USD CLO

A ‘quieter’ day with 20 covers – 8 x 1st pay AAA, 3 x 2nd pay AAA, 2 x AA, 2 x BBB and 5 x BB.  The 1st pay AAAs trade in similar context 155dm-198dm, at the wide end of this range is Wellfleet Credit’s WELF 2018-2A A1 198dm / 4.87y WAL – the ADR 0.50 and sub80 12.6 levels are in line with peers but with the negative par build -0.18 comes weaker MV metrics (MVOC 140.88 vs mid-140s-153 for peers) from a less mainstream manager with relatively weaker credentials than peers.  The second pays trade tight 187dm-197dm and are migrating tighter as the market grinds in.  The AA is PGIM’s DRSLF 2013-28A A2L 221dm / 5.27y WAL which is in the 210dm-240dm range seen for similar comps this week.  The BBBs trade in a wide dispersion 439dm-643dm, with the tight end the lowest seen for this 2021 RP cohort post-vol as this range trades with significant tiering of 500dm-880dm over the past week.  At the tight end is TCI’s TFLAT 2016-1A DR 439dm / 5.45y WAL – 0.16 ADR, 8.3 sub80, 106.5 MVOC and CCC basket of 5.2%.  Conversely, at the wide end is Wellfleet’s WELF 2017-1A C 643dm / 5.33y WAL – 20.3 sub80, -0.9 par build and a 10.45% CCC basket with MV only just covering the notes 100.8.  The BBs trade 815dm-1107dm versus a comp trading range for equivalent cohorts this week 763dm-1312dm, DMs at this level largely driven by a combination of volatile ADR, CCC and sub80 buckets whilst MV coverage not quite achieving 100% (in 97-99 context) all taking responsibility for the significant tiering.

EUR/GBP ABS/RMBS

We have 1 ABS CVR today, PCLF 2017-2 A, A Premium Finance deal in GBP at AAA level which traded at 99.11 / 152dm to step up date.

EUR CLO

A lot of trades today. Starting with the 2 x single A – they both traded around 320dm. This is within the range for trades earlier this week.

There are 6 x BBB and they have traded from 400dm to 460dm. For reference the MVOCs of these bonds has ranged from 104.7 to 107.6 and Jnr OC cushions from 1.7 to 4.4.

There are 4 x BB. Three of them have traded between 800dm and 810dm but one of them, CADOG 8X ER, traded at 929dm. The CSAM bond does have a long WAL with an RPE date of 15 Apr 2024 and it also has the lowest MVOC at 97.97. One of the other bonds, JUBIL 2017-19A E, also has a low MVOC at 98.03 but traded much tighter at 800dm but then it is much shorter with an RPE of 25 Jan 2022.

There is 1 x B, CIFCE 2X F, which traded at 970dm. The last single B trade we saw was BOPHO 4 F which traded at 1258dm on 28 May 2020, so obviously single Bs have tightened considerably.

USD CLO

An even busier day today than yesterday with 52 covers.  There are AAA trades today, all 1st pay and a range of credit profiles trading 162dm-221dm.  At the wider end of the range is ATCLO 2014-1A AR2 (Crescent Cap) 221dm / 2.64y WAL – this has a high ADR 1.62, high sub80 24.5, high WARF 3518 and 12.3% CCC basket with a -1.04 par build and weaker MVOC 134.6.  All the AAAs that trade with a 2-handle have ADRs near 1 or higher and significant sub80 buckets with spilled CCC baskets.  The AAs on the other hand trade in a tight dispersion and overlap the weaker AAAs trading 205dm-269dm from a range of RP profiles (2020-2025) tighter to the 220dm-240dm range seen over the past week, at the tight end is AIMCO 2018-AA B (Allstate IM) 205dm / 5.96y WAL – low ADR 0.5, low sub80 9.3 and +0.19 par build and CCC is spilled 8.2%.  The single-As trade 308dm-319dm (2022/2024 RP profiles) which is flat to recent comps in 300dm-330dm.  The BBBs trade 482dm-504dm (2024 RP profile) which is in line with 450dm-500dm recent trading levels for this cohort.  The BBs trade 763dm-1679dm, with the tight end of this range trending firmer than mid-800s seen recently.  The wide end of this range is concentrated in Middle Market CLOs since they trade back to BSL and trade today 1252dm-1679dm, at the wide end is MMCLO 2017-1A D (Middle Market Credit Fund) 1679dm / 3.7y WAL with 1.48 ADR and 30% sub80 balance and -0.45 par build.  Nonetheless these are good data points to have as the market evolves.

EUR CLO

Just 2 x equity trades today. Whereas all the previous equity trade prices we have seen post-crisis have been in the VH20s/L30s price these two are at 42 and 50. CLNPK 1X SUB (GSO) traded at 42.01 / 7.19%. This is using the same post-crisis scenario we moved to approx. 2 months ago. Its probably the case that some buyers have relaxed the severity of their scenarios but in order to keep things comparable and until the economic outlook becomes clearer we will use the same scenario as before. CGMSE 2018-2X SUB (Carlyle) traded at 50.25 / 4.76%. Both deals have a decent Junior OC cushion at around 4%. The Carlyle deal contains the defaulted asset Hema BV – the Dutch retail company.

