AAA CLO

USD CLO

The first trades of the year started to trickle in today with 7 reported covers – 6 x AAA and 1 x BBB.  The >4y WAL AAAs traded tight 115dm-116dm, these trades were 2023 RP profiles which were trading in 123dm level prior to Christmas.  At the tight end of the range is BSP 2018-5BA A1A (Benefit St) which covers 115dm / 4.95y WAL – hi-MVOC 156.23, hi-MVAP 35.99 whilst at the deal level the sub80 priced concentration of 3.6% is healthy, however the deal does carry an annualised default rate of 0.98% and a negative par build -0.68.  Whilst these are critical issues for mezz/equity holders for senior noteholders this is lesser of a concern.  The one triple-B trade today is a 2021 RP profile WELF 2017-1A C (Welfleet Credit) which covers 405dm / 5.88y WAL, similar profile BBBs traded in a 458dm context prior to Christmas (with the exception of a distressed trade LONGF 2013-1A DRR then in a 396dm context).  The WELF 2017-1A C has a lo-MVOC 109.33, lo-MVAP 8.53 with 4.6% sub 80 priced assets, 0 defaults, 82 diversity and 2896 WARF so good performance metrics in contrast.

AAA CLO

USD CLO

A handful of reported covers today, all are AAA rated with >4y WALs and 2022/2023 RP profiles.  The typical trading range today is 113dm-118dm with an outlier trade ICG 2017-2A A1 (Intermediate Capital Group) 1st pay covers 128dm / 4.3y WAL – this is a 2022 RP profile with MVOC 152.41 and MVAP 34.39 both in line with peers, deal performance metrics also look reasonable including WARF 2853, 0 defaults, +0.63 par build with only diversity of 75 low and CCC 5.1% a touch higher than peers with ICG’s manager level performance metrics also in line/better than peers.  Thus this may appear at first glance to be an outlier, but upon closer inspection today’s cover appears cheap versus recent 2022 RP profile AAAs which have traded in the mid-120s DM context.

AAA CLO

USD CLO

2 covers reported today, both AAs from PGIM – Dryden 38 and Dryden 40.  Both are 2023 RP profiles and cover 169dm / ~6.8y WAL.  In the week with the lead up to Christmas we calculated generic AAs at 176bps with 2023 RP profiles trading 182bps so today’s levels are inside both of these benchmarks.  For reference Dryden 40 has a MVOC 127.58, sub80 assets 4%, WARF 2896, 98 diversity, 49bps defaults and -0.06 par build which are reasonable performance metrics.

AAA CLO

USD CLO

Twelve covers today, all AAA.  The majority of >4y WAL AAAs (2022/2023 RP profiles) trade in a 113dm-124dm range with an outlier trade in  SNDPT 2013-3RA A (Sound Point) 135dm / 5.1y WAL vs OCT17 2013-1A A1R2 from Octagon at the tight end of the range 113dm / 4.8yt WAL).  Comparing both ends of this range:

OCT17 2013-1A A1R2 (113dm)   MVOC 159.24 | MVAP 37.2 | Sub80 assets 3.17% | WARF 2734 | diversity 83 | defaults 148bps | par build +0.04

SNDPT 2013-3RA A (135dm)       MVOC 144.78 | MVAP 30.9 | Sub80 assets 4.33% | WARF 2689 | diversity 75 | defaults 000bps | par build  -0.93

The Over collateralisation being the key driver here at the AAA level with MV metrics on the Octagon CLO far more impressive, with default risk and WARF levels having less of an impact on supply/demand dynamics given the seniority of the tranche.  As we reported recently, we derived generic >4y WAL AAA levels at 124bps for last week, with today’s only trade wide of this mark being the Sound Point 2018 vintage CLO, all the other AAAs today price at or inside last week’s generic levels.

AAA CLO

USD CLO

6 Covers today – 3 x A and 3 x BBB.  The single-As were of 2020/2021 RP profiles and traded 240dm-377dm (2020/21 RPs this week traded ~284dm) - GWOLF 2013-1A BR (Greywolf) covers 240dm / 5.9y WAL (hi-MVOC 117.64, strong par build +0.43 with no defaults and excellent manager stats) whilst at the other end of the range ZAIS5 2016-2A B (Zais) covers 377dm / 5.15y WAL (lo-MVOC 111.72, weak par build -0.39, 124bps defaults and weak manager stats).  The triple-Bs today trade as follows – 2019 RP profiles trade 356dm-384dm and a 2021 RP profile LONGF 2013-1A DRR (First Eagle) trades wide at 522dm to 2021 RP generic levels this week at 458dm.  SCI’s Generic spread levels this week are by and large tighter on the week, as follows: AAAs (>4y WAL) trade 5bps tighter on the week at 124bps (86m v 143m last week), AAs trade 12bps tighter on the week at 176bps (27m supply vs 74m last week), single-As trade 36bps wider this week at 264bps (c.9m extra supply week on week to 30m), BBBs trade 7bps tighter on the week at 385bps (>62m supply vs 43m last week), BBs trade 72bps tighter at 669bps (70m vs 30m supply last week).

