Mezz/Equity CLO

USD CLO

17 covers today – all lower mezz/equity.  The BBBs trade 437dm-582dm (2021-2024 RP profiles) versus comps trading as we have seen for a few months also in a wide dispersion 390dm-690dm.  Drilling down into a more liquid subset to give a flavour as to market sentiment, the 2023 RP BBBs trade today in a tight dispersion 437dm-466dm which are broadly in line with a 400dm-480dm trading range this month to date.  The BBs also trade as expected in similar context, with a range today 796dm-1316dm across 2021-2025 RP profiles versus 810dm-960dm comps this month to date.  Note however that stripping out the outlier trades (which are plentiful) the trading range today is 796dm-879dm.  As is expected the probability of outlier trades at the moment is quite high so the BBs that trade >900dm all have high Sub 80 loan price migration buckets (8-10pc) from less mainstream managers (eg. DFG and ArrowMark) with Black Diamond’s BLACK 2017-1A D at the wide end 1316dm / 5.7y WAL – vh WARF 3617 and vh CCC basket 14.35% tugging the DM wider.  There is one Equity trade today, BlueMountain’s BLUEM 2012-2X SUB which trades at a cash price of MH20s, the RPE is 4 months away whilst the NC has passed last year, with the senior tranche locked +105bps there is no obvious path to refi/reset.  The Int Diversion test cushion is negative (-0.84%), negative par build -1.05 (but expect this to normalise as asset prices rebound) whilst the Jnr OC cushion is cuspy 0.66% and ADR sits at 1.5% and the NAV is negative (-14.3 but note same point on par build) and this trades at circa 2.25y CF despite the transaction begin to deleverage later this year, there are still 2 x IPDs within the realms of the existing RP period.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

A busy day in mezz and equity with 20 trades in all. The one AA, OZLME 3X B1, traded at 228dm.

4 x A traded between 302dm and 317dm.

4 x BBB traded between 494dm and 524dm.

6 x BB traded between 715dm and 860dm. The tight end of the range are the Redding Ridge deals which have high MVOCs (around 106%) and high Junior OC cushions (around 4.5%). The widest trade is TCLO 1X ER (Chenavari) which has middle of the road credit metrics (MVOC is 102% and Jnr OC cushion is 2.2%). One of the bonds, SPAUL 3RX ER, has breached its Jnr OC cushion but it still traded at 814dm.

4 x B traded in a range from 890dm to 1000dm. The tight end is CONTE 2X FR which ended its Reinvestment Period in Nov 2018 and has started paying down. The other three all traded near 1000dm.

Spreads are well defined in a narrow range at the moment which bodes for well for the various deals in book-building phase.

ARBR 3X SUB equity traded at 33.05 / 20.62%. NAV is 22. This does look cheap relative to recent equity trades.

Mezz/Equity CLO

USD CLO

43 covers today, all mezzanine bonds – 4 x single A, 28 x BBB and 11 x BB.  The single-As trade 279dm-346dm (2022/2023 RP profiles)  which is broadly in line with 255dm-360dm trading levels over the past 2-3 weeks in this cohort.  At the tight end is Octagon’s OCT37 2018-2A B 279dm / 6.64y WAL – strong MVOC 112.65 but a weaker ADR 1.6 and 10.3% CCC but the manager’s record is constructive.  The high volume of BBBs today trade in an understandably wide dispersion 386dm-687dm across 2020=2025 RP profiles, with weaker MV metrics, sub80 buckets and CCC baskets driving the wide end.  At the tight end is Blackrock’s MAGNE 2019-23A D 386dm / 8.42y WAL which is fairly classic of this shelf (low CCC 1.9, low WARF 3045, low sub80 2.84 and 0 ADR), closely followed by TPG’s TICP 2016-5A DR 403dm / 7.4y WAL – strong MVOC 107.9, low ADR 0.46, low sub80 4.01 and CCC in check 6.6%.  The BBs trade 656dm-955dm, with once again a number of RP profiles represented hence the wide dispersion.  In the more liquid RP profiles (2023/2024) the trading range is 682dm-955dm versus a tighter past 2-3 week trading range 790dm-870dm, so firmer levels at the tight end but a couple of outlier trades through recent wides.  At the wide end is Fort Washington’s FWIA 2019-1A E 955dm / 8.64y WAL (2024 RP profile) with the high ADR 2.96% as the standout outlier in performance since all other metrics are reasonable including MVOC > 100 (102.3) but this is a debut manager with 1 x CLO under management with a weaker manager record versus peers (ADR for peers 1.11, annualised par build -0.81 v -.49 peers).

AAA CLO

EUR AAA CLO

A very busy day today with 34 trades in all. There are 2 x AAA which both traded around 171dm. This is a widening of around 15bps on our AAA curve. New issues, earlier this month, had got in to as tight as 150dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 10 x AA trades. The spread range is from 225dm to 275dm. Overall this isn’t much of a change on our AA curve. The trades at the wider end eg CGMSE 2016-2X A2 and CADOG 8A BRN do have lower Junior OC cushions (around 1.5%) and lower MVOCs (around 126%)

There is 1 x A (BABSE 2017-1X C) which traded at 331dm. This is wide to our curve but is explained by the fact that the Junior OC cushion has been breached, at 1.78%, and in fact is failing OC tests right up to Class D. Even though interest diversion has not taken place yet we expect this to be the case at the next IPD.

There are 6 x BBB. 5 of them traded between 400dm and 500dm and one of them, BLACK 2019-1X DE, at 583dm. For the 5 trades between 400 and 500dm these levels are now in line with recent BBB new issue pricing. Black Diamond traded wide to the curve but in terms of the credit metrics we can’t find any reason for this. Its MVOC is OK and its Jnr OC cushion is good at 4%. Only 4% of the pool is sub 80 price and the WA collateral px is 93.81. We think Black Diamond is a manager that can trade wide to its peers because of their liking for distressed asset plays which can make their pools riskier.

There are 9 x BB trades. There is some confusion in the CVR prices distributed as to which price the AVOCA 14X ER traded at. Ignoring one of the possible incorrect values it looks like the spread range is 690dm to 945dm. This is a very wide range but there are reasons for this. The three widest trades are GLGE 3X E, GLGE 5X E and BCCE 2017-1X E. Of these two of them are semi-distressed. GLG3 and Bain have low Jnr OC cushions (around 1%) and low MVOCs (around 100.5%). GLG5 is not a distressed bond but then we also have to factor in that GLGE bonds always trade wider.

There are 4 x B. Three of then traded around 1000dm. One of them, BCCE 2018-2X F, traded at 1270dm. Again this is a distressed bond. It has a low MVOC at 99.7% and a fairly low Jnr OC cushion at 1.9%.

