AAA CLO

USD CLO AAA

With the holiday weekend behind us now we start to see a trickle of liquidity, 12 trades today across the stack, $65m of trading whilst US LL Index -7bp dod.  AAA trades continue to trade below par with bonds with coupons < 100bps and post reinvestment included in this cohort.  We maintain our AAA index at 112dm. 

Mezz/Equity CLO

USD CLO Mezz/Equity

At single-A there are 3 trades in a 184dm-206dm range, these bonds are post reinvestment and trend very close to par trading at a slight discount.  Our single-A index is 208dm which is more reflective of bonds within reinvestment and hence wider than the trades seen today, BSMC 2013-1A CR has a coupon of +180bps / EoRP 2020 and covers at 99.90 at 184dm / 2.7y WAL – ADR is high 2%, Sub80 2.7% but cushions are strong Jnr OC cushion 5.3% with MVOC 155.6 noting that the bond has been upgraded to Aa3.  At BBB there is one trade which is post reinvestment TRMPK 2015-1A DRR with a coupon +265bps and cover price 99.93 at 267dm / 3.5y WAL – metrics are strong all round hence the execution price near par despite the ‘lower coupon’ given the short wal.  Our BBB index is 326dm.  3 x BB trades in a 781dm-901dm range, these bonds have weaker credit (ADR 1.1%-2%, Sub80 1.7-5.4)and MV metrics (MVOC 104-106) with coupon structures 680dm-720dm from weaker managers (See PriceABS trade history).  At the wide end is VENTR 2016-25A E which is post reinvestment (EoRP 2021), coupon +720bps, ADR 1.5, Sub80 very high 5.4 and Jnr OC cushion 1.8 with a low MVOC 104.3 and CVR 93.89 at 901dm / 4.2y WAL.  Our BB index is 694dm which does highlight the impact weaker credits have at this point.

AAA CLO

EUR AAA CLO

Just a few trades to look at today. The three AAAs have all traded around 116dm, which is unchanged on recent levels. Cairn 7 is amortising and traded at M99h which seemed quite cheap to us given it has only 1.5yrs WAL left to mat.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Both AAs have traded LM97h which is around 260dm for both of them. These are the first single As we have seen trade on a bwic for a while and while a catch up in the widening that took place last week is definitely part of the picture it is hard to tell if there has been recent further widening.

The 2 x BBBs have traded around 380dm which we definitely think is another 10-15bps of further widening in the last day or two.

Mezz/Equity CLO

USD CLO Mezz/Equity

16 trades today, all mezz with a softer feel at AA, A and BB, US LL index -19bp dod.  3 x AA trades in a 165dm-191dm range, our AA index widens to 165dm as we observe the impact that softer loan prices are having on NAVs with tiering driven by MVOC, Blackrock’s MAGNE 2016-18A BR the pick of the trades at 99.58 at our index level 165dm / 3.1y WAL but this is post reinvestment and strong MVOC 130.3.  At single-A there is $39m of liquidity with 10 trades in a 210dm-301am range and a 1.5pt cash px dispersion, our single-A index is 209dm.  The trading range is distorted by a number of high coupon bonds as opposed to for credit reasons, the impact of softer loan prices impacts trades at this level too.  2 x BBB trades, RAD 2021-15A D covers at 99.16 at 319dm / 7y WAL which is close to our BBB index 326dm, whilst APID 2019-32A D covers nearer to par at 99.5 at 359dm / 7y WAL given a higher coupon +350bps.  1 x BB trade WELF 2019-1X D CVR 94h at 797dm / 7.3y WAL (Wellfleet) which has a coupon +690bps (close to our BB index 694dm) but also a mediocre MVOC 106.5 and manager record close to benchmark.

AAA CLO

EUR AAA CLO

There are 5 x AAA trades today. The market looks softer again with most trades taking place 2-3 bps wider than our model predicted. Barings 2014-2 and Avoca 11 are in amortisation. The average traded spread is 107dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

There is only one trade today at the BBB level.  US LL Index -7bp dod.  Blackstone's GILBT 2017-1A D covers 99.49 at 307dm / 5y WAL (EoRP 2022), which is close to our generic BBB index 327dm, credit metrics are clean and Jnr OC cushion is strong 4.4 whilst MVOC is healthy 113.