USD CLO

A very active day with 48 covers with all ratings aside from AA covered.  The 1sy pay AAAs continue to tighten and trade in a 155dm-184dm range for 2023-2025 RP profiles which have traded 160dm-220dm over the past week as a comp.  At the tight end is GLD11 2015-11A AR2 (GoldenTree) 155dm / 4.21y WAL – 0.66 ADR, 9.2 sub80 and 6.4% CCC basket with strong MV metrics (MVOC 147).  The single-As (2021/2023 RP profiles) trade 306dm-374dm which is broadly in line with the 290dm-370dm range seen over the past week in this cohort.  The BBBs (2020-2024 RP profiles) trade tighter and in a lower dispersion 416dm-652dm in comparison to the 460dm-880dm range seen in this cohort over the past week, at the tight end is NEUB 2018-27A D 416dm / 6.97y WAL – low sub80 relative balance 11.8, 5.9% CCC and strong MVOC 105.4 versus peer bonds.  The BBs also trade tighter/smaller dispersion 834dm-1167dm (2021/2023 RP profiles) versus 892dm-1464dm range for the same cohort over the past week, at the tight end is VOYA 2018-2A E (Voya IM) 834dm / 7.46y WAL – 0.56 ADR, 2886 WARF and 5.6% CCC with near 100% MV coverage (99.3) with most other BBs in 96-99 area coverage.  There were 2 x single-B trades today trading in a 1606dm-1865dm range, trades at this rating level provide a signal of recovery with risk appetite improving, we haven’t seen single-B trades since the immediate covid-19 fallout in early April where MDPK 2018-30A F from CSAM covered 1979dm / 6.9y WAL.  At the tight end today is Octagon’s OCT26 2016-1A FR cover 1606dm / 9y WAL – 0.87 ADR, 11.7 sub80, 3160 WARF and despite a spilled CCC basket 9.4% with MV coverage 96.84, this is also longer dated than the CSAM trade from early April.  There are 4 x Equity trades today from Anchorage, Ares and DoubleLine with trades in late30s to mid 50s cash price context, further colour on these is available in the trades listing for today in PriceABS.

EUR CLO

17 trades today across AA, A, BBB & BB. The AA is BECLO 6X B1 which traded at 221dm for a 6.3yr. This is within the tight end of the range of recent trades but it is a longer bond so actually does probably represent a modest tightening to the spread curve.

There are 4 x single A trades. 3 of them have traded between 290dm and 320dm. One of them, HLAE 2018-1X C, has traded at 377dm. The Halcyon bond (Bardin Hill) is in significantly worse shape than the others eg MVOC is around 112 vs 115 (avg), Junior OC cushion is 1.4 vs 4, WA collateral px is 89 vs 93. On average these spreads represent a widening of the levels we saw last week which were more in the 260dm to 310dm range.

There are 8 BBB trades. There is a wide dispersion in spreads – from 400dm to 550dm. The tight end of these trades is DRYD 2017-56X D at 400dm and the wide trade is BOPHO 5X D at 550dm. In terms of the credit performance of these deals there isn’t that much to distinguish them. MVOCs range from 106.0 to 108.8 without any particular correlation to traded spreads. Jnr OC cushions range from 1.2 to 4.6 again without any correlation to traded levels. The spreads are correlated to WAL. The 400dm trade is the shortest bond at 6.6yrs WAL and the wide trade of 550dm is one of the longest bonds at 8.3yrs WAL. It seems that the credit curve is very steep in this portion of the term structure. Last week BBBs traded between a 450dm to 550dm range approx.

There are 3 x BB trades. 2 traded around 760dm and one, CADOG 8X ER, at 940dm. The CSAM bond has a low MVOC 97.61 vs around 100 for the other two and it also has a lower Jnr OC cushion and higher percentage of assets below 80 price. Last week’s BB trades were around 900dm so we have seen another significant tightening for clean deals.

EUR CLO

2 x A, 1 x BBB & 2 x BB trades today. The single As traded at 255dm and 310dm. Last week we saw single As trading around 270-280dm, so these straddle that range. Comparing these two bonds – the 255dm is BECLO 1X CR and the 310dm is ARESE 13X C1. Respectively they have MVOC 114.23 vs 112.75, Junior OC cushion 4.41 vs 4.20, WA Collateral price 92.16 vs 92.68. The BlackRock bond is slightly stronger but it is also 1.5yrs shorter.

The BBB is CGMSE 2018-1X C which traded at 450dm. Last week we saw trades from 480dm to 560dm.

The BBs have traded around 890dm to 920dm. Last week we only saw one EUR CLO BB. It was a best bid that DNT’ed at 906dm. Both these deals have relatively high CCC buckets (10% to 12%) and low Junior OC cushions (1% to 2%).

USD CLO

Fifty covers today – 11 x AAA, 3 x AA, 3 x A, 16 x BBB and 18 x BB.  The AAAs tighten and trade 158dm-218dm, at the tight end PGIM’s DRSLF 2019-76A A1 covers 158dm / 5.98y WAL (2024 RP profile) – good metrics 0 ADR, 12.8 sub80, 88 diversity, 3.8% CCC and -0.19 par build.  At the wide end is Sound Point’s SNDPT 2015-1RA A 218dm / 3.24y WAL (2022 RP profile) – weaker stats 3.07 ADR, 17.4 sub80, 6.62% CCC and -3.74 par build.  The AAs (2020/2022 RP profiles) trade 228dm-230dm in line with comps in 225dm-240dm recent context with an outlier trade HLA 2014-1A CR (Bardin Hill) 441dm / 1.92y WAL (2018 RP) which is post RP end and given the deleveraging this is an ex-single-A (A2) credit now upgraded to Aa1 hence the basis from traditional AA levels.  The single-As trade 289dm-370dm (2022/2023 RP profiles) with this cohort trading 290dm-460dm over the past 2 weeks today’s levels are within the tighter end of this range, at the wider end today is Carlyle’s CGMS 2017-2A B 370dm / 6.23y WAL – weaker metrics vs peer trades today 1.03 ADR, 18.1 sub80, 9.2% CCC and 3458 WARF.  The BBBs trade 459dm-884dm across a range of RP profiles (2021-2025), which is slightly tighter versus past 2 weeks trading across these cohorts 480dm-900dm. However we are now seeing many more sub-500dm trades which is evidence of tightening across benchmark transactions.  The BBs trade 864dm-1464dm which is a narrower range than the same cohort 886dm-2276dm over the past 10 days but we are now also seeing more sub-1000dm trades.  At the tight end today is Blackrock’s MAGNE 2019-23A E (2024 RP profile) 864dm / 9.03y WAL – 0 ADR, +0.32 par build, 5.99 sub80, 3045 WARF and 1.9% CCC basket which are extremely good benchmark metrics.