Finally an equity piece, CGMSE 2014-2X SUB, traded at 42.02 / 6.12%. Its NAV is -5. It contains Takko and Hema which have both defaulted.

AAA CLO

USD CLO

14 covers today, all 1st pay AAA from a range of RP profiles trading 150dm-226dm.  At the wide end is Man Group’s GLGU 2018-2A A1R 226dm / 2.04y WAL (2020 RP profile) – high ADR 1.61, neg par build -1.45 and a weaker manager record vs peers.  Also at the wider end is Wellfleet’s WELF 2016-2A A1R 212dm / 2.02y WAL (also 2020 RP profile) – neg par build -1.13, low MVOC 137, high sub80 13.2, high WARF 3466 and CCC spilled 9.9% with a manager record stronger than Man’s but weaker vs peers.  At the tight end is a short dater from ArrowMark AWPT 2015-4A AR 150dm / 1.06y WAL – despite the weaker metrics (1.47 ADR, 11.7 ADR and 16% CCC) the deal is deleveraging at this tranche level post RP providing implicit support to this tranche.

Mezz/Equity CLO

EUR CLO

Just one single A trade today. CGMSE 2015-2X BR traded at 292dm. This deal ended its RP in Sep 2019 and has started paying down (AAA Pool Factor is approx. 93%). Given that its WAL is around 2 years shorter than a regular single A. 292dm is within the recently traded spread range but given the bond characteristics we see this as a widening of the curve.

AAA CLO

EUR CLO

2 AAA trades today. The Partners Group bond traded at 173dm. The GLG bond traded at 192dm. GLGE bonds always trade wider than their peers and in fact, in this case, this is one of the European deals in which the Junior OC cushion has been breached and interest diversion should be taking place. Bloomberg reported yesterday that Northwoods 21 (for Angelo Gordon) achieved 150dm for its AAA, the tightest AAA print since the crisis started.

Mezz/Equity CLO

EUR CLO

There are 8 non-AAA trades. The AA, JUBIL 2019-22X B1, traded at 255dm, which represents a 7bp widening on our AA curve. Bloomberg reported Northwoods 21 priced at 220dm.

The 3 x A traded around 295dm which is 30bps tighter on our single A curve. BBG reported Northwoods 21 priced at 320dm.

The 2 x BBB traded around 530dm. BBG reported Northwoods 21 priced at 467dm.

The 2 x BB traded around 750dm. BBG reported Northwoods 21 priced at 750dm.

AAA CLO

USD CLO

9 covers today – 1 x AAA, 2 x AA, 1 x A, 2 x BBB, 2 x BB and 1 x B.  The AAA SNDPT 2015-1RA A (Sound Point) trades 191dm / 3.46y WAL (2022 RP profile), although this cohort has traded 170dm-185dm in most recent trading it has traded as wide as 2-handle for weaker credits – this deal would be considered weaker with a high ADR 2.96 and a weaker manager profile than peers.

Mezz/Equity CLO

The AAs trade 225dm-272dm for shorter duration (2018/2021 RP profiles) more or less in line with recent trading in 240dm-300dm context.  The single-A GWOLF 2015-1A BR (Greywolf) covers 337dm / 5.7y WAL (2023 RP profile) at the wide end of 250dm-360dm recent trading – ADR is a little high 0.88 as well as Sub80 balance 9.2% and a low diversity 67 whilst Greywolf’s record has been in line with peers so this trade represents a little softening at this rating level.  The BBBs trade 415dm-429dm (2020/2023 RP profiles) at the tight end of recent trading in 420dm-580dm context, both bonds are from GSO and relatively clean.  The BBs are shorter dated and trade 632dm-672dm (2017/2020 RP profiles) tighter than recent comps in 800dm-1400dm – the GSO bond is deleveraging significantly (2017 RP) so has a 3y WAL whilst the Palmer Sq bond is pre-trustee reporting with no metrics yet available with the bond carrying a +423bps coupon so potentially pricing at a discount in new issue given the deal closed on 23 June.  The single-B is DEN14 2016-1A ER (Crestline) 1297dm / 7.9y (2023 RP)  – MVOC 96.7, ADR 0.32, 9% Sub80 and 12% CCC with the only real comps from 2 weeks back in this profile seen in similar 1200dm-1400dm context.

AAA CLO

EUR CLO

1 AAA trade today. PURP 2X A (Natixis) traded at 169dm / 4.95yr. The last AAA we saw, via BWIC, was DRYD 2015-39 AR at 166dm / 3.4yr. Today’s trade represents an approx. 10bps tightening on the AAA curve.

Mezz/Equity CLO

There are 5 mezz trades. The 3 x BB have traded between 670dm and 850dm. The tightest trade is BOPHO 3X E which has paid down substantially – the AAA has a Pool Factor of around 36%. The next tightest trade is CGMSE 2015-2X DR at 778dm. This deal has just started paying down with the AAA having a PF of 93%. Obviously both these BBs have short WALs of around 5yrs. The only “regular” BB trade today is HARVT 22X E which has an 8.9yr WAL and traded at 847dm.

The 2 x B traded at 1080dm and 1195dm. This represents about a 150bps widening on our BB curve from the last BB trades we saw at the end of June.

AAA CLO

EUR CLO

1 AAA trade today. DRYD 2015-39X AR traded at 166dm. This is about 10bps wider on the generic AAA curve.

Mezz/Equity CLO

4 more trades. The BBB, CORDA 4X DRRE, traded at 499dm. This is about 30bps wider.

The BB, SNDPE 2A E, traded at 801dm. This is also about 30 bps wider.

The single B, CIFCE 2X F, traded at 1022 dm.  This is about 50bps tighter on the single B curve from where we had it benchmarked.

OHECP 2015-3X SUB traded at 30.76 / 7.14%. Its NAV is zero. It contains New Look and Paper Industries. If we look at dollar prices of equity trades since the COVID crisis started – in Apr they were around 30, then up to June they crept up to 4 handle and then 5 handle, reaching a high of 62, but the last two trades have been back down with a 3 handle.

Mezz/Equity CLO

USD CLO

What is expected to be a more muted week given the pending 4th of July weekend, there are 5 covers today – 4 x BBB and 1 x Equity.  The BBBs (2021/2024 RP profiles) trade 416dm-479dm, the tight end is in line with the volatile 420dm-650dm range seen in this cohort over the past week.  At the tight end is Palmer Sq’s PLMRS 2019-1A C 416dm / 8.5y WAL (2024 RP profile) – strong metrics 0.7 ADR, 3.9 Sub80, 2943 WARF, 3.64% CCC and 108.4 MVOC.  At the wide end is Eaton Vance’s EATON 2013-1A CRR 479dm / 5.9y WAL – 1.05 ADR, 6.4 Sub80, 3157 WARF, 4.2% CCC and 105.65 MVOC reflecting the basis to the Palmer Sq bond.  There is one Equity that trades today Seix’s MVEW 2017-2X SUB that trades at a cash price of 48, NAV -40 and reasonably good metrics (ADR 0, Int Div cushion 2.3%, ADR 0.14, par build +0.21) with only the CCC basket (8.4%) a concern as the manager has a reasonably good track record versus its peers, this trades to around 3y CF with EoRP in 2023 and a low coupon on the AAAs (+121bps).

