Views from the Tranches:
Secondary CLO Market
Overview
November 4, 2022
Jon Wong
jwong@brv-llc.com
The [Market] Doth Protest Too Much, Methinks
Power BI Desktop
As year-end approaches, a recurring line I keep hearing from investors is that "this isn't 2008." I heard it with frequency at the recent
ABS East Conference, and I was reminded of a timeless exchange from Shakespeare's Hamlet. In the scene, Queen Gertrude quips to her
son Prince Hamlet, "the Lady doth protest too much, methinks." To note, "protest" in this case refers to insisting something is true
despite the opposite being so. This is not to suggest that we are entering a period just like the GFC. Every cycle is unique. So while I
tend to agree that "this isn't 2008," it is for different reasons. Consensus belief is that if we do indeed enter a recession next year, it will
be somewhat shallow and devoid of a financial crisis. The thinking goes that the Fed will step in with their liquidity bazooka at the first
sign of trouble, as it has seemingly done in every such instance over the last 15 years. For this reason, the market has been banking on a
Fed pivot since the summer, only to be disappointed. Here is where I do concur with the notion that this cycle is much different the one
that culminated in the GFC. Rather than facing the risk of disinflation, the globe is now dealing with stubbornly high and sticky inflation.
Additionally, the level of fiscal and monetary stimuli to combat the COVID-19 pandemic was so excessive and efficient in flooding the
system with excess liquidity that monetary tightening has thus far been ineffective in curbing inflation. As we recently noted, some 80%
of CPI components are increasing at an annualized rate greater than 4%. This suggests inflation is widespread. That means that that we
are likely stuck with higher rates for longer as it will take time for the Fed to complete its mission. This latter point has been a key
theme of Views from the Tranches. Now, to where things look like they rhyme with the previous cycle. The historic stimuli to combat the
pandemic not only led to price inflation but also to asset inflation (aka "asset bubbles") and a buildup in leverage. As the cycle ends,
deleveraging will pick up steam in an environment where the cost of capital has ballooned. The GFC was noteworthy for its violent
bouts of deleveraging given the structure of leverage during that period. This cycle's end may not involve such violent episodes, but
deleveraging tends to be messy, nonetheless. An economic slowdown coupled with higher rates does not offer a clear path toward a
soft landing. Something is likely to break. Thus, the depth of the coming recession is likely to be deeper than many may appreciate,
with bouts of messy deleveraging. The Market Doth Protest Too Much, Methinks.
We had another jumbo rate hike this week. While the initial release from the Fed pointed to a somewhat dovish stance, the Q&A
session set the market straight. Fed Chair Powell made it clear that fighting inflation remained the top priority while acknowledging that
efforts thus far have come up short. At the risk of sounding like a broken record, that means that investors should expect higher rates
for longer. As of writing, the futures market was pricing in a peak terminal rate of ~5.14% by next summer (see Chart: "Implied Policy
Rate (%)" on the right). This is some 138 bps wider than the peak rate of 3.76% the futures market was pricing as of August. Clearly, the
market has been wrong in the assumption that either: 1) the Fed would blink given downdrafts across risk assets or 2) inflation was more
transitory than it currently is. Understandably, we have seen a shift in market expectations with regards to how high the terminal rate
will be. Short-term interest rate (STIR) markets suggest peak rates approaching 5.50%, up from ~4.00% in late August (see Chart: "Peak
Rate, derived from Eurodollar Curve" on the right). However, where rates end up will ultimately depend on how soon we start to see the
demand destruction that the Fed is aiming to inflict on the economy. We have started to see asset values roll over, but the economy has
proven to be quite resilient, as evidenced by the latest jobs print. Change in Nonfarm Payrolls for the month of October came in at
+261k, beating consensus estimates for +193k. Additionally, the Services ISM Report On Business for October, released this past
Thursday, revealed that more than 93% of those surveyed reported paying the same or higher prices in the month. We will get further
confirmation on next week's CPI print, but thus far, low unemployment and rising costs should continue to push real rates higher (see
Chart: Real Rates on the right). That should keep downward pressure on risk assets of all sorts.
1
Implied Policy Rate (%), derived from Fed Funds Futures
11/4/2022
5.03
4.83
4.42
3.76
3.70
3.59
Jan 2023
3.75
Apr 2023
8/23/2022
5.14
5.06
3.70
3.55
Jul 2023
4.96
4.86
3.38
Oct 2023
4.77
3.25
Jan 2024
Peak Rate, derived from Eurodollar Curve
5.45
5.40
4.30
3.69
3.61
1.40
1.33
1.91
Jan 2022
Apr 2022
Jul 2022
Oct 2022
Real Rates
10 Year Real Rate
5 Year Real Rate
0.33
-1.14
-1.21 -1.66
-1.95
Jan 2022
-0.65
-0.90
0.82
0.64
0.50
-0.12
-0.02
1.74
1.68
0.07
-1.08
Apr 2022
Jul 2022
Oct 2022
Over the last couple of weeks, liquidity has somewhat improved in the credit markets. Corporate BBB
spreads
have once again dipped
Power
BI Desktop
below 200 bps, and yield chasing has pushed Corporate BB and B spreads tighter, with BB spreads briefly grinding below their long-term
average before reversing. Seemingly expecting a dovish Fed pivot, investors poured some $7.1 billion into HY Corporate funds in the
2.00
two-week period ending on November 2. Fed Chair Powell's Q&A session quickly dashed those hopes, and spreads widened
accordingly. Week over week, Z-scores for Corp BB and Corp B jumped to 0.21 and 0.25 from -0.09 and 0.03, respectively (see Chart:
"CORP Z-Scores" to the right). We would expect further widening from these levels into year-end.
1.00
The world of Leveraged Finance also saw some respite vis-à-vis the start of October. Leveraged Loan prices have moved higher over the
last two weeks, with the B-rated index (a proxy for CLO Collateral) at 92.25 as of writing, after spending much of October below the 92
mark. US BSL CLOs saw improved technicals after a deluge of secondary supply. Secondary DMs for Senior AAA remain as historically
0.02
wide levels, as illiquidity premia stay elevated. The term curve for AAAs remains inverted, and we continue to see value in short WAL
0.00
0.04
AAAs. Observed secondary cover AA DMs have tightened some ~30 bps since mid-October. We have favored the senior part of the
-0.29
capital structure, particularly shorter and deleveraging tranches, as a prudent way to capitalize on illiquidity premia while protecting
Jun 2022
against a credit downturn. The senior part of the capital structure remains the cheapest in comparison to mezzanine tranches. In line
with HY corps, mezzanine CLO tranches also rallied as the hunt for yield led single-As and BBBs significantly tighter. Going into the Fed's
rate announcement, our observed secondary covers showed single-As and BBBs tighter by some 70 bps and 50 bps, respectively. To
note, the term structure for BBBs has flattened considerably while the term structure for single-As remains inverted. Likewise, observed
cover DMs for CLO BBs tightened significantly since mid-October, with the term structure flattening appreciably. Investors have been
less willing to pay a premium for longer reinvestment periods. Given recent widening in corporate HY, we would expect mezzanine
tranches to widen from current levels and investors should take any advantage afforded to de-risk going into next year, given higher
real rates and recessionary concerns. Post-Fed, the lower part of the stack ended the week wider.
