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.

USD CLO

23 covers today, with around two thirds IG rated – 1 x AA, 1 x A, 14 x BBB and 7 x BB.  The AA and A were both Middle Market CLOs from Golub Cap – the AA is GOCAP 2013-16A BR cover 226dm / 5.1y WAL and the single-A is GOCAP 2019-42A C1 cover 365dm / 6.37 WAL.  These are the first MM CLO trades / data points of this year which we will certainly use as benchmarks given the nature of a specialist MM CLO manager.  The remaining bonds were all BSL CLOs.

The BBBs included 2021, 2022 and 2023 RP profiles with analyses as follows:

- 2023 RP trade 305dm-332dm : trades tight to 366dm generic 2023 RP profile prevailing year end levels (an outlier trade CGMS 2013-4A DRR 385dm lo- MVOC 108.16 v peers)

- 2022 RP trade 314dm-365dm : trades tight to 378 dm generic 2022 RP profile prevailing year end levels

- 2021 RP trade 288dm-404dm : trades tight to 458 dm generic 2021 RP profile prevailing year end levels, this RP profile has some wide deviance due to distressed bond profiles

The BBs included 2020, 2021, 2022 and 2023 RP profiles with analyses as follows:

- 2023 RP trade 626dm-773dm : trade sideways to yesterdays 651dm-704dm range for similar RP profile (v 657dm prevailing year end levels) with an outlier trade  CRMN 2018-1A E at 773dm

- 2022 RP trade 621dm-682dm : trades wide to 619dm-629dm range yesterday for similar RP profile (v 683dm prevailing year end levels)

- 2021 RP trade 746dm : trades wide to 660dm area levels seen yesterday for similar RP profile (v 654dm prevailing year end levels) – note the bond in question has weak metrics : CATLK 2015-2A E2R (Carlson Cap) has lo-MVOC 104.54 with a hi-WARF 3008, lo-diversity 68 and 1.37% ADR

- 2020 RP trade 587dm : trades tight to 605dm level seen yesterday for similar RP profile (v 574dm prevailing year end levels).

EUR CLO

Today we have 2 x BB, 1 x B & 2 x Equity. The two BBs have quite a difference in their spreads. BHLAE 2019-1X E (Bardin Hill) traded at 96.77 / 731dm / 7.73yrs. They are one of the smaller managers, especially in Europe where they only have 6 deals outstanding. This deal closed in May 2019 and at that time the AAA was issued with a margin of 115bps over floored Libor. The CCC bucket is high for a 2019 vintage deal at 3.16%. The other BB BECLO 1X ER (BlackRock) closed in 2016 bur reset in 2018. It becomes callable again in Mar 2020 but the AAA is paying a margin of only 71bps so is quite tight already. Obviously this is a big manager and the CCC bucket in this deal is 2.64%. This bond traded at 94.38 / 563dm / 6.69yrs. In Dec 2019 we saw BB trades in a 590dm to 660dm range so the BECLO 1X ER trade has taken place tighter, but the BHLAE 2019-1X E trade wider than these levels. The single B trade is RYEH 1X FR (Rye Harbour by Bain Capital) which has traded at 91.15 / 902dm / 6.94yrs. In Dec we saw trades between 822dm and 944dm so this is in line with those levels. It could be noted that this deal has a big CCC bucket at 5%. In equity RYEH 1X SUB has traded at 53h / 15.42% / 4.47%. This deal has been callable since Apr 2019. The AAA pays a margin of 90bps which means it probably is refinanceable. The collateral pool contains Schman which is valued at 0. OHECP 2016-5X SUB traded at 46.50 / 10.93% / 4.53yrs. This deal was refinanced recently in Nov 2019 and the AAA pays a margin of 72bps. The pool has 2 defaulted assets: New Look (valued at 0) and Lecta (valued at around 45).

