AAA CLO

US CLO

A quiet start to the week with 2 covers today whilst a busier day lies ahead tomorrow with 6 US CLO lists readying as it stands.  Today a triple-B MP12 2018-1A D (Marble Point) covers at 415dm / 8.9y WAL, this is a long dated bond given the 7y RP (at close May 2018) and the dm is reflective of the longest BBB WAL we have seen this month.  As we mentioned on Friday, BBs tightened in to ~756dm last week and that same theme continues today with the only BB of the day BSP 2016-10X DR (Benefit St Partners) covers at 97 / 731dm / 5.9y WAL – profile is 15m RP and 13m NC and good fundamental deal performance (WARF 2839, CCC 2%, Snr OC 10.34%, diversity 90) and tranche MVOC 105.73 which is slightly above average for its cohort.

AAA CLO

US CLO

The busiest day post summer today with 53 covers – 34 x AAA, 1 x single-A, 4 x BBB and 14 x BB rated.  The >4y WAL AAAs traded in a 109dm-132dm range whilst there was a Middle Market CLO MRNON 2018-1A A1 that covered at 99.09 / 171dm / 4.15y WAL (typically MML CLOs trade wider than BSL CLOs).  At the wide end of the BSL CLO range was GOCAP 2015-22A AR (Golub Capital) which comes from a manager that is experienced in MML CLOs and has also issued BSL CLOs, the transaction has a high WARF 3009, Diversity of 74 whilst other deal and tranche metrics don’t appear weak (eg. tranche MVOC is 151.78 and CCCs 2.04% with 0 defaults).  At the tight end of the AAAs is MAGNE 2014-8A AR2 (Blackrock) covering at 109dm / 4.5y WAL, this deal has a WARF of 2794, 2.6% CCC, 0 defaults and SNr OC and WAL cushions above average.  This week we have seen a slight tightening tone with >4y WAL AAAs trading 1bp tighter at 120dm (vs 121dm last week) but note a lower level of supply at this level ($34.8m).

The single-A APID 2013-16A CR (CVC) covered at 293dm / 3.1y WAL which is wider than longer WAL single-As we have seen this month.  This deal is post RP and deleveraging fast but carries 72bps of defaults, CCCs 5.2% and a low diversity of 52 given much of the collateral has redeemed.  The BBBs traded in a 330dm-352dm range which has certainly been at the tighter end of BBB trading we have observed this month.  With regards to the more liquid ‘BB’ end of the mezzanine space today’s trades were in a 711dm-865dm range.  A longer dated ATCLO 2018-12A E (Crescent Cap) traded at 865dm / 9.2y (covers 84), this deal has relatively sound deal performance metrics but at the tranche level the MVOC is 104.86 / AP is 7.8% which are both in the 20th percentile versus peer bonds, whilst the manager is relatively inexperienced (3.6bn AUM / 8 CLOs) their metrics don’t point to any signs of significant weakness (eg. default record 65bps v 55bps cohort).  This week we have observed 30bp tightening in BBs to 756dm versus last week with today’s trades certainly at the tight end of the week’s performance, however we observed more than double the supply of BBs so the fact that the market had to absorb less supply of BBs this week must be taken into context.

AAA CLO

EUR CLO

Two AAA trades today. Both at very tight spreads but that is because they are very short. JUBIL 2015-15X AR (Alcentra) traded at 100.01 / 84dm / 1.76yr and it has passed it Reinvestment End Date in July 2019. BABSE 2015-1X A1R (Barings) traded at 100.00 / 82dm / 1.99yr and its Reinvestment End Date ends in Oct 2019. Having said that we did see PENTA 2015-2A AR trade at 100.07 / 126dm / 1.68yr on 24 Sep and this is also a AAA. CRKST 1A (Guggenheim) fixed rate bonds traded at S+400 for single A, S+493 for BBB and S+658 for BB. Some of these are quite wide levels but then they are not the normal floating rate bonds. For comparison single A floaters are more in the 240dm to 250dm range, BBBs are 340dm to 370dm and BBs are 700dm to 800dm.

AAA CLO

US CLO

Multiple lists today contributed 50 covers with the DMs/Yields summary as follows – 17 x AAA, 11 x A, 7 x BBB, 14 x BB and 1 x Equity.  The AAAs traded in a 110dm-126dm range for >4y WAL (vs the narrow 116dm-122dm range yesterday) with >$100m exchanging hands, the market continues to absorb liquidity at tightening levels.  Recently single-As haven’t featured on lists as much, but today a rich list of single-As traded in a narrow 240dm-271dm range with no outliers to note, the prior week saw single-As trade in a ~265dm context as a guide.  BBBs today traded in a 293dm-403dm range, with an interesting trading observation: ANCHC 2015-7A DR (Anchorage Cap) 293dm / 5.1y WAL was at the tight end (WARF 3218, CCCs approaching 10% and WAL test failing) whilst ALM 2013-7RA CR (Apollo) traded wider at 403dm / 5.9y WAL (WARF 2847, 6.6% CCC), both tranches have similar attachment points and MVOC too whilst the Anchorage deal has 2% sub 80 priced assets v 1.5% for the Apollo.  Apollo manages $10bn across 15 CLOs whilst Anchorage manages $8bn across 16 CLOs, interestingly Anchorage’s overral default record of 86bps (v 54bps cohort) is worse than Apollo’s at 47bps whilst Apollo is weaker on par build -0.03 v Anchorage +0.43, whilst Apollo is more equity friendly than Anchorage (20% annualised EQ return v 16.6%), despite all this the Anchorage bond traded tighter nonetheless, perhaps to very specific demand.  There was a $6.5m equity tranche DRSLF 2016-45A SUB (PGIM) that covered at 57.58 which SCI calculated is equivalent to 9.41% yield / 4.5y WAL - we ran this to a call assumption of RP +2y (since no immediate flight path to refi possible and NC 13m), asset level haircuts capturing sub 90 priced collateral including 3 distressed loans (Deluxe Entertainment, Acosta Inc and ASP MCS) all ~$1m face carried at 18m REC lag of current MV of 15%, 34% and 34% respectively.  The NAV on the equity tranche is 42.2 and profile is NC Oct 2020 + 3y remaining RP, thus hinting the market is not willing to pay significantly more than 1y CF on top of NAV, which is ultimately to the NC date.