CORP Z-Scores
CORP BBB
CORP BB
CORP B
CORP CCC
1.43
1.54
0.83 0.88
0.67
0.56
0.87
0.21
-0.05
-0.19
Aug 2022
Jul 2022
-0.15
0.02
Sep 2022
Oct 2022
0.19
0.37
0.00
Jun 2022
-Jon Wong, October 14, 2022
Nov 2022
US BSL CLO Z-Scores
CLO AAA
CLO AA
CLO A
CLO BBB
CLO BB
3.00
For October, listed BWIC volumes in US BSL CLOs totaled $5.8BN, with Senior AAAs ($3.3BN), BBs ($716BN), and BBBs ($667BN) leading
the way. For the week ending November 4, listed BWIC volumes totaled $1.1BN. For the week, Senior AAAs ($424MM), BBBs ($188MM),
2.00
and BBs ($174MM) were the most popular part of the stack.
Per Finra Trace Data, IG CLO trade volumes reached $17BN, the highest level since March 2022 and the highest level for the month of
1.24
October dating back to 2020. Intermediation levels were at 1.6, versus the 3-year average of 1.4, highlighting continued liquidity
1.00
challenges. Non-IG trade volumes totaled $6.4BN, surpassing the totals for October 2021 ($5.4BN) and 2020 ($2.6BN). Non-IG
0.96
intermediation level for the month was 1.6, in line with the 3-year average.
0.69
2.67
2.07
1.99
1.59
1.88
1.43
1.36
Jul 2022
2.76
1.90 2.31
0.97
1.08
0.87
0.65
0.37
Aug 2022
Sep 2022
Oct 2022
1.77
Nov 2022
EUR CLO
USD CLO
Rating
Cover DM (Median)
Rating
Cover DM (Median)
AAA
242
AAA
243
AA
280
AA
388
A
377
A
439
BBB
558
BBB
642
BB
983
BB
1,049
2
Power BI Desktop
Fair Value DMs*
Benchmark DMs**
Median of Cover DMs***
133
215
242
250
AAA
AAA
AAA
AAA
193
281
280
349
AA
AA
AA
AA
262
366
377
500
A
A
A
A
400
548
558
787
BBB
BBB
BBB
BBB
745
1,043
983
1,368
BB
BB
BB
BB
***Trailing weekly DMs from posted BWIC
data.
****Proprietary model derived DMs for an
economic recession.
*Proprietary model derived DMs based on
corporate HY credit spreads.
**Palmer Square CLO Index.
Source: Orestes Capital Management, Bloomberg, Palmer Square Capital Management
Forecasted Recession DMs****
1019
479
479
3
CLO
AAA
DMs
Power
BI Desktop
AAA DM
90th Percentile
Mean
10th Percentile
350
322
300
Basis Points
250
215
200
150
157
100
80
50
2016
2017
2018
2019
2020
Date
Source: Palmer Square Capital Management, Bloomberg, Orestes Capital Management
4
2021
2022
CLO
AA
DM
Power BI
Desktop
AA DM
90th Percentile
Mean
10th Percentile
450
435
400
Basis Points
350
300
281
250
220
200
150
100
119
2016
2017
2018
2019
2020
Date
Source: Palmer Square Capital Management, Bloomberg, Orestes Capital Management
5
2021
2022
CLO A DM
Power BI Desktop
A DM
90th Percentile
Mean
10th Percentile
535
500
400
Basis Points
366
319
300
200
151
2016
2017
2018
2019
2020
Date
Source: Palmer Square Capital Management, Bloomberg, Orestes Capital Management
6
2021
2022
CLO
DM
PowerBBB
BI Desktop
BBB DM
90th Percentile
Mean
10th Percentile
900
891
800
Basis Points
700
600
548
500
443
400
300
200
230
2016
2017
2018
2019
2020
Date
Source: Palmer Square Capital Management, Bloomberg, Orestes Capital Management
7
2021
2022
CLO
BB
DM
Power BI
Desktop
BB DM
90th Percentile
Mean
10th Percentile
1,600
1,518
1,400
1,197
Basis Points
1,200
1,043
1,000
800
722
644
600
400
458
2016
2017
2018
2019
2020
Date
Source: Palmer Square Capital Management, Bloomberg, Orestes Capital Management
8
2021
2022
Power BI Desktop
Correlation Matrix - Trailing 2 Weeks
Source: Orestes Capital Management, Bloomberg
9
Power BI Desktop
Correlation Matrix - Trailing 2 Weeks (1 Month Prior)
Source: Orestes Capital Management, Bloomberg
10
Corporate
Spread
Power BIBBB
Desktop
Corp BBB Spread
90th Percentile
Mean
10th Percentile
804
800
Basis Points
600
400
200
199
83
0
72
2000
2005
2010
Date
Source: Bloomberg, Orestes Capital Management
11
2015
2020
CorporatePower
High
Yield Spread
BI Desktop
Corp HY Spread
90th Percentile
Mean
10th Percentile
2,182
2,000
Basis Points
1,500
1,000
481
500
313
241
2000
2005
2010
Date
Source: Bloomberg, Orestes Capital Management
12
2015
2020
Corporate
Spread
Power BI BB
Desktop
Corp BB Spread
90th Percentile
Mean
10th Percentile
1,468
1,500
Basis Points
1,000
500
312
195
136
0
2000
2005
2010
Date
Source: Bloomberg, Orestes Capital Management
13
2015
2020
Corporate
B Spread
Power BI Desktop
Corp B Spread
90th Percentile
Mean
10th Percentile
2084
2,000
Basis Points
1,500
1,000
501
500
361
236
2000
2005
2010
Date
Source: Bloomberg, Orestes Capital Management
14
2015
2020
Corporate
Spread
Power BICCC
Desktop
Corp CCC Spread
90th Percentile
Mean
10th Percentile
4,429
4,000
Basis Points
3,000
2,000
1,217
1,000
738
414
0
2000
2005
2010
Date
Source: Bloomberg, Orestes Capital Management
