US CLO

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

EUR/GBP ABS/RMBS

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

EUR CLO

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

US CLO

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

EUR/GBP ABS/RMBS

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

EUR CLO

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

US CLO

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

EUR CLO

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

US CLO

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

EUR/GBP ABS/RMBS

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

US CLO

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

US CLO

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

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

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

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

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

EUR CLO

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

USD CLO

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

EUR CLO

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

US CLO

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

EUR/GBP ABS/RMBS

Today TWRBG 4 D (UK Non-conforming RMBS for Belmont Green – BBB rated) traded at 100.15 / 275dm / 3.18yr to step. STNLT 2017-1 D (UK NC for GMAC RFC et al – BBB rated) traded at 101.56 / 218dm / 2.41yr at 8cpr / step. SAPPO 2016-2 D (French Prime RMBS for GE Money – BBB rated) traded at 101.36 / 112dm / 1.2yr at 10cpr / step. ERLS 2018-1 A (Irish NPLs originated by Irish Nationwide – single A rated) traded at 100.02 / 100dm / 1.25yr to step up.

US CLO

A quieter end to the week with 13 covers today – 2 x AAA, 2 x AA, 2 x A and 7 x BBB.  The >4y WAL AAAs traded in a 126dm-130dm range today, furthermore this week has seen a lot more supply week on week (23m last week) in >4y WAL AAA US CLO with around $117m of supply of 1st pay AAA but dm’s on these widened 7bps on the week to 124dm, mainly due to a wide 158dm trade on ZAIS7 2017-2A A on Monday.  Ignoring this trade spreads tightened 2bps on the week to 115dm.  The AA trades today were 2 clips of OCT38 2018-1A A3A (Octagon) which traded at 185dm / 6.9y WAL, double-A BSL CLOs have traded in a 175dm-192dm range this month so today’s trade sits nicely in the middle of this range.  The single-A trades were two clips of VOYA 2017-3A B that traded at 260dm / 6.4y WAL, note Single-As have traded in a 252dm-290dm range so today’s trade is at the tighter end of the range.  The BBBs traded in a 389dm-428dm range today whilst month to date we have observed a range of 320dm-477dm for BBBs.  Although no BB trades today, we have observed 16bps compression in BB spreads down to 732dm across 32m of supply (vs 43m last week).  Please refer to your SCI Sales representative for further details.

EUR CLO

There are 6 x AAA CVRs and 1 x BB with disclosed prices today. The AAA spreads range from 122dm to 132dm. The tight end of the range is ALME 4X AR managed by Apollo and the wide end are HARVT 17X A (Investcorp) and DRYD 2017-56X ANV (PGIM). These spreads look like a further firming in AAA levels. On 8 Oct we saw a number of AAAs trade with spreads in the range 125dm to 141dm but the majority were around 137dm. The BB is AVOCA 14X ER which traded at 100.12 / 501dm. This bond traded at M90s / 601dm on 10 Oct. BB trades on 10 Oct were in the range 600dm to 670dm so this looks like an outlier. We’ll have to see if this level is maintained.

US CLO

A busy day with 23 covers, all IG rated – 16 x AAA, 2 x AA and 5 x A rated.  The vast majority of the AAAs were shorter dated, whilsy at the > 4y WAL end these traded in a 115dm-130dm range.  The MIDO 2014-3A A3A2 (MidOcean Credit Fund Management LP) covers at the wide end of this range at 98.35 / 132dm / 5.1y WAL, howeve note that the deal has relatively weaker performance with a hi-WARF 2943, hi-CCC 5%, lo-Snr OC cushion (8.2%), 53bps of defaults, 70 diversity (slightly below avg) and 3.6% sub 80 priced assets.  The double-As traded in a tight range 175dm-188dm which is at the tight end of recent AA trading that we have seen this week, the levels seen this week range from 178dm- 257dm given tiering between managers/vintages etc.  The 5 x single-As traded in a 253dm-290dm range versus this week we have seen covers in a 237dm-412dm whilst range, which again are due to tiering between managers over a 2 week horizon.

