Structured Credit Investor SCI’s 5th Annual Capital Relief Trades Seminar 17 October 2019, London
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Market Commentary


Market Commentaries

Daily BWIC Trading Commentaries on USD & Euro CLO BWIC and Euro ABS Trading. Indepth discussion pieces on which bonds and vintages are trading, plus prices and spreads. 


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  • 11 October 2019

    US CLO

    A quieter end to the week with 13 covers today – 2 x AAA, 2 x AA, 2 x A and 7 x BBB.  The >4y WAL AAAs traded in a 126dm-13...

    EUR CLO

    There are 6 x AAA CVRs and 1 x BB with disclosed prices today. The AAA spreads range from 122dm to 132dm. The tight end of the range is ...


  • 10 October 2019

    US CLO

    A busy day with 23 covers, all IG rated – 16 x AAA, 2 x AA and 5 x A rated.  The vast majority of the AAAs were shorter dated,...

    EUR/GBP ABS/RMBS

    Lots of ABS trades today. DAOT 5 (Driver Australia 5 – auto loans originated by Volkswagen Australia) traded in Classes A...


  • 9 October 2019

    US CLO

    18 covers today – 11 x AAA, 1 x AA, 1 x A, 5 x BB.  The AAAs were predominantly shorter dated whilst the longer dated >4y W...

    EUR CLO

    There are 9 EUR CLO Cvrs with disclosed prices; 4 x AA, 1 x A and 4 x BBB. The AAs traded between 199dm and 216dm. Two trades at 199dm w...


  • 8 October 2019

    US CLO

    A full house today, with AAA down to Equity trading – 13 x AAA, 4 x AA, 3 x A, 1 x BBB, 10 x BB and 2 x EQ.  The >4y WAL AA...

    EUR ABS/RMBS

    In ABS today STORM 2019-1 A (Dutch Prime RMBS originated by Obvion) traded at 102.20 / 13dm / 4.46yr at 7cpr / step up at the AAA l...


  • 7 October 2019

    US CLO

    A busy start to the week with 25 covers where we ran DMs – 10 x AAA, 1 x AA, 5 x A, 8 x BBB and 1 x BB rated.  The AAAs traded...


  • 4 October 2019

    US CLO

    A busy end to the week with 26 observed covers today right across the capital structure that SCI generated DMs on – 11 x AAAs, 3 x ...

    EUR CLO

    16 EUR CLO trades today. 11 x AAA ranging from 127dm to 198dm. The majority have a 130 handle. The widest trade here is OZLME 4A A2 whic...


  • 3 October 2019

    US CLO

    Today we observed 17 covers – 7 x AAA, 2 x BBB and 8 x BBs accounting for $17.7m of trades in aggregate.  The AAAs were a...

    EUR ABS/RMBS

    In ABS today PEPAU 18X A2 (AUD Non-conforming RMBS – Pepper Homeloans) has traded at the AAA level at 182dm / 1.73yr at 25cpr...


  • 2 October 2019

    US CLO

    An active day with 24 covers across most rating levels – 10 x AAA, 5 x A, 6 x BBB and 3 x BB.  The >4y WAL AAAs traded in a...

    EUR CLO

    10 EUR CLOs today with disclosed prices; 5 x BB and 5 x single B. The BBs traded in a range from 634dm to 670dm. At the tight end of the...


  • 1 October 2019

    US CLO

    20 covers today – 15 x AAA, 1 x BBB, 1 x BB and 3 x Equity.  The >4y WAL AAAs traded in a 117dm-125dm range which is in lin...

    EUR ABS/RMBS

    In ABS today we have TPMF 2019-GR4X C (Towd Point Granite 4). Prime UK mtges - loans were originated by Northern Rock which became ...


  • 30 September 2019

    US CLO

    A quiet start to the week with 2 covers today whilst a busier day lies ahead tomorrow with 6 US CLO lists readying as it stands.&nbs...


  • 27 September 2019

    US CLO

    The busiest day post summer today with 53 covers – 34 x AAA, 1 x single-A, 4 x BBB and 14 x BB rated.  The >4y WAL AAAs tra...

    EUR CLO

    Two AAA trades today. Both at very tight spreads but that is because they are very short. JUBIL 2015-15X AR (Alcentra) traded at 100.01 ...


  • 26 September 2019

    US CLO

    Multiple lists today contributed 50 covers with the DMs/Yields summary as follows – 17 x AAA, 11 x A, 7 x BBB, 14 x BB and 1 x...


  • 25 September 2019

    US CLO

    First full day back since ABS East saw 18 covers which were mostly high grade – 15 x AAA and 3 x BB rated.  The ABS East confe...

    EUR CLO

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


  • 24 September 2019


    EUR CLO

    There are 13 EUR CLOs with disclosed prices; 5 x AAA, 2 x AA, 3 x A & 3 x BBB. The AAAs mostly traded in a 118dm to 126dm range alth...


  • 23 September 2019


    EUR ABS/RMBS

    A few ABS trades today. VCL 28 A (German autos – Volkswagon) traded at 100.45 / 13dm / 1.06yr / 2cpr for a AAA bond. STORM 20...


  • 20 September 2019

    US CLO

    A strong end to the week with 31 covers today, we generated DMs on 17 x AAA, 4 x AA, 1 x BBB and 9 x BBs.  The AAAs >4y WAL trade...

    EUR CLO

    3 x AAA and 1 x AA today. The AAAs ranged from 130dm to 139dm (over unfloored Euribor). 130dm is TIKEH 4X A1 (Tikehau) which is a 4.7yr ...


  • 19 September 2019

    US CLO

    Another active day as we modelled 23 covers to DMs including 5 x AAA, 1 x AA, 1 x BBB and 17 x BBs.  Of the AAAs three are shorter d...

    EUR ABS/RMBS

    A lot of ABS/RMBS trades today. YOUNI 2019-1 F (Younited – French consumer loans) is single B rated and traded at 100.87 / 33...


  • 18 September 2019

    US CLO

    Today was the busiest day post summer with us generating 43 DMs off recorded covers right across the capital structure – 6 x AAA, 8...

    EUR CLO

    One AA and 3 equity trades with disclosed prices today. The AA is BABSE 2014-2X B1R which traded at 99.65 / 189dm / 5yr. For reference w...


  • 17 September 2019

    US CLO

    We saw 20 covers today and ran DMs on 9 x AAA, 2 x AA, 8 x BB and 1 x B rated.  >4y WAL AAAs last week traded around 129dm, this ...


  • 16 September 2019

    US CLO

    We saw 15 covers today across IG and Sub IG ratings from which we generated DMs (9 x AAAs, 1 x AA, 1 x BBB, 4 x BB).  The seven...


  • 13 September 2019

    US CLO

    11 x AAA covers today, the >4y WALs traded in a 106dm-145dm range as generated by SCI proprietary methodologies.  At the wide end...

    EUR CLO

    Just the one Euro CLO disclosed price today. CRWPK 1X C (Crosthwaite Park) traded at 100.50 / 455dm / 7.48yr for a Baa3. This deal has a...


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