AAA CLO

USD CLO

24 covers today – 4 x AAA, 2 x AA, 2 x BBB, 10 x BB and 6 x Equity.  The >4y WAL AAAs traded in a 120dm-136dm range, with the PPM CLO 3 Ltd A tranche cover 136dm / 4.4y WAL and has a mediocre MVOC 152.46 whilst the deal performance metrics are fairly sound with only some concentrations in Oil & Gas or Retail (both ~3.5%) whilst all the other metrics look reasonable, the manager PPM America is however very inexperienced with 2 deals in the market meaning a ‘new’ manager premium is levied.  The AAs traded 153dm-175dm for 2020 and 2023 RP profiles including Octagon and CVC Credit managed CLOs, which is also tight to yesterdays 178dm levels for a 2023 RP profiles.  The BBBs traded 334dm-356dm for 2021/2023 RP profiles (tight to the 337dm-423dm range yesterday), with a PGIM Dryden 53 CLO D tranche covering 334dm / 7.4y WAL.  The BBs today and yet again traded across 5 RP profiles (2020-2024) in a 556dm-765dm range (vs a 598dm-677dm range yesterday ‘s comps), with 2 outlier trades, Carlyle Global Market Strategies CLO 2015-4, Ltd (covers 765dm / 9.7y WAL) and LCM XV Limited Partnership (covers 746dm / 7.44y WAL) resulting in a 556dm-688dm range excluding the outliers which is a shade tighter to yesterday’s trading levels.  There were 6 Equity tranches today with reported covers, for these we apply a deeper dive valuation methodology to incorporate the idiosyncratic risks (eg. asset level haircuts, equity call timing, basis, asset reinvestment and so forth) and generate a 16.27% YTC on Madison Park Funding XX PS (CSAM),  14.51% YTC on OHA Credit Partners XII (Oak Hill) and 11.96% YTC on THL Credit Wind River 2017-4 CLO (THL Credit).  The Dryden 40 Senior Loan Fund PS (PGIM) covers at 52 which is equivalent to ~1.25/1.3y CF over the NAV (29.3) with 3.75y RP and 6m NCP available for CF, Octagon Investment Partners 31 PS (Octagon) covers 56.75 which is ~1y CF over NAV (37.9) with 2.5y RP available for CF given NC has now passed.  There is another equity from Octagon Credit Octagon Investment Partners 36 covers 79.92, which is equivalent to ~2y CF over NAV (33.8) with 3.3y RP and 7m NCP available for CF.

AAA CLO

EUR CLO

Probably one of the last set of EUR trades before the holidays, we have 5 x AAA, 2 x A & 3 x BBB today. None of the AAAs are callable yet but all look to be refi candidates with margins between 96bps and 114bps. All of them priced at a premium which gives DMs to maturity between 124dm and 132dm and DMs to call between 129dm and 144dm (don’t forget the higher par DM for the bond that is getting called). All 5 deals were issued in 2019 but the Fair Oaks deal stands out because it has a considerably shorter WAL than the others. Its NC End Date is one year or more earlier than the other deals and its RP End Date is around 3.5yrs sooner than the others. These AAA trades represent around an 11bps softening from the levels of 113dm to 120dm seen in the middle of Dec. The single As traded between 250dm to 255dm to mat for around 6.5yr WAL. There were a number of single A trades in the middle of Dec. The single A curve displays a pronounced term structure with spreads around 200dm for 5yr WAL, todays trades at 250dm for 6.5yrs and spreads of 275dm for 7.2yrs. The BBBs traded between 352dm to 386dm for 6.86yrs to 7.10yrs. All the deals are performing well but CGMSE 2014-2X CRR has the highest OC levels (121.98% versus around 118% for the other two). Recent BBB spreads have been around 345d to 360dm so the JUBIL 2018-21A D trade at 386dm which at first glance seem a bit on the wide side is explained by the long WAL of 7.1yrs. From a credit point of view it is performing as well as most deals.

AAA CLO

US CLO

34 Covers today across all rating bands – 11 x AAA, 2 x AA, 6 x A, 5 x BBB and 11 x BB.  The >4y WAL AAAs trade in a wide dispersion 111dm-138dm, to provide some color at the tight end is Carlyle’s CGMS 2014-3RA A1A 111dm / 5.3y WAL (hi-MVOC 158.6 / MVAP 36.93, hi-diversity 86, but has a weak par build -0.85 and carries 49bps of defaults).  At the wide end is MJX’s VENTR 2019-37A A1N 138dm / 6.2y WAL (155.66 MVOC, 35.76 MVAP, 407bps WAS, hi-concentration in Retail 5%).  There appear only very subtle basis between the two bonds, furthermore there are also some subtle differences in the managers’ performance – MJX’s annualised default rate 117bps and par build -0.51 whilst Carlyle’s is 87bps and -0.37 respectively, so the VENTR 2019-37A A1N appears cheap especially given generic >4y WAL AAAs last week were 123bps.  The double-As today (2023 RP profiles) traded 178dm area from Neuberger Berman and King St, tight to last week’s generic 188bps level and tight to yesterday’s 2023 RP profiles that traded 184dm-191dm.  The single-As today trade softer 236dm-264dm across 2022-2024 RP profiles, in comparison to 228bps generic levels last week and 214dm-238dm trading levels yesterday (a near comp 2021-2024 RP profiles).  At the wide end is TPG’s TICP 2019-14A B which has sound MV and deal performance metrics with only WARD 2845 and 70 diversity as weaknesses.  BBBs today across 2022-2024 RP profiles trade 337dm-423dm, ignoring the outlier trade VENTR 2019-37A D (MJX) 423dm / 8.45y WAL the BBBs traded in a tighter range 337dm-368dm, the MJX BBB today has weak MV metrics (MVAP 10.16 and MVOC 111.31) and mixed deal metrics (WAS 407bps, 2753 WARF, 92 diversity, 49bps defaults, retail concentration 4.9%).  The BB trades today were from 5 different RP profiles and trade tight in a 598dm-677dm range, versus 581dm-720dm (741bps generic levels last week), there is one outlier trade STCR 2017-1A E (Steele Creek) that covers 902dm / 7.94y WAL - very weak MV metrics (MVOC 102.9 / MVAP 2.82%) and high sub80 priced assets 10.13% / 5.7% Oil & Gas exposure.

AAA CLO

US CLO

A busy day with 66 reported covers – 32 x AAA, 7 x AA, 9 x A, 10 x BBB and 8 x BB rated.  The >4y WAL AAAs trade in a 115dm-133dm range, with Marble Point’s MP11 2017-2X A at the wide end of this range 133dm / 4.8y WAL – the MVOC is low at 145.69 as is MVAP 31.36, the deal performance metrics include 8.7% of sub80 priced assets (v high), hi-WARF 2986 and lo-diversity 72 which all explain away the wider level seen on this bond.  Incidentally, as reported the generic level for >4y WAL AAAs last week were 123bps  so aside from this outlier trade today’s trading levels are firmer and in a 115dm-123dm range.

