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.

AAA CLO

EUR CLO

6 x A & 1 x BBB traded today. In the single As the lower margin bonds (240bps to 250bps margin) have traded around 290dm to 300dm to maturity. The two higher margin single As EGLXY 2019-7X C and VOYE 2X C with 275bps margin have traded close to par at 320dm|mat.

The BBB is HARVT 8X DRR which has a low margin at 255bps. It traded at 94.13 / 410dm|mat.

AAA CLO

EUR CLO

1 x AA & 3 x BB traded today. The single A is SPAUL 6X BR which traded at a discount price and is callable. It traded at 280dm|mat which is in line with the new levels seen since the end of Feb.

In the BBBs BECLO 3X D has a low margin at 320bps and so traded tightest of the three at 370dm|mat. The other two have margins of 360bps and 400bps and traded at around 445dm|mat. Spreads of 445bps are the widest we have seen for BBB since the sell-off although they both have relatively high margins and are not immediately callable.

AAA CLO

EUR CLO

4 x BB traded with disclosed prices today. The bonds from Investcorp, Blackrock & PGIM all traded around 720dm|mat. But HLAE 2014-1X ER (now managed by Bardin Hill) traded around 900dm|mat. This deal is in reasonable shape: the CCC bucket is high at 4.64%, defaults is zero, junior OC cushion is good at 5.24% and MVOC is 109.7%, but this shows that this manager trades considerably wider than its peer group. Looking at the trading style of this manager it appears that they sell credit risk assets quite early and therefore have a high rate of credit risk sales but get higher prices for them. They can be considered an activist manager.

AAA CLO

USD CLO

A busy start to the week with 27 reported covers, all IG rated – 8 x AAA, 8 x AA, 8 x A and 3 x BBB.  Given the market softening seen late last week, this is the first meaningful day of trading to observe levels across the stack.  The >4y WAL AAAs trade around 20-25dm wider 124dm-155dm (from pre-vol levels of 105dm-125dm), the transactions are relatively clean but from less experienced managers like Fort Washington, Birch Grove and Elmwood, whilst APID 2013-12A AR from a more experienced manager CVC trades tightest at 124dm with a clean performance record on the transaction with MV metrics only weaker than the other deals today.  The AAs are from a wide range of RP profiles (2019-2024) and trade in a 158dm-237dm range, at the shorter end CSAM’s 2019 RP profile MDPK 2014-15A A2R covers 158dm / 2.7y WAL which is 20dm wide to pre-vol, at the longer end a 2024 RP profile from Steele Creek STCR 2019-1A B covers 237dm / 6.97y WAL which is around 30dm wide to pre-vol levels for this cohort.  The single-As (2021-2024 RP profiles) trade in a 250dm-302dm range, with most of today’s liquidity in 2023 RP profiles, these trade in the widest dispersion 250dm-302dm (trading in 227dm context pre-vol) so seeing a significant amount of widening at this mezz rating level of around 50dm.  The BBBs (2022/2023 RP profiles) trade 359dm-369dm versus 325dm pre-vol so less of a pronounced widening effect than singl-A but nonetheless widening of 40dm, for instance a benchmark manager CSAM’s MDPK 2014-14A DRR covers 359dm / 8.01y WAL with an ADR 0.58% / sub80 assets 4.12% (touch high) / par build +0.2 which are relatively good metrics.

AAA CLO

EUR/GBP ABS/RMBS

4 trades that we saw on bwics today. There are 2 Italian Prime RMBS both Aa3 rated. SIENA 2010-7 A3 is from a 2010 deal. It is the slow pay orig AAA which is Aa3 rated now and traded at 59dm. POPBA 2017-1 A is a 2017 deal which traded around 70dm. There are also 2 auto deals from Auto Noria. The bond with Spanish collateral traded at 132dm for a Aa3 and the French bond traded at 86dm for the same rating.