EUR/GBP ABS/RMBS

Lots of ABS trades today. DAOT 5 (Driver Australia 5 – auto loans originated by Volkswagen Australia) traded in Classes A and B. Class A (rated AAA) traded at 100.03 / 93dm and Class B (rated A+) at 100.21 / 138dm. VCL 28 A (German autos – Volkswagen) traded at 100.44 / 17dm / 1.05yr for the AAA. RNBAG 4 A (Red & Black – German autos, multi-manufacturer) traded at 100.24 / 25dm / 0.72yr for the AAA. PMACC 2018-1 A (Purple Master – French credit cards originated by Natixis) traded at 16dm / 1.04yr /step for the AAA. MATBA 2016-1 A (Dutch consumer loans) traded at 100.29 / 45dm / 1.85yr for the AAA. COMP 2018-GE1 A (German autos for PSA Bank) traded at 100.50 / 2dm / 0.89yr for the AAA. CAR 2016-G1V A (French autos for RCI Banque, Renault) tradeda t 100.17 / 29dm / 0.64yr at 22cpr for the AAA. TURBF 8 A (UK autos for FirstRand Bank) traded at 100.18 / 48dm / 1.05yr for the AAA. PCLF 2017-1 A (UK consumer credit) traded at 100.02 / 72dm / 0.6yr / step for the AAA. ORBTA 2017-1 A (UK autos by Close Brothers) traded at 100.05 / 48dm / 0.64yr at 2cpr for the AAA. NDPFT 2017-1 C (UK credit cards) traded at 99.00 / 372dm / 0.51yr for the A-. ICSL 2 A1 (UK student loans) traded at 99.38 / 172dm / 4.58yr for a single A. AZURE 1 A (UK autos for Blue Motor Finance) traded at 100.11 / 62dm / 0.61yr for the AAA. TPMF 2016-GR3 A (UK Prime RMBS originated by Landmark, formerly Northern Rock) traded at 100.09 / 45dm / 0.11yr at 16cpr / step for the AAA. TWIN 2019-1 C (UK BTL for Paratus) traded at 99.36 / 195dm / 2.67yr at 2cpr / step for single A and TWIN 2017-1 D at 100.13 / 195dm /2.67yr for the A+. ALBA 2015-1 C (UK NC for Paratus/Kensington/Amber) traded at 160dm / 0.54yr at 10cpr / step.

EUR CLO

There are 13 EUR CLO Cvrs with disclosed prices today; 3 x BBB, 9 x BB and one equity. The BBBs traded between 346dm and 408dm. The tight end of the range is BECLO 5X D (BlackRock) which has a 6.71yr WAL. At the wide end is HNLY 1X D (Napier Park) with a 7.06yr WAL. These spreads are in line with yesterday’s trades. BBs have traded between 601dm and 674dm. The tight end is AVOCA 14X ER (KKR) for 6.43yr WAL and the wide end is OHECP 2017-6X E (Oak Hill) for a 6.65yr WAL. These spreads are also in line with trades earlier in Oct. In Sep BB levels could be said to be centered around 680dm to 700dm but with some dispersion from the mean. In equity ARMDA 2X SUB (Brigade Capital) traded at 80.08 / 16.27% yield according to our assumptions. Its NAV is 68. It has annualised equity payments of 17% to date. Its Junior OC cushion is 4.14%. The only distressed asset in the pool is Watson Midco (Dummen Orange) – Dutch, flowers valued at around 64.

US CLO

18 covers today – 11 x AAA, 1 x AA, 1 x A, 5 x BB.  The AAAs were predominantly shorter dated whilst the longer dated >4y WAL AAAs traded in a 128dm-133dm range, at the wide end was OZLM 2017-19A A1 (Sculptor) which covers at 99.50 / 133dm / 4.9y WAL – this is at the wides for BSL CLOs that we have seen recently, the deal has hi-CCC 7%, lo-Snr Sec 95.93% bal, hi-sub 80 priced assets 3.7% and the manager has a weak par build record -0.26 across all CLOs UM.  The double-A cover today was FSKMM 2019-1A A2 (FS KKR Capital Corp.) which covers at 98.56 / 280dm / 5.4y WAL, this is a Middle Market CLO which trade wider than BSL CLOs which have traded around 163dm-257dm range to put this into perspective.  The single-A trade is a recently closed Middle Market CLO  DIMND 2019-1A C (GSO) which covers at 97.61 / 412dm / 5.4y WAL, the majority of BSL CLOs over the past few weeks have traded in a 237dm-370dm range.  The double-Bs traded in a 730dm-847dm range, at the wide end of this BB range is OZLM 2018-22A D (Sculptor) that covers at 82 / 847dm / 8.4y WAL, this deal has hi-CCC 8%, lo-Snr Sec cushion 9%, lo-Snr Sec bal 96.42%, hi-sub 80 asset concentration 3.83% whilst the tranche has a lo-MVOC 104.43% compared to similar bonds.