The AAs traded 162dm-207dm for 2019, 2022/2023 and 2024 RP profiles, PSTAT 2019-4A A2 (Palmer Sq) which has a 2019 RPE trades at the tight end 162dm / 3.65y WAL.  Carlyle's 2022 RPE  CGMS 2013-1A A2R trades 171dm / 5,74y WAL and the 2023 RPEs trade 184dm-191dm which is wide to yesterday’s 2023 RPE comp TICP 2017-9A B 174dm / 6.2y WAL but in line with last week’s 188bps generic level for this rating.  There were a number of RP profiles amongst the single-As so these traded in a wide dispersion 182dm-253dm with the middle of this range in line with the generic single-A levels we derived (228bps) last week - the 2018 RPE AVERY 2014-5A CR covers 182dm / 3.4y WAL, the 2021-2024 RPEs trade in a 214dm-238dm range whilst there was an outlier trade VENTR 2014-16A CRR (MJX AM) 253dm / 4.4y WAL (vlo-MVOC 111.96 and MVAP 10.69 / 11% sub 80 proiced assets). 

The BBB trades today range across a wide dispersion of RP profiles 2018-2023 so result in a 326dm- 441dm range with the 2018 RP profile (2018) BOWPK 2014-1A D1R (GSO) cover 326dm / 4.5y WAL, the 2021 RPEs trade 395dm-418dm, the 2022 RPEs trade tihht 362dm-374dm with an outlier SNDPT 2017-2A D (Sound Point) at 441dm / 6.96y WAL (lo-MVOC 108.34).  The BBs, where we have seen a fair amount of liquidity recently, traded strongly today and constituted 2021-2024 RP profiles and are split as follows: 2021 RP 581dm-705dm (JPARK 2016-1A DR 581dm / 6.69y WAL trades tight - strong MVOC 105), 2022 RP 666dm-680dm (MDPK 2015-17A ER at the wide end 680dm / 7.45y WAL which is tight to 726bps generic level last week), 2023 RP 697dm-699dm with MDPK 2014-14A ER at the tight end 687dm / 8.98y WAL (vs 1 tcomp rade at 649dm last week) and 2024 RP SYMP 2012-9A ER2 720dm / 9.72y WAL (tight to 846bps last week).

AAA CLO

EUR CLO

2 x AAA & 1 x A today. The AAAs both traded at discount prices and around 115dm to mat. This is around 5 to 10bps tighter than recent trades – but of course on low volumes. The single A was also at a discount price and traded at 231dm. This is also tighter than recent trades which have been in the 275dm range.

AAA CLO

US CLO

A quieter start to the week with 7 reported covers – 6 x AAA and 1 x AA rated.  The >4y WAL AAAs traded at tight levels in a 117dm-120dm range.  As we established yesterday similar CLOs (2022/2023 RP profiles) traded 123dm last week, thus today’s levels are tight to those observed levels to last week.  We saw benchmark names like TPG, Voya and Octagon today in this regard, at the tight end was VOYA 2018-3A A1A (Voya) 117dm / 5.5y with a strong MVOC 162.15, strong MVAP 38.33 and strong deal performance metrics (2648 WARF, 92 diversity, par build +0.1, Int Div cushion >4%) versus peer deals as basis to the strong levels.  The one double-A trade today was TPG’s TICP 2017-9A B that covers 174dm / 6.2y WAL for a 2023 RP profile – this is also tight to last week’s generic level +188bps and trades similar (in terms of term structure-wise) to the tightest 2023 RP profile last week BLUEM 2014-2A BR2 181/6.95y.

AAA CLO

US CLO

A buoyant day with 54 reported covers across the capital stack – 43 x AAA, 5 x AA, 2 x A, 2 x BBB and 2 x BB rated.  The >4y WAL AAAs today traded in a 115dm-146dm range with the RP profile splits as follows: 2025 RP 133dm-135dm, 2024 RP 131dm-146dm, 2023 RP 115dm-135dm, 2022 RP 122dm-132dm, with the material outliers in the 2024/2023 RP profile brackets.  Analysing these, the Aug 2019 closed WBOX 2019-1A ANA (Whitebox Cap) with a coupon of +156 covers 99.75 / 146dm / 5.9y WAL, the WARF is 3300 and WAS 352bps with no further reporting available to corroborate further performance metrics as guidance for the wide DM.  Also in this bracket is  MP15 2019-1A A1 (Marble Point) cover 144dm / 6.1y WAL, the MVOC is 150.97 (low vs peers), diversity is vlow at 66, sub 80 assets 3.3% (which is not material) and other metrics broadly in line.  The manager is inexperienced with 3.3bn AUM across 7 CLOs with sound performance metrics nonetheless.  At the wide end of the 2023 RP profiles is PPMC 2018-1A A (PPM America) 135dm / 5.35y WAL – MVOC is 150.49 (low v peers) with only weak metrics being sub80 asset balance 5.4% and WAS low at 336bps whilst other metrics are all above average.  At the tight end of the 2023 RP profiles is Bain Cap’s  BCC 2018-1A A1 at 115dm / 5.2y WAL with a healthy MVOC 169.9 / 98 diversity /2808 WARF / 3.6% sub80 assets counteracting 90bps of defaults and -0.46 par build.  We have seen $143m of liquidity this week in AAAs with a WAL >4y with generic spreads widening only 1bp to 129bps – with 2023 RPs +122bps and 2024 RPs +138bps so seeing some steepening of spreads between 2023-2024 RP profiles.