AAA CLO

EUR AAA CLO

There are 2 x AAA trades today. For the first time in several days there are signs of firmness in AAA levels. Barings Euro 2019-1 traded well at 99.96 / 118dm. Anchorage 2021-4 traded at 105dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The 4 x BBB trades have traded around 370dm. These are not much changed from recent levels.

Adagio 8 equity covered at 53.77. Its NAV is 47.90. The traded level is around 16.5% yield or alternatively is half way between a 13% cashflow value and the NAV. It’s a clean looking portfolio with a zero CCC bucket.

Mezz/Equity CLO

USD CLO Mezz/Equity

Around $100m of liquidity today as US LL Index bounces back +9bp dod, with trades all in the mezz category.  AA trades are all longer wal (EoRP 2026), with all trades at a discount to par and dm range 172dm-185dm for clean credits, high coupons from good managers.  A softer feel given the dm range and associated longer wal, we have seen spotty trading in this profile in recent weeks at the tighter end of today’s dm range.  Our AA index shifts to 163dm.  At single-A trading range is 196dm-223dm with our index in the middle of this range 209dm, GRNPK 2018-1A C sees weakest execution at 98.83 at 197dm / 4.7y WAL (EoRP 2023, +170bps coupon) driven acutely by the low coupon +170bps.  At the BBB level the trading range is 333dm-354dm with our BBB index 328dm, so a softer feel given the profiles of bonds are clean (judging by strong Jnr OC cushions and low ADRs) and not all long wal (all bonds trade at a discount). 

AAA CLO

EUR AAA CLO

There are 4 x AAA trades today. AAAs are still showing softness. The average traded spread is 100dm and that is inspite of Dryden 39 2015 and Contego 4 being in amortisation.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There is just one single A trade. Armada Euro 3 traded at 99.58 / 250dm.

AAA CLO

USD CLO AAA

$56m of liquidity across 12 trades today – AAA and BB.  US LL Index -29bps on the day, the loan market seeing signs of correcting and aligning with HY.  Given this the continued theme of AAAs trading at a small discount as opposed to par ceilings continues, 7 trades at a discount today and MVOC is the key driver to tiering as expected.  We maintain our AAA index at 112dm which was Friday’s close.

Mezz/Equity CLO

USD CLO Mezz/Equity

At the BB level there are some weaker bonds out on lists with all bonds with MVOC <105.5, ADRs elevated close to 1% for the main part and Jnr OC cushions < 3% for short wal bonds (EoRP 2022).  Execution levels are between cash price 92h and 97h with dm range 738dm-874dm so far higher than our BB index 691dm given the reasons mentioned and softer loan market feel. 

AAA CLO

EUR AAA CLO

Just 4 x AAA trades today. They are all in the MH99h area which is around 120dm. These price ranges are not precise enough to determine whether there has been further softening in AAA spreads.

AAA CLO

USD CLO AAA

23 trades to round out the week today with >$140m of liquidity, US LL Index -10bps change on the week.  A softer feel at the top of the stack with our AAA index finishing the week 112dm, whilst $113m of trades execute at a discount to par despite margin structures >+100bps and benchmark managers like CIFC and CVC. 

Mezz/Equity CLO

USD CLO Mezz/Equity

At single-A the trading range is 193dm-249dm with our single-A index 209dm, 2 trades hit their par ceilings with both trades post reinvestment bonds with coupons >+215bps.  At BBB there are $13m of trades in a 305dm-397dm range with our BBB index finishing the week 328dm, best execution is AWPT 2020-11X D1 at 99.27 at 397dm / 7.3y WAL – high coupon +385bps, long wal (EoRP 2025) and credit metrics clean with a strong Jnr OC cushion 5.1.