EUR CLO

There are 9 EUR CLO Cvrs with disclosed prices; 4 x AA, 1 x A and 4 x BBB. The AAs traded between 199dm and 216dm. Two trades at 199dm were for approx. 5.2yr WAL and two trades around 216dm had around 6.5yr WAL. This looks to be a slight softening on yesterday’s trades which were predominantly around 190dm. The single A (ALME 2X CR) traded at 278dm / 5.41yr. Bearing in mind the short WAL of this trade this looks in line with yesterday’s trades. One of the BBBs (BABSE 2018-1X D) traded at 321dm / 6.49yr while the other three traded around 370dm. The Barings deal is performing well (WARF – 2887, WAS – 389bps, CCC bucket – 3.24%, zero defaults, junior OC cushion – 4.53%) but this is still only in line with the other bonds. There haven’t been any BBBs in BWICs recently so it is hard to form a judgment on any recent BBB spread moves.

US CLO

A full house today, with AAA down to Equity trading – 13 x AAA, 4 x AA, 3 x A, 1 x BBB, 10 x BB and 2 x EQ.  The >4y WAL AAAs traded in a 117dm-132dm range, at the wide end of this range is BATLN 2018-12A A1 (Brigade Capital) which covers at 132dm / 5.3 WAL, the MVOC 152.7% is sound and the deal performance is reasonable with only weakness being DIV 69 and Snr OC cushion 8% whilst the manager has a good track record.  The AAs traded in a 192dm-257dm range with the recently closed RRAM 2019-6A A2 (Apollo) covers at the tight end at par / 192dm / 5.85y WAL – this deal has good performance metrics and profile RP Apr 2022 and NC  Apr 2020.  The single-As traded in a tight 354dm-356dm range today whilst the sole BBB covers at 90.05 / 433dm / 7.9y WAL.  The BBs traded in a 717dm-799dm range plus one outlier OZLM 2018-22A D (Sculptor) covers at 82 / 863dm / 7.9y WAL – this outlier has a lo-MVOC 104.43% and MV Attach 104.43% whilst the deal carries 8% CCCs and 4% sub 80 priced assets.  There were 2 equity covers today, ALM 2012-7A SUB which covers at 40h has asset haircuts applied incl c.$1.8m of assets carried at near zero recovery / immediate default and the Acosta, Inc. Term Loan B (1st Lien) - 5.362% - Sep 2021 carried at immediate default / recovery of 34%, we ran a call to RP+3y and this yields 14.64% / 3.6y WAL.  The second equity was MDPK 2018-31A SUB (CSAM) covers at 73h and after modelling to  RP+2y and applied appropriate sub 90 priced asset level haircuts (no assets impaired immediately) this equates to a 16.75% yield / 4.44y WAL.

EUR ABS/RMBS

In ABS today STORM 2019-1 A (Dutch Prime RMBS originated by Obvion) traded at 102.20 / 13dm / 4.46yr at 7cpr / step up at the AAA level. STORM 2014-3 A2 is about to be called and traded at 100.04 / 15dm / 0.13yr at 10cpr / step up for what started as the junior AAA but is now the current pay. SAPPO 2016-3 A (Sapphire One – French Near Prime RMBS originated by GE Money Bank) traded at 100.63 / 26dm / 1.87yr for the AAA bond. GFUND 2016-1X A2A (Gosforth Funding – UK Prime RMBS originated by Virgin Money) traded at 100.30 / 42dm / 1.26yr at 25cpr / step up for a EUR AAA bond. GAPPL 2019-1 A (Green Apple – Dutch RMBS) traded at 101.73 / 21dm / 6.28yr at 5cpr / step up. CATSN 2 A (Cartesian – Dutch RMBS) traded at 100.25 / 44dm / 1.95yr at 5cpr / step up.