EUR CLO

3 x AAA, 2 x BBB & 1 x B trades today. The AAAs have traded very tightly grouped between 173dm and 176dm. These levels are a few bps wider than yesterdays ANCHE 1 A1 trade. The Spire deal is performing the best of the three but at the AAA level these differences flatten themselves out.

In BBBs HARVT 20X D traded at 486dm and DRYD 2014-35X DRR at 565dm. Comparing these two bonds we get (respectively) that MVOC is 107.33 vs 105.93, junior OC cushion is 3.35 vs 1.30, WA coll px is 91.85 vs 91.14. These differences are not huge but we believe Dryden deals always have an extra risk premium because of the high percentage of HY Bonds in the collateral, which of course will have lower recovery rates.

In single B BOPHO 4X F traded at 69.17 / 1258dm. This is a very dramatic change from single B trades earlier this month which were mid-50s price and 1800dm area.

Bloomberg reported today that Henley II priced (from Napier Park). For comparison purposes the AAA priced at 200dm, the BBB at 500dm and the single B was a fixed rate bond.

USD CLO

An extremely active day with 46 covers – 20 x AAA, 5 x AA, 3 x A, 1 x BBB and 17 x BB.  The 1st pay AAAs traded 165dm-217dm with the tighter end in line with the firmer tone seen recently and an outlier trade OFSBS 2017-1A A (OFS) 255dm / 2.56y WAL (weak MV metrics, neg par build -0.5, high sub80 16.4, high WARF 3451, spilled CCC basket and a weaker manager record).  The MVOC differential between the tight and wide end today is 17pts with a 156.2 MVOC on BLUEM 2018-23A A1 at 165dm / 4.86y WAL.  The AAs trade 218dm-241dm (2022/2023 RP profiles) essentially a tightening effect versus a 230dm-320dm range seen for this cohort over the past 10 days, at the tight end is AIMCO 2018-AA B (AIMCO) 218dm / 5.98y WAL – MVOC 121.5, sub80 10.7, WARF 3173 and pos par build +0.19 with an excellent manager track record.  The single-As trade 300dm-331dm (2022/2024 RP profiles) with this cohort trading wider 330dm-460dm over the past couple of weeks so once again a further tightening effect at the mezz level.  Only one BBB trade today ALLEG 2018-1A D cover 540dm / 7.24y WAL (2023 RP profile with relatively clean metrics – MVOC 102.4, 12.4 sub80, CCC 5.9%), this is tighter to the 570dm-670dm range seen for this cohort over the past week.  With the sheer volume of BB trades today there appears to be a narrower dispersion of DM than seen over the past week to ten days, the trading dispersion is 400dm with a trading range today of 886dm-1286dm (940dm-2300dm trading range for same cohort past 10 days), at the tight end is OAKC 2015-11A ER (Oak Hill) 886dm / 8.3y WAL – MV almost fully covered 99.6, low ADR 0.35, low sub80 9.7, lower WARF 3006 and CCC bucket cuspy 7.3% with an impressive manager record overlaying this.

EUR CLO

1 x AAA, 7 x AA & 2 x A trades today. The AAA is ANCHE 1X A1 which traded at 98.14 / 168dm. This is around 20bps tighter. On 20 May we saw AAA trades in the 180dm to 194dm range.

The AAs have traded in a range from about 200dm to 240dm. This is also tighter. Although it is a while ago, in the 2nd week of May we were seeing AA trades in a range from 240dm to 270dm. The tight trade today is AVOCA 15X B2R at 96.51 / 202dm. The wide trade is CGMSE 2014-3A AA2R at 94h / 244dm. The credit metrics on these two deals do not seem as different as you might expect. In the order Avoca/Carlyle we have: MVOC 126.43 vs 125.61, Junior OC cushion 4.43 vs 3.14, WA Coll px 92.42 vs 90.04, Fitch CCC 5.50% vs 8.92%. The Avoca bond outperforms on all measures but the Carlyle bond does not score badly compared to its peer group.

The 2 single A’s traded around 275dm. Last week single As were trading around 300dm to 330dm.

USD CLO

Five covers to start this week, AAA-BB.  The AAA CGMS 2015-5A A1R (Carlyle) covers 177dm / 5.09y WAL (2024 RP profile), this profile has traded as tight as mid-late 160s dm last week – this bond today has a spilled CCC basket 9.6%, higher sub80 bucket 18% and a high WARF 3576 with a neg par build -1.37.  The single-As trade 271dm-297dm (2020/2021 RP profile) which is at the tighter end of trading over the past couple of weeks for this profile which has been in 280dm-430dm context.  The BBB is Carlson Cap’s CATLK 2018-5A D 701dm / 7y WAL (2022 RP profile) which is in the middle of the 590dm-900dm trading range seen for this profile over the past week – CCC basket is 14.2, ADR 1.58, 17.4 sub80 and -0.83 par build.  The BB ACIS 2017-7A E (Highland Cap) covers 1654dm / 4.24y WAL (2019 RP profile) – this profile hasn’t traded this month but 2018 and 2020 profiles have traded as wide as 1705dm over the past week so this trade is at the wide end, with the manager’s record much weaker than its peers for a bond which is post RP end and carrying almost 17% sub80 exposures.

EUR CLO

Just one trade today, CRNCL 2014-4X ERR. A BB which DNT’d but best bid was 85.67 / 906dm. Even though this bid is tighter than most bids we have seen recently which have been in the range from 970dm to 1100dm, still it did not trade. The MVOC is high for a BB at 101.74%, there is still a decent junior OC cushion of 4.22% and high WA collateral price of 91.51.