AAA CLO

EUR AAA CLO

A number of senior bonds traded today. There are 9 x AAA trades. AAA Spreads look softer again on the day to us, after a few days of consolidation. A lot of the bonds are amortising – these traded at an average spread of 107dm. The non-amortising bonds traded at 112dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 7 x AA trades. We only have price ranges that they traded in so it is hard to be precise but it does again look like the AA sector is softer by a few basis points. Using the middle of the price ranges the traded spreads are quite consistent at around 185dm.

AAA CLO

Mezz/Equity CLO

USD CLO Mezz/Equity

14 trades with $45m of liquidity today, US LL Index -3bps whilst BBB spreads continue to remain firm.  All 8 x debt trades are BBB rated, in a 303dm-411dm range.  2 trades that hit their par ceilings are driven keenly by their margin structure and wal, firstly a short dated ALLEG 2016-1A DR which is post reinvestment and carries a +380bps coupon covers 100.18 at 374dm / 4y WAL whilst BRDGS 2020-1A C covers 100.17 at 411dm / 8.1y WAL (EoRP 2026) with a high coupon +414bps (manager Franklin Sq).  In contrast a high coupon bond MP17 2020-1A D (+375bps) covers at 99.00 at 391dm / 7.3y WAL (EoRP 2025) but here the manager record is weaker to peers and appears to drive execution given credit/MV metrics are clean.  Our BBB index tightens to 332dm.

AAA CLO

EUR AAA CLO

Another busy day for EUR CLOs. Most of the activity is in BBBs but dealing with the AAA first – Sound Point 7 traded back at tighter levels (109dm) after the recent days softening. However there was only one AAA trade to look at.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 3 x AA trades – all of them fixed rate. These bonds most likely trade on a yield basis but still, for what it’s worth, expressed as a spread over Libor they traded at around +250.

The only single A, Phoenix Park, traded at 100h which makes it hard to say whether this is a retracement of recent widening or not.

There are 15 x BBB trades. These levels do not look, to us, to show any bounce back. They look like they are steady at the recent wider levels. Longer dated maturities are still showing weakness and bonds just around their NC date are also soft. Two of the bonds are from deals in amortisation – Richmond Park and Jubilee 2014-11. The range of traded spreads is from 300dm to 380dm with an average of 345dm.

AAA CLO

USD CLO AAA

46 trades today with almost $280m of liquidity, US LL Index is flat dod whilst liability spreads broadly flat with some mild tightening in BBB.  At AAA there are 8 trades with one hitting par ceiling CBAM 2018-6A A1R has a high coupon +127bps and covers at 126dm / 2.9y WAL (EoRP 2023) with CBAM’s manager record at benchmark levels and metrics on this bond reasonable.  In terms of the other trades that trade at a small discount, bond coupons are < +122bps from some benchmark managers with good bond performance and similar EoRP profiles to the CBAM bond so there is some shift to a higher coupon threshold at the AAA level.  Our AAA index is 111dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

11 x AA trades in a wide dispersion 152dm-216dm with no trades at par ceilings with those bonds with a margin <+150bps seeing weakest execution, our AA index is 158dm.  The wide end of the dm range is not due to credit but rather higher coupon bonds (+200-205 bps) with covers near par.  15 x single-A trades and just under $100m of notes changing hands, dm range 182dm-259dm whilst our single-A index shifts tighter to 206dm, 3 trades that hit their par ceilings have bond coupons > +200bps, strong MVOC 120+, low ADR and strong Jnr OC cushions 4.5+.  11 x BBB trades in a 294dm-350dm range with our BBB index shifting slightly tighter to 335dm.  5 bonds hit their par ceilings, bond coupons >+295bps and strong credit / MV metrics whilst those trades at the heaviest discounts have similar profiles in terms of term and margin but manager tiering is more pronounced, eg. TCW 2020-1A DRR covers at 99.28 at 350dm / 8.3y WAL (+340bps coupon, low ADR 0.4, low Sub80 0.2 and strong Jnr OC cushion 5.3) but the manager is inexperienced with a weaker record to peers.  Just one BB trade BATLN 2017-11A ER (EoRP 2026, margin +685bps) covers at a discount 98.77 at 704dm / 9.1y WAL – Sub80 balance is high at 3.5 whilst other metrics are broadly in line, this compares with our BB index 691dm.

