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.

AAA CLO

USD CLO AAA

17 trades today, predominantly AAA and Equity, US LL Index +9bp wow and +2bp dod with $54m liquidity today.  AAA bonds continue the trend of trading at par ceilings with positive tiering driven by high coupon / long EoRP 3.0 bonds with clean credit, eg. GSM 2021-IIIA A1 covers 100.22 at 128dm / 5.9y WAL – coupon +132bps, EoRP 2026, Jnr Oc cushion 5.1, ADR & Sub80 buckets both zero.  Our AAA index is 108dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

1 x BB trade today, TRNTS 2021-17A E CVR 97.75 at 738dm / 9.6y WAL, this bond has a +703bps coupon, EoRP 2026 and clean credit metrics from a relatively inexperienced manager Trinitas (8 x CLOs under management) perhaps preventing better execution and wide of our BB index 698dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

Just under 30 trades today with $70m of notional exchanging hands at predominantly the mezz level, spreads remain flat overall whilst US LL Index +2bp dod.  2 x single-A trades which are inside our index level 207dm (and new issue in +210bps context) given the lower coupon structures (+175bps) these trade at a small discount to par, with GALXY 2015-20A CR better bid at 99.73 at 181dm / 4.8y WAL (stronger metrics – MVOC 123.8, ADR 0.3, Jnr OC cushion 4.8).  3 x BBB trades with a typically high quality bond from a Blackrock managed deal MAGNE 2015-15A DR covers at par ceiling at 274dm / 5.8y WAL, despite the lower coupon +275bps this hits its par ceiling given the exceptional performance of the deal and manager.  Our BBB index is 340dm.  $42m of BBs trade across 18 bonds in a 572dm-880dm range, our BB index is 695dm.  Notably the 3 trades that have the longest wals (EoRP 2025-2026) hit their par ceilings for a variety of reasons – coupon >600bps, strong MVOC >107.5, CCC well below 7.5% TH, low ADR/Sub80 bucket and high Jnr OC cushions <5%.  At the other end of the execution spectrum is ATCLO 2019-13A E CVR 91.61 at 880dm / 6.1y WAL – MVOC is low 103.7, ADR high 1.6, Sub80 high 2.5 and Jnr OC cushion low at 1.4 whilst coupon is reasonable at +695bps.  2 x single-B trades 817dm-931dm with performance reasonable on both bonds with 7-handle margins and MVOC 104.2-105.9, our single-B index is 933dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 3 x BB trades today. They have traded between 600 and 630dm. All three bonds have quite low MVOCs being between 107.85% and 109.41%. GoldenTree 2 has the lowest MVOC and also has a low Junior OC cushion at 1.19%.

There are 3 x B trades. BlackRock 1 traded tightest at 744dm. Next came Jubilee 2014-12 at 786dm. This deal is amortising but has low MVOCs. Sound Point 3 traded at 858dm. We think these levels show a firm single B market.

Two equity pieces traded. Carlyle 2015-1 covered at 49.56. This is in line with a 13% yield. Man GLG 2 traded at 40h in line with its NAV of 43.52.

AAA CLO

USD CLO AAA

61 covers today with circa $200m of liquidity, US LL Index +9bp dod whilst spreads remain firm across rating bands.  All AAA bonds (12 trades $51m) are hitting their par ceilings including bonds in reinvestment with coupons < 100bps.  Our AAA index is 110dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

At AA our index is 166dm with 12 trades in a 155dm-196dm range with the few bonds that that hit par ceilings differentiated by strong MVOC (130+) and lower trending ADR and Sub80 bucket migration.  At single-A there are 18 trades in a wide dispersion 170dm-297dm (our index 208dm) with the majority hitting par ceilings given strong MVOC metrics and coupons typically >200bps for those still in reinvestment phase.  Weakest trade in terms of cash px execution is TREST 2017-1A B1R CVR 99.45 at 186dm / 5.6y WAL, metrics look clean but given the tight margin (+175bps), longer wal (EoRP 2024) and inexperienced manager Pacific AM (3 x CLOs under management) execution suffers slightly.  At BBB there are 6 trades in a 264dm-442dm range and all hit par ceilings with bond margins comfortably greater than 300bps, our BBB index is 341dm.  At BB there are 8 trades / $22m in a 530dm-864dm range, our BB index is 694dm whilst the 3 bonds that hit their par ceilings are post reinvestment with short wal.  3 trades still in reinvestment (EoRP this year) are tiered by MVOC and asset price migration (Sub80 buckets).