AAA CLO

US CLO

First full day back since ABS East saw 18 covers which were mostly high grade – 15 x AAA and 3 x BB rated.  The ABS East conference saw a big increase in attendees and the expectation is for a heavy new issue pipeline in Q4 this year which may stress the ability of the market to absorb supply despite the positive tone seen at present.  The >4y WAL AAAs traded in a fairly narrow 116dm-122dm range which represents a tightening tone versus ~121dm levels we saw the in the week leading up to ABS East.  There were 3 outliers amongst the AAA covers today, they were shorter dated AAAs with RP of ~late 2020/2021 covering close to par: (1) APEXC 2017-1A A1 (Apex Credit) 147dm / 3.8y WAL (WARF 2981, CCC 5.4%, Oil & Gas 5.2%, Retail 6.04%, WAL cushion 17.6%); (2) TCW 2019-1A A (TCW) 149dm / 3.4y WAL (performance rather mediocre, not particularly below average but manager is very inexperienced and weaker stats versus peers eg. par build -0.32 / Annualised EQ return 11.74% vs cohort 15%); (3) ZAIS5 2016-2A A1 (Zais) 154dm / 2.9y WAL (similar profile to APEXC 2017-1A A1 – WARF 2965, CCC 7.7%, Oil & Gas 4%, Retail 7.9%, WAL cushion 3.3%).  The BBs traded in a 691dm – 787dm range which also is firmer than levels seen last week at this rating level (~790dm on average), the clips were 1-3.5m in size.  At the tight end was PAIA 2018-1A D (Park Avenue IA) 691dm / 8.77 WAL, this tranche benefits from a MVOC 107.6% which is higher than average for BBs whilst the deal performance is sound (WARF 2768, par build +0.25, 2% CCC, 0 defaults, healthy Snr OC cushion 10.4%, Snr Sec 97.9%).  At the wide end of today’s BBs was OZLM 2017-19A D (Sculptor Capital) 787dm / 7.9y WAL with tranche MVOC 105.5% (slightly below average for BBs) whilst the deal performance is weaker than the PAIA 2018-1A D (WARF 2848, par build +0.01, 6.9% CCC, hi-Retail 4.4% and Snr Sec 95.9%).

AAA CLO

EUR CLO

Just one AA EUR CLO today. CORDA 5X B1R (CVC Cordatus) traded at 100.13 / 194dm / 5.18yr. This was refi’d back in Jul 2017. It reinvests until Jul 2021.

AAA CLO

EUR CLO

There are 13 EUR CLOs with disclosed prices; 5 x AAA, 2 x AA, 3 x A & 3 x BBB. The AAAs mostly traded in a 118dm to 126dm range although ELMP 1A A1R (Elm Park – GSO Blackstone) traded at 112dm for a 2.36yr and GLGE 2A A1R (GLG – Man Group) traded at 135dm / 3.08yr. For context, on 20 Sep we had 3  x AAA trades with a 130 handle and at the beginning of Sep we had trades from 120dm to 150dm, thus the AAA level looks to have firmed based on this evidence. The 2 x AA traded around 180dm to 190dm (see PriceABS for details). This is in line with AA trades from earlier this week but at the beginning of Sep the AA levels were more like 200dm to 230dm. The single As today are between 232dm to 247dm. This compares with levels from 260dm to 290dm earlier in the month. Of the 3 x BBB trades ELMP 1X CR (Elm Park – GSO Blackstone) traded at 301dm. It is about 1yr shorter in WAL than the other two with a Reinvestment Period end date of Apr 2020. The other 2 x BBB traded between about 350dm to 370dm. This is in line with levels of last week but tighter than the beginning of Sep which all had a 4handle.

AAA CLO

EUR ABS/RMBS

A few ABS trades today. VCL 28 A (German autos – Volkswagon) traded at 100.45 / 13dm / 1.06yr / 2cpr for a AAA bond. STORM 2017-1 A (Dutch prime RMBS – Obvion, subsid of Rabobank) traded at 101.12 / 13dm / 2.33yr / step up / 8cpr at a AAA level. SAPPA 2017-1 A (French autos originated ultimately by My Money Bank) traded at 100.09 / 11dm / 0.23yr for the AAA bond. RNBLG 2 A (Red & Black – German autos – originated by ALD Autoleasing (manufacturer independent)) traded at 100.03 / 54dm / 1.71yr according to our calculations. DOLPH 2014-3 A (Dutch prime RMBS mastertrust – multi originator) which traded at 100.01. It is just about to be called so is very sensitive to this for its DM calculation. CAR 2018-F1V A (French autos) traded at 100.38 / 25dm / 1.27 / 14cpr for the AAA bond.