The AAs traded 174dm-193dm with an outlier trade  MP15 2019-1A B (Marble Point) at 221dm / 7.7y WAL – with MVOC sound at 129.4 with only lo-diversity 66 and a relatively low Snr Sec balance 97.8% as key weaknesses along with the same remark above from the manager’s perspective.  We observed 4bps tightening this week in AAs to 188bps.  The single-As today traded 232dm-258dm with this week seeing a 28bp tightening at this rating level to 228bps, so today’s trades at the wide end of this weeks trading, with yet another Marble Point trade at wide levels, MP3 2013-1A CR 258dm / 6.4y WAL.  BBBs today traded 338dm-374dm with 76bps of tightening this week to 392bps so todays trades at the tighter end of BBB trading this week.  BBs today traded 626dm-675dm with 23bps softening experienced in this rating this week to 741bps despite the tighter trades on the day.  The widening this week in BBs is mainly attributable to the 2024 RP profiles that have traded this week at 846dm vs 718dm last week.

AAA CLO

US CLO

Another active day with 20 observed covers across the liability structure which we ran DMs on – 7 x AAA, 1 x BBB, 11 x BB and 1 x B.  The >4y WAL AAAs (23/24 RP profiles) traded in a 119dm-134dm range split as follows : 2023 RP profiles trade 119dm-126dm (note in line with a recent comp this month GLM 2017-2A A 121dm / 4.9y WAL) and the 2024 RP profiles trade today 133dm-134dm (tight to a recent comp this month OCP 2019-17A A1 at 136dm / 6.3y WAL).

The BBB trade today is ATCLO 2019-15A D (Crescent Cap) covers at 466dm / 8.7y WAL, this is a 2024 RP profile, closed 5 weeks ago – there has been one 2024 RP profile BBB comp this month to date MDPK 2018-31A D at 341dm / 8.5y WAL, todays ATCLO 2019-15A D has a very low MVOC 108.9 but once again this deal is pending its first remittance report to be able to comment accurately on it’s performance metrics. 

The BBs today are from 5 different RP profiles (2020-2024 RPEs) – the 2024s trade 911dm – 1039dm, 2023s 649dm, 2022s range 654dm-705dm with 2 outliers LCM 23A D (895dm / 7.5y WAL) and HLA 2017-2A D (841dm / 6.95y WAL), note however that similar 2022 RPE bonds this month trading tighter 670dm-718dm.  The LCM 23A D has a very low MVOC 102.48, 7% sub 80 priced assets, par build negative -0.28 and a low annualized equity return of 9.4% which is very low versus peers, whilst the HLA has a lo-MVOC 103.71.  The 2021 BB RPE bonds traded with a wide basis 703dm-801dm with TRNTS 2017-6A E (Trinitas Cap) at the wide end 801dm / 6.2y WAL – this deal has >5% of sub 80 priced assets and weak performance metrics (WARF 2944, 43bps of defaults, annualized equity returns of 12% lower than peers.  2021 RPEs have traded 683dm-703dm so today’s TIA 2017-1A E (TIAA) 703dm / 6.2y WAL is at the wide end of month to date comps.  Finally the 2020 RPE profiles trade in a 601dm-644dm range, with month to date comps 541dm-697dm right in the middle of this zone with no significant outliers to note. 

The sole single-B tranche today was ARES 2016-40A ER (Ares Management), a 2021 RP profile that trades 982dm / 7.45WAL with the only market observed single-B this month TCW 2019-1A F 958dm / 6.8y WAL so today’s ARES trade fits this ‘term structure’ for an illiquid bond rating level nicely.

AAA CLO

EUR/GBP ABS/RMBS

AAA Dutch prime RMBS at 12dm. AAA French autos at 19dm and AA Spanish autos at 39dm.

EUR CLO

2 x AAA, 1 x AA & 1 x BBB today. The AAAs are paying 85bps and 86bps margin. One is callable now and the other in Feb 2020. They have both traded at small premiums which is around 120dm to mat for around 3.5yr WAL or around 100dm to call for 0.15yr WAL. The AA is from a deal where the AAA pays 82bps margin. This is also traded at a small premium and the deal is callable now. It traded at 188dm to mat or 163dm to call. The BBB traded at 96.55 / 341dm to mat / 6.09yrs.

AAA CLO

US CLO

Further to a few days of limited flow due to the Opal CLO Conference, there were 29 observed covers today split between single-A and triple-B rated that we derived DMs on. 

With regards to the single-As, the 2023 RP profiles traded in a 231dm-243dm range, this profile has traded sparsely over the past few weeks but nonetheless has commanded DMs much wider (258dm-321dm), with a number of benchmark managers amongst today’s names.  The 2019-2020 RP profiles traded 189dm-215dm, whilst this profile has been even less liquid over the past few weeks, the only comparable trade ALM 2015-17A BR was at a wider level 230dm / 4.5y WAL. 

With regards to triple-Bs today, the RP profiles ranged from 2021-2024 - the only 2024 RP profile was CSAM’s MDPK 2018-31A D 341dm / 8.5y WAL with no other comps with this profile trading over the past few weeks.  The 2023 RP profiles traded 335dm-382dm with CGMS 2014-1A DR (Carlyle) trading at the wide end 382dm / 8.2y WAL, the tranche MVOC is 108.6 which lower than comparable bonds, sub80% assets close to 6% and par build -0.52 with all other metrics sound, this profile has traded in the past 3 weeks in a wider range/basis 431dm-581dm.  The 2022 RP profiles traded 340dm-345dm whilst there was a further outlier LCM 25A D (LCM AM) 424dm / 7y WAL which has a very low MVOC 107.35 and almost 7% of the pool marked below a price of 80 accounting for this outlier.  The 2021 RP profile BBBs traded in a 345dm-466dm range today with a comparable bond KKR 17 D recently trading 383dm / 5.9y WAL, at the wide end of this range is LCM 13A DR which traded 466dm / 5.9y WAL which also has weak performance metrics (lo-MVOC 107.25, close to 6% of assets priced under 80 and annualised equity returns in a 12.7% range which is lower than comps whilst metrics like diversity (99), WARF (2700) and CCC (4.3%) suggest slightly modest overral performance but key MV metrics remain weak.