EUR CLO

21 EUR CLO trades today. 11 x AAA ranging from 125dm to 143dm apart from JUBIL 2015-15X AR (Alcentra) which traded at 84dm / 1.74yr. This is a very short WAL bond which has passed its Reinvestment End Date and should begin factoring down shortly. The next tightest bond is CGMSE 2015-2X AA1R (Carlyle) which is nearly as short and traded at 125dm / 1.87yr. All the other AAAs have WALs between 3 and 4 years. The widest trade is HARVT 11X AR (Investcorp) which traded at 143dm / 3.4yr. Last week AAAs traded between 135dm and 158dm so this part of the market has firmed. There are 5 x AA trades. One is much tighter than the others JUBIL 2015-15X BR at 141dm / 4.02yr but the other four are between 187dm and 195dm and in most cases have WALs around 5.4yrs. Last week we saw a couple of AA trades around 240dm but the week before that they were again between 180dm and 190dm which appears to make last week’s trades good value. There are 5 x single A trades ranging from 282dm to 304dm. Around 2 weeks ago we were seeing single A trades between 232dm and 247dm so this part of the market appears to have softened. The credit curve appears to have steepened as investors seek to position themselves defensively. The AAA to single A spread was around 95bps but now looks to be around 160bps. 

US CLO

A busy start to the week with 25 covers where we ran DMs – 10 x AAA, 1 x AA, 5 x A, 8 x BBB and 1 x BB rated.  The AAAs traded in a wider range today 113dm-158dm range, at the wide end of this range is ZAIS CLO 7, Limited Class A that covers at 98.80 / 158dm / 4.5y WAL – this tranche has a very low MVOC 148.54 whilst the deal has a hi-WARF 2904, hi-CCC balance 8.7%, low Snr OC cushion 9.33%, hi-Retail concentration 6.5% and >8% of the collateral priced under 80.  The AA rated Ares XLIX CLO Ltd. Class B covers at 178dm / 7.1y WAL which is at the wider end of comparable WAL AAs we have observed over the recent weeks.  The single-As traded in a 237dm-295dm range which is a wider range than we have seen recently (240dm-270dm) but nonetheless firmer at the tight end of the range with Apidos CLO XV CRR (CVC) with a healthy MVOC 117.94 and respectable deal performance.  The BBBs traded in a 339dm-477dm range with TICP CLO XII, Ltd. Class D (TPG Capital) one of the tightest 6y trades seen in a while and comparable with the ANCHC 2016-8A DR (Anchorage) which covered at 320dm / 5.9y WAL on 1st October.  The sole BB trade today was Regatta VII Funding Ltd. Class ER that covers at 92.80 / 637dm / 6.5y WAL, trading with a 6-handle is impressive as it is the tightest BB trade observed for the past 3 weeks and well tighter than the generic mid-700s observed for BBs last week – the tranche has a healthy MVOC 106.64 and a clean deal (CCC 2.9%, 0 defaults, 2% sub 80 priced assets, 84 DIV, Snr OC cushion 10%, Snr Sec >99%).

US CLO

A busy end to the week with 26 observed covers today right across the capital structure that SCI generated DMs on – 11 x AAAs, 3 x AA, 4 x A, 1 x BBB and 7 x BBs.  The >4yr WAL AAAs traded in a tight 115dm-118dm range, whilst we observed the overall AAA market (>4y WAL) tighten 4bps on the week to 117dm.  However this was based on a lower level of liquidity than last week ($23m vs $60m).  At the BB level, todays BBs traded in a 724dm-759dm range whilst there was an outlier OAKCL 2019-1A E (OakTree) which covered at 864dm / 9.2y WAL, this tranche has a lo-MVOC of 106.02 whilst the deal carries 6% CCC and almost 3% sub 80 priced assets and the manager has a weaker record than its peers (104bps annualised default rate v 55bps cohort / -0.09 par build / 10% annualised equity return v 15.3% cohort).  Overall this week we observed BB spreads tighten 8bps to 748dm based upon $43m of supply ($62m supply last week at 756dm).

