USD CLO

With President’s day on Monday today was a slower day, with 2 reported AAA covers, both short daters.  JTWN 2014-4A A1AR (Investcorp) covers 65dm / 1y WAL (2018 RP profile) trading tighter to recent comps in 80dm area and the strong MV metrics driving this particularly.  The other trade today is a 2020 RP profile CRMN 2013-1A AR (Trimaran) cover 86dm / 2y WAL which also trades tight to early 90s dm area recent comps for similar profiles despite weaker performance metrics than this cohort, the scarcity of paper and spread direction of AAAs over the past few days contributing somewhat to this.

USD CLO

20 reported covers today – 4 x AAA, 2 x AA, 13 x BBB and 1 x BB rated.  The >4y WAL AAAs (all 2023 RP profiles) trade in a narrow 102dm-110dm range – at the tight end is GRNPK 2018-1A A1 (GSO) 102dm / 5y WAL with good all round metrics  (MVOC 152.4 / ADR 0.03% / sub 80 1.26%) and at the wider end is AMMC 2016-18A AR (American Money Management) 110dm / 5y WAL with weaker metrics (MVOC 149.8 / ADR 0.53% / sub 80 4.05%) and a less experienced manager versus GSO but nonetheless fine lines in terms of DM levels at both ends of the range today and at the tighter end of generic 2023 RP profiles that have traded in a 107dm context recently and is by far the most liquid cohort within AAAs.  The AAs today (2022 RP profiles) tradein a 150dm-158dm range which is tight to market which has been in 170dm context for this profile – the bonds are from experienced managers CSAM and GSO with excellent MV and performance metrics (see PriceABS trade history for all details).   The BBBs today (2022-2024 RP profile) trade 285dm-395dm range, breaking these down at the longer end the 2024 RP profiles trade 345dm-377dm / 8.5y WAL avg which is inside 379dm generic trading levels.  The 2023 BBB RP profiles trade 285dm-395dm / 7.3-8y WAL with STCR 2018-2A D (Steele Creeke) at the wide end 395dm / 7.9y WAL (MVOC 111 / sub 80 4.4%) versus 360dm area recent comps  but note that the manager has only 6 CLOs under management so this has contributed to the below average level.  The 2022 RP profiles trade 286dm-331dm with CIFC’s CIFC 2017-5A C at the tight end 286dm / 7.3y WAL – high MVOC 112.4 / low ADR 0.31% / low sub 80 0.56% and a strong 2811 WARF, this profile has traded in mid 300s DM area recently so today’s range is firmly inside these levels.  The BB trade today is REGT8 2017-1X E (Napier Park) a 2022 RP profile and covers 646dm / 7.5y WAL which is inside 676dm market levels for this profile – the ADR is low 0.19%, the sub 80 bucket is also low 1.54% and diversity 84 and WARF 2819 are both respectable.

EUR CLO

There are 16 x AAA & 1 x BB trades today. All bar 3 of the AAAs are currently callable. The lower margin trades have traded at par or a very small premium. Of course the spreads vary a lot depending on the margin on the bond. The range is from 82dm|mat to 128dm|mat. The par AAA margin is around 90-93 bps which is where the current Carlyle deal is talked. The higher margin trades have traded between 120dm|mat to 137dm|mat at an average price of 100.12.

The BB is near enough a current par margin at 575bps. It traded at 598dm|mat which is 100.32 price.