AAA CLO

EUR AAA CLO

Another busy day of BWICs. AAAs are steady today, after yesterday’s widening. The range of DMs is from 105 to 119dm with the exception of Ares Euro 14 which traded at 133dm because of its high AAA margin of 112bps. Avoca 11 and Harvest 12 are amortising and have short WALs of 1.6yrs.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 5 x BBB trades. Our calibrations are still catching up with the widening that has taken place over the last few days meanwhile it appears BBBs are softer again on the day. Man GLG Euro 5 is the widest trade at 407dm. The rest are in the 350 to 380dm range.

AAA CLO

USD CLO AAA

44 trades today with $275m of liquidity across the stack, US LL Index -1bp dod.  The bulk of the supply is from AAA trades with $182m of trades with manager choice once again influencing execution levels with around 14 trades trading at a discount to par with reasonable performance.  Our AAA index shifts slightly tighter to 110dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

4 x AA trades in a 155dm-174dm range with our AA index at the tight end of this 158dm, MVOC and Jnr OC cushions influencing tiering here all things considered.  2 x single-A trades in a 195dm-196dm range with our A index flat dod at 207dm, coupons are lower on the two trades (+170-175bps) and cover prices are at a discount to par.  2 x BBB trades 380dm-388dm (our BBB index 340dm), high coupon bonds +360-395bps with CFIP 2013-1A DR (high coupon +395bps, manager CFI partners) covers at par ceiling at 388dm / 4y WAL with MV and credit metrics overall clean.  8 x BB trades in a 675dm-824dm range, with our BB index 690dm there is some dispersion in execution levels with no trades at par ceilings.  Weakest execution is OFSBS 2017-1A E CVR 90.25 at 808dm / 4.75y WAL – low MVOC 103.7, elevated Sub80 bucket 2.8, cuspy Jnr OC cushion 1.6 whilst the bond is post reinvestment and managed by OFS which is an inexperienced manager.

AAA CLO

EUR AAA CLO

A very busy day for EUR CLOs today. There are 8 x AAA trades. Even though AAAs have been issued at +92 some deals are being marketed wider eg the reset of Oak Hill 3 at 94-96 and this is reflected in secondary levels today. AAAs are wider by up to 4bps, although at some of these levels the bonds DNT’d.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 2 x AA trades at around 160dm and this is softer too. We see AAs 5-10bps wider.

There are 7 x BBB trades. BBBs are about 10bps wider, especially at the long end. The 7yr WAL part of the curve has steepened relative to the 6yr.

It’s a similar story in BBs where we see spreads around 20bps wider. The exception to that is the Black Diamond 2015-1 BB trade at 541dm, but the reason for this tight level is because the deal has substantially delevered. Leaving the Black Diamond trade aside the others have traded at an average spread of 670dm.

AAA CLO

USD AAA CLO

30 trades today with just under $150m liquidity, US LL Index +8bps dod and spreads broadly flat on the day.  A large list of AAAs with a dispersion of prices and dms, dm range is 93dm-126dm and just under half the bonds trade at a small discount to par.  The overriding theme for the bonds that trade at a discount today is manager profile given the bond/deal metrics are not materially out of place, the managers include new/debut managers (eg. Birch Grove Capital LP) and those managers with weaker profiles to peers (eg. Sculptor), whilst Nassau’s NCC 2018-IA A has the poorest execution level 99.76 at 122dm / 3.2y WAL despite a short wal (EoRP 2023) and +115bps coupon the MVOC is low at 147, ADR is high 1.5, Sub80 high 3.6 and Jnr OC cushion cuspy 1.9.  Our AAA index is 111dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