EUR CLO

There were 5 x AA CLOs with disclosed prices. They all traded in quite a tight grouping from 182dm to 193dm with Investcorp at the tight end and CSAM at the wide end. These trades give a clear indication of current traded levels for EUR AA’s.

AAA CLO

US CLO

A strong end to the week with 31 covers today, we generated DMs on 17 x AAA, 4 x AA, 1 x BBB and 9 x BBs.  The AAAs >4y WAL traded in a 114dm-130dm range, we saw tightening at this rating level this week to 121dm versus 129dm last week with longer WALs (7.2y v 4.6y) and double the supply $178m versus $89m last week at this rating level.  The double-As traded in a 163dm-216dm range with VENTR 2018-35A BL (MJX AM) at the tight end 163dm/7.4y WAL (Profile  RP 2023, NC Oct 2020, MVOC 132%, par build +2.45, 108 div) and NBCLO 2016-1A A2 (PGIM) at the wide end 216dm/5.4y WAL (Profile RP Jan 2022, NC passed, MVOC 128%, par build +0.19, 89 div).  The BBB CGMS 2012-3A CR2 (Carlyle) 438dm/8.7y WAL which is at the wide end of other comparable BBBs, Carlyle’s track record is weaker than its peers in terms of default and par build record for example.  The BBs traded in a 689dm-817dm range, we saw a softening theme at this rating level this week to 790dm versus 635dm last week.  Note that last week there was only $19.5m of supply of BBs versus $101m of supply of BBs this week, whilst the market has absorbed this spreads have drifted as a result and we did see some highly distressed BBs this week with DMs on 3 of these north of 900dm as calculated by SCI.

AAA CLO

EUR CLO

3 x AAA and 1 x AA today. The AAAs ranged from 130dm to 139dm (over unfloored Euribor). 130dm is TIKEH 4X A1 (Tikehau) which is a 4.7yr WAL, 2018 vintage, Reinvestment End Date Jan 2023. 132dm is BLACK 2017-2X A1NE (Black Diamond) which is 3.6yr WAL, 2017 vintage, RP end date Jan 2022. 139dm is AQUE 2019-4X AE (HPS) which is 5.5yr WAL, 2019 vintage, RP end date Jan 2024. The AA is CGMSE 2016-1X A2A (Carlyle) which traded at 99.52 / 178dm / 6.1yr WAL. It was refi’d in 2018, RP end date 2022.

AAA CLO

US CLO

Another active day as we modelled 23 covers to DMs including 5 x AAA, 1 x AA, 1 x BBB and 17 x BBs.  Of the AAAs three are shorter daters and two with > 4y WAL trading in a 118dm-129dm range.  See how these compare:

• VENTR 2017-28X A2 (MJX) at 129dm/4.6y WAL:                      MVOC 151.1%, CCC 4.5%, defaults 108bps, par build -0.06 and 3.3% of sub 80 assets
• MAGNE 2015-14RA A1 (Blackrock)  at 118dm/5.7y WAL:      MVOC 151.9%, CCC 3.0%, defaults     0bps, par build +0.34 and 1.2% of sub 80 assets

The AA trade was MVEW 2017-1X B (Seix IA) covers at 99.50 195dm/5.7y WAL which is at the wider end of the AAs we have seen this month (range this month of 167dm-197dm) with it’s MVOC 128.17 below average and is very comparable to VENTR 2017-26A B that covered yesterday at our levels 197dm/5.4y WAL.  The BBB trade was CGMS 2012-3A CR2 (Carlyle) covers 94.04 438dm/8.7y WAL which is also at the wide end of BBB DMs we have calculated this month, it’s MVOC 109.26% is well below average and the transaction is suffering from some under performance, eg. par build -1.8, CCC 4.9%, 3.7% of sub 80 assets and 55bps of defaults, the manager also trades wider than peers.  As we have seen, BBs are not in short supply and trade in a wide range, today they traded in a 692dm-830dm range.  Let’s compare both ends of the range:

• APID 2013-12A ER (CVC) at 692dm / 8.5y WAL:                  MVOC 105.4%, CCC 2.7%, sub 80 assets 1.4%, par build +0.49, diversity 90, defaults 0
• SNDPT 2013-1A B2R (Sound Point) at 830dm/8y WAL:     MVOC 105.8%, CCC 2.4%, sub 80 assets 1.9%, par build +0.16, diversity 71, defaults 36bps

Whilst the manager statistics appear similar (both also 2013 vintage refi’d 2018) very subtle differences here in performance appear to cause a higher level of tiering at this end of the capital structure.  We have observed BB DMs post summer were 735dm context (8.2y WAL avg) as of week ending 6th Sept whilst 635dm context week ending 13th Sept (albeit 6.2y WAL).  This week we have seen longer WALs and a little softening of levels at this end of the capital structure.