Mezz/Equity CLO

EUR CLO

9 mezz and 1 equity trades today. The 2 x A have traded around 330dm. This is definitely wider. A few days earlier we were seeing them in the 280dm to 310dm range.

There are 3 x BBB. Two traded around 510dm and one of them, BOPHO 5X D, was at 574dm. In terms of credit metrics there is nothing much to choose between these bonds but Commerzbank managed deals always trade that bit wider.

The two BBs traded around 810dm.

There are 2 x B. BECLO 2X F traded at 1000dm and ACLO 5X F at 1100dm. In terms of credit metrics the Spire deal is stronger than the BlackRock one: MVOC of 102.15 vs 100.46 and Junior OC cushion of 4.46 vs 3.68 but then the BlackRock bond is a year shorter and BlackRock always trade tight.

In equity, EGLXY 2016-5X SUB (PineBridge) traded at 35.63 / 8.98%. It only has one really distressed asset – Swissport HY bond valued at 15. Otherwise the deal looks in pretty good shape and has an NAV of 11, which is the first NAV over zero of a trade since March.

Mezz/Equity CLO

USD CLO

9 covers today, all mezz – 2 x AA, 2 x A, 2 x BBB and 3 x BB.  The AAs trade very narrow 222dm-223dm (2023/2024 RP profiles), trading at the tight end of a 223dm-270dm range this week for this cohort, the 2 bonds are clean fundamentally and come from benchmark managers.  The single-As also trade in a narrow dispersion 252dm-261dm (2023/2025 RP profiles) and also trade at the tight end of comps trading in 250dm-360dm this week, once again both bonds have relatively clean fundamentals.  The BBBs trade 528dm-655dm (2021 RP profiles) which is through the wide end of this week’s comps seen 450dm-580dm.  At the wide end today is Sculptor’s OZLMF 2013-3A CR 655dm / 5.25y WAL – high ADR 1.06, high Sub80 10.93 and CCC basket spilled 9.5% whilst the manager record is weaker than its peers.  The BBs trade 828dm-1072dm which is broadly in line with comps seen this week for this cohort 800dm-1100dm, at the tight end is a benchmark manager CIFC’s CIFC 2019-1X E 828dm / 8.33y WAL – 0 ADR, 5.4 Sub80, 3126 WARF and 3.7% CCC all reflective of a clean deal.

Mezz/Equity CLO

EUR CLO

Just 5 trades today. The AA is HNLY 1A B1 which traded at 251dm which is at the wide end of the recent range.

The single A is HAYEM 1X C which traded at 316dm, also the wide end of the range.

The 2 x BBB traded around 500dm.

The BB, AVOCA 11X ER, traded at 692dm, which is tighter than the levels of 25 June but actually more in line with the levels of 24 June and also in line with recent primary issuance.

AAA CLO

USD CLO

55 covers today across the cap stack – 20 x AAA, 15 x AA, 6 x A, 4 x BBB, 8 x BB and 2 x Equity.  The AAAs (all 1st pay) trade 151dm-216dm, levels at the tight end dominated by shorter WAL bonds with high quality longer WAL bonds in 160dm-180dm context.  At the wide end is Pretium’s CRNPT 2018-6A A1 216dm / 1.93y WAL – the EoRP is in a few months whilst ADR is vh 4.4, Sub 80 is high 11.3.  There is an outlier trade from WhiteHorse WITEH 2014-1A AR 377dm / 0.55y WAL, very short dated and deal delveraging fast but the remaining portfolio is concentrated in weaker credits – 19% Sub80, 2.6 ADR and 21% are CCC.  The AAs trade 223dm-325dm which is a touch wider to the 205dm-260dm range seen for similar RP profile cohorts this week.  At the wide end is Crestline’s DEN17 2018-1A B 325dm / 6.7y WAL – weak MVOC 120.4, CCC basket spilled 10.3% and weaker manager metrics.  The single-As trade 268dm-366dm which is also a touch softer vs a 220dm-360dm trading range for similar cohorts this week.  The BBBs trade 420dm-502dm which is in line with trading levels this week (see PriceABS trade listing).  The BBs trade 791dm-972dm (2021-2023 RP profiles) which is in line with 790dm-890dm trading range this week.  There are 2 Equity today from Bain and Octagon trading to cash prices in the 50s and 3y CF with both 2023 RP profiles and NAVs -5 to +4 so very cuspy, please see PriceABS trade listing for full breakdowns.

AAA CLO

EUR CLO

22 trades today. We’ll start with the solitary single A, ARESE 9X C, which traded at 290dm. This looks unchanged from recent day’s levels in secondary. For comparison Bloomberg reported that Harvest 24 priced its single A at 300dm and Albacore (a debut issuer in EUR) priced at 320dm.

There are 12 x BBB trades. All but a couple of outliers priced between 430dm and 510dm. Again this is in line with recent secondary levels. Bloomberg report that Harvest 24 priced at 400dm and Albacore at 425dm. The outlier in today’s trades at the tight end is ARBR 3X DR which traded at 370dm. This deal stopped reinvesting in Mar 2020 and the AAA has started paying down. The outlier at the wide end is GLME 3X D which traded at 551dm. Its credit metrics look normal to us and while it is a long bond at 8yr WAL it just looks a cheap level.

There are 8 x BB. The majority have traded in a range from 730dm to 820dm with just CRNCL 2016-7X E trading at 873dm. For reference Bloomberg report that Harvest 24 priced at 713dm and Albacore at 710dm. Again, to us, the performance of CRNCL 2016-7X E looks OK. Its MVOC is 103.94 which is at the low end but in the normal range and its Junior OC cushion is 3.58 which is adequate. It even has some CCC cushion left which a lot of deals these days don’t have.

The single B trade is BILB 1X E which traded at 1060dm which is in line with recent spread levels.