AAA CLO

USD CLO

With volatility across global capital markets over the past 24 hours this has manifested itself into CLOs with DMs generally drifting wider but significantly wider on bonds where there is fundamental weakness in performance to date.  We reported 5 covers today across all IG rating bands which will present an opportunity to assess the impact on DMs – 2 x AAA (1 x 1st pay and 1 x 2nd pay), 1 x AA, 1 x A and 1 x BBB.  The 1st pay AAA is VENTR 2014-18A AR (MJX AM) with some fundamental weakness (ADR 1.71%, sub80 assets 7.8%, par build -0.77) and covers 134dm / 3.4y WAL which is 14bps wide to comps seen pre-vol.  The 2nd pay AAA is AWPT 2017-6A A2 (ArrowMark) cover 157dm / 4.7y, this is overall a clean deal and in line with BLUEM 2014-2A A2R2 which is the last 2nd pay comp we have seen last month with similar DM.  The AA today DRSLF 2017-50A B (PGIM) covers 200dm / 6y WAL, which is a 2022 RP profile and relatively clean transaction with good manager metrics, trades 35dm wide to similar bonds seen pre-vol.  The single-A today is MCLO 2013-5A BR (Marathon) which is a 2019 RP profile, covers 354dm, this is significantly wider than comps seen pre-vol of 190dm-200dm – once again fundamentals are very weak on this deal (ADR 2.66%, sub80 6.9%, par build -1.67, WARF 3206, MVOC 110) so trades to a weaker bid at present.  The BBB ALM 2012-6A CR3 (Apollo)  is a 2020 RP profile covers 268dm / 4.95y WAL – this is a clean deal and trades at pre-vol levels.

AAA CLO

EUR CLO

A chance to get some post-sell off price discovery in rating classes other than BB which we saw trade on 27 Feb. Today we have 2 x A, 4 x BBB & 2 x BB. In the single A’s the bond with the closest to par margin is BECLO 9A CE which has a 240bps margin. It traded at 98.75 / 290dm|mat. About two weeks ago single A’s trading around par were in the 210dm to 230dm range.

In the BBBs trades that 2 weeks ago would have had par margins ie around 330bps are now trading with 96h or 97h which is around 410dm|mat. This is about 70bps wider than where we were.

In the BBs BLUME 2016-1X ER traded on the tighter side (for today’s market) at 650dm|mat but it has a very low margin at 438bps which explains this. ACCUN 2X E has a higher (but still below par) margin at 498bps and it traded at M80s / 834dm|mat which is wide even by these new levels.

AAA CLO

USD CLO

The first trades post Vegas seen today, 21 covers – 10 x AAA, 5 x A and 6 x BBB rated.  The AAAs are all short daters (sub 3y WAL) trading 109dm-121dm with the exception of TRNTS 2016-5A AR (Trinitas) that trades 141dm / 2.6y WAL – this has an October 2020 RP end and reasonable performance / MV metrics, the deal is managed by an affiliate manager White Star which is an inexperienced manager with weak manager metrics all round, for instance avg Int diversion cushion is only 0.82% and par build record across all deals is -0.61 and an ADR of 1.09%.  The single-As trade 198dm-267dm given various RP profiles, with the 2023 RP profile ALLEG 2018-2A C trading wide at 251dm / 7y WAL (comps in 227dm area) but the manager record is weaker than its peers despite performance/MV metrics being largely in line.  The BBBs trade 311dm-385dm across 2019-2023 RP profiles, at the longer end 2021/2022 RP profiles trade 362dm-385dm wide to 300dm area comps seen recently with comparable metrics, whilst the 2023 RP trade 328dm / 8y WAL ROCKT 2018-2A D (King ST) which is in line with market.

AAA CLO

EUR CLO

These are the first CLO trades since the global sell off due to COVID-19. We have 11 x BB trades to look at. The DM|Mat on the low margin trades is around 625bps but for the trades with stated margins around 625bps the DM|Mat is around 700bps. A week ago we were seeing EUR BBs which traded around par price having a DM|Mat around 550bps to 570bps so this looks like over 100bps in widening to us. ARBR 2014-1X E traded at 100h even though it only has a margin of 500bps which is 530dm|mat but this is because the deal has substantially delevered and the MVAP is much higher and it is only a 4yr WAL.

AAA CLO

USD CLO

With the SFIF Conference a few days away liquidity has tapered off in CLOs with 2 short dated AAAs covered today, both are 2020 RP profiles and trafr 81dm-85dm / 2.2y WAL and trade inside comps we have seen for this profile in 90dm area context.  The managers are CIFC and Barings with performance / MV metrics good.  For a full breakdown of these metrics please see the PriceABS trade listing and associated performance/MV metrics from today.

AAA CLO

EUR CLO

Just 2 x BBB & 1 x BB today. Both BBBs have below par margins and have traded at 271dm|mat and 307dm|mat.

The BB is also a below par trade and traded at 592dm|mat.