USD CLO

Today we saw 11 reported covers, all sub-investment grade – 10 x BB and 1 x B rated.  The BBs are from a variety of RP profiles (2020 to 2024) so the trading range is wide 605dm-808dm.  Breaking these down further:

2024 RP trade 710dm : tight to ~716dm generic 2024 RP profile trading pre-Christmas

2023 RP trade 651dm-704dm : 2 of 3 trades wide to ~657dm generic 2023 RP profile trading pre-Christmas

2022 RP trade 619dm-629dm : tight to ~683dm generic 2022 RP profile trading pre-Christmas

2021 RP trade 658dm-663dm : wide to ~654dm generic 2021 RP profile trading pre-Christmas

2020 RP trade 605dm : wide to ~574dm generic 2020 RP profile trading pre-Christmas

There was a distressed outlier trade with a 2023 RP profile, VENTR 2018-35X E (MJX) 808dm / 8.4y WAL – lo MVOC 104.55 / lo-MVAP 4.35 / 81bps ADR, neg par build -0.38 / weak manager stats v peers).

The one single-B trade was BABSN 2017-1A F (Barings) which covers 948dm / 7.64y WAL, there have been only a few comps over the past 4-6 weeks, with these trading 958dm-982dm so today’s level is tight to these levels and near to the tights we saw in Q3 ~early-mid 900s.

EUR CLO

Today we have 8 x AAA and 5 x AA. All the AAAs have priced to maturity. The DMs range from 99 dm to 129 dm. There are a lot of WALs to maturity around 2yrs and these have all traded around 100dm to 105dm, roughly. There is one bond (ARBR 2014-1X AR) that is shorter at 0.82yr WAL which has priced at 114dm / 100.09. This deal has started paying down. Bearing in mind it can no longer refi we thought it could have traded at a higher premium. SNDPE 2A A (Sound Point) traded at 100.26 which is 129dm to mat / 5.57yrs or 136dm to call / 1.83yrs. This gives a good indication of the current AAA term structure which is L100s for 2yrs to around 130 for 5.6yrs. The AAs traded in a range from 184dm / 4.66yrs to 200dm / 6.8yrs. This is around 10 to 15bps wider than yesterday where AAs took place around 170 to 172dm.

USD CLO

A slow start to the week but nonetheless 6 reported covers across the rating scale – 2 x AAA, 1 x AA, 1 x BBB and 2 x BB.  The >4y WAL AAA covers 117dm / 5.01y WAL – this is Carlyle IM’s CGMS 2018-1A A1 (2023 RP profile) which trades in a similar new year tightening (vs 123dm pre Christmas for 2023 RP AAAs) context as yesterday’s comparables (115dm/116dm).  The AA is Bain Capital’s 2022 RP profile RACEP 2015-9A A2R which covers 178dm / 6.11y WAL which trade marginally wide of comparable 2022 RP profile AAs over the past 3 weeks in a 171dm-174dm range.  The BBB trade today is THL’s 2023 RP profile WINDR 2014-3A DR2 that covers 433dm / 8.17y WAL – this trades wide to the most recent comparable 2023 RP BBBs which traded in a 366dm context prior to Christmas – this THL CLO is failing the CCC test, 6.7% sub80 assets, hi-WARF 3095, hi-annualised defaults 1.2%, negative par build -0.5 and lo-diversity 66 amongst weak performance metrics.  The BBs today were firstly a 2021 RP profile Voya CLO VOYA 2015-1A DR covers 691dm / 6.13y WAL and secondly a 2023 RP profile Alcentra SHACK 2014-5RA E which covers 809dm / 8.21y WAL – both trade wide (especially SHACK) to the most recent comparables pre-Christmas (2021 RP profiles trading ~654dm and 2023 RP profiles trading ~657dm).