15
2015
2020
Leveraged Loan
B-Rated
Power
BI Desktop Index (Price)
Leveraged Loan B Rated (Price)
90th Percentile
Mean
10th Percentile
105
100.4
100
95
96.1
Basis Points
92.3
90
85
80
76.9
75
2014
2016
2018
Date
Source: Bloomberg, Orestes Capital Management
16
2020
2022
Conduit CMBS
BBB- Spread
Power BI Desktop
CMBS BBB- Spread
90th Percentile
Mean
10th Percentile
1,400
1,326
1,200
Basis Points
1,000
800
725
600
486
400
200
251
2014
2016
2018
Date
Source: Orestes Capital Management, Bloomberg
17
2020
2022
Multi Asset
Z-Scores
Power BI Desktop
CLO AAA
CLO AA
CLO A
CLO BBB
CLO BB
CORP BBB
CORP BB
CORP B
CORP CCC
3.0
2.76
2.67
CLO AAA
2.5
2.31
2.19
1.99
2.0
1.90
1.77
1.69
1.63
1.54
1.43
1.5
1.80
1.61
CLO AA
CLO A
CLO BBB
1.27
0.95
1.0
0.87
0.72
0.5
0.65
0.50
0.69
0.21
0.37
0.18
-0.06
-0.19
-0.5
0.83
0.88
CORP BBB
0.37
0.36
0.0
0.56
0.92
0.82
0.02
-0.09
-0.15
-0.29
Jun 2022
Jul 2022
Aug 2022
Sep 2022
Date
Note: Based on data from 10/2015 to Current
Source: Orestes Capital Management
18
Oct 2022
Nov 2022
CORP BB
Power BI Desktop
CLO and
Corp Z-Scores

Date
CLO AAA - Z Score CLO AA - Z Score CLO A - Z Score CLO BBB - Z Score CLO BB - Z Score
Monday, October 24, 2022
2.70
2.19
1.99
1.76
1.90
Tuesday, October 25, 2022
2.70
2.31
1.99
1.77
1.90
Wednesday, October 26, 2022
2.70
2.31
1.99
1.77
1.90
Thursday, October 27, 2022
2.67
2.31
1.99
1.76
1.89
Friday, October 28, 2022
2.67
2.31
1.91
1.71
1.86
Monday, October 31, 2022
2.76
2.24
1.86
1.68
1.83
Tuesday, November 01, 2022
2.67
2.19
1.86
1.61
1.79
Wednesday, November 02, 2022
2.67
2.19
1.86
1.61
1.79
Thursday, November 03, 2022
2.67
2.19
1.80
1.61
1.79
Friday, November 04, 2022
2.67
2.19
1.80
1.61
1.79

Date
CORP AA - Z Score CORP A - Z Score CORP BBB - Z Score CORP BB - Z Score CORP B - Z Score CORP CCC - Z Score
Monday, October 24, 2022
0.61
1.57
0.79
0.27
0.35
0.71
Tuesday, October 25, 2022
0.61
1.57
0.79
0.23
0.33
0.71
Wednesday, October 26, 2022
0.61
1.57
0.77
0.15
0.27
0.67
Thursday, October 27, 2022
0.66
1.61
0.79
0.12
0.22
0.66
Friday, October 28, 2022
0.61
1.53
0.73
-0.09
0.03
0.60
Monday, October 31, 2022
0.66
1.53
0.73
0.02
0.11
0.59
Tuesday, November 01, 2022
0.51
1.41
0.69
0.00
0.09
0.57
Wednesday, November 02, 2022
0.46
1.33
0.65
0.01
0.11
0.57
Thursday, November 03, 2022
0.51
1.37
0.69
0.21
0.25
0.65
Friday, November 04, 2022
0.41
1.29
0.69
0.21
0.25
0.65
Note: Based on data from 10/2015 to Current
Source: Orestes Capital Management
19
Real
Power BIRates
Desktop
2 Yr Real Rate
2.33
2.00
1.91
1.62
5 Year Real Rate
10 Year Real Rate
2.37
1.98
1.74
1.67
1.76
1.68
%
1.50
1.22
1.00
0.95
0.84
0.50
0.00
Sep 18
Oct 02
Oct 16
Dates
Source: Orestes Capital Management, Bloomberg
20
Oct 30
Power BI Desktop
Market Volatility
& Rates
MOVE Index
157.0
152.9
148.4
144.6
148.5
30
145.8
140
32.0
31.9
31.4
29.9
30.5
VIX
MOVE Index
33.6
160.7
160
VIX
140.2
27.3
25
128.4
120
Oct 09
Oct 16
Oct 23
25.9
Oct 30
Oct 09
Oct 16
Date
Oct 23
24.6
Oct 30
Date
2 Year Treasury (bps)
10 Year Real Rates
480
471
461
460
1.62
1.61
450
440
1.6
1.68
1.61
443
431
420
466
%
bps
450
1.74
1.73
1.7
1.54
1.5
429
Oct 09
1.53
1.47
427
Oct 16
Oct 23
Oct 30
Oct 09
Date
Oct 16
Oct 23
Date
Source: Bloomberg
21
Oct 30
Power BI Desktop
Inflation
Watch
Core PCE - YOY
Core CPI - YOY
6.0
6.6
5.1
6.6
6.0
5.4
4.0
%
%
4.0
2.2
1.8
2.0
2.0
1.5
1.5
1.4
0.9
1.1
0.0
2005
2010
2015
2.9
2.8
2.3
2.9
0.6
1.1
0.0
2020
2000
2005
Date
1.2
2010
2015
2020
Date
Atlanta Fed's Core Sticky CPI - YOY
Cleveland Fed's 16% Trimmed-Mean Core CPI - YOY
8
6.4
6
7.3
7.3
6.4
6
3.6
3.2
2
0
2.1
2000
3.3
3.1
%
%
4
2
2.0
2005
3.6
4
2.9
2.7
1.5
0.7
2010
2015
2.6
2.0
1.5
0
2020
2000
2005
0.7
2010
Date
Date
Source: Bloomberg
22
2015
2020
US CLO Secondary Market Summary
Power BI Desktop
Rating
10/17/2022
11/4/2022
Start Date
End Date
$4,041.47
$3,783.43
Total Listed (MM)
Total Traded (MM)
Listed Amount (MM) Px Talk (Median) Cover Px (Median)
DNT
Traded
2%
98%
AAA
$1,921.06
97.31
97.21
Jr AAA
$52.85
96.41
91.75
AA
$456.93
94.08
93.91
2%
98%
A
$106.50
91.63
92.19
4%
96%
BBB
$576.23
86.63
87.59
9%
91%
BB
$642.53
82.00
82.00
16%
84%
B
$24.35
72.50
71.12
NR
$260.17
38.25
58.79
23
100%
100%
17%
83%
Power BI Desktop
Px Talk
Ranges
Price Talk Range (Price)
105.00
100.00
95.00
90.00
85.00
80.00
75.00
70.00
65.00
60.00
55.00
50.00
X
AAA
Jr AAA
AA
35.00
2,500
30.00
2,000
25.00
1,500
15.00
500
10.00
B
BB
BB
B
20.00
1,000
0
BBB
Price Talk Range (Yield)
3,000
Percent
Basis Points
Price Talk Range (DM)
A
BBB
