USD CLO

A heavy day of trades with 47 covers from AAA through Equity.  The AAAs trade at the tightest levels post-vol in a 160dm-191dm range with a range of benchmark clean deals today with no significant outliers and the de minimis impact of interest diversion triggers at this rating level.  There is one AA today DRSLF 2017-53A B (PGIM) cover 238dm / 5.99y WAL, clean transaction and in line with firmer levels yesterday.  The single-As trade 293dm-366dm with the dispersion slightly less than the 283dm-405dm seen over the past week.  The BBBs trade 517dm-701dm across RP profiles versus a wide dispersion for this cohort 498dm-854dm over the past week, at the wide end today is a post-RP end BANDM 2014-1A CR (Tortoise CS) 701dm / 2.95y with a high WARF 3967, low diversity 40 and high sub80 bucket 23% and a spilled CCC bucket 14.9%.  The BBs trade 871dm-1380dm with the tightest post-vol BB PSTAT 2018-4X D 871dm / 4.55y WAL with full MV coverage 100.07, low ADR 0.47, low sub80 11.4 and CCC bucket in check.  There were 5 Equity that traded today, for the large part these traded to 2y CF and cash prices late 20s to mid 40s, with only one of the securities with a CCC basket firmly in the green whilst all Reinv OC (interest diversion) test cushions positive with CIFC 2015-3A SUB (3.38) and VENTR 2017-30A SUB (2.81) with the remainder cuspy 0.22-0.48.

EUR CLO

The single A trade today is HAYEM 1X C which traded at 307dm which is unchanged from recent levels.

The two BBBs traded at 420dm (OakTree) and 520dm (Partners). This represents a significant tightening in BBB levels. Even the wider of these two levels is much tighter than the recent LM600s we have been seeing. The OakTree bond has a much better Junior OC cushion than the partners bond (4.11 vs 1.45), higher WA collateral price (90.72 vs 87.48) and slightly better MVOC (109.53 vs 108.98).

The BBs have traded between 970dm and 1030dm. This is within the range of recent trades. All deals have similar characteristic performances. Junior OC cushions are around 3%. All have Fitch CCC balances around 8%, WA Collateral price around 90, MVOC around 99%.

USD CLO

A very active day across the capital stack with 29 covers – 5 x AAA, 4 x AA, 14 x BBB and 6 x BB.  The 1st pay AAAs trade 166dm-219dm whilst a 2nd pay AAA ATRM 13A A2 (CSAM) covers 214dm / 5.76y WAL.  At the tight end of the 1st pay OAKC 2019-4A A1 (Oak Hill) covers 166dm / 5.98y WAL – a clean deal throughout (0 ADR, 2889 WARF, 9.5 sub80, +0.2 par build).  At the wide end is Guggenheim’s AUBRN 2017-1A A1 219dm / 4.1y WAL – neg par build -0.67, low MVOC 138.6 and 0.69 ADR.  The AAs are in touching distance of the wide end of the AAAs and trade today 225dm-254dm (RP 2022-2024), lowest levels at the tight end post-vol and compare to 229dm-317dm for this cohort over the past week.  At the wide end today is KKR 26 B1 254dm / 7y WAL – 1.00 ADR, 15.4 sub80, 3526 WARF and cuspy CCC bucket 7%.  The BBBs trade 482dm-899dm across all RP profiles given the sheer quantity today, compared to 506dm-870dm range over the past week there is evidence of tightening despite the continued wide dispersion given the fact that potential default risk is being priced in.  Once again we hit a post-vol tight on another rating class with Invesco’s BARDT 2019-2X D 482dm / 8.55y WAL – 8.8 sub80, strong MVOC 104.9 and low CCC 3.3% as stand out fundamentals.  At the BB end, there is the continued theme of volatility with trading range today 1204dm-2276dm with ADRs north of 1% driving bonds to the wide end along with MV coverage in some cases as low as 92 and sub80 buckets of almost 25%, along with of course the fact that many of these bonds are PIK’ing with interest diversion tests / CCC buckets tripping.

EUR CLO

10 CVR prices today. 5 of the trades are AAA and they all traded between around 180dm to 190dm. This again is another few bps grinding tighter. One of the bonds, SPAUL 3RX ARE, has a low junior OC cushion of only 1.96% but this hasn’t impacted the spread it traded at. If anything this could be seen as a positive for the AAA bond as any cashflow diversion will serve to shorten the AAA.

There is one single A, ACLO 2X CRN, which traded at 292dm. This is quite a lot tighter than the LM300s we have been seeing for single A.

There are 2 x BBB trades at different spread levels. The tighter is GRANH 2019-1A DE at 639dm. Even this spread is at the wide end of recent BBB levels. Its MVOC is good at 107.55%, Junior OC cushion is good at 4.85% and Fitch CCC level is low at 1.74%. By contrast CGMSE 2019-2A C traded at 726dm which is definitely much wider than recent trades. Its MVOC is weak at 103.28%, Junior OC cushion is low at 2.92% and Fitch CCC bucket is reasonably high at 7.2%.

The BB is AVOCA 10X ER which traded at 899dm. This is actually tighter than recent trades between 1000dm and 1100dm. So there does not appear to be a theme to the change in the credit curve. Overall we could say that the wings (AAA to single A and junior mezz) have tightened but BBB part of the credit curve has widened.

The single B is HARVT 9X FR which traded at 1714dm. This is in the ball park of recent levels, maybe slightly tighter.