2 x low coupon AAs trade at a discount to par, coupons are +137-140bps and dm range is 150dm-151dm with our AA index 161dm.  In similar vain a low coupon and post reinv / short wal single-A BABSN 2013-IA CR +150bps margin covers at a discount 99.52 at 168dm / 2.7y WAL, our single-A index is wider at 207dm (longer wal).  3 x BBBs trade, low coupon and post reinvestment (strong MVOC 111 area) so execution 225dm-287dm is inside our index 340dm.  4 x BB trade in a 699dm-830dm range, bond coupon range is high +700bps-795bps with 2 bonds hitting par ceilings as expected.  VENTR 2021-41A E has weaker execution with cover at 96h at 830dm / 8.8y WAL, this has a longer wal (EoRP 2026) and high coupon +771bps but the weaker manager profile appears to pull execution back.  Our BB index is 688dm.  One x single-B trade VOYA 2017-3A ER which has a longer wal (EoRP 2026) and bond coupon +870bps, average performance overall, slightly weaker manager profile vs peers but strong Jnr OC cushion and covers at 95.05 at 955dm / 9.3y WAL which is close to our single-B index 944dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

A busy day of lower mezz trading. We have 8 x BB trades. Cover prices look softer to us – anywhere from 10bps to 20bps wider. Mostly the traded levels are in L600s dm but, as always, there are exceptions. Dryden 51 2017 is amortising and traded at 559dm. The weakest performer of the bonds that traded is Bain 2019-1 which has an MVOC of 109.05% for the BB and a Jnr OC cushion of 3.36%. This traded around 724dm.

There is one single B trade. Tikehau 5 traded at 962dm.

AAA CLO

USD CLO AAA

10 trades today with $70m of liquidity, US LL Index finished +10bp wow whilst spreads overall softened slightly across the liability stack.  At AAA all bonds hit their par ceilings where bond coupons are as low as +100bps, our AAA index is 111dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

A large handful of BB trades today with a wider trading range, particularly due to a list of weaker credits (ADRs range from 1-2%, MVOC at the low end 104-105 and Jnr OC cushions <3%) and bond margins > +600bps.  At the softer end of execution today is VOYA 2015-3X DR (Voya) covers 89.5 at 843dm / 6.3y WAL which has EoRP 2023 – ADR is elevated 1.1, Sub80 elevated 2.6, MVOC low 104.1 and Jnr OC cushion is cuspy 1.6 whilst the manager profile is weaker to peers.  Our BB index finishes the week at 689dm.

AAA CLO

EUR AAA CLO

The two AAA trades are at 167dm and 183dm and reflect the bp or two tightening that is shown in the +92 level of the New Issue market over the last few days. Additionally BlackRock 4 DNT’d but best bid was 100h. We presume it must have been L100h.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The 2 x BBs traded around 650dm.

There are 3 x equity trades. Bosphorus 4 traded at NAV and Dryden 48 2016 and St Pauls 10 traded at 12% and 13% yield respectively.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

On the back of 2 New Issues today, Bilbao 4 and OCP 2022-5 a range of mezz bonds traded in secondary. The AAAs are firmly anchored at +92 but for the rest of the stack Bilbao 4 priced more aggressively than OCP 2022-5.

In secondary the AA from RRE 5 traded at 189dm. It’s a long AA at 7.04yr WAL.

Two single As priced at 220dm and 252dm.

4 x BBs have traded between 575dm and 671dm. These levels look like a softening in BBs to us.

The only single B, CVC Cordatus 20, traded at 923dm.

3 equity pieces traded today. St Pauls 8 and Dryden 88 2020 have traded in the 12% to 13% yield range. Barings 2018-1 was more like 16% because it contains defaulted Navira loans in the pool.

AAA CLO

EUR AAA CLO

Just the one AAA, Dryden 44 2015, traded at 109dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only AA, Avoca 17, traded at 186dm.

5 x BBBs traded around 338dm. Clontarf Park is amortising. None of these trades indicate any change in spread levels.

5 x BBs have traded between 571dm and 672dm.

The 4 x B trades are between 768dm for Oak Hill 6 and 949dm for Blackrock 11. Blackrock 11 becomes callable in 0.7yrs and is a reset candidate with its high margin of 860bps.

3 equity pieces have traded. They have all priced on a yield basis between 12.5% and 14%.