USD CLO

38 reported covers today – 25 x AAA, 4 x AA, 2 x A, 4 x BBB, 2 x BB and 1 x B rated.  The >4y WAL AAAs traded 99dm-136dm – at the tight end is INGIM 2014-1A AAR2 (Voya) 99dm / 4.8y WAL (2023 RP profile) with strong MV metrics (168.5 MVOC / 40.7 MVAP) with high diversity 96 (ADR high 1.17%) from an experienced manager with a good performance record across BSL CLOs versus its peers.  At the wide end is SNDPT 2019-2A A1 (Sound Point) 136dm / 5.8y WAL – equally strong MV metrics (MVOC 168.5 / MVAP 40.7) and good performance record (ADR 0, WARF 2595, sub 80 0.43%, lower div 75) but the manager’s record is weaker versus it’s peers for a relatively experienced manager, the par build on the deal is -0.39 and the manager’s record across all CLOs is -1.18 so there is potentially some weakness there.  The double-As trade 169dm-194dm (2023/2024 RP profiles) with the 2023 RP profile ELMW2 2019-2X B (Elmwood) at the wide end 194dm which is wider to our generic 2023 AA profile level of 170dm even despite better MV metrics than our generics – the manager has less experience and a relative newcomer so this plays a part in the softer level.  The single-As trade 205dm-245dm / 6.6y WAL (2023 RP profiles) versus our generic trading level of 239dm for similar profiles.  BBBs today are 2021-2023 RP profiles and trade 291dm-331dm – at the longer end the 2023 RP profiles trade tight today 300dm-331dm versus generic 359dm (Ares and Benefit St the managers).  The double-Bs trade 559dm-665dm, at the short end MVW 2015-10X E (Seix) covers 539dm / 5.2y WAL (2019 RP profile) which is tight to a 674dm generic level recently, but this is a strong performing tranche with good MV metrics (MVOC 106) versus MVOC’s in the 104 band seen recently for this profile.  At the longer end DRSLF 2019-75X ER (PGIM) covers 665dm (2022 RP) which is flat to recent comps in 670dm area.  The single-B today is GLM 2019-5A F (Golden Tree), a 2024 RP profile and covers 932dm / 9.8y WAL (MVOC 104.5 / MVAP 4.3 / sub 80 1.3% / diversity 57) – there is one recent comparable with better all round metrics ELMW3 2019-3A F (Elmwood) 885dm / 9.9y WAL (MVOC 107.6 / MVAP 7.0 / sub 80 0 / diversity 77).

EUR CLO

A lot of bonds today. There are 12 x AAA, 1 x AA, 2 x A, 3 x BB & 4 x B. The AAAs have traded in a range from 100dm|mat to 125dm|mat. A few of the higher margin bonds (in 80s bps) traded at a premium but their call risk has been mitigated (DMs|call from 50 to 110). The last AAA trades we can see at the beginning of Feb were in the 110dm|mat area.

The AA traded at 100.52 which is 192dm|mat or 90dm|call. Previous AAs, for lower margin bonds, were in the 175dm|mat area.

The single As had low margins so traded quite tight around 220dm|mat. Recent single As at a discount price traded around 200dm|mat and at a premium price traded around 270dm|mat.

In the BBs CGMSE 2017-2X D is a low margin bond at 523bps and traded at 99.50 / 560dm|mat. JUBIL 2019-22X E has a high margin of 640bps and traded at 101.03 / 647dm|mat / 613dm|call and DRYD 2019-69X E has a margin of 629bps and traded at 101.22 / 633dm|mat / 584dm|call. This is in line with recent levels.

In the single Bs all the bonds have below par margins and have traded between 703dm|mat to 749dm|mat for around 6.4yr WAL. This looks a lot tighter than trades we saw on 11 Feb at a discount price where the tightest level was 804dm|mat.

USD CLO

A busier day with 47 reported covers – AAA x 21, BBB x 9 and 17 x BB rated.  The >4y WAL AAAs trade in a 101dm-125dm range – with MP3 2013-1A AR (Marble Point) at the wide end 125dm / 4.5y WAL with weak MV metrics (147.7 MVOC / MVAP 32.3) along with a high sub 80 priced asset bucket 4.3% and WARF just shy of 3000 (0975), furthermore also at the wide end is WOODS 2018-11BA A1 (Angelo, Gordon) 125dm / 4.8y WAL – this has better MV metrics but performance metrics are poor (-0.85 par build, 1.13% ADR) and the manager is inexperienced with most performance metrics below average vs peers.  Conversely at the tight end is CGMS 2014-1A A1R2 (Carlyle) 101dm / 4.9y WAL – with performance not too dissimilar to the Angelo, Gordon trade but a much more experienced debt friendly manager.  BBBs were across RP profiles (2019-2024) with a trading range 239dm-369dm, breaking these down the shorter dated 2019 RP profiles trade 239dm-267dm / 4.5y WAL which is c.100dm tighter than similar profile trades recently, the 2022 RP profiles trade 324dm-369dm / 7y WAL versus comparable trading in mid300s DM area so these levels are at market, at the longer end the 2024 RP profiles trade 323dm-364dm / 8.5y WAL tighter versus recent comparable profiles trading in 379dm context for similar bond performance.  Breaking down the BBs, at the short end (2020/2021 RP profiles) the trading range today is 624dm-627dm (c. 100dm tighter than recent comps) with an outlier MAGNE 2015-16A ER (Blackrock) 499dm / 5.8y WAL with high MV metrics (MVOC 107.1 / MVAP 6.7) and excellent performance.  The 2022 RP profiles trade 768dm-780dm / 7.5y WAL – wide to recent comps in 680dm context but the MV metrics on today’s trades much weaker (avg 105 vs 106.5 avg for recent trading at 680dm), the 2023 profiles trade 626dm-654dm which are at the tight end to recent comps.  The 2024 RP profile BBs trade 606dm-691dm which trade tight to 694dm recent context with tiering amongst managers highly evident here - JTWN 2019-14A D (Investcorp) covers 682dm / 9.3y WAL(MVOC 111.5) and HARB 2018-1A E (GSO) covers 606dm / 9.1y WAL (MVOC 108.7) with similar diversity/WARF/ADR/sub 80 bucket metrics.