AAA CLO

USD CLO

45 covers today.  The AAAs (all 1st pay) trade 166dm-206dm, with 2 bonds in a 2-handle DM.  At the wide end is Benefit St’s BSP 2018-5BA A1A 206dm / 3.86dm – high ADR 1.59 and 8.2% CCC whilst manager metrics are slightly weaker to peers.  There are 12 x AAs trading 223dm-270dm (2021-2025 RP profiles) more or less in line with 230dm-250dm levels seen this week and 220dm-280dm seen over the past 10 days, minimal widening effect.  There is an outlier trade DEN17 2018-1A B (Crestline) 325dm / 6.7y WAL – weaker MV metrics (MVOC 120.7) and CCC 10.3% with weaker manager metrics.  The single-As trade 310dm-360dm vs 290dm-320dm seen this week so a touch wider albeit at the wide end is BCC 2017-2A CR (Bain) 360dm / 5.93y WAL – vh ADR 2.26, low MVOC 109.9 and a higher Sub80 balance 8.8 vs peers today. 

The BBBs trade once again in a wide dispersion 417dm-650dm (2021-2024 RP profiles) which is in line with trading this week 430dm-620dm in same cohorts.  The BBs trade 793dm-1077dm vs 800dm-850dm trading levels seen this week, so there are 6 of todays 9 bonds that are wide of this range so we are seeing a little softening at this end of the cap stack today.  There is an outlier trade WINDR 2016-1A ER (First Eagle) 1077dm / 5.4y – which poor MV metrics 98.9, neg par build -0.97 and the manager’s metrics worse than its peers.  There is a single-B trade ARES 2016-40X DR (Ares) 886dm / 6.9y WAL with DM with strong MVOC 100.25 and good fundamentals so trades in line with the wider end of BBs seen this week.

Mezz/Equity CLO

EUR CLO

An active day today – 26 trades across all rating categories. In AAAs there are two trades, at 163dm and 174dm. These levels look unchanged from a week ago.

There are 10 x AA and 8 of them have traded between 230dm and 238dm. Two of them traded around 255dm. We last AAs trade about a week ago and these spreads are within the previous range. The two wide trades are CADOG 8X BR and SPAUL 7X B1R and the ICG bond is only 5.2yrs WAL. SPAUL 7X B1R does have the lowest Junior OC cushion of all the AAs trading today at 0.82%.

At the beginning of the week single A’s were in the 300 to 320dm range. Today the 3 trades are 273dm, 292dm & 314dm. Overall we would say generic single A’s have tightened a little and the wide trade at 314dm, NEWH 2A CR (Bain), can be explained by its low Junior OC cushion at 1.30 versus around 4.50 for the other two.

There are 2 x BBB trades and there is a huge difference in their spreads. BLUME 4X D (BlueMountain) traded at 489dm / 7.7yr whereas HLAE 2016-1X DR (Bardin Hill) traded at 654dm / 7yr. A comparison of their metrics reveals (respectively) MVOC of 112.17 vs 106.30 and Junior OC cushion of 3.62 vs (1.06).

There are 7 x BB. Spread range is from 660dm to 810dm which does mostly fit in with a steep term structure. The exception to this being SPAUL 3RX ER which is only a 7yr but traded at 813dm. SPAUL 3RX ER does have a low Jnr OC cushion at 0.12 although GLME 2X E is only 0.53 and it traded at 803dm for an 8.2yr. VESPK 1X D (GSO) only closed in April 2020 but it is being reported as having a very low MVOC of 92.15 which might require further investigation.

The single B trade is CRNCL 2016-6X FR which traded at 1048dm. Yesterday we saw a single B trade at 1047dm.

In equity CADOG 10X M traded at 49.11 / 6.72%. Its NAV is -1. Equity NAVs have recovered a lot from around -40s in April to around zero now. This bond contains the defaulted assets Paper Industries and Solocal.

AAA CLO

USD CLO

A far busier day with 40 covers across the capital structure including 3 x Equity.  The AAAs (1st pay) trade 150dm-196dm, firmer tone at the tight end with a short dater from PGIM DRSLF 2013-30A AR 150dm / 2.44y WAL including clean metrics.  The AAs trade tighter 205dm-239dm with Onex’s OCP 2015-8A A2AR (AA+) cover 205dm / 2.86y WAL so slightly shorter than the other AAs and a notch higher rated reflecting in the level along wit strong MV metrics.  The single-As trade 217dm-336dm, tightening effect overall, at the wide end is MJX’s VENTR 2015-20A CR 336dm / 3.87y WAL – high ADR 2.6, high Sub80 16.75 and high spilled CCC basket 11%.  The BBBs trade 369dm-532dm, once again firmer at the tight end with comps trading 405dm-670dm over the past week, at the tight end is Onex’s OCP 2015-8A CR 369dm / 3.88y WAL – despite a high ADR 1.16, the sub80 balance is contained (5%) whilst CCC is 8% but the manager is debt friendly and has a stronger record than its peers.  The BBs trade 840dm-1378dm, two bonds with very different characteristics.  At the wide end is a 2017 RP profile WSTC 2013-1A D 1378dm / 3.2y WAL – vh ADR 4.88, vh Sub80 30.5 and 13.8% CCC with the deal deleveraging and reflects in low diversity 19.  The single-Bs trade 1232dm-2393dm and the wide dispersion is due to proximity to loss/thin tranches, at the tight end is Eaton Vance’s EATON 2015-1A FR 1232dm / 8.45y WAL – MVOC 99.7, low Sub80 6.23 and CCC is contained 5.1% from a strong manager.  Conversely at the wide end is Sculptor’s OZLM 2014-7RA ER 2393dm / 6.08y WAL – 95.88 MVOC, 12.12 Sub80 and 12.1% CCC.  There were 3 Equity trades today from ICG, First Eagle and BlueMountain.  BLUEM 2019-25A SUB trades to a 4.52% yield taking into context asset level haircuts based off pre-covid conservative stresses whilst the ICG (ICG 2018-1X SUB) and First Eagle (WINDR 2017-4A SUB) trade to 3-4y CF.  Please see PriceABS trade listing for data points and pricing/DM/yields on all trades today.

AAA CLO

EUR CLO

9 trades today, a mixture of NIG and equity. There are 7 x BB, which have traded between 680dm and 780dm. The three trades at the tight end (ANCHE 2X E, RRME 1X E & CORDA 4X ERR) all have better deal performance – their MVOCs are around 107 compared to around 103 for the others and their Junior OC cushions are around 4% compared to 2% for the others. The last BBs we saw were about a week ago when spreads were more like 720dm to 820dm.

There is one B trade, DRYD 2017-52X F, which traded at 1047dm. The last single B trades we saw were also about a week ago, at which time spreads were very volatile. We saw single Bs trading between 1000dm and 1300dm.

In equity, JUBIL 2017-19X SUB traded at 45.77 / 1.9%. Its NAV is -12. There are no defaulted assets in the pool although there are a few distressed eg Technicolor, PlusServer & AS Adventure. Its Junior OC cushion is 2.92% and 9% of its assets are sub 80 price.