AAA CLO

USD CLO AAA

With today as month end liquidity was a little tighter than Friday with 19 trades and $144m exchanging hands, US LL Index -5bp dod whilst we saw a mild softening in some mezz.  AAA bonds continue to outperform and hit their par ceilings, a good example of this is OZLM 2017-21A A1 (Sculptor) that covers 100.02 at 114dm / 2.9y WAL (bond coupon +115bps, MVOC 153, WARF 2715) and at this level the bond coupon is the key driver of direction with other factors secondary to tiering.

Mezz/Equity CLO

USD CLO Mezz/Equity

10 x single-A trades today in a 194dm-235dm range wrapped around our single-A index 209dm, MVOC is a key driver of tiering with 4 bonds that hit their par ceilings with MVOC well in excess of 120%, ELMW8 2021-1A C1 covers at it’s par ceiling at 194dm / 7.6y WAL (coupon +195bps) and has excellent performance (MVOC121.8, ADR 0, Sub80 0.2, CCC 4.1 and Jnr OC cushion 5.1y WAL) with a longer wal given EoRP 2026.  3 x BB trades today, with execution levels just shy of par and dm range 682dm-704dm wider to our BB index inside these levels at 678dm.  BCC 2019-1A ER is a clean bond with coupon >700bps, benchmark manager Bain Cap and execution level 704dm / 9.1y WAL.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just 5 trades today. The four BBBs have traded between 336dm and 380dm.

The BB, Dryden 29 2013, traded at 543dm. There is nothing very noteworthy about any of these trades.

Mezz/Equity CLO

USD CLO Mezz/Equity

5 trades to end the week with loan prices softer whilst CLO spreads have held, US LL Index -44bps wow.  3 x BBB trades with one trading nearest our BBB index 334dm, OHALF 2013-1A DR2 covers near par at 99.99 at 305dm / 5.8y WAL - margin +305bps and metrics are clean with strong MVOC 112.7.  2 other trades are wide of our index given the high coupons +425 / +452bps with ZAIS 2019-13A D1 trading particularly wider at 604dm / 6.3y WAL (CVR 92.32) given weaker manager record, MVOC 110.5, high ADR 2.9, high Sub80 3.7 abd low Jnr OC cushion 1.9.  1 x BB trade CANYC 2021-2A E CVR 98.05 at 701dm / 9.1y WAL which is wide of our BB index 672dm - bond coupon +670bps, MVOC 107.7 below peers, weaker manager profile and despite clean metrics on this bond.

AAA CLO

EUR AAA CLO

The 2 x AAAs, Toro 5 and ALME 3, traded at 109dm and 106dm respectively.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Of the 3 x BBs Toro 5 has a low margin and traded at 542dm. Aurium 7 & Blackrock 11 traded around 645dm.

Both of the single Bs traded at 953dm.

AAA CLO

USD CLO AAA

An extremely active day with just under $300m of liquidity across 60+ trades across the capital structure, with US LL Index -5bp dod and a tightening tone on BB CLO spreads.  At AAA level there are 6 trades with 2 x 2nd pays which trade 132dm-164dm with OCT36 2018-1A A2 trading at a small discount given the lower coupon (+120bps) and lower MVOC 146.  Our 1st pay AAA index remains unchanged at 108dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

2 x single-As trade in a 206dm-223dm range which is wide to our single-A index 203dm, the 2 trades don’t have strong metrics eg. Jnr OC cushions in 2.3-2.35 region with the higher coupon (+220bps) Assured bond BLUEM 2016-3A CR with an elevated ADR 1.3.  24 x BBB trades in a wide dispersion 290dm-557dm with our BBB index 336dm.  There are a number of outlier trades for credit reasons, whilst two long wal bonds hit their par ceilings, with key characteristics strong Jnr OC cushion (circa 5%) and MVOC >112 with bond coupons around +300bps.  In terms of outliers TELOS 2013-4A DR covers at a 6pt discount to par at 486dm / 4.3y WAL – MVOC is very low 107.5, ADR is elevated 1.1, Sub80 is high 3.1 and Jnr OC cushion cuspy 1.3 whilst the manager Telos AM has a weaker profile to peers.  11 x BB trades with the vast majority trading around our BB index value 678dm.  There are 2 outliers, MP18 2020-2A ER has a high coupon +770bps and as such trades 798dm / 9.6y WAL (clean credit/MV metrics) whilst the second bond trades wide the index due to credit reasons - MVW 2014-1A E covers at 86.21 at 1233dm / 2.3y WAL (post reinv) with MVOC low 103, ADR high 2.7, Sub80 bucket 11%, CCC high 8.7 and Jnr OC cushion 0.4.