USD CLO

An understandably quiet end to the week with the Memorial Day weekend and bank holiday weekend in the UK too.  We had 4 covers today – 3 x AAA and 1 x BB.  The AAAs trade 141dm-192dm, at the tight end is a short dater GOLD9 2014-9A XR2 (GoldenTree) 141dm / 0.82y WAL – a clean deal (4.4% CCC, 0.74 ADR, 10.75% sub80) with strong MV metrics (MVOC 142.6) and an EoRP of October next year.  At the wide end today is an MJX bond VENTR 2017-27A A cover 192dm / 3.79y WAL – 1.47 ADR, 21% sub80 bucket and 7.4% CCC from a weaker manager.  The BB today is another MJX bond VENTR 2015-22A ER 1574dm / 7.34y WAL – this is fundamentally weak given 93.6 MVOC, 1.73 ADR, 20.5% sub80 and a cuspy CCC (7.4%) from a weaker manager.  BBs that have traded inside 1000dm have sub80 buckets of <12%, MVOC > 97 and ADRs < 0.6 whilst CCCs have been below the threshold or in one case offset with strong MVOC, par build and low-sub80 bucket.

USD CLO

A heavy day of trades with 47 covers from AAA through Equity.  The AAAs trade at the tightest levels post-vol in a 160dm-191dm range with a range of benchmark clean deals today with no significant outliers and the de minimis impact of interest diversion triggers at this rating level.  There is one AA today DRSLF 2017-53A B (PGIM) cover 238dm / 5.99y WAL, clean transaction and in line with firmer levels yesterday.  The single-As trade 293dm-366dm with the dispersion slightly less than the 283dm-405dm seen over the past week.  The BBBs trade 517dm-701dm across RP profiles versus a wide dispersion for this cohort 498dm-854dm over the past week, at the wide end today is a post-RP end BANDM 2014-1A CR (Tortoise CS) 701dm / 2.95y with a high WARF 3967, low diversity 40 and high sub80 bucket 23% and a spilled CCC bucket 14.9%.  The BBs trade 871dm-1380dm with the tightest post-vol BB PSTAT 2018-4X D 871dm / 4.55y WAL with full MV coverage 100.07, low ADR 0.47, low sub80 11.4 and CCC bucket in check.  There were 5 Equity that traded today, for the large part these traded to 2y CF and cash prices late 20s to mid 40s, with only one of the securities with a CCC basket firmly in the green whilst all Reinv OC (interest diversion) test cushions positive with CIFC 2015-3A SUB (3.38) and VENTR 2017-30A SUB (2.81) with the remainder cuspy 0.22-0.48.

EUR CLO

The single A trade today is HAYEM 1X C which traded at 307dm which is unchanged from recent levels.

The two BBBs traded at 420dm (OakTree) and 520dm (Partners). This represents a significant tightening in BBB levels. Even the wider of these two levels is much tighter than the recent LM600s we have been seeing. The OakTree bond has a much better Junior OC cushion than the partners bond (4.11 vs 1.45), higher WA collateral price (90.72 vs 87.48) and slightly better MVOC (109.53 vs 108.98).

The BBs have traded between 970dm and 1030dm. This is within the range of recent trades. All deals have similar characteristic performances. Junior OC cushions are around 3%. All have Fitch CCC balances around 8%, WA Collateral price around 90, MVOC around 99%.

USD CLO

A very active day across the capital stack with 29 covers – 5 x AAA, 4 x AA, 14 x BBB and 6 x BB.  The 1st pay AAAs trade 166dm-219dm whilst a 2nd pay AAA ATRM 13A A2 (CSAM) covers 214dm / 5.76y WAL.  At the tight end of the 1st pay OAKC 2019-4A A1 (Oak Hill) covers 166dm / 5.98y WAL – a clean deal throughout (0 ADR, 2889 WARF, 9.5 sub80, +0.2 par build).  At the wide end is Guggenheim’s AUBRN 2017-1A A1 219dm / 4.1y WAL – neg par build -0.67, low MVOC 138.6 and 0.69 ADR.  The AAs are in touching distance of the wide end of the AAAs and trade today 225dm-254dm (RP 2022-2024), lowest levels at the tight end post-vol and compare to 229dm-317dm for this cohort over the past week.  At the wide end today is KKR 26 B1 254dm / 7y WAL – 1.00 ADR, 15.4 sub80, 3526 WARF and cuspy CCC bucket 7%.  The BBBs trade 482dm-899dm across all RP profiles given the sheer quantity today, compared to 506dm-870dm range over the past week there is evidence of tightening despite the continued wide dispersion given the fact that potential default risk is being priced in.  Once again we hit a post-vol tight on another rating class with Invesco’s BARDT 2019-2X D 482dm / 8.55y WAL – 8.8 sub80, strong MVOC 104.9 and low CCC 3.3% as stand out fundamentals.  At the BB end, there is the continued theme of volatility with trading range today 1204dm-2276dm with ADRs north of 1% driving bonds to the wide end along with MV coverage in some cases as low as 92 and sub80 buckets of almost 25%, along with of course the fact that many of these bonds are PIK’ing with interest diversion tests / CCC buckets tripping.

EUR CLO

10 CVR prices today. 5 of the trades are AAA and they all traded between around 180dm to 190dm. This again is another few bps grinding tighter. One of the bonds, SPAUL 3RX ARE, has a low junior OC cushion of only 1.96% but this hasn’t impacted the spread it traded at. If anything this could be seen as a positive for the AAA bond as any cashflow diversion will serve to shorten the AAA.

There is one single A, ACLO 2X CRN, which traded at 292dm. This is quite a lot tighter than the LM300s we have been seeing for single A.

There are 2 x BBB trades at different spread levels. The tighter is GRANH 2019-1A DE at 639dm. Even this spread is at the wide end of recent BBB levels. Its MVOC is good at 107.55%, Junior OC cushion is good at 4.85% and Fitch CCC level is low at 1.74%. By contrast CGMSE 2019-2A C traded at 726dm which is definitely much wider than recent trades. Its MVOC is weak at 103.28%, Junior OC cushion is low at 2.92% and Fitch CCC bucket is reasonably high at 7.2%.

The BB is AVOCA 10X ER which traded at 899dm. This is actually tighter than recent trades between 1000dm and 1100dm. So there does not appear to be a theme to the change in the credit curve. Overall we could say that the wings (AAA to single A and junior mezz) have tightened but BBB part of the credit curve has widened.

The single B is HARVT 9X FR which traded at 1714dm. This is in the ball park of recent levels, maybe slightly tighter.

