AAA CLO

USD CLO

A positive end to the week with AAAs trading below 200dm for the first time post-vol, we saw 11 covers today with 7 x AAA and 4 x A rated.  The AAAs traded in a 183dm-252dm plus a 2nd pay AAA cover at 241dm / 5.9y WAL.  The AAA levels are reflective of the support that the Fed has put in place for Leveraged Loan CLOs (direct support for Static CLOs) and also a continued improvement in sentiment and stabilisation of underlying loan prices.  At the tight end today Blackrock’s MAGNE 2012-7A A1R2 (2021 RP profile) covers 183dm / 2.8y WAL which will give an interesting data point to pending static/semi-static CLO public/private placements given the comparable short WAL – this deal is however very clean with a low ADR 0.29, low sub80% 17.4% and good diversity and WARF.  At the wide end is MJX’s VENTR 2016-25A AR at 252dm / 2.7y WAL (also 2021 RP profile) – this deal carries a high ADR 1.07, high sub80% 30.5 and low MVOC 131.6 from a weak manager.  The single-As today (all 2023 RP profiles) trade 408dm-474dm which is much tighter than comps seen in 500dm-550dm recently.

AAA CLO

We are seeing the single A's trading around the 500dm mark and the BBB at 680dm. We have extended the bond scenario so we do get a longer WAL than one of the dealers who is showing this trade at M700s dm.

AAA CLO

USD CLO

Today was a lot busier and a positive day all round with 20 covers reported – 9 x AAA, 2 x AA, 6 x BBB and 3 x BB rated.  The AAAs trade in a narrow range 221dm-279dm even despite the range of RP profiles (2021-2025), these levels are broadly flat to recent comps, with the tight end of today’s trading the tightest post-vol - OHALF 2016-1A AR (Oak Hill) 221dm / 6.3y WAL with good performance including ADR 0.18, sub80 23.3 and an excellent manager performance record.  AAs today trade 292dm-317dm (2023/2025 RP profiles) which is a narrow range and are tightest levels post-vol, levels have been 317dm-393dm since the turn of the month, the managers on show today are benchmark managers (GSO and Oak Hill) with deals with good fundamentals which are reflected in the DMs today.  The BBBs trade in a wide dispersion today 692dm-872dm (vs month to date trading range 703dm-948dm) with fundamentals driving the tiering as expected at this level of the capital structure, at the tight end KKR 26 D (KKR) covers 692dm / 8.4y WAL with no defaults, low relative sub80 27%, good WARF 2878 and a very good manager record.  At the wide end of the BBBs is GUGG4 2016-1A CR (Guggenheim) 872dm / 7.9y WAL – the manager has a sound performance record but the low par build (-0.45) and high WARF (3055) reflect some additional risk taking which the market has discounted and reflected in the DM today.  The BBs trade in the narrowest range seen post-vol 1319dm-1395dm, perhaps partially down to the fact that these are all 2024 RP profiles with the transactions not carrying excessive ADRs and positive par builds (as reported to date) from benchmark managers (Ares, TPG and Neuberger), we have seen this cohort trade 1339dm-1588dm this month to date so there is some stabilisation and mild tightening effect at this end of the capital structure.

AAA CLO

EUR CLO

A couple of BWIC prices today. The AAA DNT’ed but best bid is at 260dm.

The single A is at 486dm.

Both bonds are from managers that can trade a bit wider than top tier.