A
AA
X
Jr AAA
AAA
5.00
24
B
BB
BBB
A
AA
X
Jr AAA
AAA
BI Desktop
AAA - PxPower
Talk
Summary
Price Talk Range
High Px Talk (Median)
Price Talk Range (Yield)
Mid Px Talk (Median)
Low Px Talk (Median)
Median of High Yield Talk
Median of Mid Yield Talk
Median of Low Yield Talk
8.00
98.00
7.50
Percent
97.30
97.00
96.00
7.13
7.00
6.50
95.00
6.00
2
2
2
2
2
2
2
2
2
2
2
2
2
2
…
20 /202 /202 /202 /202 /202 /202 /202 /202 /202 /202 /202 /202 /202 /202
7/
4
3
2
1
1
8
7
6
5
4
1
0
9
8
1
/
/
/
/
/
/3
/2
/2
/2
/2
/2
/2
/2
/1
/1
11
11
11
11
10
10
10
10
10
10
10
10
10
10
10
/
/
17
10
22
22
22
22
22
22
22
22
22
22
22
22
22
22
22
20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20
4
3
2
1
1
8
7
6
5
4
1
0
9
8
/
/
/
/
/1 0/1 0/2 0/2 0/2 0/2 0/2 0/2 0/2 0/3 11
11
11
11
1
1
1
1
1
1
1
1
1
10
Date
BWIC Date
Price Talk Range (DM)
Px Talk - High DM (Median)
WAL (Median)
Px Talk - Mid DM (Median)
5.00
Px Talk - Low DM (Median)
4.00
Years
Basis Points
300
250 242
3.00
2.00
1.00
200
22
22
22
22
22
22
22
22
22
22
22
22
22
22
22
20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20
/
7
8
9
0
1
4
5
6
7
8
1
1
2
3
4
/1 0/1 0/1 0/2 0/2 0/2 0/2 0/2 0/2 0/2 0/3 11/ 11/ 11/ 11/
10
1
1
1
1
1
1
1
1
1
1
22
22
22
22
22
22
22
22
22
22
22
22
22
22
22
20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20
/
4
3
2
1
1
8
7
6
5
4
1
0
9
8
7
/1 0/1 0/1 0/2 0/2 0/2 0/2 0/2 0/2 0/2 0/3 11/ 11/ 11/ 11/
1
1
1
1
1
1
1
1
1
1
10
Date
2.02
25
Date
BI Desktop
AA - PxPower
Talk
Summary
Price Talk Range
Price Talk Range (Yield)
High Px Talk (Median)
Mid Px Talk (Median)
Low Px Talk (Median)
Median of High Yield Talk
Median of Mid Yield Talk
Median of Low Yield Talk
98.00
8.00
Percent
96.00
94.24
94.00
92.00
7.49
7.50
7.00
2
2
2
2
2
2
2
2
2
2
2
2
02
02
02
02
02
02
02
02
02
02
02
02
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
4
3
2
1
1
8
7
6
5
4
9
7
/
/
/
/
/3
/2
/2
/2
/2
/2
/1
/1
11
11
11
11
10
10
10
10
10
10
10
10
/
10
20
/
17
22
/
19
/
10
22
20
22
20
/
24
/
10
/
10
22
20
/
25
/
26
/
10
22
20
22
20
/
27
/
10
/
10
BWIC Date
/
10
22
20
2
02
/2
1
1/
1
2
02
/2
2
1/
1
02
/2
3
1/
1
2
2
02
/2
4
1/
1
WAL (Median)
Px Talk - Mid DM (Median)
Px Talk - Low DM (Median)
6.00
Years
350
Basis Points
/
31
Date
Price Talk Range (DM)
Px Talk - High DM (Median)
22
20
/
28
307
300
2
02
2
02
2
02
2
02
22
20
Date
4.00
2.00
22
22
22
22
22
22
20
20
20
20
20
20
2
2
2
2
2
/
/
/
/
/
/
/
/
/
/
/
/
1
8
7
6
5
4
9
7
/4
/3
/2
/1
/3
/2
/2
/2
/2
/2
/1
/1
11
11
11
11
10
10
10
10
10
10
10
10
2
02
4.58
/1
10
26
2
02
2
7/
/1
10
2
02
2
9/
/2
10
2
02
2
4/
/2
10
02
2
5/
2
/2
10
2
02
2
6/
/2
10
2
02
2
7/
/2
10
02
2
8/
2
/3
10
Date
2
02
2
1/
/
11
2
02
2
1/
/
11
2
02
2
2/
/
11
02
2
3/
2
/
11
2
02
2
4/
Power BI Desktop
A - Px Talk
Summary
Price Talk Range
Price Talk Range (Yield)
High Px Talk (Median)
Mid Px Talk (Median)
Low Px Talk (Median)
Median of High Yield Talk
96.00
Median of Mid Yield Talk
Median of Low Yield Talk
11.00
10.00
Percent
94.00
92.00
9.00
8.00
90.00
22
20
9/
/1
10
10
20
/
21
/
22
/
10
/
24
22
20
10
22
20
/
25
/
2
2
2
2
2
2
02
02
02
02
02
02
/2
/2
/2
/2
/2
/2
4
3
1
8
7
6
/
/
/
/2
/2
/2
11
11
11
10
10
10
/
10
22
20
/
19
22
20
/
21
/
10
/
24
/
10
22
20
/
10
22
20
/
25
/
26
/
10
22
20
/
10
BWIC Date
22
20
/
27
/
28
/
10
22
20
1
1/
1
2
02
/2
1
/2
3
1/
2
02
2
02
/2
4
1/
1
Date
Price Talk Range (DM)
WAL (Median)
Px Talk - High DM (Median)
Px Talk - Mid DM (Median)
6.00
Px Talk - Low DM (Median)
600
500
Years
Basis Points
5.00
4.00
400
3.00
300
/1
10
2
9/
2
02
10
/2
2
1/
2
02
/2
10
2
4/
02
2
/2
10
02
2
5/
22
22
22
22
22
22
20
20
20
20
20
20
/
/
/
/
/
/
8
7
6
/4
/3
/1
/2
/2
/2
11
11
11
10
10
10
2
Date
/1
2
9/
10
27
2
02
/2
10
2
02
2
1/
/2
10
2
02
2
4/
/2
10
2
02
2
5/
/2
10
2
02
2
6/
/2
10
2
02
2
7/
Date
/2
10
2
02
2
8/
/
11
2
02
2
1/
11
/
2
3/
2
02
/
11
2
02
2
4/
BI Desktop
BBB - PxPower
Talk
Summary
Price Talk Range
High Px Talk (Median)
Price Talk Range (Yield)
Mid Px Talk (Median)
Low Px Talk (Median)
Median of High Yield Talk
Median of Mid Yield Talk
Median of Low Yield Talk
14.00
90.00
Percent
86.31
85.00
12.00
10.77
10.00
80.00
2
2
2
2
2
2
2
2
2
2
2
2
2
2
02
02
02
02
02
02
02
02
02
02
02
02
02
02
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
4
3
2
1
1
8
7
6
5
4
1
0
9
8
/
/
/
/
/3
/2
/2
/2
/2
/2
/2
/2
/1
/1
11
11
11
11
10
10
10
10
10
10
10
10
10
10
10
2
2
2
2
2
2
2
2
2
2
2
2
2
22
02
02
02
02
02
02
02
02
02
02
02
02
02
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
4
3
2
1
1
8
7
6
5
4
1
0
9
/
/
/
/
/3
/2
/2
/2
/2
/2
/2
/2
