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.

AAA CLO

US CLO

Today we generated DMs on 6 covers covering all IG ratings from AAA to BBB.  There were 2 x AAAs, the short WAL CIFC 2015-3A AR (CIFC AM) covered at 113dm/3.4y.  A longer WAL VOYA 2016-1A A1R (Voya IM) covers at 121dm/5.1y which is at the tighter end of comparable 5y WAL AAAs this month, this deal has impressive performance metrics (0 defaults, high Diversity Score, low WARF and above average equity returns from an experienced manager).  The double-A was from a Middle Market CLO GOCAP 2017-34X B1R (Golub Cap) which trade wide to BSL CLOs, this covers at 265dm/6.8y with NC in March 2021.  The single-A tranche GLM 2019-4X C (GoldenTree AM) covers at 269dm/7.8y which is wide to the nearest comp DRSLF 2016-45A CR (PGIM) which we generated a 251dm/7.5y on 14 August.  Finally 2 x BBBs were covered in a wide range today, between 384dm-483dm, WPARK 2015-1A CR (GSO) rated BBB- S&P covers at 384dm/8y which is in line with comparable 8y WAL BBBs we have seen this month.  However an outlier from today for this month is a $5m clip of the NCC 2017-IIA D (Nassau Corp Credit) Baa3 Moody’s rated covers wide at 88.28/483dm/6.7y, the WAS on the deal is 403bps, diversity score 85, relatively high Oil & Gas exposure 4.5% yet no defaults, this is the widest BBB cover we have seen in August with only CGMS 2015-1A DR2 (Carlyle IM) covering at 94/471/7y on 14 August comes close as a comparable.

AAA CLO

US CLO

Today, we ran 5 x IG rated covers to DM – 3 x AAA and 2 x high grade mezz.  We had 2 short dated AAAs in a 96dm-101dm range including TICP 2018-IA A1 (TPG Capital) at the tight end of this range 96dm / 2.5y with profile NC passed recently and RP Apr 2020 and a tight spread.  The longer dated AAA was GUGG4 2016-1A A1S1 (1828 CLO Ltd from Guggenheim IM) at 137dm/5.8y which is at the wide end of comparable covers we have seen this month to date, in part due to the fact that this is a less experienced manager whilst the CCC test is failing in the deal / WARF > 3000.  The one double-A cover today MP15 2019-1X B (Marble Point) generated a 215dm/8y which is the widest AA cover we have seen this month with only one other double-A covered with a 2-handle DM (ANCHC 2013-1A A2R 207dm/5.3y) on 7th August.  Finally the single-A cover we generated a DM for is BATLN 2015-8X BR (Brigade Capital) at 272dm/6y which seems to be in the sweetspot of other comparable single-A DMs we generated this month with similar WAL.

AAA CLO

EURO RMBS/ABS

A few Euro RMBS/ABS trades today. DPF 2017-1 B (Dutch Property Finance) traded at 101.00 / 98dm / 2.92yr to the step up call date using 7cpr for a AA Dutch BTL originated by Vesting Finance. FSTNT 12 B (Fastnet), Irish Prime RMBS for Permanent TSB, traded at 100.33 / 86dm / 2.12yr to the step up date and 7cpr. FSTNT 12 C, the orig single A (now Aa2) from the same deal traded at 101.77 / 120dm / 2.12yr. FSTNT 13 B traded at 99.05 / 102dm / 3.14yr to step up and 10cpr. FSTNT 13 C traded at 99.05 / 135dm / 3.14yr. MULC 1 (Mulcair) is an Irish BTL deal for Bank of Ireland. The Class B traded at 99.11 / 186dm / 2.66yr to step up and the Class C at 97.51 / 248dm / 2.66yr. This shows that AA Dutch BTL and Irish prime are approximately on top of each other at around 90 to 100dm. The single A’s are at 120dm to 130dm. Irish BTL are wider at 190dm for the AA and 250 for the single A. NORIA 2018-1 D, French Consumer loans, traded at 100.87 / 114dm / 2.32yr to clean up call.