The AAs today also traded in a tight 181dm-184dm range ($9.4m aggregate).  The single-As traded in a wider dispersion 251dm-337dm range, at the wide end of the range was a recently closed CAVU 2019-1A C1 (Trimaran Advisors) at 337dm / 8.2y – this manager is inexperienced with 2.4bn AUM across 5 CLOs and has a weaker annualised default rate 91bps than the cohort 55bps, the deal closed with a WARF of 3200.  Finally the only BBB of the day OZLMF 2013-3A CR (Sculptor Capital Management) covers at 99.74 / 431dm / 5.4y WAL which is at the wide end of BBBs we have observed over the past few weeks, this deal carries 6.7% CCC, 34bps defaults, -0.15 par build and 3.64% of sub 80 priced assets.

EUR CLO

16 EUR CLO trades today. 11 x AAA ranging from 127dm to 198dm. The majority have a 130 handle. The widest trade here is OZLME 4A A2 which traded at M100h / S+198 / 4.52yr but it is a small fixed rate class managed by Sculptor AM (formerly Och-Ziff). The widest of the floaters is HAYEM 1A A2 (Hayfin Emerald) which traded at 100a / 158dm / 4.57yr which is margined off un-floored Euribor. The deal is performing OK with a below average WARF of 2874, above average WAS of 387bps and below average CCC bucket of 0.75%. There are 2 x AA which traded at 233dm and 244dm (see PriceABS archive for details). These AA levels are quite a bit wider than we have recently. Most recent AA trades have been around 180dm to 195dm. At the BBB level we have GLME 2X D (Goldentree) at 99.78 / 326dm / 7.31yr and BABSE 2018-3X D (Barings) at 99.93 / 409dm / 7.4yr. These two trades neatly bifurcate recent traded levels which have been in the 350dm to 370dm range. The reason for this is not immediately obvious to us. They both have similar WALs and are both perfroming well and Barings’ deals normally trade well in secondary. There is one single B (TCLO 2X FR) managed by Chenavari. It traded at 90.00 / 970dm / 6.66yr. This is a bit wider than recent single B’s which have been in the 890dm to 920dm range more typically.

US CLO

Today we observed 17 covers – 7 x AAA, 2 x BBB and 8 x BBs accounting for $17.7m of trades in aggregate.  The AAAs were all short dated with WALs <4y with DMs ranging from 84dm-104dm.  It is rare to not see longer dated AAAs trade but note that these shorter daters were small clips with $1.8m of aggregate notionals trading.  The two BBBs have quite different profiles, one is short and the other is longer dated.  The short dater BBB is BOWPK 2014-1A D1R (GSO) with RP ended 2018 and covers at 100.32 / 328 dm / 4.7y WAL which is in line with recent comparable WAL BBB DMs.  The longer dater BBB is ATCLO 2019-14A D (Crescent Cap) with profile RP Jul 2024, NC Jul 2021 and covers at 450dm / 8.7y WAL which is wider than recent comparables – the manager is relatively inexperienced with a default record wide of the cohort (65bps v 55bps) and lower annualised EQ return (14.5% v 15.3% cohort) whilst this tranche itself has a MVOC of 151.24 which is lower than comparables whilst the deal performance itself doesn’t carry any signs of stress at present given it’s only 4 months since close.  The 8 x BBs traded in a 708dm-821dm range, at the tighter end was NEUB 2017-26A E (Neuberger Berman) with profile RP Oct 2022 / NC Oct 2019 which covers at 711dm / 7.7y WAL in 1m size which is in the middle of the range of BB DMs observed this week.  At the wide end of BBs is BSP 2015-VIA DR (Benefit St) with profile RP Jul 2021 / NC Oct 2019 which covers at 821dm / 6.4y WAL in 1.5m size, the deal carries 13bps of defaults, 6.45% CCCs, WARF 2896, par build +0.23, diversity 90 with tranche MVOC 152.81 which is fairly comparable to similar deals and only a high sub 80 priced asset concentration of 4%, hi-CCC (as mentioned) and a weaker annualised EQ performance (13.15% v 15.3% cohort) of the manager to point to as clear weaknesses.