USD CLO

We saw 22 covers today – 10 x AAA, 1 x AA, 2 x A, 5 x BBB and 4 x BB. The AAAs trade 172dm-230dm, the tight end signifies continued tightening with the second lowest dm seen post-vol for 1st pay AAA.  At the wide end is MidOcean’s MIDO 2016-5A AR 230dm / 2.19y WAL – neg par build -1.51, high WARF 3414, spilled CCC 7.8% and the manager’s record has been below par.  The sole AA NEUB 2018-28A B (Neuberger) covers 229dm / 6.01y WAL (2023 RP profile) which is a clean deal from a benchmark manager with similar profiles trading 230dm-317dm this represents further tightening at this rating level.  The single-As trade 298dm-329dm (2022/2023 RP profile) which is at the tighter end amongst a trading dispersion of 299dm-461dm over the past week.  The BBBs trade today 506dm-622dm (2021-2023 RP profiles), with reasonably heavy liquidity over the past week with almost 20 trades in this cohort in a 540dm-870dm range.  Once again, tightening at the cleaner end of BBBs with Onex’s OCP 2018-15A C cover 506dm / 7.27y WAL (sub80 9.5, ADR 0.69, par build 0, CCC 3.5% and manager record in line with peers).  At the BB end, where the market continues to factor in default and downgrade risks the DMs remain volatile with a softer trading range versus yesterday 1272dm-2272dm, trades today carry high ADRs (as high as 1.9) and Sound Point’s SNDPT 2013-2RA E propping up the wide end at 2272dm / 5.6y WAL – 1.85 ADR, 22.3% sub80, 93 MVOC, interest diversion cushion -0.75 so the bond is PIK’ing and manager’s record slightly weaker to peers.

EUR CLO

8 CVR prices today, spread across a range of credit ratings. AAA rated SPAUL 4X ARN1 traded at 192dm. This is about 10bps tighter than AAA levels from last week.

There are 3 x single A trades in the LM300s area. This remains in line with recent trading levels.

The BBB trade is DRYD 2017-52X D which traded at 592dm which is in the recent range.

The BB is ARESE 7X DR which traded at 963dm. This represents a recent tight for BBs, which have mostly been trading between 1000dm and 1100dm. Its MVOC is good at 100.28% and it looks to have a substantial CCC cushion remaining.

DRYD 2015-44X SUB equity traded at 31.08 / 26%. The yield looks high but we think the reason for this is that, most likely, the market is pricing in a much higher chance of equity cashflow diversion than our scenario is generating. This deal has a very high S&P CCC bucket (for a European deal) of 14%. However the market value of these CCC assets is still holding up well thus far and therefore the CCC adjustment amount for the Principal OC tests is only reducing them by 2%. This adjustment has all taken place in the last month. At the moment the Reinvestment test is passing by around 1.5% and the most junior OC test by 2.5%. If the percentage of CCC assets and/or their market value falls then this deal will be very close to diverting cashflow. Most equity is trading on a price basis of around 30.00.

USD CLO

Fifteen covers today – 5 x AAA, 5 x AA, 2 x BBB and 3 x BB with most bonds trading in a tight dispersion and showing some signs of normalisation.  1st pay AAAs continue the tightening them and trade in a narrow range 178dm-183dm whilst two 2nd pay AAAs also trade in a narrow dispersion 219dm-225dm with only the spilled CCC bucket (8.41%) on MDPK 2018-28A A2 2nd pay AAA driving this a touch wider 225dm / 6.5y WAL to the Bain Cap BCC 2018-2A A2 (5.36%) 219dm / 6.26y WAL.  The BSL AAs trade 251dm-258dm with an outlier DEN14 2016-1A BR cover 317dm (17.6 sub80 and CCC 11.4%) whilst a MM CLO ABPCI 2017-1A A2 covers 398dm / 4.11y WAL which is another useful MM CLO data point.  The BBBs trade 581dm-588dm (2021/2023 RP profiles) in line with the tighter end of heavy BBB trading towards the back end of last week, both bonds today have cuspy CCC buckets (just below 7.5% TH).  The BBs trade 1170dm-1262dm with MVOCs in 96.00-96.50 context and quite similar fundamental metrics, with a spilled CCC bucket (8.74%) on the ATRM 9A ER not detracting from the fact that the manager’s strong record with cover 1170dm / 6.56y WAL at the tight end of today’s trading.

EUR CLO

8 CVR prices today, spread across a range of credit ratings. The AA rated ACLO 1X BRR traded at 96.80 / 254dm. This is within the recent trading range.

The single A is AVOCA 12X CR which traded at 96.37 / 312dm, also unchanged.

The BBB is OCPE 2017-1X DR which traded at 87.55 / 625dm, again unchanged.

There are 5 x BB CVRs. Three of them at the tighter end traded around 1000dm. They are the bonds from GSO and Sculptor. These have the better MVOCs (around 100%), lower CCC buckets (around 5%) and still intact CCC cushions. The two that traded wider are both the ICG bonds which traded around 1140dm. These have MVOCs around 98%, CCCs above 7.5% and no CCC cushion.

USD CLO

Another buoyant day with 27 covers – 1 x AAA, 14 x A, 8 x BBB and 4 x BB.  The AAA is ARES managed ARES 2019-52A A2 which is a 2nd pay and covers 222dm / 7.04y WAL, with another Ares mezz AAA trading in 260s dm context around April month end this gives some illustration of the tightening this month.  A lot of single-As today with the trading range 283dm-428dm for a range of RP profiles (2020-2024) with trading range mtd 280dm-540dm, at the wide end today is BlueMountain’s BLUEM 2016-1A CR 428dm / 5.01y WAL – high ADR 1.7%, high sub80 bucket 20.1%, high WARF 3458, neg par build -1.05 and a spilled CCC bucket 8.1% whilst the manager has a weaker record vs peers.  At the tight end is CSAM’s MDPK 2018-30A C 283dm / 5.24y WAL – low ADR 0.46, 18% sub80, WARF is also high 3379, 1.6% CCC and a strong manager record.  The BBBs trade 487dm-609dm (versus a volatile 500dm-1000dm trading range mtd), OFS’s OFSBS 2014-6A CR cover 487dm / 2.31 is the tightest BBB trade post-vol albeit short dated (2018 RP end).  BBs continue to tighten with a trading range today 940dm-1051 so clean deals are now in 1000dm context and three have now penetrated 1000dm post-vol, at the tight end today is Blackrock’s MAGNE 2015-12A ER 940dm / 8.1y WAL – 0.57 ADR, <10 ADR (9.94), 5.1% CCC and 3120 WARF from a benchmark manager.