EUR CLO

Today we have 2 x AA, 6 x BBB, 4 x BB & 2 x B. The AAs traded around 200dm|mat. This looks about 20bps wider than recent trades.

The BBBs have traded from 300dm|mat for the lowest margin bond (WILPK 1X C) to 387dm|mat for one of the highest margin bonds (VOYE 2X DE).

The BBs have traded around 550dm|mat for 6yr WAL up to 610dm|mat for 7.7yr WAL. This is in line with recent levels.

In the single Bs CLNPK 1X E traded at 804dm|mat for a 6.4yr WAL with a low margin and SNDPE 1A F traded at 840dm|mat for an 8yr WAL with a higher but still below par margin.

USD CLO

A quiet start to the week with 11 reported covers – 6 x AAA, 4 x BBB and 1 x BB rated.  The AAAs were shorter daters with only Alcentra managed SHACK 2014-5RA A >4y WAL at 121dm / 4.9y WAL cover (2023 RP profile) – with this profile trading in 107dm context recently (with MVOC c. 158 / MVAP 36.6 / sub 80 2.7% / WARF 2853) this trade is well wide of this benchmark in all respects (MVOC 147 / MVAP 32.2 / sub 80 3.2% / WARF 2906).  The BBBs are 2019-2021 RP profiles and trade 236dm-262dm which is tighter than recent trading in 300dm-400dm context for like for like profiles – all performance and MV metrics are stronger than average on today’s benchmark names including Blackrock and Apollo with >10 US CLO deals under management each and better performance than peers, one interesting observation on the Apollo managed 2019 RP profile ALM 2015-12A C1R2 is that it carries a high WARF 3084 but this is consistent with deals from this cohort which are taking additional risk but not at the expense of a significant default rate nor material asset price migration to sub 80.  The BB today is CVC’s APID 2018-18A E cover 632dm / 8.3y WAL – this is much tighter than the generic DM for this much traded cohort of 801dm but does have strong performance/MV metrics – MVOC 106.5 (vs 105.3 for recent trades), ADR 0.44% (vs 0.78% for recent trades), sub 80 assets 1.66% (vs 3.87% for recent trading) and diversity 89 (vs 78 for recent trading comps).

EUR CLO

Just 3 x AA & 2 x BB today. All 3 AAs pay margins which are below New Issue levels (between 125bps and 150bps). Ares and Arbour are refinanceable now and Bosphorus in June 2020. Ares and Arbour both traded at a small premium which reflects the hope that they do not get refi’d imminently and even though they have low margins they have quite short WALs. Bosphorus traded at a discount price as would be expected and a DM|mat of 165.

The BBs all have high margins (682bps to 715bps) and none of them are callable for nearly 2 years. They have all priced at a premium and around 690dm|mat or 640dm|call. These spreads do look like a widening on recent premium priced BB trades which were more in the 600dm area.

USD CLO

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

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

EUR CLO

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

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

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

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

USD CLO

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

EUR CLO

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

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

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

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

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

USD CLO

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

EUR/GBP ABS/RMBS

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

EUR CLO

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

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

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

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

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

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

USD CLO

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

EUR/GBP ABS/RMBS

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

USD CLO

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

EUR CLO

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

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

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

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

USD CLO

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

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

EUR CLO

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

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

USD CLO

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

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

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

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

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

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

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

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

EUR CLO

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

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

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

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

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

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

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

USD CLO

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

EUR/GBP ABS/RMBS

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

EUR CLO

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

USD CLO

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

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

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

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

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

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

EUR CLO

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

USD CLO

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

EUR CLO

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

USD CLO

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

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

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

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

EUR CLO

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

USD CLO

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

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

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

2022 RP profiles trade 690dm-691dm

2021 RP profiles trade 659dm

2020 RP profiles trade 736dm

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

EUR CLO

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

USD CLO

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

USD CLO

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

EUR/GBP ABS/RMBS

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

USD CLO

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

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

EUR CLO

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

EUR/GBP ABS/RMBS

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

USD CLO

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

EUR/GBP ABS/RMBS

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

EUR CLO

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