC 2015-7A ER (Anchorage Cap) on 3 Dec with a cover of 605dm

The single-B trade today is BABSN 2014-IA E (Barings) cover 736dm / 4.6y WAL (2018 RP profile), quite a rare profile for a short dated second loss tranche, with the vast majority of single-Bs trading within their RP with slight variation around a mid-900s sweet spot seen over the past few months.

EUR CLO

Today we have 9 x B & 3 x Equity. The majority of the single Bs have traded in a range from around 910dm to 950dm but there have been a few outliers both tighter and wider than this. The tightest trade is EGLXY 2018-6X F (Euro-Galaxy by Pinebridge) which traded at L87h / 846dm / 7.25yrs. This does seem quite a strong level given that the WARF is high at 3088 and the CCC bucket is high at 4.89%. The widest trade is OHECP 2015-4X FR which traded at 82h / 992dm / 6.87yrs. This deal also has a high WARF at 3034, the CCC bucket is normal at 3.2% but additionally 0.76% has defaulted. The three equity trades travelled at very consistent yields. According to our assumptions, which you are welcome to contact us about, the yields varied from 13.88% to 14.1%. See the archive for the details. The only deal with defaulted assets is BABSE 2014-1X SUB which contains Deoleo, but we have accounted for all defaulted and distressed collateral.