EUR CLO

Trading has resumed today after the holiday break. We have 16 x AAA, 3 x AA & 1 x A. Of the AAA bonds that priced to maturity the DMs have ranged from 85dm / 1.78yr (BABSE 2015-1 A1R) to 128dm / 3.03yr (ACCUN 1 AR) with a cluster around 100dm. The ACCUN 1 AR trade is a little on the wide side, coming from a less established manager, which you can see if you compare it to CORDA 3 A1RR which traded at 113dm / 4.34yr. A number of the AAAs traded to a call with DMs ranging from 48dm to 85dm and call dates which range from imminently to 0.1yrs. We are shortly going to be displaying DM to call (as well as DM to mat) for greater clarity. This represents a strong start to the year because in mid-Dec we were seeing trades in the 120H DM. For the AAs BLUME 2016-1 BR traded at 98.37 / 170dm / 5.42yr, ARBR 5 B2 at 99.33 / 172dm / 6.11yr and PALMP 1 A2A at 100.16 / 170dm to call / 0.54yr. If PALMP 1 A2A doesn’t get called you will get 182dm. This is also a tightening since before the break we were seeing trades centered around 190H DM. The single A PRVD 3 C traded at 100.46 which is 256dm to mat / 7.25yr or 254dm to call / 1.56yr. Even though there was some variability in spread levels before the break this probably does not represent much of a move.

USD CLO

The first trades of the year started to trickle in today with 7 reported covers – 6 x AAA and 1 x BBB.  The >4y WAL AAAs traded tight 115dm-116dm, these trades were 2023 RP profiles which were trading in 123dm level prior to Christmas.  At the tight end of the range is BSP 2018-5BA A1A (Benefit St) which covers 115dm / 4.95y WAL – hi-MVOC 156.23, hi-MVAP 35.99 whilst at the deal level the sub80 priced concentration of 3.6% is healthy, however the deal does carry an annualised default rate of 0.98% and a negative par build -0.68.  Whilst these are critical issues for mezz/equity holders for senior noteholders this is lesser of a concern.  The one triple-B trade today is a 2021 RP profile WELF 2017-1A C (Welfleet Credit) which covers 405dm / 5.88y WAL, similar profile BBBs traded in a 458dm context prior to Christmas (with the exception of a distressed trade LONGF 2013-1A DRR then in a 396dm context).  The WELF 2017-1A C has a lo-MVOC 109.33, lo-MVAP 8.53 with 4.6% sub 80 priced assets, 0 defaults, 82 diversity and 2896 WARF so good performance metrics in contrast.

USD CLO

A handful of reported covers today, all are AAA rated with >4y WALs and 2022/2023 RP profiles.  The typical trading range today is 113dm-118dm with an outlier trade ICG 2017-2A A1 (Intermediate Capital Group) 1st pay covers 128dm / 4.3y WAL – this is a 2022 RP profile with MVOC 152.41 and MVAP 34.39 both in line with peers, deal performance metrics also look reasonable including WARF 2853, 0 defaults, +0.63 par build with only diversity of 75 low and CCC 5.1% a touch higher than peers with ICG’s manager level performance metrics also in line/better than peers.  Thus this may appear at first glance to be an outlier, but upon closer inspection today’s cover appears cheap versus recent 2022 RP profile AAAs which have traded in the mid-120s DM context.

USD CLO

2 covers reported today, both AAs from PGIM – Dryden 38 and Dryden 40.  Both are 2023 RP profiles and cover 169dm / ~6.8y WAL.  In the week with the lead up to Christmas we calculated generic AAs at 176bps with 2023 RP profiles trading 182bps so today’s levels are inside both of these benchmarks.  For reference Dryden 40 has a MVOC 127.58, sub80 assets 4%, WARF 2896, 98 diversity, 49bps defaults and -0.06 par build which are reasonable performance metrics.

USD CLO

Twelve covers today, all AAA.  The majority of >4y WAL AAAs (2022/2023 RP profiles) trade in a 113dm-124dm range with an outlier trade in  SNDPT 2013-3RA A (Sound Point) 135dm / 5.1y WAL vs OCT17 2013-1A A1R2 from Octagon at the tight end of the range 113dm / 4.8yt WAL).  Comparing both ends of this range:

OCT17 2013-1A A1R2 (113dm)   MVOC 159.24 | MVAP 37.2 | Sub80 assets 3.17% | WARF 2734 | diversity 83 | defaults 148bps | par build +0.04

SNDPT 2013-3RA A (135dm)       MVOC 144.78 | MVAP 30.9 | Sub80 assets 4.33% | WARF 2689 | diversity 75 | defaults 000bps | par build  -0.93

The Over collateralisation being the key driver here at the AAA level with MV metrics on the Octagon CLO far more impressive, with default risk and WARF levels having less of an impact on supply/demand dynamics given the seniority of the tranche.  As we reported recently, we derived generic >4y WAL AAA levels at 124bps for last week, with today’s only trade wide of this mark being the Sound Point 2018 vintage CLO, all the other AAAs today price at or inside last week’s generic levels.