AAA CLO

USD CLO

Today we saw 37 covers across the capital structure – 20 x AAA, 2 x AA, 1 x A, 3 x BBB and 11 x BB.  With the large number of AAAs, with some from more distressed deals the trading range was widely dispersed 163dm-265dm, the tights are where we have been seeing 1st pay AAAs trade.  At the wide end is JFIN 2013-1A A1NR (Apex Credit) 265dm / 2.83y WAL (2022 RP profile) – vh ADR 3.53% and 10.5% spilled CCC basket and manager record has been weaker than its peers.  Also trading towards the wide end of BSLs is a MM CLO from Golub GOCAP 2019-45A A 258dm / 4.88y WAL.  The AAs trade 231dm-248dm (2022 RP profiles) in line with recent trading levels (230dm-280dm).  The single-A trade is Apollo’s ALM 2013-7R2A BR2 309dm / 5.39y WAL (2021 RP profile) which is at the tight end of recent trading in this cohort 300dm-345dm.  The BBBs trade 451dm-620dm (2020, 2022-2023 RP profiles) which is more or less in line with recent trading 450dm-640dm.  The BBs trade 787dm-924dm across 2019-2024 RP profiles with recent trading volatile 650dm-1400dm today’s trade represent some stability with all MVOCs above 100.  At the wide end is Carlyle’s CGMS 2012-4A ERR 924dm / 8.01y WAL – with weaker metrics 0.98 ADR, 11.6 Sub80, 3530 WARF and a 11.4% CCC basket.  See PriceABS for full trade listings and associated data points.

AAA CLO

EUR CLO

Just 4 trades today. There are 3 x A and two of these traded around 307dm and one of them, CIFCE 1X C, at 327dm. The CIFC bond has credit metrics as good as the other two bonds but the manager is not as large for CLOs. The 307bp print is within the range for recent trades.

The BBB trade is SNDPE 2X D which traded at 484dm. This is also unchanged from recent levels.

AAA CLO

USD CLO

6 covers, all BB rated trading 774dm-1014dm (2022-2024 RP profiles) versus a volatile 743dm-1424dm trading range for this cohort this week.  At the wide end today is ArrowMark’s AWPT 2013-1A D1R2 1014dm / 6.2y WAL – ADR 0.69, 11% Sub80 and 8.3% CCC whilst the manager’s record is slightly weaker than its peers.  At the tight end is a recently closed CLO for AGL AGL 2020-5A E 774dm / 6.45y WAL – high coupon of 652bps at new issue, pre-trustee so no metrics available at this point.

AAA CLO

EUR CLO

Just 5 trades to finish the week on. 4 x A, traded between 290dm and 310dm. This is in the range of trades in the last few days.

1 x BBB, CRNCL 2018-9X DNE, traded at 404dm. This is a lot tighter than the recent trades we have seen in H400s area.

AAA CLO

USD CLO

A quieter day with 22 covers – 1 x AAA, 2 x AA, 3 x A, 8 x BBB and 8 x BB.  The only AAA trade today is Sculptor’s OZLM 2014-8A A1RR 200dm / 3.02y WAL, this is a wider DM given the weaker MVOC 141.1, the interest diversion cushion is -1.97%, ADR 0.84%, sub80 high 12.4% and CCC basket is 11.1% whilst the manager’s record is weaker than its peers.  The AAs trade 229dm-260dm with this cohort trading 220dn-280dm this week so levels are in line.  The single-As trade 301dm-395dm (2020/2021 RP profiles) with this cohort trading 336dm-445dm so largely in line too, at the tight end today is Park Av’s PAIA 2017-1A B 301dm / 5.75y WAL – strong MVOC 113.9, lower sub80 8.6 and a debt friendly manager with key metrics better than peers.  The BBBs trade 407dm-540dm (2021/2022 RP profiles) with this cohort trading 440dm-520dm there is a slight tightening effect on better quality bonds, however there is an outlier trade today Anchorage’s ANCHF 2019-7A D 670dm / 7.85y WAL – a very high ADR 2.72, high Sub 80 16.2, high WARF 3527 and a high CCC basket 12.4% as contributing factors.  The BBs once again trade in a wide dispersion which is a trend we have seen post-vol at this end of the liability spectrum – 743dm-1217dm (vs week to date comps 780dm-1400dm), once again levels at the tight end have outperformed with Blackrock’s MAGNE 2015-12A ER cover 743dm / 7.98y WAL – MVOC is above par 101.2, respectable ADR 0.55, low Sub80 7.7%, lower WARF 3220 and CCC 6%.  Furthermore the WAS is low 3.27% so this is a more conservative portfolio.

AAA CLO

EUR CLO

16 CLO trades today with all rating classes featuring. 4 x AAA, all trading between 165dm and 180dm. This is wider than the recent trades we have seen which were around 160dm but is in line with the OCP 2020-4 new issue pricing (175dm) as reported by Bloomberg.

There are 3 x AA. Two of them have traded between 210dm and 230dm. One of them, BLACK 2019-1X B1, has traded at 256dm. The first thing is that the Black Diamond bond is about 2 years longer but also it does have an MVOC which is on the low side (126.90) however it has a perfectly respectable Junior OC cushion at 3.85%. Black Diamond tends to be one of those managers that trade a little wider than its peers.

There are 2 x A which have traded at 283dm and 310dm (OCP 2020-4 was 280dm per BBG). The 283dm level is the tightest secondary trade we have seen for some time. Yesterday’s trades were around 300dm.

The 2 x BBB traded between 460dm and 490dm (OCP 2020-4 was 420dm). Yesterday’s trading level was 480dm to 520dm.

The 4 x BB have traded between 700dm and 820dm, all in line with the respective credit performance of the deals. The wide trade is SPAUL 9X E which has the lowest MVOC at 101.90 and the lowest Jnr OC cushion at 1%. The tight trade is OCPE 2017-2X E (Onex) which has the highest MVOC at 105.71 and a healthy Jnr OC cushion at 3.95%.

The single B trade is TCLO 5X F which traded at 1128dm (OCP 2020-4 was 875dm per BBG). Single B spreads seem to be very volatile. On 16 June one traded at 970dm and the day before that several traded around 1300dm.