AAA CLO

USD CLO

A busier trading day with 15 covers to report with more liquidity – 1 x AAA, 1 x AA, 10 x BB, 2 x BB and 1 x B.  The AAA covers 247dm / 2.7y WAL (2021 RP profile) which is not a profile we have seen since month end but trades comfortably in the stable zone we have seen since month end, the bond is MARNR 2015-1A AR2 (Mariner Inv) with a decent MVOC 134.15, low ADR 0.23 and a very good manager performance record.  The AA covers 612dm which trades extremely wide to 3-handle AAs seen since month end, the deal suffers from a high ADR 0.94, low diversity 60, negative par build -1.04 and very weak manager credentials versus its peers.  With the glut of BBBs trading today there is a wide range given the volatility at this end of the spectrum, the range is 705dm-948dm across all RP profiles, we have seen a similar theme since month end with trading ranges 703dm-849dm for similar RP profiles.  2 outliers KKR 16 CR (KKR) today trading 929dm and BLUEM 2015-2A (BlueMountain) DR 948dm, both have extremely weak MV metrics versus peers (95%/96% vs 97%+), high sub80 asset migration (c. 40%) and high WARFs c.3000, the manager record for BlueMountain is weak whilst KKR is stronger and this is somewhat reflected in a wider level for BLUEM 2015-2A DR which also carries a 1.75% ADR.  We are starting to see more liquidity in BBs, today’s trading range is 1450dm-1586dm for 2024 RP profiles, comparable with DMs post month end in 1339dm-1588dm, at the wide end is MDPK 2018-32A E covers 59.1 / 1586dm / 8.7y WAL which despite an excellent manager (CSAM) is taking a bit more risk reflected in the high WARF 2920 and high sub80 assets bucket 40.81% which are intrinsically larger levers for spread direction at this end of the capital structure.  There was a rare single-B today, the first one post-vol, covers 1979dm / 6.9y WAL, again from (CSAM MDPK 2018-30A F), the transaction has strong metrics and a decent MVOC versus peers in these distorted times (92.8) but given the thin nature of this second loss tranche and equity yields into the 30s this reflects in a significant DM on this tranche.

AAA CLO

USD CLO

6 covers today – 4 x BBB and 2 x BB rated.  The BBBs (2023/2024 RP profiles) trade in a 706dm-763dm range which is comparable to level seen end of last week so no material movement here, at the tight end of the range is Oak Hill’s OHALF 2013-1A DR2 706dm / 7.91y WAL – cuspy MVOC 98.85, 0.71 ADR, sub 80 assets 33.23% (lower than most) and -0.2 par build, furthermore Oak Hill is an experienced manager with an excellent performance record so a big driver of direction.  The BBs trade 1466dm-1588dm (cash prices around the 60 mark), with a Golden Tree BB trading 1339dm post month end there is little in the way of comps here. Although MVOC’s are sub 100 (95-96) the ADR on both is 0%, par build’s are (so far) positive and both bonds are from good managers (CIFC and CSAM) so technical are driving direction at the BB level rather than fundamentals.

AAA CLO

USD CLO

Today was a relatively active day with 14 covers – 5 x AA, 3 x A, 4 x BBB and 2 x BB rated.  The AAs (from 2023/2024 RP profiles) trade in a 351dm-423dm range which is flat to levels seen around March month end.  At the wide end of the range is BlueMountain’s BLUEM 2014-2A BR2 423dm / 6.64y WAL – this has weaker MV metrics (MVOC 110.5), a high ADR 1.4% and a negative par build -0.84 compared to the other AAs today.  The single-As (2022/2023 RPE) trade 508dm-547dm which are a touch tighter to March month end levels in mid-hi 500s.  The BBBs trade in a 730dm-780dm range (2020-2023 RP profiles) which are tighter to March month end levels seen in mid 800s context (please see PriceABS trade listing for detail).  At the lower end of the capital structure at the BB level DMs can be quite explosive given the CV19 dislocation, the trading range today is 1339dm-2092dm with cash prices at the wide end in mid 40s context - CIFC 2014-2RA B2 (CIFC) covers 44.25 at 2092dm with stressed CDR and CPR vectors now in place, the fundamentals of the transactions today are not weak (eg. ADR 0.67% and sub 80 asset migration 26.15% on the CIFC trade) but technical factors are driving cash prices lower which is reflected in high DMs at this end of the capital structure.

AAA CLO

USD CLO

We had 7 mezz trades today – 5 x BBB and 2 x BB rated.  The BBBs are firmer and trade in 703dm-755dm range, with an outlier trade BCC 2019-2A D (Bain Cap) 849dm / 8.3y WAL – this trade has a longer WAL than the vast majority of triple-Bs that traded in the aforementioned range, but more importantly the MV metrics are significantly lower (MVOC 97.63 versus peers 99.4-102 and MVAP -2.43 versus peers -0.4-2.1).  The BBs traded much softer with DMs into the 1900s from established names like GSO and Oak Hill which both have good performance records versus peers, to give some perspective of dislocation on underlying loan prices the sub 80 asset price migration on these BBs is around 27% and MVOCs are c. 93, in summary BB trades today have been in 56-58 cash price range softening from recent comp trades in 60 px context.

AAA CLO

EUR CLO

One Class X & 2 x AAA traded today. All 3 are from deals that have just closed. The Class X is SNDPE 3X X which traded at 300dm / 1.2yr. The AAAs traded between 275dm and 310dm for 6.2yr WAL at around 90 dollar px.