AAA CLO

EUR ABS/RMBS

A lot of ABS/RMBS trades today. YOUNI 2019-1 F (Younited – French consumer loans) is single B rated and traded at 100.87 / 331dm / 3.02yr / 8cpr. NORIA 2018-1 (BNP Paribas Personal Finance – French consumer loans) traded in Class E (Ba2 rated) at 210dm / 1.44yr / 10cpr & Class F (B3 rated) at 325dm / 1.44yr / 10cpr. STORM 2019-1 A (Obvion – Dutch prime – AAA rated) traded at 102.14 / 14dm / 4.51yr / 5cpr / step up. STORM 2019-GRN A (Obvion – Dutch prime) traded at 102.24 / 13dm / 4.68yr / 2cpr / step up for the AAA. HLFCT 2018-1 A (Multi-originator, French Prime RMBS – AAA rated) traded at 100.92 / 18dm / 2.76yr / 10cpr / step up. GLDR 2017-A B (FCE – German autos) which is AA rated traded at 99.96 / 60dm / 2.42yr / 10cpr. AUTOF 1 A (Italian auto – AAA rated) traded at 100.54 / 57dm / 2.79yr for a AAA. FSTNT 13 traded in Class C (A1 rated) and Class D (Baa3 rated). This is a prime Irish RMBS originated by Permanent TSB. Class C traded at 99.69 / 3.08yr / 0cpr / step up and Class D at 174dm / 3.08yr / 0cpr / step up. DUBS 2018-1X C (Irish non-conforming RMBS – loans originated by Erimon Home Loans (subsid of BoS) and then sold to Pepper Ireland) traded at 99.20 / 164dm / 2.53yr / 3cpr / step up for the A1 rated tranche. DPF 2017-1 B (Dutch BTL originated by Vesting Finance) traded at 106dm / 3.25yr / 10cpr / step up for the AA tranche. DILSK 1 C (Irish non-conforming RMBS – loans originated by ICS Building Society through broker channels (owned by Bank of Ireland)) traded at 100.70 / 111dm / 0.92yr / 8cpr / step up for the single A. BLCRD 2018-1 B (AA rated credit cards) traded at 100.06 / 54dm / 1.52yr / step up. AURUS 2017-1 C (Dutch consumer loans) traded at 100.38 / 69dm / 0.89yr / step up for a single A. Contact your SCI sales rep to get our curves by rating and by collateral for Euro ABS/RMBS.

EUR CLO

8 trades that we could back out DMs on. View the archive to see the detail but the summary is that a AA from Oak Hill traded at 208dm which is in line with recent spreads. BBBs traded mostly in the 330’s with the exception of HARVT 16X DRE (Investcorp) at 374dm and BABSE 2018-3X D (Barings) at 400dm. Both of these bonds are Baa3 whereas the others are Baa2 and they also have longer Reinvestment End Dates (2023) and hence WALs. These are tighter levels than the couple of BBB trades we saw earlier in Sep. The BB- from Chenavari (TCLO 6X E) traded at 719dm / 8.35yr which is, on average, somewhat wider than other trades earlier in Sep, albeit they were mostly Ba2.

AAA CLO

US CLO

Today was the busiest day post summer with us generating 43 DMs off recorded covers right across the capital structure – 6 x AAA, 8 x AA, 3 x A, 9 x BBB, 16 x BB and 1 x B rated.  The AAAs continued their firmer tone trading in a 115dm-119dm range for >4y WAL whilst the shorter dated AAAs traded in a 76dm-102dm range for WALs 1y to 3y.  The AAs traded in a 172dm-197dm range which is in line / touch tighter to comparable trades this month.  The As traded in a 255dm-260dm range for >5y WALs, this month we have not seen many single-As but certainly tighter than single-A DMs from last month.  The BBBs traded in a 344dm-408dm range with all bar one as a 3-handle, which again is at the tight end of comparable trades this month.  The single-Bs traded in a 711dm-1035dm range with a range of profiles on show today accounting for the tiering, The one single-B was a thin second loss tranche MIDO 2014-3A FR (MidOcean Credit) covered at 79 / 1299dm / 9.2y WAL with profile NC Apr 2020, RP Apr 2023, a low MVOC 101% and the transaction itself mediocre in performance with par build -0.59, defaults 53bps and low diversity 69 but all quality tests passing.  Please contact your SCI representative for full details of today’s trades complete with DMs, WALs and further color.

AAA CLO

EUR CLO

One AA and 3 equity trades with disclosed prices today. The AA is BABSE 2014-2X B1R which traded at 99.65 / 189dm / 5yr. For reference we saw BABSE 2014-1X B1RR trade at 99.70 / 202dm / 5.66yr on 9 Sep, so bearing in mind the slightly shorter WAL of today’s bond this suggests that AA levels have not moved much. Of the 3 equity trades the widest was OHECP 2015-4X SUB (Oak Hill) which traded at 18.73% on a risk adjusted basis. This deal has €1m of New Look which has defaulted and is expected to have close to zero recovery. Of the three equity trades this bond has the lowest MV Attachment (-7.1%) and Detachment point  (4.9%) and lowest NAV (41). The next highest yield is SPAUL 5X SUBR  (ICG) which is 15.08% (Reinvest End Date is shortest at Aug 2021) and finally BECLO 1X SUB (Blackrock) traded at 13.08%. BECLO 1X SUB has the most collateral backing it with a MV attach at -3.5% and MV detach at 7.4%.

AAA CLO

US CLO

We saw 20 covers today and ran DMs on 9 x AAA, 2 x AA, 8 x BB and 1 x B rated.  >4y WAL AAAs last week traded around 129dm, this profile was scarce today with only one notable comp VIBR 2015-3A A1RR (DFG) covering 99.52 / 134dm / 5.7y WAL which is testament to a high concentration of sub 80 priced assets 7.2% (MVOC 148.8%).  The remainder of AAAs today were short daters <4y WAL (RPs 2018-2020) trading in a 79dm-115dm range.  Furthermore there was an outlier today OZLM 2016-15A A1 (Sculptor Capital Management) which covers at 100.13 in 1.67m at 145dm/3.1y WAL (profile NC passed, RP Jan 2021) but with the tranche spread at +149 there is a pathway to a refi/reset despite the market not entirely pricing this in at this stage whilst only the min floating spread test failing at 3.42 v 3.5 trigger.  The AAs traded in a 185dm-218dm range today, at the tight end of this range was BLUEM 2018-3A B (BlueMountain) which covers at 99.50 / 185dm / 7.2y which is in line with BLUEM 2014-2A BR2 we saw a week back at 184dm/7.2y and GALXY 2015-19A A2R at 183dm/6.2y.  The >5y WAL BBs traded in a 714dm-840dm range equivalent to 811dm which is a softer tone than compared to 715dm and 735dm for the past 2 weeks.  There was a highly distressed second loss B- rated MHAWK 2013-2A E (Western Asset) which covers at 67.00 / 1469dm/4.9y WAL which we ran to maturity, this deal has 8.45% CCCs, 1.5% defaults, WARF 3081, MVOC 97.4%, -0.65 par build and a number of quality tests are failing to put this into perspective.