/1
11
11
11
11
10
10
10
10
10
10
10
10
10
20
/
18
/
Date
BWIC Date
Price Talk Range (DM)
Px Talk - High DM (Median)
WAL (Median)
Px Talk - Mid DM (Median)
Px Talk - Low DM (Median)
8.00
Years
Basis Points
1,000
800
642
6.00 5.56
600
4.00
22
22
22
22
22
22
22
22
22
22
22
22
22
22
20
20
20
20
20
20
20
20
20
20
20
20
20
20
/
/
/
/
/
/
/
/
/
/
/
/
/
/
1
8
7
6
5
4
1
0
9
8
/4
/3
/2
/1
/3
/2
/2
/2
/2
/2
/2
/2
/1
/1
11
11
11
11
10
10
10
10
10
10
10
10
10
10
Date
10
28
/1
2
8/
2
02
/1
10
2
02
2
9/
/2
10
2
02
2
0/
/2
10
02
2
1/
2
/2
10
2
02
2
4/
/2
10
2
02
2
5/
/2
10
2
02
2
6/
/2
10
2
02
2
7/
/2
10
Date
2
02
2
8/
/3
10
2
02
2
1/
11
/
2
02
2
1/
/
11
2
02
2
2/
/
11
2
02
2
3/
/
11
2
02
2
4/
BI Desktop
BB - Px Power
Talk
Summary
Price Talk Range
High Px Talk (Median)
Price Talk Range (Yield)
Mid Px Talk (Median)
Low Px Talk (Median)
Median of High Yield Talk
Median of Mid Yield Talk
Median of Low Yield Talk
20.00
Percent
85.00
81.66
80.00
2
02
2
02
2
02
2
02
16.00 15.29
14.00
2
2
2
2
2
2
2
2
02
02
02
02
02
02
02
02
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
4
3
2
1
1
8
7
6
5
4
1
0
9
8
/
/
/
/
/3
/2
/2
/2
/2
/2
/2
/2
/1
/1
11
11
11
11
10
10
10
10
10
10
10
10
10
10
2
02
18.00
2
02
10
2
2
2
2
2
2
2
2
2
2
2
2
2
22
02
02
02
02
02
02
02
02
02
02
02
02
02
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
4
3
2
1
1
8
7
6
5
4
1
0
9
/
/
/
/
/3
/2
/2
/2
/2
/2
/2
/2
/1
11
11
11
11
10
10
10
10
10
10
10
10
10
20
/
18
/
Date
BWIC Date
Price Talk Range (DM)
Px Talk - High DM (Median)
WAL (Median)
Px Talk - Mid DM (Median)
7.00
Px Talk - Low DM (Median)
6.00
6.03
Years
Basis Points
1,400
1,200
5.00
1,069
1,000
4.00
22
22
22
22
22
22
22
22
22
22
22
22
22
22
20
20
20
20
20
20
20
20
20
20
20
20
20
20
/
/
/
/
/
/
/
/
/
/
/
/
/
/
1
8
7
6
5
4
1
0
9
8
/4
/3
/2
/1
/3
/2
/2
/2
/2
/2
/2
/2
/1
/1
11
11
11
11
10
10
10
10
10
10
10
10
10
10
Date
10
29
/1
2
8/
2
02
/1
10
2
02
2
9/
/2
10
2
02
2
0/
/2
10
02
2
1/
2
/2
10
2
02
2
4/
/2
10
2
02
2
5/
/2
10
2
02
2
6/
/2
10
2
02
2
7/
/2
10
Date
2
02
2
8/
/3
10
2
02
2
1/
11
/
2
02
2
1/
/
11
2
02
2
2/
/
11
2
02
2
3/
/
11
2
02
2
4/
Power BI Desktop
B - Px Talk
Summary
Price Talk Range
Price Talk Range (Yield)
80.00
25.00
75.00
20.00 19.41
Percent
71.50
70.00
65.00
15.00
10.00
60.00
10/20/2022
10/25/2022
10/26/2022
11/1/2022
5.00
11/3/2022
10/20/2022
10/25/2022
BWIC Date
11/1/2022
11/3/2022
7.00
1,472
6.50
Years
Basis Points
11/3/2022
WAL (Median)
2,000
1,000
500
0
11/1/2022
Date
Price Talk Range (DM)
1,500
10/26/2022
6.03
6.00
5.50
10/20/2022
10/25/2022
10/26/2022
Date
11/1/2022
11/3/2022
5.00
30
10/20/2022
10/25/2022
10/26/2022
Date
Power BI Desktop
Cover
Px Ranges
Cover Price Range
100.00
95.00
90.00
85.00
80.00
75.00
70.00
65.00
60.00
55.00
50.00
AAA
Jr AAA
AA
A
30.00
2,200
28.00
2,000
26.00
1,800
24.00
B
22.00
1,600
1,400
1,200
1,000
20.00
18.00
16.00
14.00
800
12.00
600
10.00
400
8.00
200
6.00
0
BB
Cover Price Range (Yield)
2,400
Percent
Basis Points
Cover Price Range (DM)
BBB
B
BB
BBB
A
AA
Jr AAA
AAA
4.00
31
B
BB
BBB
A
Jr AAA
AAA
AA
Power BI Desktop
AAA - Cover
Px Summary
Cover Price Range
Cover Price Range (Yield)
98.00
7.50
Percent
97.13
97.00
7.07
7.00
96.00
2
2
2
2
2
2
2
2
2
2
2
22
02
02
02
02
02
02
02
02
02
02
02
20
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
9
1
4
5
6
7
1
1
2
3
4
/
/
/
/
/1
/2
/2
/2
/2
/2
/3
11
11
11
11
10
10
10
10
10
10
10
/
17
0/
1
/
10
20
/
17
22
/
19
/
10
22
20
22
20
/
21
/
10
/
10
22
20
/
24
/
25
/
10
22
20
22
20
/
26
/
10
/
10
/
10
22
20
2
02
/2
1
1/
1
2
02
/2
2
1/
1
02
/2
3
1/
1
2
2
02
/2
4
1/
1
WAL (Median)
300
5.00
4.00
250
Years
Basis Points
/
31
Date
BWIC Date
Cover Price Range (DM)
22
20
/
27
236
3.00
2.17
2.00
200
2
02
2
02
2
02
2
02
2
02
1.00
22
20
22
22
22
22
22
22
2
2
2
2
2
20
20
20
20
20
20
/
/
/
/
/
/
/
/
/
/
/
/
7
9
1
4
5
6
7
1
/1
/2
/3
/4
/1
/1
/2
/2
/2
/2
/2
/3
11
11
11
11
10
10
10
10
10
10
10
10
Date
/1
10
32
2
02
2
7/
/1
10
2
02
2
9/
/2
10
2
02
2
1/
/2
10
02
2
4/
2
/2
10
2
02
2
5/
/2
10
2
02
2
6/
/2
10
02
2
7/
2
/3
10
Date
2
02
2
1/
/
11
2
02
2
1/
/
11
2
02
2
2/
/
11
02
2
3/
2
/
11
2
02
2
4/
Power BI Desktop
AA - Cover
Px Summary
Cover Price Range
Cover Price Range (Yield)
8.00
94.00
Percent
96.00
93.90
7.50
7.20
92.00
/2
25
2
02
/
10
/
10
/
26
2
02
2
10
2
/
27
/
2
02
22
20
1/
/
11
2
02
/2
/2
11
22
20
3/
/
11
7.00
22
20
4/
/
11
/
25
/
10
22
20
/
10
22
20
/
26
/
10
22
20
/
27
1
1/
1
2
02
/2
1
BWIC Date
2
02
/2
2
1/
2
02
/2
3
1/
1
1
2
02
/2
4
1/
Date
Cover Price Range (DM)
WAL (Median)
Years
Basis Points