USD CLO

6 Covers today – 3 x A and 3 x BBB.  The single-As were of 2020/2021 RP profiles and traded 240dm-377dm (2020/21 RPs this week traded ~284dm) - GWOLF 2013-1A BR (Greywolf) covers 240dm / 5.9y WAL (hi-MVOC 117.64, strong par build +0.43 with no defaults and excellent manager stats) whilst at the other end of the range ZAIS5 2016-2A B (Zais) covers 377dm / 5.15y WAL (lo-MVOC 111.72, weak par build -0.39, 124bps defaults and weak manager stats).  The triple-Bs today trade as follows – 2019 RP profiles trade 356dm-384dm and a 2021 RP profile LONGF 2013-1A DRR (First Eagle) trades wide at 522dm to 2021 RP generic levels this week at 458dm.  SCI’s Generic spread levels this week are by and large tighter on the week, as follows: AAAs (>4y WAL) trade 5bps tighter on the week at 124bps (86m v 143m last week), AAs trade 12bps tighter on the week at 176bps (27m supply vs 74m last week), single-As trade 36bps wider this week at 264bps (c.9m extra supply week on week to 30m), BBBs trade 7bps tighter on the week at 385bps (>62m supply vs 43m last week), BBs trade 72bps tighter at 669bps (70m vs 30m supply last week).

USD CLO

24 covers today – 4 x AAA, 2 x AA, 2 x BBB, 10 x BB and 6 x Equity.  The >4y WAL AAAs traded in a 120dm-136dm range, with the PPM CLO 3 Ltd A tranche cover 136dm / 4.4y WAL and has a mediocre MVOC 152.46 whilst the deal performance metrics are fairly sound with only some concentrations in Oil & Gas or Retail (both ~3.5%) whilst all the other metrics look reasonable, the manager PPM America is however very inexperienced with 2 deals in the market meaning a ‘new’ manager premium is levied.  The AAs traded 153dm-175dm for 2020 and 2023 RP profiles including Octagon and CVC Credit managed CLOs, which is also tight to yesterdays 178dm levels for a 2023 RP profiles.  The BBBs traded 334dm-356dm for 2021/2023 RP profiles (tight to the 337dm-423dm range yesterday), with a PGIM Dryden 53 CLO D tranche covering 334dm / 7.4y WAL.  The BBs today and yet again traded across 5 RP profiles (2020-2024) in a 556dm-765dm range (vs a 598dm-677dm range yesterday ‘s comps), with 2 outlier trades, Carlyle Global Market Strategies CLO 2015-4, Ltd (covers 765dm / 9.7y WAL) and LCM XV Limited Partnership (covers 746dm / 7.44y WAL) resulting in a 556dm-688dm range excluding the outliers which is a shade tighter to yesterday’s trading levels.  There were 6 Equity tranches today with reported covers, for these we apply a deeper dive valuation methodology to incorporate the idiosyncratic risks (eg. asset level haircuts, equity call timing, basis, asset reinvestment and so forth) and generate a 16.27% YTC on Madison Park Funding XX PS (CSAM),  14.51% YTC on OHA Credit Partners XII (Oak Hill) and 11.96% YTC on THL Credit Wind River 2017-4 CLO (THL Credit).  The Dryden 40 Senior Loan Fund PS (PGIM) covers at 52 which is equivalent to ~1.25/1.3y CF over the NAV (29.3) with 3.75y RP and 6m NCP available for CF, Octagon Investment Partners 31 PS (Octagon) covers 56.75 which is ~1y CF over NAV (37.9) with 2.5y RP available for CF given NC has now passed.  There is another equity from Octagon Credit Octagon Investment Partners 36 covers 79.92, which is equivalent to ~2y CF over NAV (33.8) with 3.3y RP and 7m NCP available for CF.