EUR ABS/RMBS

In ABS today PEPAU 18X A2 (AUD Non-conforming RMBS – Pepper Homeloans) has traded at the AAA level at 182dm / 1.73yr at 25cpr/optional redemption date. For reference the AA traded at 244dm a couple of days ago. TWRBG 1 D (Tower Bridge – UK Non-conforming originated by Belmont Green) traded at the BBB level at 236dm / 1.21yr at 17cpr / step up. RMS 30 D (UK NC for Kensington Mtges / Money Partners) traded at BBB level at 205dm / 1.96yr at 6cpr / step up. FSQ 2019-1 C (Finsbury Square) is an RMBS originated by Kensington. We haven’t looked at the collateral in detail but the pricing levels imply a NC deal, whereas in some places it is described as Prime. Perhaps it is more of a near prime or Alt-A type deal. It traded at 187dm / 2.45yr at 6cpr / step up for a single A rating.

EUR CLO

A bunch of CLOs today across different rating categories. In the AA category there is a trade at 184dm / 5.99yr (CGMSE 2014-1X B1R) and at 206dm / 5.29yr (SPAUL 7X B1R). At the single A level trades ranged between 238dm and 254dm. At the BBB level the tightest level is HARVT 9X DRE at 343dm / 5.92yr while the other 2 x BBB are around 370dm. One of these wider trades is OHECP 2018-7X D (Oak Hill) but this is a Baa3 and it is 1yr longer. A single B (AVOCA 14X FR) traded at 900dm / 6.77yr.

US CLO

An active day with 24 covers across most rating levels – 10 x AAA, 5 x A, 6 x BBB and 3 x BB.  The >4y WAL AAAs traded in a tight 114dm-122dm range whilst there was one outlier BRIST 2016-1A A (GSO) covers at 140dm / 4.2y WAL (explained by low MVOC 149.56, low AP 34.94%, 4% hi-CCC, 97.06% lo-Snr Sec balance and 25bps defaults / -0.08 par build).  The single-As traded in a 252dm-295dm range, a touch softer than recent comparable DMs we have generated that are in a 240dm-270dm range.  The BBBs traded in a 365dm-429dm range which are also softer than recent comparable DMs, at the wide end today is AWPT 2016-5A DR (ArrowMark) covers 95 / 429dm / 8.77 WAL – this deal has weaker performance (hi-CCC 8%, hi-sub 80-priced asset exp 4.2%, lo-MVOC 149.33).  The BBs today traded in a  tight range 707dm-772dm which is in line with recent BB DMs albeit not seeing a 6-handle today which we have generated across 10 x BBs over the past week.  Note that we observed $94m exchanging hands yesterday (incl $15m EQ) in covers that we generated DMs on debt and Yields on EQ over 20 deals and $36m over 23 deals today to help put into perspective the ticket sizes day on day.

EUR CLO

10 EUR CLOs today with disclosed prices; 5 x BB and 5 x single B. The BBs traded in a range from 634dm to 670dm. At the tight end of the range is OCPE 2019-3X E (Onex Credit Partners) which traded at 634dm / 6.11yr which has the shortest WAL with a Reinvestment End Date of only Apr 2021. The wide end of the range is BNPAM 2019-1X E at 670dm / 8.42yr which has the longest WAL and a Reinvest End Date of Jan 2024. These levels are a slight tightening because although recent BBs have been around 670dm, just prior to that many of them were around 700dm. The single Bs traded in a range from 878dm to 955dm. The tight end is AVOCA 14X FR (KKR) which traded at 878dm / 6.77yr and the wide end is DRYD 2017-56X F (PGIM) at 955dm / 7.01yr. These levels are within the range single Bs have been in since the beginning of Sep.

US CLO

20 covers today – 15 x AAA, 1 x BBB, 1 x BB and 3 x Equity.  The >4y WAL AAAs traded in a 117dm-125dm range which is in line with spreads observed last week (~120dm).  CEDF 2017-8A A1 (Aegon USA IM) covers at 125dm / 4.75y WAL which is at the wide end of this range, however performance is not materially poor with only the WARF high at 2909 and WAS low at 332bps whilst the tranche MVOC is healthy at 157.49%.  The BBB rated ANCHC 2016-8A DR (Anchorage) covers at 320dm / 5.9y WAL which is at the tight end of similar WAL BBBs we have priced up over the past few weeks.  This deal is not immune from performance concerns – WARF 3308, CCCs 4%, defaults 1.23% and Snr OC cushion of 9.43% but the tranche mechanics hold up well (MVOC 156.70%, AP 37.7%) hence pricing at the tight end.  The double-B CIFC 2018-3X E (CIFC) covers at 686dm / 8.9y WAL which again prices at the tight end of similar WAL BBs we have observed over the past 2 weeks and inside the BB generic spreads ~756dm as mentioned as at the end of last week.  There were 3 equity covers from Octagon Credit Investors, which is a highly experienced manager with 14bn of US CLOs under management across 25 CLOs with an excellent track record (defaults 30bps v 55bps cohort and annualised EQ return 17.7% v 15.3% cohort).  The equity are from OCT 32, OCT 35 and OCT 37 trading in a tight yield range of 7.2% to 9.5% where we have applied proprietary asset level haircuts (def timing, recovery lag and severity) for sub 90 priced assets, proprietary reinvestment/post RP assumptions and modelled to a reinvestment end +2y call assumption.