AAA CLO

US CLO

An active day today as we generated 25 x DMs from covers today - including 12 x BBs, 9 x BBBs, 2 x single-A’s, 1 x AA and 1 x AAA.  Starting with the BBs, the outliers were a short dater EMNPK 2013-1A E (GSO) covers at 539dm/3.5y (RP ended 2017) and a long dater BLUEM 2018-2A E (BlueMountain) covers at 812dm/9.1y, the remaining 10 x BBs covered in a 669dm to 797dm range with YCLO 2015-1X ER (York CLO) right in the middle of this range covering 724dm/8.5y, profile of RP to Jan 2023 and NC Jan 2020 / 2015 vintage refi’d in 2017.  BBB short daters covered at 343dm-351dm range (WAL 3-4y) whilst the remaining 7 x BBBs covered in a 349dm-426dm range with CEDF 2014-4A DR (Aegon) covered at the middle of this range at 385dm/6y.  The 2 x single A’s covered in a 246dm-268dm range including MDPK 2018-27A B (CSAM) at the tight end of this at 246dm/6.8y.  HLA 2013-2A C (Bardin Hill) is an originally single-A rated and now Aa1 rated (post RP deal hence CE markedly improved) covers at single-A levels at 268dm/2y.  We had one AAA tranche LCM 22A A1 (LCM AM) covered at 144dm/4y with profile RP end Oct 2021 and NC just passed in July 2019, this is the widest AAA we have priced this week with supply limited to shorter dated AAA but is at the wide end of comparable 4y WAL AAAs this month to date.

AAA CLO

US CLO

Today we saw more mezz CLOs with 8 respective covers off 3 lists which we generated DMs, constituting 3 x BBs and 5 x BBBs.  A shorter dated BBB FIG 2013-2A CRR (TCW) priced out to 352dm/4.9y whilst the remaining four longer dated BBBs priced in a 413dm-419dm range which is a touch wide of recent comparable BBB DMs, WELF 2017-3A C (Wellfleet Credit) was in the middle of this range 417dm/7.5y.  Of the 3 x BBs, MDPK 2018-27A D (CSAM) priced to 677dm/8.8y which prices tight to comparable top tier manager profiles around similar WAL.  The remaining 2 x BBs price to a DM range of 754dm-788dm which are at the wider end of recent comparable DMs, these include PARL 2018-1A D (DoubleLine Cap) and ARES 2016-41A E (Ares Cap).

AAA CLO

US CLO

Another relatively active day in Sub IG rated US CLOs with us pricing 11 x BBs and 1 x AAA.  The BBs are all Ba3 / BB- rated and priced in a wide range from 659dm to 923dm.  At the tight end of this range with a 6-handle there was 3.3m NEUB 2017-16SA E (Neuberger Berman) pricing at 659dm/5.49y and 1m MAGNE 2019-22A E (Blackrock) pricing at 675dm/9.8y, both different profiles – a 2018 and a 2019 vintage with short and long RPs respectively.  A real outlier at the wide end of the range there was 5m CRMN 2013-1A ER (Trimaran Advisors) pricing at 923dm/5.52y at a cover price of 85.  The remaining BBs all priced with a 7-handle range from 705dm-786dm, in the middle of this range was 2m DRSLF 2014-36A ER2 (PGIM) pricing at 748/6.75y (2014 vintage, refi’d 2019, RP Apr 2021 and NC Apr 2020).  We priced 1 x Aaa CIFC 2017-4A A1 (CIFC) at 125dm/4.9y which is very much in that 5y WAL sweetspot range of late.