AAA CLO

US CLO

We saw 15 covers today across IG and Sub IG ratings from which we generated DMs (9 x AAAs, 1 x AA, 1 x BBB, 4 x BB).  The seven >4y WAL AAAs traded in a 109dm-128dm range, at the tight end of this was MAGNE 2014-8A AR2 (Blackrock) at 109dm/4.5y WAL with profile NC Oct 2019 and RP through Apr 2022 and performance has been solid (MVOC 150%, 0 defaults, par build +0.11, WARF 2794, CCC 2.6%) along with an excellent / experienced collateral manager record.  At the wide end was  SHACK 2014-5RA A (Alcentra) at 128dm/5.3 WAL with profile NC May 2020 / RP Apr 2023 and performance softer (MVOC 147.6%, 0.56% defaults, par build -0.21, WARF 2887, CCC 3.74%) whilst the manager's record albeit impressive is a slight notch down on Blackrock.  A double-A  SNDPT 2016-2A BR (Sound Point) covered at par / 180dm/4.7y WAL which is only a touch wider than other sub 5y WAL double-As this month, eg. BLUEM 2012-2A BR2 at 163dm/4.3y WAL whilst longer WAL AAs (5.7y-7.2y) have traded as tight as 167dm-184dm range.  The short double-B  BOWPK 2014-1A D1R (GSO) covered at 100.29 328dm/4.8y WAL whilst we have seen a range of DMs in sub 5y WALs this month between 289dm-358dm so this is firmly in this range.  The 4 x BBs traded in a 691dm-790dm range with OCT17 2013-1A ER2 (Octagon) at the tight end 691dm/8.5y WAL (MVOC 104.7%, par build +0.39, low retail exp 1%) whilst at the wide end of the range LCM 14A ER (LCM AM) covered at 85.70 790dm/9y WAL (MVOC 103.1%, par build 0.14, hi retail exp 5.1%), both have similar NC and RP profiles (LCM 14A ER a touch longer) and Octagon a more superior manager record across all CLOs UM.

AAA CLO

US CLO

11 x AAA covers today, the >4y WALs traded in a 106dm-145dm range as generated by SCI proprietary methodologies.  At the wide end of the range was  MDPK 2016-22A A (CSAM) at 145/3.9y WAL with an interesting profile as a 2016 vintage with NC passed and RP another 2y with weaker fundamentals (WARF 2901, CCC >5%, defaults 92bps, Oil & Gas exp ~5% and -ve par build) but since the AAA spread is +148bps there is a pathway to refi given lower prevailing market spreads (covers 100.14).  Conversely at the tighter end of this range was MAGNE 2016-18A AR (Blackrock) at 106dm/3.9y WAL with NC ending Nov 2019 and RP 2y whilst stronger fundamentals (WARF 2783, CCC 2.9%, 0 defaults, Oil & Gas 2.97% and +ve par build) with less of a clear path to a refi this covers at 100.08.  The remaining AAA covers were shorter dated (<3y) and traded in a 84dm-104dm range all with RP end in 2020 and end 2017/2018 vintages when AAA spreads were tighter so no clear cut paths to a refi until closer to RP end or a sharp tightening theme in market spreads materialises.  Please see PriceABS for full details of today’s AAA covers and associated DMs.

AAA CLO

EUR CLO

Just the one Euro CLO disclosed price today. CRWPK 1X C (Crosthwaite Park) traded at 100.50 / 455dm / 7.48yr for a Baa3. This deal has a long Reinvestment Period  to 2023 and therefore a long WAL. European GSO Blackstone deals can often trade a little wider than their peers.

AAA CLO

US CLO

An active day today as we ran 28 covers including 12 x AAAs, 12 x BBBs and 4 x BBs.  Starting at the top of the capital structure today we saw a mix of profiles including 2nd pay and short dater AAAs.  >4y WAL 1st pay AAAs today traded in a 121dm-131dm range, at the wide end was VENTR 2017-27A A (MJX AM) which has a weaker Snr OC cushion 9.4 / MVOC 151.2% / CCC 4.4% / 43bps defaulted potentially accounting for the basis.  At the tight end for AAAs was LCM 25A A (LCM AM) with notable differences being the manager’s track record (eg. LCM annualised default rate / par build across all CLOs 59bps / -0.13 vs MJX 98bps / -0.27) and deal specific are CCC 2% and 31bps defaults and all else pretty similar so seeing a little manager led tiering.  The shorter AAAs traded in a 90dm-106dm range whilst a 2nd pay EATON 2018-1A A2 (Eaton Vance) traded at 163dm/6.4y WAL.  The BBBs traded in a 306dm-443dm range with the 2022 RP BBBs averaging ~395dm and 2020 RP BBBs averaging ~367dm, at the wide end was EGCLO 2018-1A D (Tall Tree IM) trading at 443dm/5.8y WAL with a weaker profile of WARF 3022, CCC 5.2%, Snr OC cushion 7.4%, -0.83 par build record, MVOC  149.7% and an inexperienced manager with 3 x CLOs AUM.  At the tight end of BBBs was SYMP 2016-17X DR (Symphony AM) WARF 2711, 2.9% CCC, Snr OC cushion 10.5%, +0.3 par build, MVOC 152.8% and a more experienced manager.  The BBs traded in a 492dm-550dm range for < 5y WAL and 719dm-833dm for > 5yr WAL, at the wide end was OZLM 2015-13X D (Sculptor) trading at 833dm/6y WAL with RP Jul 2020 / NC Dec 2019 whilst a weak MVOC 103.1 vs BABSN 2019-3A E (Barings) trading at 719dm/9.5y WAL with a profile of RP Apr 2024 and stronger MVOC 107.2.  Please see PriceABS for full details and comparisons.