AAA CLO

USD CLO

36 covers today.  The 1st pay AAAs trade 160dm-180dm with an outlier trade CGMS 2015-3A A1R (Carlyle) 205dm / 1.92y WAL – weaker MVOC 143.2, highly negative par build -1.08 and a higher WARF 3547 whilst CCC basket 10.2%.  The BSL AAs trade in a tight dispersion 228dm-253dm whilst there was a MM CLO AA trade today FSKMM 2019-1A A2 (FS KKR) 395dm / 4.14y WAL.  The BSL single-As trade 276dm-336dm whilst another MM CLO trade DIMND 2019-1A C (GSO) trading wider 445dm / 4.7y WAL.  The BSL BBBs trade 423dm-518dm in line with this week’s trading whilst another MM CLO trade ANTR 2017-2A D (Antares) 639dm / 5.42y WAL.  The BBs all trade sub 1000dm - 808dm-909dm with an outlier trade at the wide end RMRK 2018-2A D (Shenkman Cap) 909dm / 7.5y WAL – weaker MVOC 101.15 and the manager has a weaker record versus its peers.

AAA CLO

EUR/GBP ABS/RMBS

TOGET 1 A (UK Non-conforming RMBS) traded at 99.88 / 112dm / 15cpr / step up call date at the AAA level.

EUR CLO

12 CLO trades today. 2 X AAA, both trading around 160dm, unchanged from recently.

3 x A, all around 300dm to 330dm. This looks a bit tighter, on average, and makes up some of the ground lost last week.

5 x BBB, all around 480dm to 520dm. This is unchanged for clean deal levels.

2 x BB, one at 810dm and the other 900dm. This looks wider than yesterday’s BB trades which were between 615dm and 800dm.

AAA CLO

USD CLO

A very busy day with 65 covers.  The 1st pay AAAs trade 176dm-217dm, at the wide end is ICG’s ICG 2014-1A A1R 217dm / 2.97y WAL – weaker MVOC 140.2, high ADR 1.38, high Sub80 14.9%, high WARF 3682 and a spilled CCC basket 12.2%.  At the tight end is GSO’s GILBT 2017-1A A 160dm / 4y WAL – 143 MVOC, 0.05 ADR, 8.45 Sub80 and 6.1% CCC.  The AAs trade 221dm-280dm across RP profiles, the trading range this month for this cohort has been wide 190dm-350dm in comparison whilst trading tighter to the 280dm-300dm range seen yesterday.  The single-A trade is ARES 2019-51A C (Ares) 283dm / 7.2y WAL (2024 RP profile) which is in line with GoldenTree’s GLM 2019-5A C comparable from 9 June 281dm / 7.73y WAL also a 2024 RP profile.  The BBBs trade 422dm-499dm across RP profiles which is more or less in line with recent trading which has been in mid-400s context, there is an outlier trade today DEN11 2015-1A CR (Crestline) 637dm / 5.1y WAL (2020 RP profile) – weak MVOC 102.9, higher Sub80 11, high WARF 3567 and a significant CCC basket 14.2% whilst the manager’s record is weaker than its peers.  The BBs trade 657dm-1059dm, DMs have been significantly volatile in this rating level as wide as 1424dm in past few days.  At the tight end is Onex’s OCP 2015-8A D 657dm / 4.4y WAL – strong MVOC 104.6 despite the high ADR 1.16, lower relative Sub80 7.7 and CCC basket cuspy at 7.8% whilst Onex’s performance has been debt friendly and better than many of its peers.  At the wide end today is KKR’s KKR 18 E 1059dm / 6.6y WAL – MVOC below 100 at 99.4, high ADR 1.41, higher Sub80 10.3 and a 8% CCC basket whilst KKR’s performance has been below its peers recently.

AAA CLO

EUR CLO

A heavy day’s trading today with 35 CVRs which includes 3 equity pieces. There is 1 x AAA, BNPAM 2015-1X ARR, which traded at 160dm. This is in line with recent secondary levels. Bloomberg reported yesterday that OCP 2020-4 priced its AAA at 175dm. The new issue would have had a longer WAL.

The AAs traded between 200dm and 250dm. BBG reported the OCP 2020-4 AA priced at 220dm.

The single As traded between 315dm and 370dm with the exception of HLAE 2017-1X C (Bardin Hill) which traded at 417dm. The Bardin Hill bond does have a lower MVOC than the others and also a low Junior OC cushion (0.76) although it hasn’t been breached unlike BABSE 2016-1X CR which is at -1.20. BBG reports the single A from OCP 2020-4 priced at 280dm. Secondary trades at the end of last week were more in the range of 300dm to 330dm so the market does look to have widened from that point in time.

BBBs traded between 440dm and 510dm with the exception of GLGE 2X DNE which traded at 642dm. This is in line with recent days trading. The Onex new issue priced at 420dm. The GLGE bond does have poor credit metrics and GLGE bonds always trade wide to the rest of the market.

The BBs are quite dispersed in their trading range from 615dm to 800dm. This is in line with the trading range of the last few days. The Onex BB priced at 730dm according to BBG.

There is one single B, CORDA 12X F, which traded at 966dm. This compares with 875dm for the Onex new issue. These are massively tighter levels than we saw only yesterday when a number of single Bs traded in a 1250dm to 1320dm range.

There are 3 equity trades. CGMSE 2015-2X SUB traded at 31.45 / 19.5%. It contains New Look and Hema which are defaulted items. CGMSE 2018-1X SUB traded at 49 / 9.95%. CADOG 12X SUB traded at 60 / 1.93%. It contains Paper Industries, Solocal and Doncasters Group which have all defaulted. There is a wide variation in prices and yields on these equity trades. Calculations are very sensitive to assumptions, especially now, around factors like timing of breaching Interest Diversion tests and Manager ability to keep trading the portfolio / reinvesting the portfolio.

AAA CLO

USD CLO

26 covers today – 11 x AAA, 2 x AA, 1 x BBB, 10 x BB and 2 x B.  The AAAs trade in a 130dm-206dm range given the range of profiles today, JTWN 2014-4A A1AR (investcorp) is a short dater 130dm / 0.79y WAL (post RP almost 2y).  Away from that levels have cooled a little with KAYNE 2020-7A A1 (Kayne Andersen) at the tight end 172dm / 6.35y WAL – 0 ADR, 2.3 Sub80, 1% CCC, this is a 2020 recent vintage so has priced with a 3.0 high coupon.  At the wide end is MP14 2018-2A A1 (Marble Point) 206dm / 5.05y WAL – weak MVOC 141.3, high ADR 1.86 and 10% CCC basket.  The AAs trade 281dm-304dm versus a 240dm-300dm recent trading range for AAs.  The BBB trade is ALLEG 2015-1A DR (Axa IM) cover 471dm / 4.17y WAL, a rare 2019 RP profile as compared to the 400dm-600dm range seen for BBBs this month to date, the deal has 0.83 ADR, 13.5 Sub80 and 15.2% CCC basket whilst MVOC is weaker at 104.2.  The BBs trade 826dm-1424dm vs a 650dm-1500dm range seen for similar cohort this month reflecting the volatility and tiering within BB tranches.  At the tight end is CIFC 2019-3A D (CIFC) 826dm / 8.6y WAL  - 0 ADR, 5.8 Sub80, 3158 WARF and 2.3% CCC from a benchmark manager whilst add the wide end is TRNTS 2016-4A ER (Trinitas) 1424dm / 7.7y WAL – 1.39 ADR, 11 Sub80 and 8.3% CCC from a weaker manager.  The single-Bs trade 1217dm-1457dm (2023 RP profiles) versus a CIFC RP trade in 1240dm context so the levels today at the tight end are in line, at the tight end is another benchmark manager CSAM’s MDPK 2018-29A F 1217dm / 8.1y WAL – 0.31 ADR, 10.5% Sub80 with MVOC at a slight shortfall 99.62 which is expected for these thin second loss pieces.