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just the 1 x BB trade today. Sound Point 7 traded at 99h / around 646dm. It has a long WAL of 9.23yrs.

AAA CLO

EUR AAA CLO

There are 4 AAA covers today. BlackRock 1 traded tighter than the others at 97dm. The other three were around 112dm. Dryden 39 2015 is amortising and BlackRock 1 is also very short as it is nearly at the RPE date. Both of these have 2 year WALs whereas Jubilee 2021-25 and Rockford Tower 2021-2 are 5.7yr WALs. The AAAs look to be about 3 to 4 bps tighter than our curve suggests and this is backed up by the new issue market where AAAs from the Carlyle 2015-2 reset are talked at 92-94bps (floored) which is around 2-3bps tighter than where AAAs priced at the end of last year. Barings 2015-1 AAA reset at +98 last night but apparently the deal was failing many tests (see CLO Markets EU Deal Alert).

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only AA trade, Henley 1, traded around 176dm, again a few bps tighter than our curve.

AAA CLO

USD CLO AAA

40 trades today, $215m of liquidity, spreads remain firm and US LL Index +6bp dod.  At AAA bonds are now regularly hitting their par ceilings with 12 trades today, this includes MP11 2017-2A A which is a weaker profile bond (margin +118bps, EoRP 2023) with an elevated ADR 1.1, Sub80 bucket 1.3, cuspy Jnr OC cushion 1.1% and despite a weaker manager record still covers 100.06 at 116dm / 2.9y WAL.  Our AAA index is 107dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

19 x AA trades with a wide trading range 125dm-209dm, the majority of bonds hit their par ceilings, 4 trades at a discount with MVOC < 130 combined with lower coupon structures (<+180bps) despite good credit metrics.  Best execution, as expected, comes from short wal static deals with two Palmer Square CLOs including PSTAT 2020-2A A2 which covers 100.09 at 150dm / 1.8y WAL.  ELMW2 2019-2A BR has best execution for bonds still in reinvestment with a CVR 100.04 at 164dm / 7.4y WAL (EoRP 2026, margin +165bps) which is close to our index level.  Our AA index is 167dm.  8 x BB trades with a trading range 626dm-919dm with a 4pt cash px dispersion if we exclude an outlier trade.   This outlier trade is SNDPT 2015-1RA E which is distressed (high ADR 1.7, low MVOC 102.8, high Sub80 2.3, high CCC 10.6 and cuspy Jnr OC cushion 0.7) CVR 89.45 at 919dm / 5.3y WAL which is well wide of our BB index 683dm, majority of trades today trade at or tight to the index.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There is a bunch of lower mezz trading today and 1 equity position. The 7 x BBs have traded at an average spread of 635dm. The outlier is St Pauls 9 which traded tight at 550dm. Even though it has been callable for around 2 years it is trading with a high probability of a reset.

There are 3 x single Bs which have traded around 890dm. The outlier here is Barings 2018-2 which traded at 812dm. This bond has been callable for around 1.5yrs and is shorter at only 6.4yrs WAL.

Arbour 3 equity covered at 57.88. It has an NAV of 50.50. Its yield at the cover price is around 17.5%. The deal is performing well with only a 5.82% CCC bucket and no defaulted assets.

AAA CLO

USD CLO AAA

80m of liquidity today, US LL Index +4bp dod whilst CLO spreads remain firm.  4 x 2nd pay AAA trades today at the senior end, trading range 122dm-149dm.  BABSN 2018-2A A1B and OCP 2017-14A A1B are both firm trades given they carry ‘lower’ 2nd pay coupons 122bps-125bps and these bonds hit their par ceilings given clean credit (ADR 0.2-0.6, WARF 2800-2900, CCC 4-5%) with both still in reinvestment.