AAA CLO

EUR CLO

A busy day for EUR CLOs today. 5 x A, 6 x BBB, 1 x BB & 3 x B. Looking at the single As first, only one of the trades was at a significant premium. BECLO 8X C1E traded at 100.21 but because of the higher par DM to call and the fact that the Non Call End Date is not for another 1.6yrs it means the DM to worst in all cases is the DM to mat. Looking at the DM to mat the spreads are in the range from 273dm to 280dm for WALs from 5.5yrs to 7.6yrs. These single A spreads are in line with levels from the end of Nov. At the beginning of Dec we did see trades between 190dm and 240dm but they were for shorter WALs. The short bond is OCPE 2019-3X CE (Onex) which given that it is only 5.5yrs could have been tighter but shows that this manager does trade a little wider. The bond that is most likely to be refinanced is CGMSE 2019-2X B which pays 111bps of margin on the AAA. It traded at 99.50 which is 276dm to mat / 7.14yrs or 321dm to call / 1.71yrs. Even though it is a strong refi candidate it has been conservatively priced to maturity. The BBBs all traded at a discount. The Dms to maturity ranged from 312dm to 363dm for WALs from 5yrs to 6.4yrs. One of the bonds CGMSE 2015-2X CR has passed its RP End Date and will start delevering soon. Around the end of Nov we were seeing BBBs trade around 370dm to 390dm, and with a 4handle for long WALs, so this set of trades consolidates the tightening that has taken place since then. The BB is CRWPK 1X D (Crosthwaite Park – GSO) which traded at 98.50 / 662dm / 7.88yrs. This deal is performing well but is a long bond (RP End Date is Sep 2023) hence the relatively wide level. The single Bs traded around 915dm for WALs between 6.3yrs to 8.6yrs. This is a definite tightening – at the end of Nov we saw trades around 965dm. All these deals are performing well.

AAA CLO

EUR/GBP ABS/RMBS

A lot of ABS today. Single A French autos at 140dm. A stranded utility deal, which was AAA but now A, at 58dm. AAA Spanish consumer loans at 36dm. AAA Dutch BTL at 82dm. AAA French autos at 8dm. DILSK 3 A at 68dm. A 2014 Credit Foncier RMBS deal at 104dm, was AA now AAA. Two 1.0 Spanish RMBS deals around 40dm. TPMF 2019-GR4X C (UK Prime RMBS) at single A traded at 216dm. A AAA bond for Silverstone Master Trust at 63dm. Lastly a UK BTL which was AA+, now AAA at 125dm.

EUR CLO

1 x AA & 1 x A today. CONTE 2X BR (Contego) traded at 99.75 / 152dm / 3.74yr. This deal had a RP End Date of Nov 2018 and has now started delevering. It has traded at a tight level given that it is a short bond. Other AAs have traded recently around 200dm for 6.5yr WAL. TYMPK 1X BR (Tymon Park) traded at 99.35 / 187dm / 4.83yr. This deal pays a margin of 59bps at the AAA level so cannot be refinanced again. It was refi’d in Jan 2018 and has been callable since then. It will start delevering after Jan 2020. The deal is performing well but the main thing about it is that it is short. Longer single A’s have traded recently in a 240dm to 270dm context for WALs between 5.1yrs to 6.9yrs.

AAA CLO

US CLO

A quieter end to the week with 8 covers, all BB rated today.  The RP profiles were 2022-2024 and the trading range is 670dm-761dm, with the 2024 RP profiles trading with the tightest basis 718dm-739dm.  At the wide end of the BB trades today is TIA 2016-1A ER (TIAA) 761dm / 8.5y WAL, the metrics on this bond are as follows – MVOC 104.3, MVAP 4.1 (both in line with peers), 5.2% sub80 assets, annualised equity return 10.9% (low), lo-diversity 73 whilst other metrics are sound.  We have run DMs on 27 double-Bs this week which trade in generic terms 726dm across almost $70m of supply, we have seen almost 40bps of tightening from the prior week.  Breaking these BBs down further, given the generic levels include an array of RP profiles, the 2019/2020 RPEs traded this week 615dm, 2021 RPEs traded 720dm, 2022 RPEs trade 711dm, 2023 RPEs trade 769dm and 2024 RPEs trade 718dm so we are seeing some inversion amongst the 2022 and 2024 RP profiles which have outperformed other profiles in the term structure.  In AAAs this week we observed significant supply with $161m of liquidity of AAAs / >4y WAL which traded 2bps wider week on week with a generic 128dm.  For single-A, BBB and single-Bs there was far less liquidity this week so based off those we ran DMs on this week we have the following traded levels : single-A 267dm (vs 269dm last week), triple-B 399dm (vs 468dm last week) and single-B 958dm (no observations last week).  However we observed $74.4m of liquidity in AAs this week versus none last week and only $20m the week before, we calculate generic level of 192dm for AAs this week across 2020 to 2023 RP profiles.

AAA CLO

EUR/GBP ABS/RMBS

GAPPL 2019-1 A (Green Apple – Dutch RMBS) traded at 19dm for the AAA. SAPPA 2019-1 A (Sapphire One – French autos) traded at 7dm for the AAA. SCGC 2015-1 D (German consumer loans originated by Santander) traded at 326dm for the BB.