AAA CLO

US CLO

14 Covers today, with 10 x AAA, 3 x BBB and 1 x BB rated, that we ran our proprietary DMs on.  The four first pay AAAs with longer WALs (>4y) traded in a 121dm-128dm range including VOYA 2017-2A A1 (Voya IM) covering at 99.98/122dm/4.6y AL (profile NC Jul 2019, RP Jul 2022), this is a positive tone with 4y+ WALs this month trading in a 127dm context excluding today, the sub 3y WALs traded in a 85dm-102dm range with ALM 2015-16A AAR2 (Apollo Credit Management) sitting neatly in there covering at 100.06/88dm/2.9y AL.  The 3 x BBBs traded in a 397dm-459dm range, at the tighter end is OZLM 2014-8A CRR (Sculptor Capital Management) covering at 95.28/397dm/7y AL, the manager Sculptor has an impressive record on defaults only 0.25% vs 0.54% cohort with WARF in the 70th cohort and the MVOC is 149%.  The sole sub IG rated trade today is Ba3 rated CGMS 2017-2A D (Carlyle IM) covering at 91.20/760dm/9y AL which is in line with the BBs we have generated DMs on this month to date, the nearest comparable bond is SNDPT 2019-2A E trading at 776dm/9.8y AL.

AAA CLO

EUR CLO

There are 5 BB EUR CLO trades with disclosed covers today. The majority traded in a range from approx. 650dm to 690dm but there was one outlier. GLGE 2X E (managed by Man GLG Group) traded at 809dm and it was also one of the shorter WALs - it was recently refinanced but with a Reinvestment End Date only around 18months away. This is a manager that consistently trades wider than its peer group. There were also 3 equity trades with disclosed prices. The tightest was BECLO 3X SUB (Blackrock) which traded at 12.47% yield on a risk adjusted basis and the widest was DRYD 2017-62X SUB (PGIM) at 13.4%. Dryden deals always have a lot of HY bonds in their pools. This shows a good degree of consistency in equity yield levels and displays a slightly firmer tone than some wider prints seen on 5 Sep 2019.

AAA CLO

US CLO

41 covers today, of which 40 were IG rated and 1 x Sub IG rated – we generated DMs on all of them (see PriceABS for full bond by bond details).  The 18 x AAAs traded in a very wide dispersion 68dm-186dm range given this included a 3rd pay AAA and some very short dated tranches, so excluding the short daters and including only first pay (SRANC 2014-2A A2R was the 3rd pay AAA today at 186dm/4.5y AL) then today’s AAAs traded in a 122dm-147dm range.  At the wide end of this range is a high coupon NBCLO 2016-1A A1 (PGIM) CLO, this deal is failing it’s WARF test by almost 300, has a WAS of 326bps and 3.4% of the portfolio priced under 80 with profile NC Apr 2019 / RP Jan 2022.  In the mid 120s AAA sweetspot there are 7 CLOs from managers such as Benefit St, KKR, King St, CSAM, Bain, Allstate and GSO (please refer to the list of trades in PriceABS).  The 6 x AAs traded in a 167dm-184dm range, with MAGNE 2014-8A BR2 (Blackrock) at 167dm/5.9y AL with profile NCOct 2019 and RP Apr 2022.  Moving down the capital structure there were 16 x BBBs trading in a  289dm-453dm range, at the tight end is a short dater WSTC 2014-2A CR (Allianz) at 289dm/4.4y (profile RP ended Jan 2019) and attaches at a healthy 17% given the deal is deleveraging and has a MVOC of 114%.  Conversely at the wide end of the BBBs is a longer LCM 13A DR (LCM AM) trading at 453dm/7y AL with profile NC Jul 2020/RP Jul 2021 attaching at 10.8%, 108% MVOC and high retail % concentration in the underlying.  The 1 x BB today was a shorter AL than we have seen recently at this rating level, AIMCO 2015-AA ER (Allstate) covers at 96.19/600dm/5.9y AL with profile NC Jan 2019 / RP Jan 2020 – the manager is inexperienced with only 3 CLOs under management but has an impressive record nonetheless outperforming it’s cohort in defaults and par build whilst the nearest 6y AL comp this month is ALM 2016-18A DR 681dm/6.5y AL (5 Sep).