6.00
350
300 289
2
/
10
4.00
2
02
2
5/
4.99
5.00
10
/2
2
6/
2
02
10
/2
2
7/
2
02
22
20
/
/1
11
Date
22
20
/
/2
11
/
/3
11
22
20
3.00
22
20
/
/4
11
/2
10
33
2
02
2
5/
10
/2
2
6/
2
02
/2
10
02
2
7/
2
/
11
2
02
2
1/
/
11
Date
2
02
2
2/
/
11
2
02
2
3/
/
11
2
02
2
4/
Power BI Desktop
A - Cover
Px Summary
Cover Price Range
Cover Price Range (Yield)
93.00
9.50
Percent
92.00
91.54
9.00
91.00
8.50
90.00
10/26/2022
10/27/2022
11/3/2022
11/4/2022
8.34
10/26/2022
10/27/2022
11/4/2022
11/3/2022
11/4/2022
Date
BWIC Date
Cover Price Range (DM)
WAL (Median)
550
6.00
500
5.50
5.17
Years
Basis Points
11/3/2022
450
5.00
409
400
350
4.50
10/26/2022
10/27/2022
11/3/2022
Date
11/4/2022
4.00
34
10/26/2022
10/27/2022
Date
Power BI Desktop
BBB - Cover
Px Summary
Cover Price Range
Cover Price Range (Yield)
12.00
90.00
Percent
87.35
85.00
11.00
10.35
10.00
9.00
2
2
2
2
2
2
2
2
2
2
2
2
02
02
02
02
02
02
02
02
02
02
02
02
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
8
9
0
1
4
5
6
7
1
2
3
4
/
/
/
/
/1
/1
/2
/2
/2
/2
/2
/2
11
11
11
11
10
10
10
10
10
10
10
10
/
10
20
/
18
22
/
19
/
10
22
20
22
20
/
20
/
10
/
10
22
20
/
21
/
24
/
10
22
20
22
20
/
25
/
10
/
10
BWIC Date
Cover Price Range (DM)
22
20
/
26
/
27
/
10
22
20
2
02
/2
1
1/
1
2
02
/2
2
1/
1
02
/2
3
1/
1
2
2
02
/2
4
1/
1
Date
WAL (Median)
800
700
600
Years
Basis Points
8.00
600
6.00 5.67
4.00
500
22
22
22
22
22
22
22
22
22
22
22
22
20
20
20
20
20
20
20
20
20
20
20
20
/
/
/
/
/
/
/
/
/
/
/
/
8
9
0
1
4
5
6
7
/1
/2
/3
/4
/1
/1
/2
/2
/2
/2
/2
/2
11
11
11
11
10
10
10
10
10
10
10
10
Date
/1
10
35
2
02
2
8/
/1
10
2
02
2
9/
/2
10
2
02
2
0/
/2
10
02
2
1/
2
/2
10
2
02
2
4/
/2
10
2
02
2
5/
/2
10
02
2
6/
2
/2
10
Date
2
02
2
7/
/
11
2
02
2
1/
/
11
2
02
2
2/
/
11
02
2
3/
2
/
11
2
02
2
4/
Power BI Desktop
BB - Cover
Px Summary
Cover Price Range
Cover Price Range (Yield)
16.00
Percent
85.00
82.12
15.03
15.00
14.00
80.00
13.00
2
2
2
2
2
2
2
2
2
2
2
2
02
02
02
02
02
02
02
02
02
02
02
02
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
/2
8
9
0
1
4
5
6
7
1
1
2
4
/
/
/
/1
/1
/2
/2
/2
/2
/2
/2
/3
11
11
11
10
10
10
10
10
10
10
10
10
/
10
20
/
18
22
/
19
/
10
22
20
22
20
/
20
/
10
/
10
22
20
/
21
/
24
/
10
22
20
22
20
/
25
/
10
/
10
BWIC Date
Cover Price Range (DM)
/
27
/
10
22
20
22
20
/
31
/
10
2
02
/2
1
1/
1
02
/2
2
1/
1
2
2
02
/2
4
1/
1
Date
WAL (Median)
1,100
7.00
1,049
Years
Basis Points
22
20
/
26
1,000
900
2
02
2
02
2
02
2
02
2
02
5.00
22
20
22
22
22
22
22
22
2
2
2
2
2
20
20
20
20
20
20
/
/
/
/
/
/
/
/
/
/
/
/
8
9
0
1
4
5
6
7
1
/1
/2
/4
/1
/1
/2
/2
/2
/2
/2
/2
/3
11
11
11
10
10
10
10
10
10
10
10
10
Date
5.96
6.00
/1
10
36
2
02
2
8/
/1
10
2
02
2
9/
/2
10
2
02
2
0/
/2
10
02
2
1/
2
/2
10
2
02
2
4/
/2
10
2
02
2
5/
/2
10
02
2
6/
2
/2
10
Date
2
02
2
7/
/3
10
2
02
2
1/
/
11
2
02
2
1/
/
11
02
2
2/
2
/
11
2
02
2
4/
Power BI Desktop
Appendix:
Cover Px Data
Power BI Desktop
WAL and Cover Px (DM) by Ticker - AAA
WINDR 2014-2A AR
JTWN 2018-6RA A1
STCR 2014-1RA A
280
STCR 2016-1A AR
OZLM 2017-17A A1
OCTR 2014-5A ARR
APID 2015-22A A1R
GALXY 2013-15A ARR
260
VENTR 2014-17A ARR
BABSN 2015-IA AR
APID 2017-27A A1R CIFC 2018-1A A
KKR 2013-1A A1R
ATCLO 2018-10A A
DM
DRSLF 2013-26A ARCIFC 2017-5A A1
240
AMMC 2016-18A AR
DWOLF 2017-1A AR
ATRM 13A A1
CIFC 2018-2A A1
EATON 2019-1A AR
TIA 2018-1A A1A
SPEAK 2018-5A A
OCT15 2013-1A A1RR
ARES 2016-40A A1RR
MDPK 2017-25A A1R
ROCKT 2019-1A AR
SYMP 2014-15A AR3
OAKC 2015-11A A1R
DRSLF 2013-30A AR
220
BSP 2018-16A A1R
BLUEM 2016-2A A1R2
NMC CLO-1A AR
CIFC 2021-1A A1
HLM 10A-16 A1RR
CEDF 2021-14A A
OCT14 2012-1A AARR
HLSY 2021-4A A
ROCKT 2021-1A A1
PLMRS 2020-3A A1AR
REG12 2019-1A AR
RSRVA 2016-3A ARR
GLM 2020-8A AR
AIMCO 2020-11A AR
OAKC 2020-6A AR CYGPK 2020-1A AR
PCEPK 2021-1A A
APID 2021-35A A
OAKC 2021-10A A
200
1
2
3
4
WAL
5
Power BI Desktop
WAL and Cover Px (Spread) by Ticker - AA
380
VENTR 2018-32A B
360
OAKCL 2018-1A A2
340
MP11 2017-2A B
320
DM
OZLM 2019-23A B1R
MORGN 2019-4A BR
300
REG15 2018-4A A2
OAKC 2015-12A BR
DRSLF 2014-36A BR3
280
MDPK 2019-35A BR
OHALF 2015-1A BR3
GSM 2021-IIIA A2
ELM12 2021-5A B
APID 2021-37A B
OAKC 2015-11A BR
MAGNE 2015-15A BR
HLM 14A-19 BR
GLM 2020-8A BR
CIFC 2021-3A B
CIFC 2021-2A B
NEUB 2020-38A BR
260
240
FLAT 2017-1A BR
3
4
5
WAL
6
7
Power BI Desktop
WAL and Cover Px (DM) by Ticker - A
500
SRANC 2020-8A CN
WOODS 2018-14BA C
SNDPT 2013-1A A3R
450
DM
BSP 2015-8A BR
WELF 2019-1A BR
DRSLF 2013-26A CR
ALLEG 2018-3A C
400
RRAM 2018-3A BR2
BCC 2021-2A C
CIFC 2013-3RA B
GNRT 2A CR
REG11 2018-1A C1