AAA CLO

USD CLO

3 reported covers today, all BBB rated.  At the long end, a recently priced East West BSL CLO (pre-trustee reporting) EWIM 2019-1A D covers 468dm / 10y WAL with a 2025 RP end, we have seen one other comp recently which is BABSN 2019-4A D (Barings) around 2 weeks ago at 402dm with a slightly shorter WAL 9.1y so today’s trade looks largely in line.  Furthermore there were 2 x 2020 RP profile BBBs today that trade 305dm-320dm / 5.3y WAL, with recent comps towards the tight end of this range – at the wide end of the range today is KVK 2018-1A D (Kramer Van Kirk) at 320dm with weaker MV metrics (than the WELF 2016-1A DR at the tight end) with MVOC 108.7 v 110.4 and a high ADR 1.38% but otherwise performance metrics look good.  The manager Kramer Van Kirk is also inexperienced with only 3 deals under management and prevailing performance metrics lagging its peers in key areas.

AAA CLO

EUR CLO

Looking at AAAs TIKEH 2X AR traded at 100.15. It has a margin of 88bps, only slightly back of the recent print from the Carlyle deal at 92bps however it is quite short having a RP End Date of Dec 2020. It traded at 125dm|mat or 102dm|call. OHECP 2017-6X A1E has a margin of 73bps and traded strongly at 100.16 / 109dm|mat / 9dm|call.

For AAs the below par margin bonds have traded 175dm|mat and the above par margin bond HAYEM 3A B1 (Hayfin) at 202dm|mat.

For BBs, which are all below par margin, the general trading range is 530dm|mat to 570dm|mat but there is one bond that has traded a lot wider. PENTA 2017-3X E (Partners Group) which has a 490bps margin traded at 628dm|mat.

CORDA 3X SUB traded at 59.89 / 15.34%. NAV is 54.50. It does have lower than average MVAP (-4.8%) and MVDP (6.2%). The AAA pays a margin of 78bps.

BLUME 2016-1X SUB traded at 76.76 / 13.65%. Its NAV is 66. AAA margin is 79bps. Both deals are very clean.

AAA CLO

USD CLO

A far busier day with 31 covers right across every rating band – 9 x AAA, 3 x AA, 5 x A, 12 x BBB, 1 x BB and 1 x Equity.  The >4y WAL AAAs trade in a narrower range than we have seen recently 116dm-126dm (all 2023 RP profiles) but wider to the 106dm context we have seen for this RP profile, furthermore all of today’s trades have performance and MV metrics in line with recent trades in this profile so some of the widening is explained away with less experienced managers (Trimaran, CBAM, MidOcean) but not completely so there is some widening trending today in this rating level.

The AAs trade 165dm-187dm with Carlyle’s CGMS 2017-1A A2 at the tight end 165dm / 6.3y WAL, a benchmark manager with slightly weaker manager metrics than it’s peers (eg. par build -0.59 v -0.26 average, ADR 1.06% v 0.75% average) but not withstanding lower ADR on this deal 0.8% than it’s average / lower par build -0.47 and otherwise reasonable metrics driving this around 7bps tighter than the generic level 172dm we have on this RP profile recently.  The single-As are all shorter daters (2018/19 RP profiles) and trade in a 184dm-257dm range, given the fact that deals are post RP and deleveraging in different ways the range is wide.  We have this RP profile trading in 190dm context recently the levels are at the wider end, with ADR’s noticeably high 0.93%-3.21% on todays trades as well as high sub80 asset price migration in early-mi-teens % context which is extremely high and high risk inherent in these deals with WARF well in excess of 3000 on all trades today.  The BBBs traded 244dm-374dm with a number of RP profiles, at the longer end the 2023/24 RP profiles trade in a 288dm-369dm range with recent comps trading in 330am-350dm context so today’s trades are at market.  Bain Capital’s BCC 2019-2A D trades at the wide end 369dm with reasonable performance / MV metrics but the manager’s performance is weaker than its peers (eg. par build -1.13 and interest diversion test cushion 1.66% v 2.85% average) so has an effect on the level.  The BB trade today is ARES 2019-54 A E (Ares) 709dm / 9.8y WAL which is wide to recent levels in late600s dm context, the MVOC is lower than these comps 106.8 v 107.6 but otherwise performance metrics are fine.  We modelled one equity today, Carlyle’s CGMS 2015-4A SBB1 which covers 94.2 for a small stub but backs out to a 7.75% yield, we haircut the assets (Constellis loans carried at highly distressed levels 5.5 for a 2nd lien cov-lite / 31.25 for a cov-lite with immediate default and 18m recovery) along with haircuts on other sub 90 priced assets running the deal to a EoRP +24m call.