AAA CLO

EUR CLO

There are 14 Euro CLO trades today. The AAs traded in a range between 202dm to 235dm. BABSE 2014-1X B1RR was at the tight end and it has the shortest WAL at 5.66yr (it got refi’d in July 2018) and is from Barings, a well known manager in Europe. The wide end is SNDPE 1X B1 (Sound Point) which is 6.83yr WAL. This puts AAs on a widening trend since pre-summer trades were mostly inside 200dm. The three single A’s traded between 262dm and 290dm. The tight end is DRYD 2017-56X C which is a 2017 vintage and has the shortest WAL at 6.1yr. The other two both traded around 290dm and are 2018 vintage or refi’d in 2018. Pre-summer levels were mostly inside 250dm for AA. The two BB’s are both from Jubilee. One closed in 2017 and the other refi’d in 2017. They have similar WAL at around 6.3 to 6.4yrs and both traded around 670dm to 700dm. Pre-summer levels were mostly in the 600dm to 650dm range (but with plenty of outliers which did not neatly fall in to this range). There are 6 single B trades ranging from 925dm to 1022dm. The majority traded at the lower end of this range. The widest is ADAGI V-X FR managed by Axa which has the longest WAL (7.88yrs) because it has the longest Reinvestment End Date. All of these Single B’s either closed or were refi’d in 2017 or 2018. There is quite a dispersion of single B levels from pre-summer ranging from around 820dm to 960dm which probably indicates a slight widening here also.

AAA CLO

US CLO

Today was active at the senior end of the capital structure as we generated 12 x DMs from BWIC covers – 3 x AAs and 9 x AAAs.  The AAs traded in a 163dm-195dm range, at the tight end was BLUEM 2012-2A BR2 (BlueMountain Capital Management) at 163dm/4.3y AL with a profile of RP through Nov 2020, NC Nov 2019 and AAAs at +105bps, we have modelled this to reinvestment end+3y call, at the wide end was VENTR 2017-27A B (MJX AM) at 195dm/5.5y AL with a profile of NC passed and RP through July 2022 and AAAs +130bps.  The AAAs traded in a wide range today 81dm-149dm with an average of 124dm (note 1 x second pay - see below).  At the tight end is CGMS 2015-2A A1R (Carlyle) at 81dm/1.6y AL, at the wide end is TPCLO 2013-1A A1JR (GSO) at 149dm/4.7y with profile NC Oct 2019/RP Apr 2021 and the senior AAAs +89bps but note this is a second-pay AAA since the A1SR is senior to this, so explains the slight basis to the other first pay AAAs we priced up today which had an effective average of 121dm.  Please contact your SCI representative for a comprehensive breakdown and analyses of the AAA/AAs for today.

AAA CLO

US CLO

We saw 21 covers today split almost 50% AAA and 50% BB rated.  The BB DM’s that we generated were in a 694dm-808dm range across various profiles and maturities.  At the tight end there was a short dater  OCTR 2013-4A F (Five Arrows Managers LLP) at 694dm/4y AL, profile is post RP with 2025 maturity and we ran this to a RP+6y call.  At the wide end is  CIFC 2014-3A ER2 (CIFC AM) at 808dm/9.3y AL, profile is NC Oct 2020, RP through Oct 2023 whilst the collateral is 96.7% senior secured (lower than avg) and WARF also slightly elevated at 2908 versus peer deals.  The AAA DMs today were shorter dated in a 88dm-121dm range, at the tight end were OCT25 2015-1A AR (Octagon) and  ATRM 12A AR (CSAM) at 88dm/3y and 89dm/2.6y AL, note the ATRM is post NC (similar RP early 2020) but no path to a refi/reset evident at this point given prevailing market spreads versus liability spreads.  At the wider end of the AAAs today was  TFLAT 2016-1A AR (TCI Capital Management) at 121dm/3.3y AL (profile NC mid 2020, RP Jan 2021), note the CIFC 2017-2X A (CIFC) traded at 126dm/4.4y AL on Tuesday so this TFLAT is very much in line as are the other AAAs from today.

AAA CLO

EUR CLO

There have been a number of CLO trades. The AAAs traded in a range between 119dm to 154dm (spread over unfloored Euribor). Most AAAs traded between 130dm and 147dm but the outliers were ARBR 3 A2R at 119dm and ACCUN 1 AR at 154dm. Accunia is a longer bond at 3.35yr WAL and is also a less well established manager. By contrast Oaktree is a large manager and the AAA is quite short at 2.61yr WAL. 5 BBs traded. The 3 shortest traded around 670dm for WALs around 6 to 7yr. The 2 longest with 8yr WALs traded around 715dm. 3 Equity positions traded with disclosed prices. The tightest was Blackrock 8 at 12.68% yield. Harvest 15 was 15.5% and Armada 2 at 16.1% (contact your SCI representative to find out our detailed scenario assumptions). These are the first CLO equity trades with disclosed bwic prices since the summer lull. The two wider trades may indicate a slight increase in yields because prior to the summer most equity trades were in the range 12% to 13.5%, but we will need more data to draw any firm conclusions.

AAA CLO

US CLO

Today was a relatively active day with 21 covers but a large majority of DNTs across the capital structure AAA-Equity.  We generated 3 x BB rated DMs today in a 635dm-777dm range.  At the tight end was FIG 2013-2A DRR (TCW AM) covering at 97 for 635dm/4.9y AL (profile NC 2018 and RP just passed June 2019, NAV 197, AAAs locked +85, IC cushion 44.2).  At the wide end is VENTR 2016-24A E (MJX AM) covering at 95.07 for 777dm/6.2y AL (profile call passed 2018, RP Oct 2020, NAV 188, path to refi with AAAs +142, IC cushion 43.2).  The manager profiles from a default point of view are quite different between MJX AM and TCW, eg. MJX AM’s annualised default rate is close to 1% whilst TCW AM’s is closer to 0.6%.  Finally in the middle of this range is ALM 2016-18A DR (Apollo) covered at 93.5 for 681dm/6.5y AL with a different profile to the other two since NC is May 2020 and RP Jan 2021.  The BBs today are shorter AL (5-6y) than we have seen over the past 2 weeks (6-10y) but the VENTR 2016-24A E does price at the wide end of 6y WALs with the nearest comparable being our price on GRBSL 2016-1RA DR covered 94.04 for 797dm/6.8y AL on 22 August.