EUR CLO

Probably one of the last set of EUR trades before the holidays, we have 5 x AAA, 2 x A & 3 x BBB today. None of the AAAs are callable yet but all look to be refi candidates with margins between 96bps and 114bps. All of them priced at a premium which gives DMs to maturity between 124dm and 132dm and DMs to call between 129dm and 144dm (don’t forget the higher par DM for the bond that is getting called). All 5 deals were issued in 2019 but the Fair Oaks deal stands out because it has a considerably shorter WAL than the others. Its NC End Date is one year or more earlier than the other deals and its RP End Date is around 3.5yrs sooner than the others. These AAA trades represent around an 11bps softening from the levels of 113dm to 120dm seen in the middle of Dec. The single As traded between 250dm to 255dm to mat for around 6.5yr WAL. There were a number of single A trades in the middle of Dec. The single A curve displays a pronounced term structure with spreads around 200dm for 5yr WAL, todays trades at 250dm for 6.5yrs and spreads of 275dm for 7.2yrs. The BBBs traded between 352dm to 386dm for 6.86yrs to 7.10yrs. All the deals are performing well but CGMSE 2014-2X CRR has the highest OC levels (121.98% versus around 118% for the other two). Recent BBB spreads have been around 345d to 360dm so the JUBIL 2018-21A D trade at 386dm which at first glance seem a bit on the wide side is explained by the long WAL of 7.1yrs. From a credit point of view it is performing as well as most deals.

US CLO

34 Covers today across all rating bands – 11 x AAA, 2 x AA, 6 x A, 5 x BBB and 11 x BB.  The >4y WAL AAAs trade in a wide dispersion 111dm-138dm, to provide some color at the tight end is Carlyle’s CGMS 2014-3RA A1A 111dm / 5.3y WAL (hi-MVOC 158.6 / MVAP 36.93, hi-diversity 86, but has a weak par build -0.85 and carries 49bps of defaults).  At the wide end is MJX’s VENTR 2019-37A A1N 138dm / 6.2y WAL (155.66 MVOC, 35.76 MVAP, 407bps WAS, hi-concentration in Retail 5%).  There appear only very subtle basis between the two bonds, furthermore there are also some subtle differences in the managers’ performance – MJX’s annualised default rate 117bps and par build -0.51 whilst Carlyle’s is 87bps and -0.37 respectively, so the VENTR 2019-37A A1N appears cheap especially given generic >4y WAL AAAs last week were 123bps.  The double-As today (2023 RP profiles) traded 178dm area from Neuberger Berman and King St, tight to last week’s generic 188bps level and tight to yesterday’s 2023 RP profiles that traded 184dm-191dm.  The single-As today trade softer 236dm-264dm across 2022-2024 RP profiles, in comparison to 228bps generic levels last week and 214dm-238dm trading levels yesterday (a near comp 2021-2024 RP profiles).  At the wide end is TPG’s TICP 2019-14A B which has sound MV and deal performance metrics with only WARD 2845 and 70 diversity as weaknesses.  BBBs today across 2022-2024 RP profiles trade 337dm-423dm, ignoring the outlier trade VENTR 2019-37A D (MJX) 423dm / 8.45y WAL the BBBs traded in a tighter range 337dm-368dm, the MJX BBB today has weak MV metrics (MVAP 10.16 and MVOC 111.31) and mixed deal metrics (WAS 407bps, 2753 WARF, 92 diversity, 49bps defaults, retail concentration 4.9%).  The BB trades today were from 5 different RP profiles and trade tight in a 598dm-677dm range, versus 581dm-720dm (741bps generic levels last week), there is one outlier trade STCR 2017-1A E (Steele Creek) that covers 902dm / 7.94y WAL - very weak MV metrics (MVOC 102.9 / MVAP 2.82%) and high sub80 priced assets 10.13% / 5.7% Oil & Gas exposure.