AAA CLO

USD CLO

Nine covers today for the first trading day of April, all IG – 6 x AAA, 1 x AA and 2 x A rated.  The AAAs (2020-2024 RP profiles) traded tighter in a 226dm-259dm range, there is a 2nd pay AAA SCOF 2015-2A B1R (Symphony) that trades 344dm / 6.1y WAL which is fair given we have seen AAs trading wider to this.  Conversely the AA trade today LCM 14A BR (LCM AM) covers 356dm / 6.39y WAL (2023 RP profile) which is in line with similar profiles seen just prior to March month end.  The single-As trade today 450dm-588dm (2024/2025 RP profiles) – at the wide end of this range is JTWN 2019-14A B (Investcorp) 588dm / 7.92y WAL trading at 82.18 px, the manager’s record is weaker than its peers and sub80 loan prices have migrated significantly for this deal to 14.64% whilst other metrics are broadly in line, this trading behaviour (manager/asset price migration) for this rating level is in keeping with what we have seen recently.

AAA CLO

USD CLO

We saw 6 x AAA trades today, with 2019-2023 RP profiles trading in a 248dm-322dm range, which is flat to levels seen over the past week, AAA DMs appear to have stabilised in mid-late 200s context.  At the wide end of this range is AVERY 2015-6A AR (Bain Capital) 322dm / 2.2y WAL (2020 RP profile) – the manager’s record is weaker than its peers whilst the ADR is 1.00%, this is running to RP+24m, running this bond to maturity generates a 228dm / 3.9y WAL as a comp (circa 100dm difference).

AAA CLO

EUR CLO

2 x A & 1 x BBB today. The single A’s traded around 500dm. In the middle of last week we were seeing single A’s trade with M70s dollar price and MH600s dm but now these trades are L80s px and 500dm (albeit we have changed our assumptions in between to make the bonds longer).

The BBB has traded 73h price and 850dm. This is in line with last Friday’s levels which were themselves a pickup from the lows of 2 days previously when BBBs were trading at H60s px.

AAA CLO

USD CLO

Today we saw an equally busy day with 19 covers across the capital structure – 3 x AAA, 3 x AA, 11 x A, 1 x BBB and 1 x BB.  The AAAs (2021 & 2024 RP profiles) traded tighter in a 225dm-275dm range today versus levels in v-h 200s/300 area last week, at the tight end is Octagon’s OCT44 2019-1A A 225dm / 6.05y WAL (2024 RP profile) which has a relatively strong MVOC 132.22, a lower migration of asset prices (sub80 assets 6.96%) and a low WARF 2735 despite a high ADR 1.63% which is for the most part irrelevant at the AAA level.  The AAs traded flat/marginally tighter in a 349dm-366dm range, with an outlier trade VENTR 2016-25A B (MJX) 510dm / 4.4y WAL which has a large asset price migration to sub80 15.03% and notably weak MV metrics (MVOC 107.6 v 113 for comps trading tighter today).  With 11 x single-A trades there was good liquidity today, the trading range for a range of RP profiles (2018-2024) was 476dm-662dm which is flat to recent levels and MV metrics, asset price migration and manager performance records seeming to roughly tier levels but with market dislocation this is not binary.  The BBB trade today CAVU 2019-1A D (Trimaran) covers 906dm / 8.2y WAL which is wide to recent comp levels in 715-880dm context despite good manager and deal performance metrics.  The BB trade today is PSTAT 2020-1A D (Palmer Square) 1537dm / 5.73y WAL (2020 RP) with the only recent comps 2023/2024 RP profiles with longer WALs trading in 1300dm context last week.