EUR/GBP ABS/RMBS

Got 2 ABS CVRs today, the first CVR prices we have seen on a BWIC for a long time. BRICQ 2019-1 A (AA rated Italian Consumer Loan deal) traded at 98.83 / 150dm to step up date. In Nov 2019 it traded at 100.37 / 51dm. BRICO 2019-1 A (also AA rated class of Italian Consumer Loans from the same originator – Creditis Servizi Finanziari) traded at 99.05 / 161dm. This bond traded in Jan 2020 at 100.53 / 37dm.

EUR CLO

Just one AAA today. SPAUL 3RX AR traded at 97.01 / 204dm. This is on top of SPAUL 9 A which traded at 205dm on 11 May.

USD CLO

A busy day with 30 covers – 4 x AAA, 4 x AA, 2 x A, 11 x BBB and 9 x BB.  The AAAs trade 170dm-223dm including a mezz AAA (2nd pay) at the wide end of this range.  At the tight end is Oak Hill’s OHALF 2016-1A AR 170dm / 6.27y WAL (2025 RP profile) with strong MVOC 141.25, low ADR 0.19 and low relative WARF 2980.  The AAs trade in a narrow dispersion very close to the wide end of the AAAs 230dm-246dm grinding tighter to yesterday’s 230dm-270dm range.  The single-As trade in a wider dispersion 307dm-461dm (v week to date 289dm-375dm), so more or less in line at the tight end but at the wide end today is Carlson Cap’s CATLK 2018-5A C 461dm / 6.27y WAL – a 2022 RP profile with high ADR 1.17, high sub80 bucket 19.3 and a high WARF 3332 along with a spilled CCC bucket at 10.3%, the manager record is also weak to peers.  BBBs continue to trade in a wide dispersion given the volatility in this rating level, today 557dm-870dm (versus 497dm-739dm this week), a the wide end is an outlier…. Black Diamond’s BLACK 2016-1A CR 870dm / 7.25y WAL – high ADR 1.25, high sub80 17.8, high WARF 3595, neg par build -1.16 and a v-high CCC bucket 12.41%.  The BBs trade today in the narrowest dispersion seen post-vol 1052dm-1128dm with an outlier trade KKR 14 ER 1440dm (low MVOC 94.3, high sub80 20.2) bearing in mind we have seen BBs trade 973dm-2935dm this week!

EUR CLO

A handful of trades across a range of credit ratings again today. AAs traded between 240dm and 260dm. Spreads continue to grind tighter. The majority of AAs trading around 240dm now.

The single A, for Commerzbank, traded at 307dm. It has an unusually high MVOC at 134.19%, but it started out with a conservative tranching structure. This trade is at the tight end of recent levels.

The BBB, BLUME 5X D, traded at 85.94 / 621dm. Its credit metrics and pool quality hold up well given that it closed less than 6 months ago.

The BB, BCCE 2019-1X E, was a DNT but best bid was 70h / 1249dm. Recent BB trades have been in the 1100dm area so you can see why the seller decided not to let this bond go.

The single B is ARBR 7X F which traded at 56.81 / 1790dm. This deal closed in Jan 2020. Its credit metrics are fine as you would expect: WA Collateral Price 90.50, CCC Balance 3.4%, Assets sub 80 10%, MVOC 97.06. Around 1800dm is where we have seen other single B trades.

USD CLO

A busy day with 25 covers from AAA down to Equity.  The AAAs trade 172dm-206dm with an outlier trade ALM 2013-7R2A A1B2 246dm / 3.48y WAL (high WARF 3306 and negative par build -0.65), levels continue to tighten overall.  At the tight end APID 2013-15A A1RR (CVC) covers 172dm / 4.44y WAL which is the tightest level post-vol – strong MVOC 147, low WARF 2838 and high diversity 92 along with a stable CCC bucket 4.9%.  The AAs trade 232dm-271dm in line with tights of yesterday (230dm-290dm).  The BBBs trade 497dm-739dm, once again tightening effect with the first sub500 trade post-vol at this rating level - VOYA 2019-3A D (Voya) covers 497dm / 8.55y WAL (0 ADR, low sub80 9%, low WARF 2839 and CCC 2.4%).  The BBs remain volatile with trading range today 1169dm-2935dm, at the wide end is BSMC 2013-1A ER (Shenkman( 2935dm / 5.13y WAL – high ADR 1.98%, high WARF 3314 and a weaker manager record contributing to the softer level.  We saw 2 Equity cover from CSAM and Octagon, the first we have seen in a long while, cash prices are in 50s-60 area with the securities trading to a current cashflow premium over NAV which are both significantly negative (full details on PriceABS).

EUR CLO

Trades across a range of asset classes today. The AAA bond is GRANH 2019-1X A (managed by MeDirect Bank) which traded yesterday at 236dm and today at 231dm.

The two AAs traded around 250dm. This is a continued ratcheting in of AA spreads.

The single As have traded around 315dm which is quite a bit tighter than the MH300s that we have seen earlier this month.

The BBBs have mostly traded in a 550dm to 600dm range, but with two Dryden trades around 640dm. 550 – 600dm is not much of a change from previously observed levels. The two Dryden trades with wider levels, around 640dm, are from Dryden 73 and Dryden 69. The credit stats on both these trades look OK. Their MVOC is in the normal range (around 106%), they don’t have a high percentage of assets below 80 (13%) and they both have decent CCC cushions. Dryden deals do often trade wider, perhaps because of the high number of HY bonds in the pool.