EUR ABS/RMBS

In ABS today we have TPMF 2019-GR4X C (Towd Point Granite 4). Prime UK mtges - loans were originated by Northern Rock which became Landmark Mortgages. The loans were then bought by Cerberus. Class C, rated A+, has widened slightly to 99.92 / 224dm / 4.55yr at 15cpr / step up call date. TOGET 1 C (Together – UK Non-conforming from Together Finance) traded at 100.49 / 175dm / 1.95yr at 5cpr / step up date for the single A rated tranche. DPF 2017-1 D (Dutch BTL – originated by Vesting Finance) traded at 101.29 / 167dm / 2.83yr at 10cpr / step up for a split rated A-/BBB. AUD bond PEPAU 18X B (Pepper Australia - AUD non conforming RMBS) traded at 101.38 / 244dm / 4.68yr to the step up for an original AA.

EUR CLO

Only 2 EUR CLOs today. The BB is GLME 2X E (Goldentree) which covered at 665dm / 7.89yr which is at the tight end of recent trades. MRLPK 1X SUB (Marlay Park – GSO Blackstone) covered at 77.36 / 15.87% / 4.28yr. It’s NAV is 62. Distressed assets, which we have accounted for, include are a loan from SGB-SMIT (German co dealing in Capital Equipment esp transformers) at 63, Haya (Spanish co in Real Estate Management) at 83 and Iceland (UK, Retail) at 85. It attaches at (4)% and detaches at 6.4%. This fits in with a typical EUR risk adjusted equity yield of between 13% to 16%.

US CLO

A quiet start to the week with 2 covers today whilst a busier day lies ahead tomorrow with 6 US CLO lists readying as it stands.  Today a triple-B MP12 2018-1A D (Marble Point) covers at 415dm / 8.9y WAL, this is a long dated bond given the 7y RP (at close May 2018) and the dm is reflective of the longest BBB WAL we have seen this month.  As we mentioned on Friday, BBs tightened in to ~756dm last week and that same theme continues today with the only BB of the day BSP 2016-10X DR (Benefit St Partners) covers at 97 / 731dm / 5.9y WAL – profile is 15m RP and 13m NC and good fundamental deal performance (WARF 2839, CCC 2%, Snr OC 10.34%, diversity 90) and tranche MVOC 105.73 which is slightly above average for its cohort.

US CLO

The busiest day post summer today with 53 covers – 34 x AAA, 1 x single-A, 4 x BBB and 14 x BB rated.  The >4y WAL AAAs traded in a 109dm-132dm range whilst there was a Middle Market CLO MRNON 2018-1A A1 that covered at 99.09 / 171dm / 4.15y WAL (typically MML CLOs trade wider than BSL CLOs).  At the wide end of the BSL CLO range was GOCAP 2015-22A AR (Golub Capital) which comes from a manager that is experienced in MML CLOs and has also issued BSL CLOs, the transaction has a high WARF 3009, Diversity of 74 whilst other deal and tranche metrics don’t appear weak (eg. tranche MVOC is 151.78 and CCCs 2.04% with 0 defaults).  At the tight end of the AAAs is MAGNE 2014-8A AR2 (Blackrock) covering at 109dm / 4.5y WAL, this deal has a WARF of 2794, 2.6% CCC, 0 defaults and SNr OC and WAL cushions above average.  This week we have seen a slight tightening tone with >4y WAL AAAs trading 1bp tighter at 120dm (vs 121dm last week) but note a lower level of supply at this level ($34.8m).