EUR CLO

3 x AA, 1 x A, 1 x BBB & 1 x BB today. All the AAs traded at a premium price. Because of the upward sloping yield curve the spreads to call are greater than the spread to mat for a par price. Thus even with the amortisation of the premium price taking place more quickly if priced to call, still the DMs to call and mat are not that different. All three AAs closed in Apr 2019 and callable around Apr 2021. All three are potentially refinanceable especially BILB 2X A2A (Guggenheim) in which the AAA pays a margin of 114bps. We will be recording the DM to call as an enhancement to the Archive but for now we can say here that the DMs to maturity range from 197dm to 203dm and the DMs to call are 189dm to 216dm. ARESE 11X B1 DMs have been calculated using a price of 100.50 because all that was disclosed was a CVR of 100h. These spreads are not a noticeable change on previous AA levels. The single A is BABSE 2016-1X CR which traded at 98.27 / 237dm / 5.05yr. Even allowing for the fact this is quite a short WAL bond (it was refi’d in July 2018 and RP End Date is July 2020) this is a tight level. Recent single As have been in the 270dm to 290dm area for 6.5yr to 6.9yr trades. The BBB is from the same deal and traded at 97.95 / 336dm / 5.36yr.Again this is a strong level with other recent trades being in the 370dm to 380dm region. The BB is ARBR 4X E which traded at 99.63 / 590dm / 6yr. This is also a tight level with recent trades having been in the 630dm to 680dm range for WALs in the 5.9yr to 7.8yr range. The deal is performing well and from a good manager. The deal could be being managed for debt since the equity return has been quite low at 9.7% pa.

AAA CLO

US CLO

An active day today with 34 observed covers – 13 x AAA, 11 x AA, 10 x BB.  There was a MM CLO from Golub Cap which covers 185dm / 5y WAL, whilst the BSL CLO AAAs with >4y WAL (2022/2023 RP profiles) trade today in a 115dm-140dm range.  The range is tighter for the majority of these AAAs at 115dm-124dm (tight to similar profiles recently in mid-120s context, eg. 126dm-127dm as we calculated yesterday) given two outlier trades - PIPK 2018-2A A (Partners Gp) 136dm / 5.8y WAL (MVOC 152.3 / lo-div 71) and WOODS 2017-16A A (Angelo, Gordon) 140dm / 4.7y WAL (lo-MVOC 148.4 / lo-div 70 / -0.31 par build).  A flurry of 11 double-As today, with 9 of these 2023 RP profiles and 1 each of 2021/2022 – the AAs trade today in a 179dm-208dm(223dm) range with an outlier trade SNDPT 2018-2A B (Sound Point) 223dm / 6.7y WAL (lo-MVOC 126.13, -0.59 par build, lo-div 74).  We have observed similar profile AAs over the past 3 weeks trade in a 176dm-207dm (229dm outlier trade) range so today’s range is very much in keeping with recent comps.  The double-Bs today included four RP profiles (2021-2024), however the trading range for the majority is 683dm-724dm with 2 outliers both from Carlyle IM (CGMS 2017-4A D / CGMS 2016-3A D) 854dm / 8y (2023 RPE) and 898dm / 6.5y (2021 RPE) respectively.  The latter 2021 RPE profile bond trade has very weak stats – lo-MVOC 102.8, MVAP 2.7%, 6% sub80, hi-WARF 2991, hi-CCC 6.3% and 77bps ADR.

AAA CLO

EUR/GBP ABS/RMBS

Two trades today that we can calculate DMs for. TPMF 2018-A12X A (Towd Point Auburn – the Cerebrus shelf – BTL loans originated by Capital Home Loans) traded at 82dm for the AAA. TOWCQ 1 B (Italian Consumer Loans originated by Accedo) traded at 281dm for the single A.

AAA CLO

US CLO

Today we observed 13 covers across the capital structure – 6 x AAA, 1 x AA, 1 x A, 5 x BB.  The AAAs were a mix of 2022 and 2021 RP profiles, the 2021 RP profiles traded in a 122dm-138dm range for ~3y WAL, with similar profiles trading recently 122dm-136dm as mentioned yesterday, with the exception of a couple of outliers which we covered already in the prior wrap.  However the 2022 RP profiles traded in a tighter basis 126-127dm with a WAL >4y, note similar profile bonds have traded 119dm-135dm (with an outlier trade 114dm) so today’s levels squeeze into the middle of this observed range, with the bonds from benchmark managers CIFC and Blackrock.  The double-A trade today was AVERY 2015-6A BR (Bain Capital) 169dm / 4.2y WAL, this is a 2020 RP profile which we haven’t seen much of over the past 2 weeks and the last 2020 RP profile trade we observed and was ALM 2015-16A A2R2 in early November at 179dm / 4y WAL so today’s trade is at a firmer level.  The single-A trade today was ANCHC 2014-4RA C (Anchorage Cap) 267dm / 6y WAL, a 2022 RP profile – looking at recent similar profiles which traded 260dm-315dm over the past 2 weeks then today’s DM is at the tight end of this range despite the hi-WARF 3206, lo-diversity 64 and hi-CCC 9.5% on the deal, the manager has an excellent par build record of +0.51 which outperforms peers.  The BBs today were 2023/2024 profiles and trade in a 711dm-779dm range, with an outlier at 832dm / 8.5y WAL - OZLMF 2012-2A DR2 (Sculptor) has a healthy MVOC 104.6 but harbours 5.7% sub80 priced assets, annualised EQ return of just under 15% but otherwise sound performance metrics with the only stain being the manager’s poor par build record of -0.37 across all their CLOs.

AAA CLO

EUR CLO

4 x AAA, 1 x A & 1 x BB today. 3 of the AAA traded at par or a discount and one at a premium. All 3 of the par/discount trades are junior AAAs. Running the deals to maturity they have traded at between 159dm and 163dm for WALs around 6.2yrs. RRME 1X A2 (Redding Ridge) attaches at 42% and detaches at 44% but the other two attach at 37.5% and detach around 40%.  For comparison whole AAAs are trading around 125dm for 4.3yr WAL. The premium priced trade is AQUE 2019-4X A (Aqueduct – HPS) which traded at 100.34 which is 131dm to mat / 5.36yr or 132dm to call / 1.64yr. A refi in July 2021 is the most likely option here since the AAA pays a margin of 111bps. 132dm for 1.64yr is a little wider than most recent AAA trades we have seen where we have seen levels of around 110bps for 2yr WAL. The single A is AVOCA 19X C which traded at 99.50 / 268dm / 6.59yr. This is in line with recent levels. The BB is BECLO 7X E which traded at 94.08 / 633dm / 7.85yr. We don’t see BB trades all that often but this does look like a tighter level eg BABSE 2018-3X E traded at 677dm / 7.86yr on 2 Dec and EGLXY 2016-5X ER at 659dm / 5.89yr on 13 Nov. This could be a tightening of 30-40 bps, mind you BlackRock deals always trade well.