Mezz/Equity CLO

USD CLO Mezz/Equity

2 x AA trades 170dm-184dm, ZAIS8 2018-1A B is low coupon +145bps, post-reinvestment, high CCC 9.8% and very high ADR 3.4% and covers at a discount 99.325 at 170dm / 2.8y WAL which is close to our AA index 169dm.  BLACK 2016-1A A2AR from Black Diamond trades wide to our index (CVR 99.61) at 184dm / 4.4y WAL – high ADR 1.6, low MVOC 127.6, high CCC 7.5 combined with a weaker manager profile in terms of default record.  At single-A there are 6 trades and trading range 185dm-223dm (our single-A index 205dm) with bonds carrying coupons > +200bps hitting their par ceilings.  29 x BBB trades in a 252dm-415dm range with almost $36m notional exchanging hands, our BBB index is 336dm.  Tiering between those bonds that trade at par ceilings and those at a discount is driven by a combination of factors including coupon (typically >+300bps), strong MVOC (>112, note avg MVOC for bonds that trade at par ceilings is 115 v 112.5 for those at a discount), ADR <1% and strong Jnr OC cushions (>3%), for instance the bonds that trade at par ceilings have an average Jnr OC cushion of 5.75% vs 3.6% for those that trade at a discount.  6 x BB trades in a 595dm-758dm range stripping out the static CLOs, whilst our BB index is 685dm.  ELMW1 2019-1A ER is the standout trade at 100.79 at 758dm / 8.65y WAL (high coupon +771bps / EoRP 2025) and clean metrics (ADR 0.3, Sub80 0, CCC 4.8, Jnr OC cushion 4.6 and MVOC 109.2).

AAA CLO

USD CLO AAA

14 trades to kick off the week, US LL Index +22bp week on week.  12 x AAA trades which include a number of sub +100bps coupon static CLO bonds which trade at par ceilings, whilst there are 3 x sub +100bps coupon AAAs within reinvestment that trade at a small discount to par.  WELF 2018-1A A has a coupon of +110bps / EoRP 2023 from Wellfleet, with strong MVOC 151 and clean credit and covers at par ceiling at 107dm / 3.3y WAL in good size 25m.  Our AAA index shifts to 106dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

OCP 2020-8RA A2 is a AA rated bond with EoRP 2024, low coupon +155bps and clean metrics with CVR at a small discount 99.87 at 158dm / 5.1y WAL which is tight to our AA index 168dm / new issue in +170bps area.  1 x BBB trade HLM 12A-18 C (EoRP 2023 / low coupon +275bps) with average metric quality and cover price is as such a small discount 99.19 at 291dm / 5.9y WAL, our BBB index is 340dm with new issue in L300s.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are two equity covers today. Carlyle Euro 2014-3 covered at MH50s and St Pauls 9 at 77.03. Looking at the Carlyle first the AAA pays 73bps, so we don’t see any refi incentive. The NAV is around 50 so on a pure cashflow basis the yield is around 12.75% (after cleansing the portfolio of distressed assets). This deal has 0.34% defaulted assets and 5.12% CCC bucket.

St Pauls 9 also has no refi incentive. Its NAV is 66 and it has traded at a yield of around 12%. This deal has a zero defaulted bucket and 7.5% CCC’s.

AAA CLO

USD CLO AAA

More than 165m of liquidity exchanging hands today, US LL Index bounces back +7bp dod with 19 CLO trades.  Our AAA index remains at 110dm with reinvesting AAA bonds with coupons >100bps hitting their par ceilings, a 2nd pay ATRM 15A A2R with coupon +145bps covers at a discount 99.45 at 154dm / 6.8y WAL.

Mezz/Equity CLO

USD CLO Mezz/Equity

At AA there are 5 trades, one trade hits par ceiling VENTR 2020-40A B1 which is a high coupon bond +210bps trades 209dm / 5y WAL, whilst other trades with a coupon spread of +135bps-180bps trade at a discount to par 99.02-99.38.  Our AA index is 174dm with new issue +170bps.  At single-A only LUCAL 2020-1A C hits par ceiling, coupon > 200bps at +220bps with clean credit metrics, the remaining 2 trades have  +195-200bps coupons and trade at a discount with WINDR 2021-2A C a long wal (EoRP 2026) cover 98.78 at 212dm / 8.2y WAL, our single-A index is 215dm (new issue +210bps).  At BBB only one trade hits par ceiling BCC 2020-5A D which has a high coupon +355bps with CVR 100.07 at 354dm / 6.4y WAL, our BBB index is 339dm with new issue in L300s area.  Just one BB trade today MP15 2019-1A E CVR 95h at 764dm / 7.7y WAL, this bond has clean metrics with coupon +683bps (new issue +660bps and our BB index 692dm).

AAA CLO

USD CLO AAA

7 trades today, US LL Index -5bp wow.  5 x AAA trades with coupons < 100bps trade at a discount to par.  Our AAA index is 110dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

CECLO 2014-21A CR2 (BBB) with a +320bps coupon / EoRP 2022 covers 96.60 at 394dm / 5.2y WAL, our BBB index is 341dm with new issue in L300s.  MAGNE 2016-18A ER (BB) which is post-reinvest / low coupon +525bps covers 97.32 at 591dm / 4.7y WAL, our BB index is 692dm and new issue guide is +660bps area.