USD CLO

Quite an active day with 21 covers – 8 x AAA, 3 x BBB and 10 x BBs.  The AAAs trade 176dm-217dm with an outlier trade KING 2018-8A A (Hayfin) cover 242 / 4.62y WAL – with no obvious reasons for the outlier level since all key metrics are in check, with only MVOC (139.7) and ADR 0.84 at the wider end of the scale and CCCs 4.7%.  At the tight end is a benchmark manager CIFC’s CIFC 2015-1A ARR 176dm / 4.4y WAL with clean fundamentals.  The BBBs trade 534dm-636dm (2023/2024 RP profiles), these are tightest levels post-vol for this cohort with mtd trading 554dm-968dm.  At the tight end is another benchmark manager CSAM’s MDPK 2018-31A D 534dm / 7.97y WAL with clean fundamentals and MV metrics despite a 11.45% CCC bucket.  The BBs trade today 973dm-1763dm, for the first time post-vol we are seeing BB trades sub 1000dm with continued volatility at the wide end given market conditions at this 2nd/3rd loss level.  At the tight end today is Kayne Anderson’s KAYNE 2018-1A E 973dm / 7.7y WAL – 0 ADR, 12% sub80 bucket and 2.5% CCC with good manager metrics for a relatively inexperienced manager.

USD CLO

19 covers today – 1 x AAA, 2 x AA, 8 x A, 8 x BB.  The AAA is Palmer Square’s PSTAT 2020-1A A1 cover 178dm / 2.1y WAL which is in line with tighter levels (inside 180dm) seen at the end of last week.  The AAs trade very narrowly 229dm-230dm (2022 and 2025 RP profiles) and affirm the tighter theme seen end of last week (230dm-260dm) albeit at the tighter end of this range with both deals clean and no spilled CCC buckets.  The single-As trade 289dm-375dm which is in bang in line with the 290dm-370dm range seen on Friday, a weaker manager props up the wide end PARL 2017-1A CR (DoubleLine) 375dm / 5.5y WAL – 1.02 ADR, 20% sub80 bucket and 7.84% CCC bucket.  BBs have traded this month to date in a wide 1100dm-1800dm range with today’s trading range no different 1073dm-1858dm, at the tight end is a clean Ares deal ARES 2015-4A DR and at the wide end is a weaker manager Bain Cap AVERY 2015-7A E 1858dm / 5.5y WAL with 94.5 MVOC and the manager profile dragging this wide.

EUR CLO

Trades across a range of asset classes today. In the AAA category the ICG bond traded at 205dm whereas GRANH 2019-1X A (managed by MeDirect Bank) traded at 236dm. Both deals have high CCC balances. These two spread levels are within the recent tight and wide end of the AAA range.

The AA (from Axa) has traded at 267dm which is a few bps tighter than the most recent AAs we have seen.

The single A from Chenavari traded at 400dm. This is about 40bps wider than recent trades. The CCC cushion has been eroded in this deal. The WA collateral price is 88.17 which is a little on the low side and there is 21% of the collateral below 80 price which is on the high side.

The BBBs have traded in quite a wide range – from 540dm to 640dm. This range is tighter than recent levels which have been in the 600dm to 700dm range as recently as 6 May. The tight end of today’s range is CONTE 4X DNE (Five Arrows) at 542dm. Its MVOC is only average at 105.17% but it does have a decent CCC cushion at 4.23%. The wide end of the range are HARVT 16A DRE (Investcorp) and CRWPK 1X C (GSO) at 640dm. The Investcorp bond has a low MVOC (103.26%) which explains its wide level but the GSO bond has a good MVOC (108.02%) but GSO bonds often trade wider. Both bonds have a decent CCC cushion remaining.

Finally, the BB trade, BLUME 5X E (Blue Mountain) traded at 1089dm. This is in line with, albeit slightly tighter, than a recent CADOG 11 BB on 7 May which was at 1110dm. BLUME 5X E has an MVOC of 99.06% which is high for a BB. It has a CCC balance of around 6% and only 12% of assets are below 80 price.

USD CLO

An exceptionally busy end to the week with 35 reported covers across the capital structure.  At the senior end AAAs continue to grind tighter, trading in a narrow dispersion 172dm-188dm with an outlier trade KKR 11 AR 217dm / 4.05y WAL – MV metrics poor (MVOC 132.7) and sub80 bucket high at 21%, manager has a good record nonetheless.  The AAs also trade tighter in a 229dm-287dm range versus a month to date range of 239dm-334dm, at the wide end is WINDR 2016-2A BR (THL) 287dm / 6.6y WAL – weaker MVOC 115.7 and a high WARF 3346 with a spilled CCC bucket 10.4%.  There were 17 single-A trades and these traded tighter 286dm-369dm across 2020-2025 RP profiles, versus 297dm-537dm range month to date, with high ADRs and weak MV metrics pushing bonds to the wide end of today’s range.  The 2 x BBBs trade in a wide range 615dm-846dm (2022/2023 RP profiles), but continue to trend tighter but not as tight as we saw yesterday with trades in lo-mid500s context, at the wide end is CECLO 2018-28A C 846dm / 7y WAL with a high ADR 1.88%, not covered by MV (MVOC 96.75) and a negative par build -1.86.  The double-Bs trade 1495dm-1671dm (2023 RP profiles) with comps trading in a similar range this month to date (1340dm-1608dm), both bonds today have spilled CCC buckets and ADRs >1% and negative par builds (See PriceABS for details).