AAA CLO

USD CLO

A pick up in flow today with 20 covers, all mezz – 5 x AA, 5 x A, 8 x BBB and 2 x BB rated.  At the upper end of the rating scale the AAs traded 339dm-464dm for 2022-2024 RP profiles (5.2-6.7y WALs), MV metrics being the biggest lever for levels with CVC’s APID 2016-25A A2R at the tighter end 339dm / 6.7y WAL with a 111.65 MVOC and a good ADR level 0.35%, whilst a weaker manager Hayfin’s KING 2018-8A B despite a healthy MVOC 113.03 and 0.21% ADR covers 420dm / 6.2y WAL.  To put into context DMs for this cohort was in 170area context pre-vol.  The single-As (2022/2023 RP profiles) trade in a 470dm-559dm range, at the tight end is Octagon’s OCT37 2018-2A B 470dm / 6.93y WAL which defies logic with the tightest DM amongst the cluster of single-As today despite a weaker manager record, weaker MV metrics and 1.28% ADR which is wider than it’s average across all deals.  At the wide end is ArrowMark’s AWPT 2018-10A C 559dm / 6.7y WAL with the highest MVOC 104.81 and lowest ADR 0.38% whilst the best diversity 84, lowest WARF 2779 and sound manager record!  The BBBs trade in a relatively tight spread 849dm-879dm (2023/2024 RP profiles) versus pre-vol levels of 325dm-350dm for similar cohort, there was an outlier today MARNR 2018-5A D (Mariner) 715dm / 7.4y WAL – strong manager metrics whilst the deal itself carries 0.12% ADR, 4.75% sub80 assets and a good WARF 2726.  The two double-Bs traded today in a 1267dm-1319dm range (2023/2024 RP profiles), to put into context the DMs have doubled from pre-vol levels of 685dm-775dm for similar cohorts, the trades today have not any material fundamental issues, only dislocation in terms of distressed underlying loan prices and liquidity in this rating level.

AAA CLO

EUR CLO

3 x BBB & 1 x BB today. First a note of caution. We have adjusted our scenarios to decrease CPRs and increase the amount of reinvestment that takes place thus lengthening the WALs. Therefore today’s calculated spreads are not directly comparable with recent levels. Two of the BBBs are DNTs and one is a CVR. All three prices represent spreads between 720dm and 800dm. The tight end of this range is from CORDA 4X DRR which has a shorter RPE Date than the others and hence shorter WAL and is the traded bond. The wider levels DNT. Previous recent BBB spreads have been 900H, but that is under the previous assumptions with shorter WALs.

The BB is CONTE 5X E which traded at 1219dm/9.5yr. This bond traded at 97 price in Jan 2020 and traded at 59 today, a fall of almost 40 points. In Jan 97 price represented 535dm / 6.73yr and today 59 represents 1219dm / 9.46yr.

AAA CLO

EUR CLO

2 x AAA today. DRYD 2017-27X A1 is a regular AAA with a RP End Date of May 2021 and a 2.89yr WAL. It traded with a 91h price at 430 dm. This compares with AAA trades in the middle of Mar at L300s dm.

JUBIL 2015-16X A1R has passed its RP End Date, is just about to start paying down and therefore only has a 1.68yr WAL however it also traded with a 91h price which is 611 dm. Either this is cheap even in today’s market or maybe it is not expected to be as short as the modelling shows. Prior experience would tell us that we can expect loan defaults to increase steadily and peak in around 12 months. If there are many loan extensions as well then maybe JUBIL 2015-16X A1R is not going to be as short as it looks. Most investor’s analysis would say that AAAs are still very well covered even if default rates go very high but of course they have less cushion than before and their risk of lengthening has gone up.

AAA CLO

USD CLO

Today we saw the first trades trickle through for a few days, as expected all 1st pay AAAs (2023 RP profiles).  AAA DMs have widened significantly post-vol from v-l 100s to late 200s-early 300s handle, with todays trading range 262dm-320dm.  At the tight end of the range is PLMRS 2018-1A A1 (Palmer Square) 262dm / 4.77y WAL which has some of the most impressive performance stats on the day (ADR 0.17%, WARF 2744, MVOC 128.77).  At the wide end of the range is OZLM 2018-18A A (Sculptor Capital) 320dm / 4.91y WAL with predictably weaker stats (ADR 0.46%, WARF 2828, MVOC 126.15).  For a full list of trades with associated performance and MV metrics please refer to the trade listing in PriceABS.

AAA CLO

EUR CLO

Good to see a little bit of BWIC trading colour today. There are 3 trades and 3 DNTs (but where the best bid has been disclosed), across single A and BBB. The 3 single A’s (one CVR and 2 x DNT) priced between 650 and 700 dm|mat. For reference purposes these were around 300 dm at beginning of Mar and between 200 and 250 dm in Feb.

The 3 BBBs comprise 2 x CVR and 1 x DNT. These have priced between 880 and 980 dm|mat. Again for reference, on 17 Mar these were trading around 750 to 780 dm|mat, at the beginning of Mar they were more like LM400s and back in Feb they were M300s.

AAA CLO

EUR CLO

3 x AAA today but also a AA which DNT but best bid was shown. The Ares and Harvest AAAs traded around 320dm|mat. MKSE 1X A (MacKay Shields by New York Life IM) traded around 360dm|mat. This is, perhaps, a touch wider than the HPS AAA on 17 Mar 313dm|mat because on-the-run managers are now trading at 320dm.