AAA CLO

EUR AAA CLO

6 AAAs have traded today, all between 104 and 109dm. We have adjusted our AAA curve a couple of bps tighter which fits in with the reset of CGMSE 2015-2 at 94bps yesterday.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 5 x BBB trades, in the 336 to 350dm range. We have widened our BBB curve by 5 bps.

The one BB trade, from Jubilee 2017-19, traded at 584dm.

The single B from Dillons Park traded at 934dm.

There are 5 equity trades today. All except for Sculptor 6 are from deals that are currently callable. Harvest 14, Contego 5, CVC Cordatus 5 and Providus 2 traded at NAV. Carlyle 2018-2 traded around 13.4% yield. Sculptor 6 traded around 16% yield.

AAA CLO

USD CLO AAA

More than 40 trades today with in excess of $160m exchanging hands across the capital structure, US LL Index flat dod.  At AAA the dm range is 92dm-132dm with our AAA index unchanged at 108dm as the majority of trades hit their par ceilings, the outlier is ARES 2021-59A A which covers at a discount 99.95 at 104dm / 6.2y WAL – coupon is low at +103bps whilst metrics are clean with MVOC at the lower end of the range vs comps at 155.9 driving execution. 

Mezz/Equity CLO

USD CLO Mezz/Equity

There is one BBB trade MIDO 2014-3A DR which is slightly distressed and covers at 91h at a high dm 523dm / 5.1y WAL (EoRP 2023) – ADR elevated 1.24, Sub80 high 3% and Jnr OC cushion cuspy at 1% whilst manager profile a touch weaker to benchmark.  13 x BB trades in a 595dm-892dm range whilst our index tightens to 685dm.  MCLO 2018-11A D is an outlier trade with CVR 85 at 892dm / 5.8y WAL – MVOC at low end 104, ADR high 2.2, Sub80 high 2.6 and Jnr OC cushion very cuspy at 0.6 pushing this to weaker execution.  At the other end of the scale is GWOLF 2020-3RA DR CVR 99 at 700dm / 8.1y WAL which is a touch back to our index (coupon +692dm / EoRP 2025) whilst metrics are mixed – MVOC 108.6, ADR is elevated 1.7, Sub80 slightly high 2.1 but Jnr OC cushion is strong 4.8 emphasising the importance of strong credit metrics in terms of ADR/Sub80 to execution price which otherwise would have been closer to par and inside our index.

AAA CLO

EUR AAA CLO

The two AAAs that traded today were around 114dm. This is an unchanged AAA level.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The four AAs traded around 183dm. They all have similar margins (around 167bps), are not callable yet and have similar performance and WALs.

There are 2 x A trades. Avoca 18 traded at 200dm and Griffith Park at 229dm.

There are 6 x BB trades. The two Palmer Square trades are both from static deals. They are slightly more levered structures and quite long as a result. They traded around 610dm. The other four trades were in the range 507dm (for Apollo, a manager who always trades tight) to 559dm (BlueMountain Fuji 3). We think BBs have tightened by around 10bps.

Toro 2 equity covered at 45.55 / 15.2%. Its NAV is around 44.80. It becomes refinanceable in Oct 2022 and its AAA pays 99bps. It has zero defaults and a 3.5% CCC bucket.