USD CLO

We saw 22 covers today – 10 x AAA, 1 x AA, 2 x A, 5 x BBB and 4 x BB. The AAAs trade 172dm-230dm, the tight end signifies continued tightening with the second lowest dm seen post-vol for 1st pay AAA.  At the wide end is MidOcean’s MIDO 2016-5A AR 230dm / 2.19y WAL – neg par build -1.51, high WARF 3414, spilled CCC 7.8% and the manager’s record has been below par.  The sole AA NEUB 2018-28A B (Neuberger) covers 229dm / 6.01y WAL (2023 RP profile) which is a clean deal from a benchmark manager with similar profiles trading 230dm-317dm this represents further tightening at this rating level.  The single-As trade 298dm-329dm (2022/2023 RP profile) which is at the tighter end amongst a trading dispersion of 299dm-461dm over the past week.  The BBBs trade today 506dm-622dm (2021-2023 RP profiles), with reasonably heavy liquidity over the past week with almost 20 trades in this cohort in a 540dm-870dm range.  Once again, tightening at the cleaner end of BBBs with Onex’s OCP 2018-15A C cover 506dm / 7.27y WAL (sub80 9.5, ADR 0.69, par build 0, CCC 3.5% and manager record in line with peers).  At the BB end, where the market continues to factor in default and downgrade risks the DMs remain volatile with a softer trading range versus yesterday 1272dm-2272dm, trades today carry high ADRs (as high as 1.9) and Sound Point’s SNDPT 2013-2RA E propping up the wide end at 2272dm / 5.6y WAL – 1.85 ADR, 22.3% sub80, 93 MVOC, interest diversion cushion -0.75 so the bond is PIK’ing and manager’s record slightly weaker to peers.

EUR CLO

8 CVR prices today, spread across a range of credit ratings. AAA rated SPAUL 4X ARN1 traded at 192dm. This is about 10bps tighter than AAA levels from last week.

There are 3 x single A trades in the LM300s area. This remains in line with recent trading levels.

The BBB trade is DRYD 2017-52X D which traded at 592dm which is in the recent range.

The BB is ARESE 7X DR which traded at 963dm. This represents a recent tight for BBs, which have mostly been trading between 1000dm and 1100dm. Its MVOC is good at 100.28% and it looks to have a substantial CCC cushion remaining.

DRYD 2015-44X SUB equity traded at 31.08 / 26%. The yield looks high but we think the reason for this is that, most likely, the market is pricing in a much higher chance of equity cashflow diversion than our scenario is generating. This deal has a very high S&P CCC bucket (for a European deal) of 14%. However the market value of these CCC assets is still holding up well thus far and therefore the CCC adjustment amount for the Principal OC tests is only reducing them by 2%. This adjustment has all taken place in the last month. At the moment the Reinvestment test is passing by around 1.5% and the most junior OC test by 2.5%. If the percentage of CCC assets and/or their market value falls then this deal will be very close to diverting cashflow. Most equity is trading on a price basis of around 30.00.

USD CLO

Fifteen covers today – 5 x AAA, 5 x AA, 2 x BBB and 3 x BB with most bonds trading in a tight dispersion and showing some signs of normalisation.  1st pay AAAs continue the tightening them and trade in a narrow range 178dm-183dm whilst two 2nd pay AAAs also trade in a narrow dispersion 219dm-225dm with only the spilled CCC bucket (8.41%) on MDPK 2018-28A A2 2nd pay AAA driving this a touch wider 225dm / 6.5y WAL to the Bain Cap BCC 2018-2A A2 (5.36%) 219dm / 6.26y WAL.  The BSL AAs trade 251dm-258dm with an outlier DEN14 2016-1A BR cover 317dm (17.6 sub80 and CCC 11.4%) whilst a MM CLO ABPCI 2017-1A A2 covers 398dm / 4.11y WAL which is another useful MM CLO data point.  The BBBs trade 581dm-588dm (2021/2023 RP profiles) in line with the tighter end of heavy BBB trading towards the back end of last week, both bonds today have cuspy CCC buckets (just below 7.5% TH).  The BBs trade 1170dm-1262dm with MVOCs in 96.00-96.50 context and quite similar fundamental metrics, with a spilled CCC bucket (8.74%) on the ATRM 9A ER not detracting from the fact that the manager’s strong record with cover 1170dm / 6.56y WAL at the tight end of today’s trading.

EUR CLO

8 CVR prices today, spread across a range of credit ratings. The AA rated ACLO 1X BRR traded at 96.80 / 254dm. This is within the recent trading range.

The single A is AVOCA 12X CR which traded at 96.37 / 312dm, also unchanged.

The BBB is OCPE 2017-1X DR which traded at 87.55 / 625dm, again unchanged.

There are 5 x BB CVRs. Three of them at the tighter end traded around 1000dm. They are the bonds from GSO and Sculptor. These have the better MVOCs (around 100%), lower CCC buckets (around 5%) and still intact CCC cushions. The two that traded wider are both the ICG bonds which traded around 1140dm. These have MVOCs around 98%, CCCs above 7.5% and no CCC cushion.