AAA CLO

US CLO

Another relatively quiet day with 6 observed covers but nonetheless some high quality trading levels today – 1 x AAA, 1 x BBB and 4 x BB rated.  The 2021 RP profile AAA  VIBR 2017-6A A (DFG Investment) with 148.17 MVOC / 32.51 MVAP covers at 128dm / 3.6y WAL, which fits nicely in the middle of comparable profile bonds that have traded in a 122dm-136dm range over the past two weeks as modelled by SCI. With the exception of a couple of outliers: TICP 2016-6A AR 113dm / 2.9y WAL has a vh-MVOC 157.8 albeit a little shorter and VOYA 2015-1A A1R 108dm / 3.3y WAL has a lower MVOC 147.32 than today’s VIBR but note a very high diversity score of 97 as the only material anomaly to explain the outlier status.  The BBB trade today is BSP 2017-12A C (Benefit St) 2022 RP profile has a sound MVOC of 109.47 and covers 399dm / 7.2y WAL, which is at the tighter end of comparable RP profile BBB trades over the past 2 weeks, which have traded in a 382dm-439dm range.  The BBs today were 2019/2020 RP profiles and traded in a 541dm-697dm range, at the wide end of this range is the outlier, GALL 2018-1A E (Gallatin Loan Management) cover of 697dm / 5.5y WAL – this has a lo-MVOC 104.1, very low diversity of 63, hi-WARF 2907, retail concentration of close to 5% and WAL test cushion of 0 (WAL test has been falling since start of year 5.43 to 4.73 now @ trigger) but the deal has a positive par build +0.37 and lo-sub80 asset balance incidentally.  Ignoring this outlier the BBs today trade in a high quality 541dm-605dm range for the 2019-2020 RP profiles, these are very tight levels and we have to go back to September to even see the last BB trade with a 6-handle, let alone a 5-handle on 2 of todays trades (Napier’s REGT6 2016-1A ER 593dm / 6y and Blackrock’s MAGNE 2015-16A ER 541dm / 6y).

AAA CLO

EUR CLO

3 x BBB today. TCLO 3X D and JUBIL 2013-10X DR both traded around 374dm for around 5.65yrs. JUBIL 2013-10X DR is potentially refinanceable now which if it happened would be upside. It has been priced to maturity. GLGE 2X D traded at 95.76 / 489dm / 5.68yr. Obviously this is a much wider level. The WARF is high (3018), the junior OC cushion is very low (2.75%) and defaults are high (2.79%). Even when the deals are cleaner than this, this manager trades behind most other managers. The market is pricing this tranche to maturity.

AAA CLO

US CLO

An expected quiet start to the week post holidays.  We observed 5 covers – 4 x AAA and 1 x B.  Three of the AAAs were short daters, the 2020 RP profile AAAs from Napier Park  RGTII 2013-2A A1R2 and Brigade Cap  BATLN 2016-10A A1R both trading 125dm with ~3y WAL, the 2021 RP profile AAA was an outlier given the relatively similar WAL, the  TRNTS 2016-5A AR (Trinitas Cap) has a lo-MVOC 148.44 (2pts shy of median values across similar vintages) whilst the deal has some performance issues (WARF 2934, par build -0.34, 117bps defaults, 77 diversity, sub 80 assets 6.5%).  The RGTII 2013-2A A1R2 has a 149.64 MVOC, 2765 WARF, 33bps defaults, 87 diversity, 4.2% sub 80 priced assets, in essence reflects the tighter level.  We have now seen 7 x single-Bs over the past 10 days which is quite a flurry at this rating level, this has helped form some price structure dynamics.  Today the single-B was from TCW AM  TCW 2019-1A F, a 2021 RP profile that covers 958dm / 6.8y WAL – we have seen a wide disparity of DMs for similar profiles given the relative thickness of these tranches and proximity to loss.  The TCW single-B today has a strong MVOC 105.37 and MVAP 6.6% versus its peers, whilst the deal itself carries no defaults and a positive par build 0.35% and a low sub 80- priced asset concentration of <2%.  The other two comparable RP profile-singleBs, as mentioned, traded 898dm / 7.3y WAL MAGNE 2016-18A FR (Blackrock) and 1246dm / 6.1y WAL CIFC 2015-3A FR (CIFC AM) – the Blackrock single-B has a strong MVOC 104.35 / MVAP 5.5%, 0 defaults, +0.08% par build. sub 80 assets 2.6% whilst in contrast the CIFC single-B has a low MVOC 102.56 / MVAP 4.6%, negative par build -0.34, 5.1% sub 80 priced assets and a 2916 WARF.  Since there is not a material difference in quality between the TCW and Blackrock single-Bs one has to look through to the manager’s track record to discover any further differential explanations, the tighter Blackrock single-B has a far more impressive manager record in terms of managing defaults (13bps) and par build (+0.16) versus TCW defaults 56bps and negative par build -0.34.

AAA CLO

EUR CLO

Just 1 x BB today. BABSE 2018-3X E (Barings) traded at 95.27 / 677dm / 7.86yr. This is a 2018 vintage deal. It has high WARF (2984), high WAS (409bps), good junior OC cushion (5.03%) but has a number of distressed assets eg SGB-SMIT (German capital equipment, transformers), Boparan (UK food & restaurants) and others. This trade has a long WAL given that it priced in Dec 2018 has a RP End Date of July 2023. Given the long WAL its spread is in line with recent BB trades.