AAA CLO

USD CLO AAA

Just shy of 40 trades today with $170m liquidity, CLO spreads remain firm at the mezz level whilst US LL Index -11bp dod.  1 x AAA trade DRSLF 2019-75A AR2 from PGIM (EoRP 2026, coupon +104bps) covers at par ceiling at 103dm / 5.9y WAL with only ADR at 1.12 and CCC at 7.4 the standout credit negatives.  AAA index remains 108dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

5 x single-A trades with our index tightening slightly to 202dm, one trade hits par ceiling PIPK 2018-1A C (EoRP 2023, coupon +210bps, Partners Group) with reasonably clean metrics with the shorter wal preference as well improving execution.  7 x BBBs trading 259dm-422dm as our index shifting tighter to 333dm.  2 post-reinv bonds trade at their par ceilings with tiering amongst those in reinvestment driven by margins < 300bps, credit factors (ADR, CCC, Sub80 buckets), cushions and MVOC scaling.  DEN12 2016-1A DR has poorest execution with CVR 95.05 (EoRP 2023 / coupon +275bps) – MVOC is at the lower end 110.4, CCC elevated 7.1 and more acutely the Jnr OC cushion is cuspy at 1.4%.  At the BB level there was significant liquidity with 23 trades, more than $60m of liquidity and trading range 541dm-789dm whilst our BB index tightens to 693dm.  4 trades in reinvestment stage hit par ceilings, key characteristics are strong coupons (>+650bps), strong MVOC (>108), low/negligible ADR/CCC, strong Jnr OC cushions (>5%) and strong manager profiles (eg. Assured, CIFC).

AAA CLO

EUR AAA CLO

The two AAAs that traded today were around 116dm. This is an unchanged AAA level.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The three AAs traded between 148dm and 180dm. Oak Hill 6 traded tightest at 148dm because of its low margin of 120bps. It is also the shortest of the three at 4.05yrs. The other two both traded around 180dm (with margins around 170bps).

The two BBBs have traded around 398dm. These are high spreads because the bonds have high margins (around 390bps) but we don’t believe this evidences a shift in the curve.

The three BBs traded in a 528dm to 635dm range. OZLME 3 traded a little wider than it would otherwise have on account of a low MVOC of 108.88%.

It’s been a busy day for equity trading via BWIC with 6 line items trading. Accunia 3 and Ares 6 have had different CVR prices distributed by dealers, so we have shown them both. In general the trading levels are either around NAV or 12% yield. All of the pieces apart from Dryden 44 2015 are currently callable although none of the deals look like refi candidates.

AAA CLO

USD CLO AAA

US LL Index fell 11bps dod with very few trades (seven) perhaps as a result of the softer tone with CLO liability spreads resilient as we saw 2 x SOFR referenced new issues price from AGL and Palmer Sq, some much needed price discovery here (AAAs priced +132-133bps / BBB +305-310bps) .  1 x AAA trade RAD 2020-7A A1 which is a 3.0 with high coupon +120bps / EoRP 2025 and covers at its par ceiling at 118dm / 4.8y WAL, this deal has clean metrics with a 157.8 MVOC.

Mezz/Equity CLO

USD CLO Mezz/Equity

1 x BB NEUB 2019-35A E covers near its par ceiling VH99s given high coupon +700bps, EoRP 2025 and strong MVOC 107.7 with sound credit metrics from a benchmark manager Neuberger, this trades near our index of 698dm.  1 x single-B trade also from Neuberger NEUB 2017-16SA FR with a +829bps coupon and long reinvestment period (2026), ADR is elevated at 1.5 and MVOC 104.9 is in the middle percentile - cover is 96h at 887dm / 9.4y WAL which is inside our B index 937dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are a range of mezz trades today. The two single A trades are between 213dm and 234dm.

The two BBB trades are both around 325dm. All these trades indicate the mezz market is steady at the moment, perhaps waiting for some direction from the New Issue market.

There are 3 x orig BB. Contego 2 is amortising and has been upgraded. It traded at 506dm. The other two have traded at 548dm and 643dm.

There are 2 x single B trades. Voya Euro 1 traded at 748dm. GLG 4 traded at 827dm.

There are 2 equity trades. Carlyle 2018-2 covered at 58. This is about 13.8% yield. CVC Cordatus 18 M1 covered at 85.01 / 13.2%. This piece has no collateral coverage at all. It was reset last year.