USD CLO

Another buoyant day with 27 covers – 1 x AAA, 14 x A, 8 x BBB and 4 x BB.  The AAA is ARES managed ARES 2019-52A A2 which is a 2nd pay and covers 222dm / 7.04y WAL, with another Ares mezz AAA trading in 260s dm context around April month end this gives some illustration of the tightening this month.  A lot of single-As today with the trading range 283dm-428dm for a range of RP profiles (2020-2024) with trading range mtd 280dm-540dm, at the wide end today is BlueMountain’s BLUEM 2016-1A CR 428dm / 5.01y WAL – high ADR 1.7%, high sub80 bucket 20.1%, high WARF 3458, neg par build -1.05 and a spilled CCC bucket 8.1% whilst the manager has a weaker record vs peers.  At the tight end is CSAM’s MDPK 2018-30A C 283dm / 5.24y WAL – low ADR 0.46, 18% sub80, WARF is also high 3379, 1.6% CCC and a strong manager record.  The BBBs trade 487dm-609dm (versus a volatile 500dm-1000dm trading range mtd), OFS’s OFSBS 2014-6A CR cover 487dm / 2.31 is the tightest BBB trade post-vol albeit short dated (2018 RP end).  BBs continue to tighten with a trading range today 940dm-1051 so clean deals are now in 1000dm context and three have now penetrated 1000dm post-vol, at the tight end today is Blackrock’s MAGNE 2015-12A ER 940dm / 8.1y WAL – 0.57 ADR, <10 ADR (9.94), 5.1% CCC and 3120 WARF from a benchmark manager.

EUR/GBP ABS/RMBS

Got 2 ABS CVRs today, the first CVR prices we have seen on a BWIC for a long time. BRICQ 2019-1 A (AA rated Italian Consumer Loan deal) traded at 98.83 / 150dm to step up date. In Nov 2019 it traded at 100.37 / 51dm. BRICO 2019-1 A (also AA rated class of Italian Consumer Loans from the same originator – Creditis Servizi Finanziari) traded at 99.05 / 161dm. This bond traded in Jan 2020 at 100.53 / 37dm.

EUR CLO

Just one AAA today. SPAUL 3RX AR traded at 97.01 / 204dm. This is on top of SPAUL 9 A which traded at 205dm on 11 May.

USD CLO

A busy day with 30 covers – 4 x AAA, 4 x AA, 2 x A, 11 x BBB and 9 x BB.  The AAAs trade 170dm-223dm including a mezz AAA (2nd pay) at the wide end of this range.  At the tight end is Oak Hill’s OHALF 2016-1A AR 170dm / 6.27y WAL (2025 RP profile) with strong MVOC 141.25, low ADR 0.19 and low relative WARF 2980.  The AAs trade in a narrow dispersion very close to the wide end of the AAAs 230dm-246dm grinding tighter to yesterday’s 230dm-270dm range.  The single-As trade in a wider dispersion 307dm-461dm (v week to date 289dm-375dm), so more or less in line at the tight end but at the wide end today is Carlson Cap’s CATLK 2018-5A C 461dm / 6.27y WAL – a 2022 RP profile with high ADR 1.17, high sub80 bucket 19.3 and a high WARF 3332 along with a spilled CCC bucket at 10.3%, the manager record is also weak to peers.  BBBs continue to trade in a wide dispersion given the volatility in this rating level, today 557dm-870dm (versus 497dm-739dm this week), a the wide end is an outlier…. Black Diamond’s BLACK 2016-1A CR 870dm / 7.25y WAL – high ADR 1.25, high sub80 17.8, high WARF 3595, neg par build -1.16 and a v-high CCC bucket 12.41%.  The BBs trade today in the narrowest dispersion seen post-vol 1052dm-1128dm with an outlier trade KKR 14 ER 1440dm (low MVOC 94.3, high sub80 20.2) bearing in mind we have seen BBs trade 973dm-2935dm this week!

EUR CLO

A handful of trades across a range of credit ratings again today. AAs traded between 240dm and 260dm. Spreads continue to grind tighter. The majority of AAs trading around 240dm now.

The single A, for Commerzbank, traded at 307dm. It has an unusually high MVOC at 134.19%, but it started out with a conservative tranching structure. This trade is at the tight end of recent levels.

The BBB, BLUME 5X D, traded at 85.94 / 621dm. Its credit metrics and pool quality hold up well given that it closed less than 6 months ago.

The BB, BCCE 2019-1X E, was a DNT but best bid was 70h / 1249dm. Recent BB trades have been in the 1100dm area so you can see why the seller decided not to let this bond go.

The single B is ARBR 7X F which traded at 56.81 / 1790dm. This deal closed in Jan 2020. Its credit metrics are fine as you would expect: WA Collateral Price 90.50, CCC Balance 3.4%, Assets sub 80 10%, MVOC 97.06. Around 1800dm is where we have seen other single B trades.

USD CLO

A busy day with 25 covers from AAA down to Equity.  The AAAs trade 172dm-206dm with an outlier trade ALM 2013-7R2A A1B2 246dm / 3.48y WAL (high WARF 3306 and negative par build -0.65), levels continue to tighten overall.  At the tight end APID 2013-15A A1RR (CVC) covers 172dm / 4.44y WAL which is the tightest level post-vol – strong MVOC 147, low WARF 2838 and high diversity 92 along with a stable CCC bucket 4.9%.  The AAs trade 232dm-271dm in line with tights of yesterday (230dm-290dm).  The BBBs trade 497dm-739dm, once again tightening effect with the first sub500 trade post-vol at this rating level - VOYA 2019-3A D (Voya) covers 497dm / 8.55y WAL (0 ADR, low sub80 9%, low WARF 2839 and CCC 2.4%).  The BBs remain volatile with trading range today 1169dm-2935dm, at the wide end is BSMC 2013-1A ER (Shenkman( 2935dm / 5.13y WAL – high ADR 1.98%, high WARF 3314 and a weaker manager record contributing to the softer level.  We saw 2 Equity cover from CSAM and Octagon, the first we have seen in a long while, cash prices are in 50s-60 area with the securities trading to a current cashflow premium over NAV which are both significantly negative (full details on PriceABS).