STHWK 2019-4A CR
BCC 2020-3A CR
TICP 2017-8A BR
350
4.00
5.00
6.00
WAL
7.00
8.00
Power BI Desktop
WAL and Cover Px (DM) by Ticker - BBB
MP10 2017-1X D
MP12 2018-1A D
800
STCR 2014-1RA D
BLACK 2017-1A C
700
BLUEM 2017-1X D
VOYA 2018-2X D
WELF 2015-1A DR4
ARES 2017-45X D
ARES 2015-4X CR
CGMS 2016-4A CR
VOYA 2018-3X D
ARES 2018-48X D
LNGPT 2017-1X C
WELF 2018-3A C
ATRM 12A DR
DM
OCTLF 2014-1A DRR
JTWN 2021-16A D
DRSLF 2018-61A DR
DWOLF 2017-1A DR
CANYC 2016-1A DR
600
DCRK 2017-1A D
BABSN 2017-1A D
YCLO 2014-1A DRR
CGMS C17A CR
AMMC 2018-22A D
CIFC 2012-2RA C
PARL 2020-1A CR
MDPK 2018-31X D
OAKC 2017-14A D
MDPK 2014-14A DRR
500
VENTR 2017-28AA DR
OAKC 2014-10RA D2R
SPEAK 2014-1A DR3
BCC 2021-6A D
GLM 2020-7A DR
MDPK 2020-45A DR
MAGNE 2020-28A DR
BCC 2021-7A D
BABSN 2021-2A D
CEDF 2018-7A D CIFC 2019-1A DR
AIMCO 2019-10A DR
OAKC 2014-10RA D1R
NEUB 2015-20A DRR
OAKC 2016-13A DR
MAGNE 2021-31A D
400
SYMP 2016-17A DR
2.00
3.00
4.00
5.00
6.00
WAL
7.00
8.00
9.00
Power BI Desktop
WAL and Cover Px (DM) by Ticker - BB
ATCLO 2018-11A E
1,600
1,400
AWPT 2018-9A E
OCP 2014-6A DR
BATLN 2015-8A D1R2
DM
HLM 3A-2014 DR
1,200
ARES 2017-42A E
CIFC 2012-2RA D
1,000
MAGNE 2015-16A ER
800
3.00
AMMC 2017-21A E
CIFC 2013-1A DR
OAKCL 2018-1A D
HLM 2013-2A DR
ATRM 9A ER ANCHC 2019-11A E
ARES 2015-4A DR
BATLN 2021-21A E
ANCHC 2021-17A E
ANCHC 2020-16A ER
APID 2013-15A ERR KKR 23 E
ANCHC 2013-1A DR
ANCHC 2016-9A ER2
APID 2017-28A D
MDPK 2013-11A ER
ALM 2020-1A D
CIFC 2021-4A E SYMP 2019-21A ER
BALLY
2019-2A
DR
SNDPT 2015-1RA D2R
APID 2015-23A ER
PCEPK 2021-1A E
APID 2019-32A E DRSLF 2021-93A E
GLM 2019-4A E
NEUB 2017-26A E
NIAPK 2019-1A ER
FLAT 2017-1A ER
MAGNE 2021-29A E
NEUB 2021-40A E
SSTAT 2021-1A E1
ELM10 2021-3A E
MAGNE 2012-7A DR2
MAGNE 2018-20A E
4.00
5.00
6.00
7.00
WAL
ARES 2019-51A ER
ANCHC 2020-15A ER
KKR 26 ER
FCBSL 2021-3A E
SYMP 2021-25A E
TICP 2019-13A ER
REGT7 2016-1A ER2
ARES 2020-55A ER
RAD 2021-10A E
8.00
NEUB 2021-44A E
9.00
10.00
Power BI Desktop
Reinvestment Period and Cover Px (DM) by Ticker - AAA
JTWN 2018-6RA A1
STCR 2014-1RA A
280
OZLM 2017-17A A1
STCR 2016-1A AR
OCTR 2014-5A ARR
260
APID 2015-22A A1R
BABSN 2015-IA AR
VENTR 2014-17A ARR
APID 2017-27A A1R
ATCLO 2018-10A A
CIFC 2018-1A A
AMMC 2016-18A AR
BSP 2018-16A A1R
DM
CIFC 2018-2A A1
240
CIFC 2017-5A A1
ATRM 13A A1
ARES 2016-40A A1RR
MDPK 2017-25A A1R
EATON 2019-1A AR
TIA 2018-1A A1A
SPEAK 2018-5A A
ROCKT 2019-1A AR
SYMP 2014-15A AR3
OAKC 2015-11A A1R
DRSLF 2013-30A AR
220
HLSY 2021-4A A
BLUEM 2016-2A A1R2
NMC CLO-1A AR
CIFC 2021-1A A1
OCT14 2012-1A AARR
HLM 10A-16 A1RR
CEDF 2021-14A A
ROCKT 2021-1A A1
PLMRS 2020-3A A1AR
REG12 2019-1A AR
RSRVA 2016-3A ARR
GLM 2020-8A AR
AIMCO
2020-11A AR
OAKC 2020-6A AR
CYGPK 2020-1A AR
PCEPK 2021-1A A
APID 2021-35A A
OAKC 2021-10A A
200
0.00
1.00
2.00
Reinvestment Period (Years Remaining)
3.00
4.00
Power BI Desktop
Reinvestment Period and Cover Px (DM) by Ticker - AA
380
VENTR 2018-32A B
360
OAKCL 2018-1A A2
340
MP11 2017-2A B
320
OZLM 2019-23A B1R
DM
MORGN 2019-4A BR
300
REG15 2018-4A A2
OAKC 2015-12A BR
280
MDPK 2019-35A BR
DRSLF 2014-36A BR3
GSM 2021-IIIA A2
OAKC 2015-11A BR
MAGNE 2015-15A BR
HLM 14A-19 BR
ELM12 2021-5A B
OHALF 2015-1A BR3
APID 2021-37A B
CIFC 2021-3A B
CIFC 2021-2A B
NEUB 2020-38A BR
GLM 2020-8A BR
260
FLAT 2017-1A BR
240
0.00
1.00
2.00
Reinvestment Period (Years Remaining)
3.00
4.00
Power BI Desktop
Reinvestment Period and Cover Px (DM) by Ticker - A
500
SRANC 2020-8A CN
WOODS 2018-14BA C
SNDPT 2013-1A A3R
450
DM
BSP 2015-8A BR
WELF 2019-1A BR
DRSLF 2013-26A CR
400
RRAM 2018-3A BR2
ALLEG 2018-3A C
BCC 2021-2A C
GNRT 2A CR
CIFC 2013-3RA B
BCC 2020-3A CR
STHWK 2019-4A CR
REG11 2018-1A C1
TICP 2017-8A BR
350
0.00
1.00
2.00
Reinvestment Period (Years Remaining)
3.00
4.00
Power BI Desktop
Reinvestment Period and Cover Px (DM) by Ticker - BBB
MP10 2017-1X D
MP12 2018-1A D
800
STCR 2014-1RA D
BLACK 2017-1A C
BLUEM 2017-1X D
700
WELF 2015-1A DR4
ARES 2017-45X D
ARES 2015-4X CR
VOYA 2018-2X D
VOYA 2018-3X D
ARES 2018-48X D
OCTLF 2014-1A DRR WELF 2018-3A C
VENTR 2017-28AA DR
JTWN 2021-16A D
OAKC 2014-10RA D2R
DM
ATRM 12A DR
DRSLF 2018-61A DR
CANYC 2016-1A DR
DRSLF 2018-60A D
CGMS C17A CR
KKR 23X D
AMMC 2018-22A D
MDPK 2018-31X D
600
OAKC 2017-14A D
CIFC 2012-2RA C
OAKC 2018-1A D
SPEAK 2014-1A DR3
VERDE 2019-1A DR
BCC 2021-6A D
GLM 2020-7A DR
MDPK 2014-14A DRR
MDPK 2020-45A DR
BABSN 2021-2A D
CIFC 2019-1A DR
CEDF 2018-7A D
500
PARL 2020-1A CR
AIMCO 2019-10A DR
BCC 2021-7A D