AAA CLO

EUR CLO

Euro market is more active today with 1 x AA, 2 x A, 1 x BBB, 4x BB, 2 x BB & 2 x equity trading. The AA is BHLAE 2019-1X B1 (Bardin Hill) which traded at 100.26 / 210dm|mat / 207dm|call. Recent AAs have been around 180dm|mat. Some of the wideness of today’s trade could be due to the market widening and some due to Bardin Hill trading wider than its peers. This deal does have a high CCC bucket at 2.35%.

In the single As TCLO 2X CR has a higher than new issue margin at 240bps and traded at 100.28 / 269dm|mat and BILB 1X B has a margin of 170bps and traded at 99.59 / 208dm|mat.

The BBB trade is TCLO 2X DR which has a margin of 330bps and traded at 100.26 / 358dm|mat.

In the BBs the two high margin bonds have traded as follows: DRYD 2019-69X E at 101.42 / 632dm|mat and CRNCL 2016-7X E at 100.77 / 652dm|mat. The two bonds with approx. par margins have still traded at premium dollar prices: CRNCL 2014-4X ERR at 100.62 / 607dm|mat and MDPKE 14X E at 100.63 / 594dm|mat.

Both single Bs traded at a discount between 812dm|mat to 859dm|mat.

PRVD 2X SUB (Providus 2 – Permira) traded at 71.11 / 12.58%. It is a very clean pool in terms of only one asset priced <85 but it does have a high CCC bucket (4.01%). It has generated good returns to equity holders thus far of 21% pa.

BECLO 6X SUB traded at 81.78 / 12.68%. For reference the CCC bucket in this deal is 2.48% and equity returns have been 22% pa. Both deals closed towards the end of 2018.

AAA CLO

USD CLO

Further to the holiday weekend, an expected slower start to the week with 12 reported covers – 9 x AAA, 2 x AA and 1 x A rated.  The >4y WAL AAAs trade in a 101dm-127dm range, with the 2023 RP profiles trading tighter as recent market direction has shown, these trade 101dm-105dm which is tight to the generic context we have on this cohort at 106dm.  The 2022 RP profiles trade wider at 117dm-127dm which is at the wider end to recent trading activity at the tight end of this range in a 117dm context – at the wide end of this range is ANCHC 2015-6A AR (Anchorage) 127dm / 4.2y WAL, although MVOC 156.8 is around 1pt lower than average seen recently the ADR is healthy 0.26% but the manager is taking higher than normal risk with a 3187 WARF and lower diversity 65 whilst sub80 asset concentrations stand at 3.5%.  The double-As trade 141dm-162dm with the wide range due to different RP profiles and subsequent WALs, at the shorter end is ALLEG 2013-1A A2R (Axa) 162dm / 1.8y WAL – a 2018 RP profile which we haven’t seen a great deal of, but since the deal is deleveraging post RP the performance metrics are a little skewed (WARF 3413, div 33, par build -0.61) contributing to the wide level (eg. 2019 RP profile AAs trade in 138dm context).  At the tight end of the AA range today is ALM 2012-6A A2R3 (Apollo) 141dm / 4y WAL (2020 RP profile) which is tight to recent comps that trade in mid 150s dm context (this bond has better than average MVOC 131.55 and better performance metrics (eg. ADR 0.43, 1.52% sub80 assets).  Finally the single-A trade today is SNDPT 2017-1A C (Sound Point) cover 253dm / 5.3y WAL (2021 RP profile) which is wide to recent trading in 220dm context – with all metrics in line with recent trading the only standout is ADR at 1.04% versus a lower level 0.83% typically seen recently, furthermore the manager is experienced but their metrics are weaker than its peers (par build -1.18, ADR 0.96%, Int div test cushion 1.67%) which has no doubt contributed to the wider level.

AAA CLO

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.

AAA CLO

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.

AAA CLO

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.

AAA CLO

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).

AAA CLO

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.

AAA CLO

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.

AAA CLO

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.

AAA CLO

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).

AAA CLO

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.

AAA CLO

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.

AAA CLO

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.

AAA CLO

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).

AAA CLO

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.

AAA CLO

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.

AAA CLO

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.

AAA CLO

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.

AAA CLO

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.

AAA CLO

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.

AAA CLO

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%.