EUR CLO

Trades across a range of asset classes today. The AAA bond is GRANH 2019-1X A (managed by MeDirect Bank) which traded yesterday at 236dm and today at 231dm.

The two AAs traded around 250dm. This is a continued ratcheting in of AA spreads.

The single As have traded around 315dm which is quite a bit tighter than the MH300s that we have seen earlier this month.

The BBBs have mostly traded in a 550dm to 600dm range, but with two Dryden trades around 640dm. 550 – 600dm is not much of a change from previously observed levels. The two Dryden trades with wider levels, around 640dm, are from Dryden 73 and Dryden 69. The credit stats on both these trades look OK. Their MVOC is in the normal range (around 106%), they don’t have a high percentage of assets below 80 (13%) and they both have decent CCC cushions. Dryden deals do often trade wider, perhaps because of the high number of HY bonds in the pool.

USD CLO

Quite an active day with 21 covers – 8 x AAA, 3 x BBB and 10 x BBs.  The AAAs trade 176dm-217dm with an outlier trade KING 2018-8A A (Hayfin) cover 242 / 4.62y WAL – with no obvious reasons for the outlier level since all key metrics are in check, with only MVOC (139.7) and ADR 0.84 at the wider end of the scale and CCCs 4.7%.  At the tight end is a benchmark manager CIFC’s CIFC 2015-1A ARR 176dm / 4.4y WAL with clean fundamentals.  The BBBs trade 534dm-636dm (2023/2024 RP profiles), these are tightest levels post-vol for this cohort with mtd trading 554dm-968dm.  At the tight end is another benchmark manager CSAM’s MDPK 2018-31A D 534dm / 7.97y WAL with clean fundamentals and MV metrics despite a 11.45% CCC bucket.  The BBs trade today 973dm-1763dm, for the first time post-vol we are seeing BB trades sub 1000dm with continued volatility at the wide end given market conditions at this 2nd/3rd loss level.  At the tight end today is Kayne Anderson’s KAYNE 2018-1A E 973dm / 7.7y WAL – 0 ADR, 12% sub80 bucket and 2.5% CCC with good manager metrics for a relatively inexperienced manager.

USD CLO

19 covers today – 1 x AAA, 2 x AA, 8 x A, 8 x BB.  The AAA is Palmer Square’s PSTAT 2020-1A A1 cover 178dm / 2.1y WAL which is in line with tighter levels (inside 180dm) seen at the end of last week.  The AAs trade very narrowly 229dm-230dm (2022 and 2025 RP profiles) and affirm the tighter theme seen end of last week (230dm-260dm) albeit at the tighter end of this range with both deals clean and no spilled CCC buckets.  The single-As trade 289dm-375dm which is in bang in line with the 290dm-370dm range seen on Friday, a weaker manager props up the wide end PARL 2017-1A CR (DoubleLine) 375dm / 5.5y WAL – 1.02 ADR, 20% sub80 bucket and 7.84% CCC bucket.  BBs have traded this month to date in a wide 1100dm-1800dm range with today’s trading range no different 1073dm-1858dm, at the tight end is a clean Ares deal ARES 2015-4A DR and at the wide end is a weaker manager Bain Cap AVERY 2015-7A E 1858dm / 5.5y WAL with 94.5 MVOC and the manager profile dragging this wide.

EUR CLO

Trades across a range of asset classes today. In the AAA category the ICG bond traded at 205dm whereas GRANH 2019-1X A (managed by MeDirect Bank) traded at 236dm. Both deals have high CCC balances. These two spread levels are within the recent tight and wide end of the AAA range.

The AA (from Axa) has traded at 267dm which is a few bps tighter than the most recent AAs we have seen.

The single A from Chenavari traded at 400dm. This is about 40bps wider than recent trades. The CCC cushion has been eroded in this deal. The WA collateral price is 88.17 which is a little on the low side and there is 21% of the collateral below 80 price which is on the high side.

The BBBs have traded in quite a wide range – from 540dm to 640dm. This range is tighter than recent levels which have been in the 600dm to 700dm range as recently as 6 May. The tight end of today’s range is CONTE 4X DNE (Five Arrows) at 542dm. Its MVOC is only average at 105.17% but it does have a decent CCC cushion at 4.23%. The wide end of the range are HARVT 16A DRE (Investcorp) and CRWPK 1X C (GSO) at 640dm. The Investcorp bond has a low MVOC (103.26%) which explains its wide level but the GSO bond has a good MVOC (108.02%) but GSO bonds often trade wider. Both bonds have a decent CCC cushion remaining.

Finally, the BB trade, BLUME 5X E (Blue Mountain) traded at 1089dm. This is in line with, albeit slightly tighter, than a recent CADOG 11 BB on 7 May which was at 1110dm. BLUME 5X E has an MVOC of 99.06% which is high for a BB. It has a CCC balance of around 6% and only 12% of assets are below 80 price.