US CLO

A busy day with 66 reported covers – 32 x AAA, 7 x AA, 9 x A, 10 x BBB and 8 x BB rated.  The >4y WAL AAAs trade in a 115dm-133dm range, with Marble Point’s MP11 2017-2X A at the wide end of this range 133dm / 4.8y WAL – the MVOC is low at 145.69 as is MVAP 31.36, the deal performance metrics include 8.7% of sub80 priced assets (v high), hi-WARF 2986 and lo-diversity 72 which all explain away the wider level seen on this bond.  Incidentally, as reported the generic level for >4y WAL AAAs last week were 123bps  so aside from this outlier trade today’s trading levels are firmer and in a 115dm-123dm range.

The AAs traded 162dm-207dm for 2019, 2022/2023 and 2024 RP profiles, PSTAT 2019-4A A2 (Palmer Sq) which has a 2019 RPE trades at the tight end 162dm / 3.65y WAL.  Carlyle's 2022 RPE  CGMS 2013-1A A2R trades 171dm / 5,74y WAL and the 2023 RPEs trade 184dm-191dm which is wide to yesterday’s 2023 RPE comp TICP 2017-9A B 174dm / 6.2y WAL but in line with last week’s 188bps generic level for this rating.  There were a number of RP profiles amongst the single-As so these traded in a wide dispersion 182dm-253dm with the middle of this range in line with the generic single-A levels we derived (228bps) last week - the 2018 RPE AVERY 2014-5A CR covers 182dm / 3.4y WAL, the 2021-2024 RPEs trade in a 214dm-238dm range whilst there was an outlier trade VENTR 2014-16A CRR (MJX AM) 253dm / 4.4y WAL (vlo-MVOC 111.96 and MVAP 10.69 / 11% sub 80 proiced assets). 

The BBB trades today range across a wide dispersion of RP profiles 2018-2023 so result in a 326dm- 441dm range with the 2018 RP profile (2018) BOWPK 2014-1A D1R (GSO) cover 326dm / 4.5y WAL, the 2021 RPEs trade 395dm-418dm, the 2022 RPEs trade tihht 362dm-374dm with an outlier SNDPT 2017-2A D (Sound Point) at 441dm / 6.96y WAL (lo-MVOC 108.34).  The BBs, where we have seen a fair amount of liquidity recently, traded strongly today and constituted 2021-2024 RP profiles and are split as follows: 2021 RP 581dm-705dm (JPARK 2016-1A DR 581dm / 6.69y WAL trades tight - strong MVOC 105), 2022 RP 666dm-680dm (MDPK 2015-17A ER at the wide end 680dm / 7.45y WAL which is tight to 726bps generic level last week), 2023 RP 697dm-699dm with MDPK 2014-14A ER at the tight end 687dm / 8.98y WAL (vs 1 tcomp rade at 649dm last week) and 2024 RP SYMP 2012-9A ER2 720dm / 9.72y WAL (tight to 846bps last week).

EUR CLO

2 x AAA & 1 x A today. The AAAs both traded at discount prices and around 115dm to mat. This is around 5 to 10bps tighter than recent trades – but of course on low volumes. The single A was also at a discount price and traded at 231dm. This is also tighter than recent trades which have been in the 275dm range.

US CLO

A quieter start to the week with 7 reported covers – 6 x AAA and 1 x AA rated.  The >4y WAL AAAs traded at tight levels in a 117dm-120dm range.  As we established yesterday similar CLOs (2022/2023 RP profiles) traded 123dm last week, thus today’s levels are tight to those observed levels to last week.  We saw benchmark names like TPG, Voya and Octagon today in this regard, at the tight end was VOYA 2018-3A A1A (Voya) 117dm / 5.5y with a strong MVOC 162.15, strong MVAP 38.33 and strong deal performance metrics (2648 WARF, 92 diversity, par build +0.1, Int Div cushion >4%) versus peer deals as basis to the strong levels.  The one double-A trade today was TPG’s TICP 2017-9A B that covers 174dm / 6.2y WAL for a 2023 RP profile – this is also tight to last week’s generic level +188bps and trades similar (in terms of term structure-wise) to the tightest 2023 RP profile last week BLUEM 2014-2A BR2 181/6.95y.

US CLO

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

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

US CLO

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

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

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

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

EUR/GBP ABS/RMBS

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

EUR CLO

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