AAA CLO

EUR ABS

On Thanksgiving weekend we only saw 2 EUR ABS CVRs. There is a modelling error on the cashflow system we use for TOWCQ 1 M which we have advised to our supplier. PARGN 10X C1B (a pre-crisis UK BTL RMBS, rated single A) traded at 96.00 / 151dm / 10.15yr run at 2cpr.

AAA CLO

US CLO

With markets gearing up for the Thanksgiving break, with no lists expected (as of now) tomorrow we observed 16 covers today – 9 x AAA, 1 x A and 6 x BB rated.  With all but one of today’s AAAs with a WAL of >4y, they traded in a 122dm-138dm range (all 2022/2023 RP profiles) which is fairly representative of our latest generic >4y AAA spread levels of 127bps, especially when we omit the obvious outlier from today which is a 2023 RPE MP11 2017-2A A (Marble Point) which covers 138dm / 4.9y WAL – this has a lo-MVOC 145.2, lo-MVAP 31.1 whilst deal metrics are weak (sub80 assets 9%, WARF 2917, diversity 71 and 37bps of defaults).  When you compare this to the tight end of the range PLMRS 2018-2A A1A (Palmer Sq) covers 122dm / 5.4y WAL which has a 157.1 MVOC, 36 MVAP and much stronger deal metrics (sub80 asset 2%, WARF 2623, 78 diversity for instance).  The single-A trade of the day was GALXY 2017-23X C1 (PineBridge) which is a 2021 RP profile which covers 269dm / 5.7y WAL (note week MVOC 116.3 / par build -0.37), which is tight to our single-A generic spreads 280bps but interesting to note this is the first single-A 2021 RP profile trade of this month to date, with 2022 RPEs trading 260dm-272dm with a 315dm outlier in VENTR 2017-29A C whilst the only 2020 RP profile trading 230dm 2 days ago.  In a month that we have seen heavy BB supply, especially over the past week, the BB trades today were from 2020-2024 RP profiles.  A less frequent 2024 RP profile BB tranche from a recently closed Oak Tree Capital deal, tight end of this month's 723dm-992dm range covers at 783dm / 10y WAL today.  Today’s BBs in aggregate traded in a 200bps range, 639dm-839dm, with an interesting dynamic as the explanation for the 200bps swing.  The 2020 RP profiles traded at the tight and wide end, at the tight end was APID 2015-21A DR (CVC) 639dm / 6.2y WAL (MVOC 104.4, hi-diversity 91, 2828 WARF, 4.9% sub80 assets, par build -0.36, strong Jnr OC cushion 4%) whilst at the wide is SNDPT 2016-1A ER (Sound Point) with a cover of 839dm / 6y WAL (MVOC 104.2, lo-diversity 75, 2506 WARF, 4% sub80 assets, par build -0.34, Jnr OC cushion 4.6%) so not much between the two from a fundamentals point of view, however upon analyses of the managers there are differences in profile – CVC has a better annual default rate (39bps) than peer managers (69bps average), strong par build (+0.08) than the same cohort (-0.18)  and stronger avg interest diversion test 3.8% v 3% cohort.  Sound Point on the other hand has a weaker annual default rate (58bps) than CVC, weaker par build (-0.71) than CVC and weaker avg interest diversion test 2.6% v 3.8% for CVC – careful assessment of Manager metrics at this end of the rating scale certainly have more of a bearing given the proximity to loss and successful management of OC.

AAA CLO

EUR/GBP ABS/RMBS

A number of mezzanine trades today. There is a single A, fixed rate, Finnish auto trade at S+94. There are French autos: AA at 88dm & BBB at 136dm. AA Italian auto at 108dm. BB French consumer loan at 136dm. Single A Dutch prime RMBS at 146dm. AA Irish Non-conforming RMBS at 147dm. AA French prime RMBS at 84dm and finally a pre-crisis Spanish RMBS which is now rated AA+ at 78dm.

EUR CLO

3 x AAA, 1 x AA, 2 x A & 2 x B today. All 3 AAAs traded at a discount price and have been priced to maturity. All of them also closed in 2018. There was very consistent pricing with all 3 trading between 124dm and 125dm for WALs around 4.3yrs. This is around the AAA spreads we were seeing before, perhaps a little firmer. ACCUN 3X A traded on 20 Nov at 136dm / 4.23yr for a similar WAL and TIKEH 2X AR traded at 123dm / 2.92yr for a shorter WAL on 8 Nov. The AA trade is BABSE 2018-2X B1A which traded at 197dm / 5.82yr. Again, if anything, this is a very slight firming eg SPAUL 3RX B1R traded at 200dm / 5.45yr on 20 Nov. In the single As DRYD 2018-66X C traded at 99.52 / 274dm / 6.9yr. HARVT 21X C traded at 100.16dm / 294dm to mat / 6.9yr. This bond is not callable for another 1.4yrs and it’s DM to call is around the same as to mat. These spreads are unchanged from previous single A spreads. The single B trades were CORDA 7X FR (CVC) at 965dm / 8.13yr and NEWH 2X FR (Bain) at 971dm / 6.93yr. Both these bonds have similar OC levels. The equity trade is OHECP 2015-3X SUB (Oak Hill) which traded at 45.00 / 18.84% / 4.17yr. Its NAV is 39. This deal was reset in 2017 and has been callable since July 2019. With the AAA paying a margin of 90bps this is potentially possible. We estimate the refi uplift to be worth around 1.5pts. The deal is performing adequately; WARF is above average at 2986, defaults are higher than average at 0.76%, Junior OC cushion is below average at 3.73% but Return on Equity has been above average at 18%.There are 2 defaulted assets in the pool: New Look (29) and Lecta (41). In addition there are some other distressed names eg L1R HB & La Financiere Atalian.