USD CLO

An exceptionally busy end to the week with 35 reported covers across the capital structure.  At the senior end AAAs continue to grind tighter, trading in a narrow dispersion 172dm-188dm with an outlier trade KKR 11 AR 217dm / 4.05y WAL – MV metrics poor (MVOC 132.7) and sub80 bucket high at 21%, manager has a good record nonetheless.  The AAs also trade tighter in a 229dm-287dm range versus a month to date range of 239dm-334dm, at the wide end is WINDR 2016-2A BR (THL) 287dm / 6.6y WAL – weaker MVOC 115.7 and a high WARF 3346 with a spilled CCC bucket 10.4%.  There were 17 single-A trades and these traded tighter 286dm-369dm across 2020-2025 RP profiles, versus 297dm-537dm range month to date, with high ADRs and weak MV metrics pushing bonds to the wide end of today’s range.  The 2 x BBBs trade in a wide range 615dm-846dm (2022/2023 RP profiles), but continue to trend tighter but not as tight as we saw yesterday with trades in lo-mid500s context, at the wide end is CECLO 2018-28A C 846dm / 7y WAL with a high ADR 1.88%, not covered by MV (MVOC 96.75) and a negative par build -1.86.  The double-Bs trade 1495dm-1671dm (2023 RP profiles) with comps trading in a similar range this month to date (1340dm-1608dm), both bonds today have spilled CCC buckets and ADRs >1% and negative par builds (See PriceABS for details).

USD CLO

15 covers today with a continued tightening tone – 1 x AAA, 3 x AA, 5 x A, 4 x BBB and 2 x BB.  The AAA is CBAM 2019-10A A1A (CBAM) cover 190dm / 5.52y WAL – despite the tight DM this is not a completely clean transaction (sub80 21.5%, ADR 0.9% and CCC spilled to 8.07%) but this does provide a backstop for cleaner deals to price tighter.  The AAs trade 251dm-285dm which are more in line with the tighter levels seen yesterday in 240a but this cohort has been trading 240dm-330dm since month end.  At the wide end is Hayfin’s KING 2019-1A B1 285dm / 6.1y WAL driven by weaker MV metrics (119 MVOC) versus peers (121-123) with other fundamental metrics good.  The single-As trade 297dm-364dm (2022/2023 RP profiles) which is tight to comps around month end 350dm-500dm, there is an outlier trade today CATLK 2013-1A BR (Carlson Cap) 476dm / 6.3y (high ADR 0.99, 18.5% sub80 bucket, 3247 WARF and a spilled CCC bucket 10%).  BBBs trade in a narrow dispersion 518dm-548dm (2018-2025 RP profiles) tight to comps since month end trading 505dm-756dm, there is an outlier trade today GALXY 2018-29A D (PineBridge) at a very high 1003dm / 4.5y WAL – MVOC 98.9, sub80 24%, 3710 WARF and 11.6% CCC bucket as pretty clear explanations.  The BBs trade 1164dm-1340dm (2023/2024 RP profiles) with comps since month end trading 1175dm-1675dm, both the bonds today aren’t covered by MV (95-96 MVOC) but CCC baskets remain within the 7.5% limit.

EUR CLO

2 x BBB & 1 x BB today. The BBBs traded around 575dm. This is quite a bit tighter than the previous day when there were a number of trades in the LM600s and a few wider than that. Both these deals are in good shape with WA Collateral price of over 90.00, both have CCC cushions of around 4% and MVOC around 106.50%.

The BB traded at 1110dm. This is the tightest BB level we have seen since the crisis started. Most of our previous observations have been in the 1200 to 1350 DM range. The MVOC is 96.51 and it looks like the CCC test has been breached. The WA collateral price is 88.21.

USD CLO

We saw 16 mezz covers today – 3 x AA, 1 x A, 7 x BBB and 5 x BB.  The AAs trade in a narrow range 239dm-252dm (2022-2024 RP profiles), this range is significantly tight to recent AA levels seen in 270dm-330dm context – today’s trades are from benchmark managers with clean deals and CCC buckets in check.  The single-A trade today is GSO’s CPARK 2015-2A DR cover 408dm / 4.5y WAL (2020 RP profile) – a clean deal from a benchmark manager and once again significantly tighter than the late400s-early500s context.  The BBBs trade as we have seen recently, in a wide dispersion, 639dm-968dm for 2020-2024 RP profiles – tiering generally driven at this rating level by ADR, manager record and state of CCC bucket, for instance at the wide end is Crescent Capital’s ATCLO 2016-7A DR 968dm / 7.3y WAL (2023 RP profile) with 1.32% ADR, 27% sub80 bucket, MVOC 96.5, high WARF 3347, weaker manager profile and a spilled CCC bucket 8.1%.  At the tight end Axa’s ALLEG 2019-1A D 639dm / 7.8y WAL (2024 RP profile) which is covered by MV (MVOC 101.3), lower relative sub80 15.4% and CCC bucket in check, the cover is in line with 550dm-680dm trading range for this cohort.  The BBs trade 1341dm-1790dm, tranches have a 4-7% shortfall of MV coverage in a rating category that has significant volatility given the proximity to loss and downgrade risks as already mentioned this week.

EUR CLO

A good number of mezz trades today. The single As traded around 360dm. This is quite a bit tighter than the 421dm level we saw for the Goldentree bond on 30 Apr.

A raft of BBBs have traded. The majority are in the LM600s spread but 3 traded around 700dm and 2 around 800dm. Looking at the 2 around 800dm first, these are BABSE 2018-2X D and GLGE 5X D1. They both have MVOCs that are at the low end of the normal range but also they both have high CCC buckets and the Barings deal is failing the CCC test and the WARF test. Additionally GLG bonds always trade wide. The 3 bonds with spreads around 700dm are the ones from Partners, Barings and Bain. All of these also have low MVOCs, high CCCs and are failing quality tests.

The BB is PENTA 2017-3X E from Partners Group. It traded at 62.57 / 1352dm. This is a wide level but the bond has a low MVOC at 95.82, a low CCC cushion and is not from a top tier manager.