AAA CLO

US CLO

An active day today with us pricing up 14 covers (5 x IG and 9 x Sub IG rated).  Of the 3 x AAAs, two were shorter dated (ATRM 12A AR and GALXY 2018-29A A) pricing at 86dm/ and 85dm respectively with the a slightly longer ELM 2014-1A ARR pricing 115dm/3.3y (RP end Jan 2021) but remains a shorter WAL in the grand scheme.  The final two IG tranches were Baa3 rated and priced in a 345-361dm range, the CGMS 2018-4A C (Carlyle) priced 361dm/8.8y and GLM 2017-2A D (GoldenTree) priced 345dm/7.5y, with both pricing tighter than similar WAL BBBs of recent.  On the Sub IG side there were 2 BB rated pricing in a 566dm to 666dm range with similar 6y WALs, these were MAGNE 2012-7A DR2 (BB rated / Blackrock) and SNDPT 2015-3A ER (Ba2 rated / Sound Point), both pricing tighter than recent BBs.  The 7 x Ba3’s priced 639dm to 691dm range for sub 8y WALs including CIFC 2015-5A DR (CIFC) at the tight end of this range 639dm/6y.  The remaining 4 x longer WAL Ba3’s priced in a 715 to 800dm range including CGMS 2019-1A D (Carlyle) at the tight end 715dm and VENTR 2019-36A E (MJX AM) at 800dm/10y at the wider end of the range.

AAA CLO

US CLO

We priced 13 covers today with key highlights as follows.  In IG the 4 x AAs priced within a 9bp range between 186dm and 195dm, at the tight end CIFC Funding 2019-I B priced 186dm/8y and at the wider end CBAM 2019-9 B1 195dm/5.8y.  The one single-A HPS Loan Management 4-2014 BR (HPS IP) priced 253dm/6.8y which is in line with DRSLF 2016-45A CR 251dm we priced yesterday.  We priced Venture XXVI CLO D (Baa3) from MJX Asset Management (2017 vintage, NC Jul 2019, RP Jan 2022) at 444dm/6.5y which is at the wide end of BBBs we priced this week.  There were 7 x BBs we priced today, within a 68bp range 689dm-757dm.  Two Octagon CLO BBs, Octagon Investment Partners 31 E and Octagon Investment Partners 20-R E priced 717dm/8y and 741dm/9.9y respectively whilst three CSAM CLO BBs Madison Park shelf Madison Park Funding XL ER and Madison Park Funding XXXII E priced  range 731dm/8.2y and 726dm/9.5y whilst their Atrium XIII E (BB) priced tighter at 689dm/8y.

AAA CLO

US CLO

Significant activity today across the capital structure, we priced 34 covered tranches.  Starting with AAAs, we priced 11 today, at the tight end 104dm/3.9y AL (Voya CLO 2015-1, Ltd. A1R, NC passed, RP Jan 2021) through to 156dm for Vibrant CLOV A that covers at 100.00, we are seeing tiering between 5y ~125a (NC Q4 2019) and 3-4y ~107a (NC passed / RP 2021).   We priced 6 x AAs, ranging from Cedar Funding II CLO BR at 179dm/4.9y (RP 2y) to Niagara Park CLO B at 195dm/8.04y (RP 5y) with today’s avg dm 188 and avg AL 6.8y.  We priced 5 x single-A’s today, ranging from OCP CLO 2015-8 A at 196dm/2.7y to Atlas Senior Secured Loan Fund VIII C at 297dm/5.8y, discounting the short dater the avg dm was 278 / 6.2yr.  We priced 6 x BBBs with Galaxy XXIX CLO D (Pinebridge) at 318dm/5.08y at the tight end to LCM XXV Ltd D (LCM AM) at 431dm/8.1y.  There were 5 x BBs we priced, at the tight end Grippen Park CLO E (GSO) 675dm/7.8y to Trinitas CLO V E (Trinitas Cap) 804dm/6.3y, proving tiering amongst managers is prevalent at this end of the capital structure.  We priced one equity, BlueMountain CLO 2015-4 Ltd PS which covered at 63 at a yield of 14.52%, stressing the sub90 priced assets and defaulting Acosta Cov Lite TLB immediately / REC 18m carrying at MV REC 35% whilst layering in our applicable reinvestment assumptions and global CDR/CPR assumptions.