AAA CLO

EUR CLO

13 CVR prices today across a range of ratings. In AAs we have 4 prices although 2 of them are DNTs. The spreads are around 245dm to 250dm. This is on line with the last AA trade we saw on 11 June which was the date the market sold off.

There is one single A trade, SNDPE 3X CE, which traded at 333dm. This is a little wider than we saw on Fri of last week where trades were mostly around 320dm. On 12 June SNDPE 2 C traded at 319dm.

There are 3 x BBB. They have traded between 450dm and 490dm with the widest trade coming off the CQS shelf. These levels fit within the traded range we observed on Thu and Fri of last week.

There are 5 x B and the spread range is 1230dm to 1370dm. This is a significant widening on what we saw last week. On 11 June we saw trades in the 1070dm to 1140dm range.

AAA CLO

USD CLO

28 covers today to round out a very liquid week – 3 x AAA, 1 x AA, 5 x A, 12 x BBB, 6 x BB and 1 x B.  The 1st pay AAAs trade softer in a 173dm-197dm range, however these are all from the same manager American Money Management Corp, the ADRs are high on the 2 bonds at the wide end of the range (in 1.2-1.3 context) as well as negative par build and weaker MV metrics.  AMMC 2018-22A A trades at the tight end 173dm / 4.3y WAL with good performance metrics.  The AA TRNTS 2018-9X B1 covers 297dm / 6.7y WAL, this trades wide to the 190dm-240dm range seen this month to date – the manager has a weak record, negative par build -0.65 and ADR 1.45.  The single-As trade 275dm-399dm across 2021-2025 RP profiles, the comparable trading range this month for this cohort has been 250dm-460dm so today’s trades sit firmly within these boundaries.  The BBBs trade 415dm-601dm with comparable liquidity in 360dm-650dm range this month so the trading levels today are also within these boundaries.  The BBs trade 775dm-1499dm, at the wide end is OFS’s OFSBS 2017-1A E with MVOC shortfall 97.53 from an inexperienced manager with a slightly weaker performance record vs benchmark.  At the tight end is Symphony’s SYMP 2018-20A E cover 775dm / 8.72y WAL – MVOC is 5pts higher than the OFS trade at 102.52, ADR is low 0.18 and the manager’s record is strong.  The single-B trade is CIFC’s CIFC 2018-3A F cover 1238dm / 8.44y WAL (2023 RP profile), with single-Bs trading this month to date in a wide dispersion 1100dm-2200dm this trade is at the tight end – the manager has an excellent profile, ADR is near zero, sub80 is 9% and CCC is 4.2% whilst MVOC is near 100 (99.54).

AAA CLO

EUR CLO

A quieter end to a busy week. There are 9 CVRs. Both AAAs traded around 165dm. This is in line with AAA trading earlier in the week.

The single As traded between 300dm and 320dm. On 11 June we saw trades between 260dm and 290dm and earlier in the week they were more like 250dm – so the sell off continued to the end of the week.

The BBB and BB trades are both in PURPLE 2 – the Natixis shelf. The BBB traded at 507dm. On 11 June the BBB trading range was 400dm to 500dm – so it is hard to reach too much of a conclusion from this one trade. The PURP 2 BB traded at 840dm. On 11 June the traded range was 700dm to 820dm. PURP 2 BBB has an MVOC of 108.15 which is on the low side and a BB MVOC of 101.06 which is also low however the Junior OC cushion is quite healthy at 4.04%. The deal closed in Oct 2019 so it is still pretty clean.

AAA CLO

USD CLO

A more modest day’s trading with 21 covers – 6 x AAA, 1 x A, 7 x BBB and 7 x BB.  The AAAs are all 1st pays and trade in a narrow dispersion 156dm171dm (2022-2025 RP profiles) firmly within the trading cohort of 150dm-200dm range this week.  The single-A trade is DFG’s VIBR 2016-5A C 343dm / 5.44y WAL (2021 RP profile) which trades at the tighter end of 330dm-460dm seen this month to date in this single-A cohort – ADR is 1.47, sub809 13.9, CCC is cuspy 7.5% and par build is -2.36 so this represents fairly average performance which is reflected in the dm level.  The BBBs trade 426dm-490dm (2022-2025 RP profiles), this cohort has traded as low as 360dm this week.  There are two outlier trades LCM 25A D & MP11 2017-2A D that trade wider 575dm-615dm respectively – MVOC is low on both trades (in 102 context vs 104+), ADRs are high 1-1.3, sub80 12.5-13 which is toppy and cuspy CCC 6.6% / 10%.  The BBs trade 754dm-882dm (2020-2024 RP profiles) at the tighter end of this week’s trading range 729dm-1281dm, there is an outlier trade DEN15 2017-1A E1 (Crestline) 1381dm / 6.45y WAL – MVOC is below par 98.29 whilst all other BB trades today are covered by MV, sub80 bucket is at the top end 13.1, WARF is toppy 3551, negative par build -0.55 and notably the CCC basket is spilled at 13.6%.

AAA CLO

EUR CLO

Another very heavy day’s trading in CLOs. In AA space CGMSE 2019-2X A2A traded at 241dm. On 8 June we saw AAs trading between 190dm and 220dm.

In single A space trades were in the range 260dm to 290dm. Broadly speaking these are the same as the wider levels we saw on 10 June.

In BBBs the trading range is 400dm to 500dm. The tight trade is AVOCA 21A D which is also the longest bond. The shortest bond is also one of the widest trades: ARESE 2013-6X DR at 484dm. There is actually very little to set these two trades apart in terms of their credit metrics. Ares has the slightly higher MVOC and Jnr OC cushion. We think the difference in spreads is due to Manager tiering. On 10 June the generic trading level was 420dm to 460dm so today’s trades are around that range.

In the BBs there were quite a lot of DNTs but where the best bid was disclosed. We have included these in our analysis. The spread range is quite dispersed between 650dm and 850dm. The DNTs were spread across both wider spreads and tighter spreads. The actual traded range is from 700dm to 820dm which is the same range as trades on 10 June.