The two single Bs have traded in LM50s price and around 1800dm. The MVOCs are around 95%. The Fitch CCC percentages are not that high at around 3% and the WA collateral prices are also pretty good at around 90.00. Both managers, however, would not be considered top tier – Commerzbank and Voya ING.

USD CLO

A much more active day with 24 covers – 13 x AAA, 3 x AA, 6 x BBB and 2 x BB.  The AAAs (2019-2023 RP profiles) trade 180dm-302dm with a large distribution of bond profiles today including a 2nd pay AAA at the wide end.  The 2021 RP profiles (2015/2015 vintages) traded in the narrowest range 287dm-294dm, softer levels but the transactions in this cohort today have fundamental issues with high ADRs and high WARFs along with negative par builds.  At the tight end OCT32 2017-1A A1 (Octagon) covers 180dm / 3.78y WAL – with fundamentals not entirely impressive but sub80 asset migration levels are much lower on this deal than others (10.5%) and MV metrics are sound.  The AAs trade 318dm-334dm (2020/2023 RP profiles) which is wider to hi200s context we have seen recently in these cohorts, the trades today suffer from high ADRs (1%>) and negative par builds c.-1%.  BBBs trade 505dm-864dm across 2019-2023 RP profiles, these cohorts have traded in this extremely wide range recently (558dm-922dm to be precise) given proximity to the HY rating threshold.  Today’s trades have high WARFs 3200+, negative par builds and at the wide end tranches are not covered by MV (MVOC’s in 98 context), please see PriceABS trade list for full details.  The BBs (2023/2024) trade 1175dm-1598dm, we have seen these profiles trade 1157dm at the tight end recently (so in line with today’s levels) but as wide as 1946dm at the wide end, given this rating level has seen significant rating actions recently in response to the covid 19 crisis.  At the wide end is MJX’s VENTR 2018-31X E 1598dm / 7.75y WAL – the tranche has a significant MV shortfall (MVOC 93.6), sub80 bucket is 21%, ADR is 0.76% and CCC bucket is spilled over at 7.7% so this is reflected in the softer level on this bond today.

USD CLO

A quiet start to the week, with 4 covers today – 3 x AAA and 1 x BBB.  The AAAs (2024/2025 RP profile) trade in a 193dm-212dm range with WALs c. 6y, WARFs have tightened into late 2000s-3000 area now as par builds and sub80 buckets normalise too following weeks of vol since late March.  This longer dated profile has very rarely traded through April with the CIFC 2019-3A A1A cover 189dm / 5.75y WAL in 9m size at the end of April the only real recent comp.  The only BBB trade is MAGNE 2019-23A D (Blackrock) 554dm / 8.6y WAL (2024 RP profile) – this represents a tightening tone given comparable trades for this cohort have been in 600dm-700dm context over the past 2 weeks in a fairly liquid cohort.

EUR CLO

Just 2 x BBB trades today. They have traded at very different spreads. CORDA 7X DRE traded at LM80s / 608dm. ACCUN 1X DR traded at H70s / 840dm. The Accunia bond has a much lower MVOC – 102.46 versus 107.77. It has a much lower WA Market Price of Assets – about 3pts lower. Their percentage of CCC assets is not that different. Recent BBB trades have all been between these two levels so CORDA 7X DRE represents a new tight level and ACCUN 1X DR is a wide. Irrespective of their specific deal performance it is fair to say that all bonds from the Accunia shelf trade wide.

USD CLO

A quiet end to the week and first day of the month with month end valuations now crystallised.  There were 2 covers today – 1 x AA and 1 x A.  The AA PSTAT 2018-4A A2 (Palmer Sq) is a short dater and covers 268dm / 2.6y WAL (2018 RP profile) – at this WAL there have been few trades over the past 2 weeks, with dm’s in 270dm-320dm context so this trade is tight to comps and fundamentals are clean on the deal.  The single-A is Carlyle’s CGMS 2015-1A CR2 cover 474dm / 6.1y WAL (2022 RP profile) – this trade is wide to recent comps in 400dm-430dm context, the fundamentals are poor here with ADR 1.21, sub80 22%, par build -1.35 and high WARF 3481 (vs early 3000s peers).

EUR CLO

Just one AAA trade today. VOYE 1X A traded at 97.03 / 201dm. This is about 7bps tighter than recent AAA trades. This bond does have a higher MVOC, at 153.21%, than the majority of its peer group.

USD CLO

A relatively quieter day compared to what we have seen recently, perhaps month end books had some part to play.  There were 8 covers today – 1 x AAA, 2 x BBB and 5 x BB.  The AAA is MP3 2013-1A AR (Marble Point) cover 252dm / 4.03y WAL (2022 RP profile) – weaker manager, higher WARF than average 3331and weak MV metrics (MVOC 131.33 / MVAP 23.9) versus peer AAAs accounting for the softer level.  The BBBs trade 696dm-806dm bar belled across 2 RP profiles (2021 and 2025) with the 2021 RP profile AMMC 2015-16A DR (American Money) cover 806dm / 5.4y at the wide end – this has a 1.1 ADR and only just covered by MV 100.1 whilst the manager profile is weak.  Note that this profile of BBB trades as tight at 674dm but has also been as wide as 922dm recently for weaker credits so remains constructive at the tight end.  The BBs continue to trade with extremely high dm, range today is 1675dm-2469dm, once again with the universe of downgrades and watch placements at this rating level the dm’s continue to reflect near equity type returns.

EUR CLO

We have a number of trades today across a range of rating classes. Most likely the 3 recent EUR deals that priced have provided some transparency and confidence over market levels. The AAAs have traded in a tight grouping clustered around 205dm to 210dm. MDPKE 14A A1N (CSAM) is the outlier as it traded at 236dm.