AAA CLO

EUR/GBP RMBS

SILVA 10 A (Silver Arrow), a AAA auto bond for Mercedes traded at 100.76 / 18dm / 1.55yr. SAPPO 2016-2 A (SapphireOne), a French AAA RMBS deal traded at 100.43 / 26dm / 1.03yr to step up. PRADO 3 A is a Spanish RMBS for Santander which was issued with a split rating traded at 100.67 / 37dm / 1.98yr. CIART 2018-1 A (Citizen Irish) is a Irish Auto deal for First Citizen. The AAA tranche traded at 100.42 / 38dm / 1.25yr / 20cpr. AQUA 4 A, a AAA Portuguese auto deal for Montepio traded at 100.50 / 44dm / 0.8yr / 20cpr. ICSL 2 A1 (Income Contingent Student Loans) traded at 99.33 which we make 167dm / 4.66yr although the modelling of this deal is difficult and we have not been able to source Investor Reports to get a CPR. So to summarise we see peripheral senior autos around +40 in spread and senior autos from core European jurisdictions around +20 and senior Spanish RMBS around 10 wider than senior French RMBS.

AAA CLO

US CLO

With the Labor day holiday on Monday there was no surprise of little flow today, being the first trading day of September.  There were two BWICs today with 1 disclosed cover for CIFC 2017-2X A (CIFC AM) which is Aaa / AAA (Moodys/Fitch), a 2017 vintage with NC date passed in Apr 2019, RP through Apr 2022.  With a spread on this tranche of +124 there is no immediate trajectory to a refi/reset so this has been modelled to reinvestment end + 2y call generating a 126dm/4.38 AL.  The deal looks in good health with performance of key metrics stable, eg. par build +0.42, assets priced <80 at 2%, no defaults, tests passing and cushions healthy from an experienced manager with >25 CLOs under management and a track record of outperformance.  This is in line with other high quality AAAs we have priced up over the past few weeks with similar WAL and in line with other recent CIFC DMs we have modelled recently include CIFC 2015-3A AR 113dm/3.4 AL (28 Aug), CIFC 2015-1A ARR 125dm/5.3 AL (15 Aug), CIFC 2017-4A A1 125dm/4.95 AL (12 Aug).  We are expecting heavy flow tomorrow with 8 x US CLO BWICs including a 9-line Equity BWIC.

AAA CLO

EUR/GBP RMBS

Brass 7 A traded at 99.90 / 64dm / 2.58yr. It is a AAA Prime UK RMBS originated by Accord Mtges the intermediary lender of Yorkshire BS. CATSN 2 A (Cartesian) traded at 100.48 / 51dm / 2.73yr at 5cpr/step for the AAA. This is labelled as a Dutch Prime RMBS but these could be non-standard mtge originators. DRMP 2 A (Dutch Residential) traded at 101.15 / 26dm / 2.7yr at 10cpr for the AAA. Originator is Achmea Bank. Helic 2002-1 B (Heliconus) traded at 100.62 / 30dm / 0.84yr at 3cpr to the clean-up call. This is the 2nd priority that is now the current pay tranche and has been upgraded from A2 to Aa3. It is an Italian RMBS originated by Unicredit. STORM 2018-GRN A (Green Storm) traded at 101.92 / 17dm / 3.72yr at 9cpr/step up. These are Prime Dutch mtges originated by Obvion. This is more like a AAA Dutch prime spread suggesting Cartesian is non-standard. STORM 2019-1A traded at 102.32 / 16dm / 4.55yr to 7cpr/step up. AAA Prime Dutch spreads appear to us to be in the high teens to low double digits spread. AAA UK prime Master trust is in the 50s to low 60s spread.

AAA CLO

US CLO

A quieter day today, with reported covers restricted to a single-A from Marathon AM MCLO 2019-1A BL which covered at 97.81 / 345dm/8y as calculated by us.  This is a pre-trustee reported deal that closed 2 months back, the tranche prices at a high coupon +310 with the AAAs at +152 which are both considered wide prints – typically over the past 2 weeks single-As are trading in 250-270dm area.  The deal has a lower diversity 68 vs the market and lower vs comparable transactions from the manager (in hi70s/80 context), high WAS at 4% but conversely a low WARF 2731.  However the Manager’s track record on defaults is 3x worse than the cohort with a negative par build record.  Note that this is marginally the longest WAL of single-As this month, GLM 2019-4X C (GoldenTree AM) traded at 269/7.8y WAL yesterday but the manager here has a default record of lower than the cohort and a positive par build record, to help put this in context.

AAA CLO

EURO RMBS

HYPEN 6 A (Dutch Prime AAA from National Nederlanden Bank) traded at 101.32 / 17dm / 2.78yr to step up date and 8cpr. SAEC 16 A (Saecure) is another AAA Dutch prime RMBS, this time originated by Aegon. It traded at 101.59 / 18dm / 3.73yr to step up and 4cpr. Puts AAA Dutch prime spreads squarely in an 18dm context.