The single-A APID 2013-16A CR (CVC) covered at 293dm / 3.1y WAL which is wider than longer WAL single-As we have seen this month.  This deal is post RP and deleveraging fast but carries 72bps of defaults, CCCs 5.2% and a low diversity of 52 given much of the collateral has redeemed.  The BBBs traded in a 330dm-352dm range which has certainly been at the tighter end of BBB trading we have observed this month.  With regards to the more liquid ‘BB’ end of the mezzanine space today’s trades were in a 711dm-865dm range.  A longer dated ATCLO 2018-12A E (Crescent Cap) traded at 865dm / 9.2y (covers 84), this deal has relatively sound deal performance metrics but at the tranche level the MVOC is 104.86 / AP is 7.8% which are both in the 20th percentile versus peer bonds, whilst the manager is relatively inexperienced (3.6bn AUM / 8 CLOs) their metrics don’t point to any signs of significant weakness (eg. default record 65bps v 55bps cohort).  This week we have observed 30bp tightening in BBs to 756dm versus last week with today’s trades certainly at the tight end of the week’s performance, however we observed more than double the supply of BBs so the fact that the market had to absorb less supply of BBs this week must be taken into context.

EUR CLO

Two AAA trades today. Both at very tight spreads but that is because they are very short. JUBIL 2015-15X AR (Alcentra) traded at 100.01 / 84dm / 1.76yr and it has passed it Reinvestment End Date in July 2019. BABSE 2015-1X A1R (Barings) traded at 100.00 / 82dm / 1.99yr and its Reinvestment End Date ends in Oct 2019. Having said that we did see PENTA 2015-2A AR trade at 100.07 / 126dm / 1.68yr on 24 Sep and this is also a AAA. CRKST 1A (Guggenheim) fixed rate bonds traded at S+400 for single A, S+493 for BBB and S+658 for BB. Some of these are quite wide levels but then they are not the normal floating rate bonds. For comparison single A floaters are more in the 240dm to 250dm range, BBBs are 340dm to 370dm and BBs are 700dm to 800dm.

US CLO

Multiple lists today contributed 50 covers with the DMs/Yields summary as follows – 17 x AAA, 11 x A, 7 x BBB, 14 x BB and 1 x Equity.  The AAAs traded in a 110dm-126dm range for >4y WAL (vs the narrow 116dm-122dm range yesterday) with >$100m exchanging hands, the market continues to absorb liquidity at tightening levels.  Recently single-As haven’t featured on lists as much, but today a rich list of single-As traded in a narrow 240dm-271dm range with no outliers to note, the prior week saw single-As trade in a ~265dm context as a guide.  BBBs today traded in a 293dm-403dm range, with an interesting trading observation: ANCHC 2015-7A DR (Anchorage Cap) 293dm / 5.1y WAL was at the tight end (WARF 3218, CCCs approaching 10% and WAL test failing) whilst ALM 2013-7RA CR (Apollo) traded wider at 403dm / 5.9y WAL (WARF 2847, 6.6% CCC), both tranches have similar attachment points and MVOC too whilst the Anchorage deal has 2% sub 80 priced assets v 1.5% for the Apollo.  Apollo manages $10bn across 15 CLOs whilst Anchorage manages $8bn across 16 CLOs, interestingly Anchorage’s overral default record of 86bps (v 54bps cohort) is worse than Apollo’s at 47bps whilst Apollo is weaker on par build -0.03 v Anchorage +0.43, whilst Apollo is more equity friendly than Anchorage (20% annualised EQ return v 16.6%), despite all this the Anchorage bond traded tighter nonetheless, perhaps to very specific demand.  There was a $6.5m equity tranche DRSLF 2016-45A SUB (PGIM) that covered at 57.58 which SCI calculated is equivalent to 9.41% yield / 4.5y WAL - we ran this to a call assumption of RP +2y (since no immediate flight path to refi possible and NC 13m), asset level haircuts capturing sub 90 priced collateral including 3 distressed loans (Deluxe Entertainment, Acosta Inc and ASP MCS) all ~$1m face carried at 18m REC lag of current MV of 15%, 34% and 34% respectively.  The NAV on the equity tranche is 42.2 and profile is NC Oct 2020 + 3y remaining RP, thus hinting the market is not willing to pay significantly more than 1y CF on top of NAV, which is ultimately to the NC date.