MAGNE 2020-28A DR
NEUB 2015-20A DRR
OAKC 2016-13A DR
OAKC 2014-10RA D1R
MAGNE 2021-31A D
400
SYMP 2016-17A DR
0.00
1.00
2.00
Reinvestment Period (Years Remaining)
3.00
4.00
Power BI Desktop
Reinvestment Period and Cover Px (DM) by Ticker - BB
ATCLO 2018-11A E
1,600
1,400
AWPT 2018-9A E
OCP 2014-6A DR
BATLN 2015-8A D1R2
DM
AMMC 2017-21A E
CIFC 2013-1A DR
1,200
HLM 2013-2A DR
ANCHC 2013-1A DR
ALM 2020-1A D
APID 2017-28A D
1,000
OAKCL 2018-1A D
ARES 2015-4A DR
ATRM 9A ER APID 2013-15A ERR
REG14 2018-3A E
FCBSL 2018-1A ER
RAD 2018-1A E KKR 23 E
GRNPK 2018-1A E
SSTAT 2021-1A E1
ANCHC 2021-17A E
RAD 2019-5A E
ARES 2019-51A ER
ANCHC 2020-15A ER
ANCHC 2016-9A ER2
NIAPK 2019-1A ER
MAGNE 2021-29A E
APID 2015-23A ER
SYMP 2021-25A E
APID 2019-32A E
SYMP 2021-29A E
TICP 2019-13A ER
GLM 2019-4A E
NEUB 2021-40A E
1.00
FCBSL 2021-3A E
DRSLF 2021-93A E
SYMP 2019-21A ER GLM 2019-5A E
MAGNE 2012-7A DR2 MAGNE 2018-20A E
MAGNE 2015-16A ER
800
0.00
ANCHC 2019-11A E
CIFC 2021-4A E
CIFC 2018-1A E
NEUB 2017-26A E
FLAT 2017-1A ER
BATLN 2021-21A E
2.00
Reinvestment Period (Years Remaining)
3.00
KKR 26 ER
PCEPK 2021-1A E
REGT7 2016-1A ER2
ARES 2020-55A ER
RAD 2021-10A E
ELM10 2021-3A E
ANCHC 2020-16A ER
NEUB 2021-44A E
4.00
Power BI Desktop
Appendix:
Collateral Manager Stats
Power BI Desktop
Median of Cover DM by Collateral Manager - AAA
300
250
288 286
281 279
276 276
267
262 262
252 252 251 251 250
248 247 245
241 239
237 235 235 235
233 231 230 230
227 227 227 224
222 219
237
215 213 212
210 207
205
Basis Points
200
150
100
50
0
t
c
P
P
P
P
P
C
C
C
C
C
C
C
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Collateral Manager
Power BI Desktop
Median of Cover DM by Collateral Manager - AA
369
347
350
332
318
300
312
302
295
295
293
291
289
284
292
278
275
270
270
269
246
Basis Points
250
200
150
100
50
0
MJX
Venture
Manage…
II LLC
Oaktree
Capital
Manage…
Ltd
Marble
Point CLO
Manage…
LLC
Och Ziff
Morgan
Napier
Credit
Loan
Stanley Park Global
Suisse
Manage… Investment Capital LLC
Asset
LP
Manage…
Manage…
Inc
LLC
Meridian
Credit
Manage…
LLC
Oak Hill
Advisors
LLP
Elmwood CVC Credit
Asset
Partners
Manage…
LLC
LLC
Collateral Manager
PGIM Ltd
BlackRock
HPS
CIFC Asset GoldenTree Neuberger
Financial Investment Manage…
Loan
Berman
Manage…
Partners
LLC
Manage… Investment
Inc
CLO LLC
LP
Advisers
LLC
NYL
Investors
LLC
Power BI Desktop
Median of Cover DM by Collateral Manager - A
500
503
464
456
438
429
417
399
Basis Points
400
399
399
374
373
370
369
Bain Capital
Credit, LP
Generate
Advisors, LLC
GSO
Blackstone
Debt Funds
Management
LLC
365
357
300
200
100
0
Saranac
Advisory Ltd
Angelo,
Sound Point
Gordon & Co.,
Capital
L.P.
Management
LP
Benefit Street
Wellfleet
Partners LLC Credit Partners
LLC
PGIM Ltd
AXA
Investment
Managers
Redding Ridge CIFC Asset
Asset
Management
Management
LLC
LLC
Collateral Manager
Regatta Loan TICP CLO VIII
Management Management,
LLC
LLC
Power BI Desktop
Median of Cover DM by Collateral Manager - BBB
842
800
764
758
747
697
695
678
678
676
658
657
654
653
613
Basis Points
600
611
598
596
585
584
580
400
579
571
567
567
561
560
557
585
550
526
521
505
500
500
473
375
200
0
.
t
P
C
C
C
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Power BI Desktop
Appendix:
Correlations
Power BI Desktop
DM (Spread) Correlations - AAA
Power BI Desktop
DM (Spread) Correlations - AA
Power BI Desktop
DM (Spread) Correlations - A
Power BI Desktop
DM (Spread) Correlations - BBB
Power BI Desktop
DM (Spread) Correlations - BB
BI Desktop
FINRAPower
Trace
Metrics
IG Intermediation
Year
Year
IG Trades ($000s)
IG Trades ($000s) by Month and Year
2020
2021
20M
2022
18M
15M
13M
10M
14M
9,860,557
2022
1.6
1.4
12M
9M
1.40
10M
2021
1.60
17M
13M
2020
1.5
1.5
1.5
1.5
ry
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Non-IG Intermediation
Year
Year
2022
10M
Non-IG Trades ($000s)
st
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Au
r
be
em
t
p
Se
r
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er
be
mb
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to
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c
c
v
O
De
No
Month
Non-IG Trades ($000s) by Month and Year
2021
ly
Ju
ne
Ju
Month
2020
1.6
1.4
8M
0M
1.5
2020
2021
2022
1.80
1.8
1.7
6.4M
5M 4,367,450
5.0M
3.2M
3.7M
3.9M
4.0M
3.0M
3.1M
0M
ry
ry
ua
ua
br
Jan
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F
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Power BI Desktop
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