The AA (JUBIL 2015-16X B1R) traded at 272dm which is in line with Avoca 24 new issue pricing.

The A is LAUR 2016-1X CR which traded at 421dm, again in line with new issue levels. This deal has a high Fitch CCC bucket, for a European deal, at 11.6% and therefore a low CCC cushion.

The majority of the BBBs have traded in a 620dm to 650dm range, just slightly wider than the recent new issue levels. 3 out of 4 of these bonds (from Brigade, CVC and OakTree) have MVOC around 107%. The Tikehau bond (650dm) has a MVOC of 104% which is more like the two wider trades from GoldenTree and Bain, which traded around 730dm. The Goldentree and Bain deals also have high Fitch CCC buckets.

The BB is CRNCL 2018-9X E which traded at 1200dm. This is wider than the spread reported by Bloomberg on the recent Providus 4 transaction. It could be that the warehouse provider/equity holder for that deal had to take some BB at the 1025dm reported level in order to get the deal away.

There are also 2 equity trades. HARVT 15A SUB traded at 30.30 / 14.86%. The WA Price of the collateral is 88.44 and there is still some CCC cushion at 3.7%. HARVT 20A SUB traded at 33.02 which we make 6.55% yield. In our scenario cashflow to equity is cut off after 4 IPDs and it is the case that the CCC cushion is only 1.6%. However it is possible that the buyer sees more cashflow going to equity, especially earlier in the deal, and therefore may get a higher yield.

USD CLO

We saw 19 covers today, mostly mezz – 1 x AAA, 1 x AA, 6 x A, 8 x BBB and 3 x BB.  The AAA cover today is CIFC’s CIFC 2013-2A A1LR 191dm / 4.02y WAL, clean deal and good manager record, benchmark AAAs continue to trade inside 200dm.  The AA is Canyon Capital’s CANYC 2018-1A B 260dm / 6.56y WAL – a 2023 RP profile and again a clean deal and good manager record, this level is tighter than the 300s dm context seen recently.  The single-As trade 362dm-416dm  across 2022-2025 RP profiles which is a narrower trading range than the 350dm-500dm seen recently, so there is some mild tightening effect at this mezz level, at the tight end is CVC’s APID 2019-32A C (low WARF 2810, 15% sub80 and above all a good manager record).  The BBBs also trade in a narrower range 589dm-664dm across 2022-2024 RP profiles with an outlier trade ANCHF 2018-5A D (Anchorage) at 738dm / 7y WAL, this trade has weaker fundamentals (high WARF 3687, 26% sub80, 2.95 ADR), this cohort has traded in a much wider dispersion recently (596dm-833dm) so once again some positive sentiment here.  The BBs today, as we have seen recently, trade very wide (1333dm-2153dm).  These levels have continued to trade at low cash prices / high DMs given the spate of recent downgrades below IG and proximity to loss (full list of trades in PriceABS).

EUR CLO

Just one BBB again today. CRNCL 2019-11X D traded at 82.88 / 701dm / 8.56yr. Its MVOC is good at 104.93%. Its WA Collateral Price is 89.33.

USD CLO

Busiest trading day for US CLOs in a while with 31 covers across the capital structure – 12 x AAA, 1 x AA, 8 x A, 6 x BBB and 4 x BB.  The AAAs (2020-2024 RP profiles) trade in a wide dispersion 186dm-264dm, at the wide end ARES 2017-46A A2 (Ares) and TSYMP 2017-1A A (TCI) trade 264dm / 5.04y and 263dm / 3.86y respectively, both good manager records but the bonds have weak MV coverage (134/138 respectively) and WARFs remain high 3287/3172 respectively.  At the tight end we are now seeing trading consistently below 190dm with around $8m trading in 186dm/187dm including a weaker manager Octagon’s OCT25 2015-1A AR At 187dm but this is a 2020 RP so very short dated in nature (1.65y WAL).  The only AA trade today is TRNTS 2018-9A B1 (Trinitas) covers 395dm / 6.8y WAL (2023 RP profile), which is wide to hi200s for similar cohort, however manager record is weak and fundamentals on this deal are also weak (1.27 ADR, high WARF 3277 and neg par build -0.64).  The 9 x single-As are all 2023 RP profiles and trade in a 370dm-497dm range, at the wide end is Golub’s GOCAP 2015-26A CR 497dm / 6.58y WAL which is from a traditional MM CLO manager – the WARF is high 3475 along with sub80 at 20.2%.  At the tight end ANCHC 2018-1RA C (Anchorage) covers 370dm / 6.6y WAL – manager record close to peers and fundamentals sound.  The BBBs trade 636dm-922dm given the wide dispersion of RP profiles (2021-2025), at the wide end is KKR’s KKR 17 D 922dm / 5.6y WAL – high WARF 3198, high sub80 21 and poor MV coverage MVOC 98.4.  At the tight end is Brigade’s BATLN 2020-15A D 636dm / 8.9y WAL – low WARF 2773,  0 ADR and a great manager record.  The BBs today trade 1157dm-1635dm, the levels at this end of the spectrum still trade at extremely high DMs given the fact that so many are on downgrade watch and proximity to loss.  At the tight end is Canyon Cap’s CANYC 2019-2A E 1157dm / 8.8y WAL – 0 ADR, low sub80 8.5% and low WARF 2790 from a good manager with the tranche almost covered by MV 99.25 MVOC.