USD CLO

15 covers today with a continued tightening tone – 1 x AAA, 3 x AA, 5 x A, 4 x BBB and 2 x BB.  The AAA is CBAM 2019-10A A1A (CBAM) cover 190dm / 5.52y WAL – despite the tight DM this is not a completely clean transaction (sub80 21.5%, ADR 0.9% and CCC spilled to 8.07%) but this does provide a backstop for cleaner deals to price tighter.  The AAs trade 251dm-285dm which are more in line with the tighter levels seen yesterday in 240a but this cohort has been trading 240dm-330dm since month end.  At the wide end is Hayfin’s KING 2019-1A B1 285dm / 6.1y WAL driven by weaker MV metrics (119 MVOC) versus peers (121-123) with other fundamental metrics good.  The single-As trade 297dm-364dm (2022/2023 RP profiles) which is tight to comps around month end 350dm-500dm, there is an outlier trade today CATLK 2013-1A BR (Carlson Cap) 476dm / 6.3y (high ADR 0.99, 18.5% sub80 bucket, 3247 WARF and a spilled CCC bucket 10%).  BBBs trade in a narrow dispersion 518dm-548dm (2018-2025 RP profiles) tight to comps since month end trading 505dm-756dm, there is an outlier trade today GALXY 2018-29A D (PineBridge) at a very high 1003dm / 4.5y WAL – MVOC 98.9, sub80 24%, 3710 WARF and 11.6% CCC bucket as pretty clear explanations.  The BBs trade 1164dm-1340dm (2023/2024 RP profiles) with comps since month end trading 1175dm-1675dm, both the bonds today aren’t covered by MV (95-96 MVOC) but CCC baskets remain within the 7.5% limit.

EUR CLO

2 x BBB & 1 x BB today. The BBBs traded around 575dm. This is quite a bit tighter than the previous day when there were a number of trades in the LM600s and a few wider than that. Both these deals are in good shape with WA Collateral price of over 90.00, both have CCC cushions of around 4% and MVOC around 106.50%.

The BB traded at 1110dm. This is the tightest BB level we have seen since the crisis started. Most of our previous observations have been in the 1200 to 1350 DM range. The MVOC is 96.51 and it looks like the CCC test has been breached. The WA collateral price is 88.21.

USD CLO

We saw 16 mezz covers today – 3 x AA, 1 x A, 7 x BBB and 5 x BB.  The AAs trade in a narrow range 239dm-252dm (2022-2024 RP profiles), this range is significantly tight to recent AA levels seen in 270dm-330dm context – today’s trades are from benchmark managers with clean deals and CCC buckets in check.  The single-A trade today is GSO’s CPARK 2015-2A DR cover 408dm / 4.5y WAL (2020 RP profile) – a clean deal from a benchmark manager and once again significantly tighter than the late400s-early500s context.  The BBBs trade as we have seen recently, in a wide dispersion, 639dm-968dm for 2020-2024 RP profiles – tiering generally driven at this rating level by ADR, manager record and state of CCC bucket, for instance at the wide end is Crescent Capital’s ATCLO 2016-7A DR 968dm / 7.3y WAL (2023 RP profile) with 1.32% ADR, 27% sub80 bucket, MVOC 96.5, high WARF 3347, weaker manager profile and a spilled CCC bucket 8.1%.  At the tight end Axa’s ALLEG 2019-1A D 639dm / 7.8y WAL (2024 RP profile) which is covered by MV (MVOC 101.3), lower relative sub80 15.4% and CCC bucket in check, the cover is in line with 550dm-680dm trading range for this cohort.  The BBs trade 1341dm-1790dm, tranches have a 4-7% shortfall of MV coverage in a rating category that has significant volatility given the proximity to loss and downgrade risks as already mentioned this week.

EUR CLO

A good number of mezz trades today. The single As traded around 360dm. This is quite a bit tighter than the 421dm level we saw for the Goldentree bond on 30 Apr.

A raft of BBBs have traded. The majority are in the LM600s spread but 3 traded around 700dm and 2 around 800dm. Looking at the 2 around 800dm first, these are BABSE 2018-2X D and GLGE 5X D1. They both have MVOCs that are at the low end of the normal range but also they both have high CCC buckets and the Barings deal is failing the CCC test and the WARF test. Additionally GLG bonds always trade wide. The 3 bonds with spreads around 700dm are the ones from Partners, Barings and Bain. All of these also have low MVOCs, high CCCs and are failing quality tests.

The BB is PENTA 2017-3X E from Partners Group. It traded at 62.57 / 1352dm. This is a wide level but the bond has a low MVOC at 95.82, a low CCC cushion and is not from a top tier manager.

The two single Bs have traded in LM50s price and around 1800dm. The MVOCs are around 95%. The Fitch CCC percentages are not that high at around 3% and the WA collateral prices are also pretty good at around 90.00. Both managers, however, would not be considered top tier – Commerzbank and Voya ING.

USD CLO

A much more active day with 24 covers – 13 x AAA, 3 x AA, 6 x BBB and 2 x BB.  The AAAs (2019-2023 RP profiles) trade 180dm-302dm with a large distribution of bond profiles today including a 2nd pay AAA at the wide end.  The 2021 RP profiles (2015/2015 vintages) traded in the narrowest range 287dm-294dm, softer levels but the transactions in this cohort today have fundamental issues with high ADRs and high WARFs along with negative par builds.  At the tight end OCT32 2017-1A A1 (Octagon) covers 180dm / 3.78y WAL – with fundamentals not entirely impressive but sub80 asset migration levels are much lower on this deal than others (10.5%) and MV metrics are sound.  The AAs trade 318dm-334dm (2020/2023 RP profiles) which is wider to hi200s context we have seen recently in these cohorts, the trades today suffer from high ADRs (1%>) and negative par builds c.-1%.  BBBs trade 505dm-864dm across 2019-2023 RP profiles, these cohorts have traded in this extremely wide range recently (558dm-922dm to be precise) given proximity to the HY rating threshold.  Today’s trades have high WARFs 3200+, negative par builds and at the wide end tranches are not covered by MV (MVOC’s in 98 context), please see PriceABS trade list for full details.  The BBs (2023/2024) trade 1175dm-1598dm, we have seen these profiles trade 1157dm at the tight end recently (so in line with today’s levels) but as wide as 1946dm at the wide end, given this rating level has seen significant rating actions recently in response to the covid 19 crisis.  At the wide end is MJX’s VENTR 2018-31X E 1598dm / 7.75y WAL – the tranche has a significant MV shortfall (MVOC 93.6), sub80 bucket is 21%, ADR is 0.76% and CCC bucket is spilled over at 7.7% so this is reflected in the softer level on this bond today.