The AA is CGMSE 2018-1X A2A which received a best bid of around 507dm|mat but it DNT. This bid is way wider than where CONTE 2X BRNE traded on 16 Mar at 319dm. Clearly AAs are behind 319dm now since AAAs are behind that but in the sellers view AAs are not yet at 507dm.

AAA CLO

USD CLO

6 x BBB covers today, providing some context into the softer market conditions.  The BBBs today had RP profiles across the spectrum (2019-2023) and traded in a 568dm-697dm range.  At the wide end of the range Octagon's OCT31 2017-1A D covers 697dm / 6.94 WAL - the MV metrics are extremely weak (MVOC 101.39 / MVAP 1.37) and with all other performance metrics broadly in line with the other BBBs that traded, the manager has weaker metrics than its peers so goes some way to account for the wide level.  Conversely, at the tighter end of the range is PGIM's DRSLF 2013-28A B1LR which covers 568dm / 7.02y WAL, once again performance metrics broadly in line with the others including Octagon with MV metrics a shade better, but it is the manager's excellent performance record which is driving this DM tight.

AAA CLO

EUR CLO

1 x AAA & 5 x BBB today. The AAA is wider again. AQUE 2019-4X A (HPS) has traded at 313dm|mat. This compares with several trades around 290dm|mat just yesterday.

The BBBs have all gapped wider to trade between 750dm|mat and 790dm|mat. All I can say is wow. Even on 10 Mar they were trading at M400s spread.

AAA CLO

EUR CLO

1 x AA & 4 x AAA today. AAAs are wider again. Today’s trades are between 260dm|mat and 290dm|mat. For similar margin bonds of 75bps spreads were around 230dm on Fri and are around 275dm today.

The AA is CONTE 2X BRNE which traded at 319dm|mat. This deal has started paying down and is therefore quite short. The last AA trades we saw on BWICs were on 11 Mar which were around 250dm to 260dm|mat.

AAA CLO

EUR CLO

4 x AAA today. AAA spreads widened by another 10bps from Thursday’s levels. Today’s trades are between 222dm|mat and 243dm|mat. ACLO 4A A2 is a fixed rate AAA paying a coupon of 1.62% and it has traded at 278bps over Euribor.

AAA CLO

EUR CLO

4 x AAA today. Another significant widening of AAA spreads. We have moved from around 180dm|mat on 10 Mar to a range of 210dm to 235dm to mat today. TIKEH 2015-1X A1RE is paying down and is only 1.9yr WAL thus it traded at 191dm|mat.

AAA CLO

EUR CLO

Just the one AA today. INVSC 3X B1 traded at 96.06 / 272dm|mat which is wider again than recent AA trades, although this is a smaller manager. This is around another 30bps wider.

AAA CLO

EUR CLO

We’ve got 2 x AAA, 2 x AA and 2 x BBB to look at today. Pricing everything now just to maturity without any chance of a call they have both traded at around 180dm|mat which is a lot wider than Dryden 74 New Issue talk of 100a over floored Libor.

The AAs traded around 250dm|mat which is wider again than trades last week which were in the 220a.

In the BBBs BECLO 5X D (BlackRock) traded at 417dm|mat and CLRPK 1A CR (GSO) traded at 478dm|mat. Blackrock is a Tier 1 manager but also this bond has 110bps lower margin than the GSO bond. Even though refi’s look unlikely right now maybe that could change in 6 months, which could explain the relatively tighter level.

AAA CLO

EUR CLO

Just 1 x BB traded today. ADAGI IV-X ER traded at 89.34 / 796dm|Mat. This bond has a slightly low margin at 490bps and has started delevering. Both the low margin and short WAL will make this bond trade at a tight spread. Post-vol BBs have traded 700 to 750dm for good managers up to 900dm for weaker managers. This trade at 800dm given the margin and WAL benefits is on the wider side of where top tier managers could have traded.

AAA CLO

EUR CLO

3 x AA traded today. CGMSE 2015-2X AA2R has started paying at the AAA level and is only 3.8yr WAL. This and the low margin of 140bps meant it traded the tightest at 210dm|mat, which was a price of 99.30. The other two bonds, with WALs of nearly 7 years traded around 230dm|mat depending on their margins. VOYE 2X B1 traded at nearly par (99.76) with a margin of 190bps which gives you an indication of the margin that would be required today for a new deal.