EUR CLO

Just one BBB today. CONTE 6X DE traded at 79h / 690dm / 7.8yr. Its MVOC is good at 104.95%. As a comparison Bloomberg reported that the recent new issues, at the BBB level, were: Providus 4 and Avoca 24 at 625dm and Zinnia Finance at 575dm. All of the new issue bonds will have higher coupons than the secondary trade and presumably less distressed collateral.

USD CLO

A busy start to the week with 20 IG covers – 8 x AAA, 1 x AA, 2 x A and 9 x BBB.  The AAAs trade 186dm-223dm (2022-2024 RP profiles) with 2 short dated outliers, the 2 outliers are EGCLO 2018-1A A1 (Tall Tree) and LONGF 2013-1A ARR (First Eagle) which are 2020/2021 RP profiles and cover 275dm/325dm respectively, both of these continue to have significant migration to sub 80 priced assets (24% and 27% respectively) whilst most other have tapered back into the teens%, furthermore the manager records are weak on both, with negative Reinv Test cushions across CLOs for instance., these profiles have traded in short WAL in mid200s context recently.  At the tight end today is GLD11 2015-11A AR2 (GoldenTree) 186dm / 4.33y – great manager record, good MV coverage 141.3 and 12.6% sub80 as a comparison.  The 186dm-223dm range today represents a tightening effect back to levels seen a couple of weeks back since these traded in lo-mid200s last week.  The AA trade today is GILBT 2017-1A B (GSO) covers 275dm / 5.8y (2022 RP profile) – this is tighter than comps seen last week in 285dm-300dm context, the deal today is clean.  The single-As today (2022/2023 RP profiles) trade 351dm-430dm, this range is firmer at the tight end with comps seen last week in 375dm-425dm range, Invesco’s ALINE 2018-1A C 351dm / 6.8y WAL – 0.29 ADR, 13.4% sub80 and low WARF 2705, good stats.  The BBBs today are from a range of RP profiles (2019-2023) and trade in a 558dm-833dm range, the 2023 RP cohort was the most active today but also the widest dispersion in trading levels (596dm-833dm).  At the wide end is Greywolf’s GWOLF 2015-1A CR 833dm / 6.5y – manager stats are in line with peers but the bond is not covered by MV (99.38) and has seen excessive risk taking with WARF well north of averages at 3476, at the tight end is Voya’s VOYA 2018-1A C cover 596dm / 7.8y WAL which is back to the post-vol tights we saw 10 days back, this bond is covered by MV, high diversity 94 and low WARF 2860 which makes it an attractive bond for investors in these uncertain market conditions.

EUR CLO

Just one AAA today. AVOCA 11X ARR traded at 96.57 / 224dm / 2.96yr. It has 14% sub 80 assets and MVOC of 146%. According to reports from Bloomberg Providus IV (managed by Permira) priced yesterday at 200dm for the AAA bond for a deal which has a 1yr Reinvestment Period. Also yesterday Redding Ridge priced the AAA for Zinnia Finance at E+225 / 4.3yr.

USD CLO

A quet end to the week with 4 covers – 2 x AA and 2 x A.  The AAs trade 284dm-299dm (2022/2023 RP profiles), we haven’t seen AA trade for a week when they traded tighter 266dm-275dm for longer WAL/RP profiles.  KKR’s KKR 20 B covers 299dm / 6.1y WAL (neutral manager, deal ADR 0.54, 21.8 sub80 and MVOC 115.3) whilst GSO’s GILBT 2017-1A B covers tighter 284dm / 5.8y WAL with better fundamentals (positive manager stats, deal ADR 0.06, 16.98 sub80 and MVOC 117.2).  The single-As trade 352dm-439dm, these (2018/2019 RP profiles have not traded post-vol and carry WALs of c. 3.5y, the shortest dated single-As we have seen recently have traded 459dm-491dm for 5y WAL so these levels appear consistent with the term structure and given the deals are delevering, at the tight end today is Onex’s OCP 2015-8A BR 352dm / 3.5y WAL which has a strong MVOC 122.1 and relatively low sub80 13.9 which counteract the high ADR 1.2 which is close to the manager’s record across all CLOs.

EUR CLO

Just a couple of BBBs again today. They have both traded around 720dm. This is slightly tighter than the approx. 770dm levels of the day before but both of these bonds have high MVOC (around 104.50%). They also have around 14% sub 80 assets.

USD CLO

Lots of mezz today with 20 covers – 7 x A and 13 x BBB.  Single-As trade 376dm-491dm across 2020-2023 RP profiles.  The 2020 RP profiles trade at the wide end 486dm-491dm whilst single-As across RP profiles have traded 388dm-459dm recently so a little softening of levels has set it today.  OCT37 2018-2A B (Octagon), a 2023 RP profile, covers at the tight end 376dm / 6.9y WAL, fully covered by MVOC 107.1 and a lower WARF than the market average 2722 nut carries a high ADR 1.28 which seems not to have affected the cover.  The BBBs trade in a wide range today 608dm-1061dm, with numerous profiles trading, once again a little softening has set in with the recent broad trading range 595dm-969dm.  With most of today’s liquidity in the 2024 RP profile, these trade 608dm-772dm compared only with one recent datapoint, a 655dm cover.  At the wide end of today’s range a 2023 RP profile STCR 2018-2A D (Steele Creek) covers 1061dm / 7.2y WAL – not covered by MV with 98.4 MVOC and sub80 bal 24.5%, with the MV coverage being the key lever for the wider trading level since most other BBBs had full cover.

EUR CLO

Just a couple of BBBs today. They have traded around 770dm. They both have positive MVOC although the PGIM bond is only at 100.9%.