There are 3 x single B but two of them are DNTs. The trade is CGMSE 2015-2X E at 78.64 / 1145dm. This is a further retreat from 10 June levels which were more in the 1000dm to 1080dm range.

There are 3 x equity trades. CADOG 9A M traded at 34.28 / 9.84%. We are using the same post-crisis scenario we have used for months now, to allow for comparison in yields as the equity market has rallied from its March lows. This deal contains two defaulted names – Travelex and SoLocal. NAV is -21. CADOG 11X SUB traded at 52.77 / 2.37%. It contains SoLocal and Doncaster which have defaulted. NAV is -32. MDPKE 14X SUB traded at 62.39 / 5.74%. Its NAV is -4. It contains Paper Industries which has defaulted. All 3 equity pieces have some Jnr OC cushion remaining, between 2.5% and 4.5%.

AAA CLO

USD CLO

71 covers today – 6 x AAA, 11 x AA, 19 x BBB, 23 x BB, 2 x B, 1 x CCC and 10 x Equity.  The AAAs trade in similar theme to prior days 158dm-179dm with an outlier trade CRMN 2014-1A A1AR (Trimarin) 204dm / 3.71y WAL – this deal has a high ADR 1.37, 8.2% CCC and high sub80 14.75%.  The AAs trade 193dm-235dm with an outlier trade TELOS 2013-4A BR (Telos AM) 347dm / 4.92y WAL – high sub80 18% and weak MV metrics MVOC 115.8 and CCC 8.9%.  The BBBs trade 349dm-648dm in line with trading levels month to date.  The BBs trade 683dm-1121dm, with 683dm at post-vol tights, GLM 2020-7A E (GoldenTree) trades 683dm / 5.5y WAL – 0 ADR, 0.71 sub80 and low WARF 2623 with no CCCs, this is a recently closed 3.0 CLO @ high coupon.  2 x B’s trade 1093dm-1486dm tight to 1600dm-2200dm range seen month to date in similar cohort.  A CCC rated SYMP 2014-14X F covers 2206dm and is a useful datapoint for a rare rating.  There are 10 Equity positions covered today and please contact PriceABS for more color.

AAA CLO

EUR CLO

A huge day’s trading by BWIC, all of it in the mezz space. The only single A trade is OHECP 2018-7X C which traded at 291dm. Recent single As have been around 250dm so after many days of tightening we see the market reversing direction.

There are 6 x BBB trades. Four of them are relatively clean and have traded in a 420dm to 460dm range. This is wider than yesterday when the generic range was more like 390dm to 410dm. The two wider trades today are CADOG 8X DR at 560dm and HLAE 2016-1X DR at 650dm. Both these deals have low MVOCs (Halcyon is 102.07 and Madison Park is 104.55) and Halcyon is breaching its Class F Par Value Test.

There are 23 x BB trades. There is quite a dispersion of spreads – from 690dm to 810dm and then also with one outlier at 930dm. Yesterday we saw BBs trading generically between 670dm and 730dm so overall this rating has also widened. There is one trade today at 670dm (DARPK 1X D) but this is explained by the fact that this deal has started paying down. The wide trade at 930dm is GLGE 1X ERR. Its credit characteristics are poor eg MVOC is 99.05 and Jnr OC cushion is 1.56 but it is not unique in this regard. For example SPAUL 8X E has similar metrics but traded at 810dm. The GLG shelf always trades at a premium spread.

There are 9 x B. These have traded between 950dm and 1080dm but with one outlier at 1260dm. For comparison we have only saw 1 x B trade, about a week ago which was 970dm. We think this rating class has widened along with the rest of the market yesterday. The wide trade at 1260dm is CGMSE 2013-1X ER which has a low MVOC at 95.73 and a low Jnr OC cushion at 1.53.

AAA CLO

USD CLO

A very active trading day with 47 covers.  The 1st pay AAAs trade 151dm-199dm, with CCC levels having a major pull on DMs today since a number of deals have weaker fundamentals.  There is an outlier trade ZAIS8 2018-1A A (Zais) 255dm / 2.34y WAL – vh ADR 3.37, vh sub80 31.88, vh WARF 3792 and 16.9% CCC basket making this a significant outlier.  The 2nd pays trade 194dm-247dm today which is inside the outlier 1st pay AAA and the CGMS 2014-2RA A2 194dm / 6.02y is in line with the wide end of the 1st pays.  The AAs trade in a wider range today 236dm-305dm (2021/2023 RP profiles) with trading seen 205dm-270dm since month end in this cohort, the wide end of the range is KVK 2016-1A B with reasonable perf metrics but the manager in inexperienced and has a weak record to date which drives the wider level.  There is a MM CLO AA GRMML 2018-2RA A2R that trades through the BSL levels at 342dm / 5.8y WAL.  The single-As trade tighter 246dm-329dm today versus 304dm-462dm range since month end.  The BBBs continue to tighten and trade 358dm-512dm versus 390dm-650dm range since month end, at the tight end is TPG’s TICP 2018-10A D 358dm / 6.71y WAL – strong MVOC 108.3, low ADR 0.09, low sub80 6.63 and CCC basket in check 5.3%.  The BBs trade 762dm-1022dm with the tight end in line with tights seen since month end with trading range 760dm-1924dm, please see PriceABS trade listing for details.

AAA CLO

EUR/GBP ABS/RMBS

DILSK 3 A (Prime Irish RMBS) traded at 108dm at the AAA level.

EUR CLO

A lot of trades today, mostly mezz – but we’ll start with the 2 x AAA. They both traded around 165dm. This is in line with previous levels.

There are 10 x BBB trades. All trades apart from LAUR 2016-1X DR traded between 385dm and 410dm. LAUR 2016-1X DR traded at 454dm. This is a widening on the generic BBB curve of around 30bps. The LAUR 2016-1X DR bond, managed by GoldenTree, has around 1.5pts less of MVOC than its peers and a Jnr OC cushion of 1.1% compared to around 4% for the other bonds.

There are 8 x BB. They mostly traded in a 720dm to 750dm range but with a couple of outliers, at the tight end and the wide end. Leaving aside the GSO BB that traded very tight yesterday because it has delevered and has the MVOC of a BBB, these generic levels are a good 80bps tighter than we were seeing. The trade at the tight end is HARVT 11X ER at 676dm. It doesn’t have a particularly good MVOC (99.68%) or Jnr OC cushion (2.12%) so we cannot really explain this level tighter than the rest. The trade at the wide end is TCLO 2X ER at 806dm. It does have a lower MVOC (98.10%) than its peers and a lower Jnr OC cushion (1.83%).