AAA CLO

US CLO

Today there were a number of Mezz (BBB/BB) and a small handful of Senior (AAA) trade.  With regards to the BBBs we priced, the longer AL priced 409dm-471dm (6.3yr-7.8yr) with OZLM 2014-7RA CR 427dm/6.3yr in the middle of this range with the 5yr WAL BBBs pricing 307dm-355dm with TICP 2018-IIA C 343dm/5.8yr.  The BBs we priced came in a 673dm-700dm range, AMMC 2017-20A E (American Money Management Corp) prices 473dm/6yr and WSTCT 2016-1A ER (GSO) prices 700dm/5.8yr.  The AAAs we priced yesterday, priced 87dm/1.6yr for a short dater and the remaining priced in a 116dm-128dm range for 5.5yr AL, APID 2013-12A AR (CVC) priced at the tight end of this range at 116dm/5.5y with a profile of NC Jan 2020 and RP end Apr 2023.

AAA CLO

EUR CLO

AQUE 2019-3 D, managed by HPS and rated Baa3 traded at 414dm/7.65yr. This is slightly wider than HLAE 2018-1 DE and HAYEM 1 DNE which are also Baa3 and traded at 406dm and 402dm on 8 Aug. AVOCA 10 ER (managed by KKR and rated Ba2) traded at 649dm/5.95yr which is in line with recent BB flat spreads.

AAA CLO

US CLO

A notable trade today was Madison Park Funding XI from CSAM, a 2013 vintage that refi’d in Sep 2017 / reinvestment end of Jul 2021.  The ER tranche (S&P BB- rated) was covered at 96.58, equivalent to 719dm / 6yr AL.  We priced Madison Park Funding XVIII at a similar level on Friday, a 2015 vintage that refi’d in Oct 2017 at 713dm, these deals have high overlap in collateral ~80%.

AAA CLO

US CLO
There were 8 Aaa tranches trade today.  These trades in a range from 86dm to 139dm, depending on term.  2014 vintages from Deutsche AM (Flagship CLO VIII ARR) and Invesco (Limerock CLO III A1R) priced at 86dm and 103dm respectively.  The Battalion CLO VII A1RR, also a 2014 vintage priced 114dm and has a longer reinvestment period.  Furthermore another Brigade Capital CLO (Battalion CLO X) priced 119dm having a 2016 vintage and 6m longer reinvestment period.  More recent vintages (2018 & 2019) from Sound Point (SNDPT 2014-3RA A1 and SNDPT 2019-1A A) priced at 131dm/5.9yr WAL and 139dm/6.2yr WAL respectively.

AAA CLO

EURO

CLO

Yesterday saw a lot of mezz tranches trading. The bulk of the BBBs traded in a range from 346dm to 364dm but there were a couple of outliers being Hayfin and Halcyon deals which were both Baa3 and closed in 2018 which priced at 402dm and 406dm respectively. BBs traded in a range from 613dm to 714dm with the tight end of the range being St Pauls II (a 2013 vintage) and the wide end being Bain Capital 2018-1 (2018 vintage). CADOG 8 F (single B rated) traded at 901dm/6.2yr WAL.

ABS

There were a number of senior pre-crisis Spanish RMBS trades yesterday. The majority of them traded with DMs in the 50s although, according to our calculations, the widest of them traded at 72dm (TDA 18 A1).

AAA CLO

Two 2015 vintage AA Euro CLO tranches traded. EGLXY 2015-4 BRat 164dm and HARVT 14 B1R at 134dm. BBB EUR CLOs traded in the 270dm to 298dm range for deals that closed between 2013 and 2016. There were a number of BB trades from 514dm at the tight end for CONTE 2 ER to 706dm at the wide end which was HLAE 2016-1 ER. There were two single B trades, ANCHE 2 F at 882dm (2018 close) and HLAE 2016-1 F at 995dm (2016 close).

AAA CLO

On 29 April 2019 a single B rated 2013 Cairn CLO covered at MH90s / approx 710dm with a 6.07yr WAL remaining. BABSE 2018-1 equity also traded but the CVR was not disclosed.