Mezz/Equity CLO

USD CLO Mezz/Equity

Limited trading today with only 5 x BB trades, spreads stable whilst US LL Index rebounds +4bp dod.  PSTAT 2019-1A D which is a static CLO from Palmer Square covers at par ceiling (coupon +580bps) at 565dm / 2.9y WAL, given the current preference for shorter wal bonds.  Reinvesting bonds trade 665dm-768dm with execution prices at a discount despite coupons typically > +650bps and strong MVOCs (108+), the market is more bearish at this level of the capital structure given the volatility and year end feel to markets.

AAA CLO

EUR AAA CLO

There are 11 AAA covers today. Traded spreads are around 115dm which is a few basis points wider. Both Jubilee bonds traded tight at around 92dm because both are in amortisation with Jubilee 15 being heavily delevered.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are also a raft of single B trades. Average spreads are around 920dm which has made us shift our curve wider by around 10bps.

AAA CLO

USD CLO AAA

AAA bonds today trade at a discount to par given the volatility in markets, US LL Index -4bps dod.  Furthermore the coupons on the majority of bonds is <110 which is below new issue levels.  Our AAA index is 109dm. 

Mezz/Equity CLO

USD CLO Mezz/Equity

1 x AA trades HLA 2014-3A B1R with a +170bps coupon, which is post reinvestment / short wal and near new issue levels, covers at par ceiling 168dm / 0.6y WAL, our AA index is 178dm.  4 x single-A trades with bonds hitting par ceilings where coupons are well in excess of 250bps and post reinvesting bonds with short wals, our single-A index is 215dm.  Ignoring the 2 x post reinvesting BBB bonds there are 2 reinvesting bonds that trade with high coupons +370-410bps and trade at par ceilings, our BBB index is 338dm.  2 x BB trades in a 660dm-666dm range, shorter wal and higher coupons are better bid given the market volatility with GNRT 3A ER covering at 99.15 at 660dm / 4.9y WAL – this bond is post reinvestment and carries a +640bps coupon.  In contrast KKR 22A E covers at 96.76 at 666dm / 6.2y WAL – EoRP is 2023 with a lower coupon +600 whilst other credit metrics fairly comparable.  Our BB index is 695dm.

AAA CLO

EUR AAA CLO

Just the one AAA cover today. OCP Euro 2019-3 traded at 106dm.

AAA CLO

EUR AAA CLO

A quiet day in euros with one AAA cover. Elm Park traded at 107dm

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only single A is Dryden 52 2017 which traded at 236dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just the two single A’s today. Both bonds traded around 213dm. Both come from clean deals and both have been refinanceable for over 2 years. Both, also, are just reaching the RPE Date and will start amortising soon. These traded levels are in line with our spread curves.

AAA CLO

EUR AAA CLO

Just the one AAA trade today. St Pauls 10 AAA traded at 99.95 / 102dm, in line with AAA levels. It has an MVOC of 162.64% and a Jnr OC cushion of 3.73%. Time to end of the NC Date is 0.36yrs.

AAA CLO

USD CLO AAA

7 trades today, 4 x BSL AAA/mezz and 3 x AAA MM CLOs.  3 x MM CLO AAA trade 154dm-169dm which is flat to recent comps with the bonds trading very close or / at par.  Our AAA index is unchanged 111dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

We note some widening at single-B with trading today 937dm-991dm for fairly routine single-B bonds which are not credit impaired from benchmark managers PGIM and Pinebridge, DRSLF 2017-49A F from PGIM covers at 91.5 at 937dm / 6.5y WAL and GALXY 2016-22A FRR from Pinebridge covers at 93.5 at 991dm / 9.5y WAL both with clean credit and MVOC 105.  We shift our single-B index wider to 926dm.

AAA CLO

EUR AAA CLO

The 3 x AAA trades have traded around 110dm. CVC Cordatus 10 traded at 100.04 / 106dm which is noticeably tight.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only single A, Tikehau 3, traded at 99.80 / 211dm.

AAA CLO

USD CLO AAA

35 trades / $84m of liquidity, predominantly IG.  US LL Index continues to rebound +12bp dod whilst we observed some spread widening.  At AAA, 2 bonds hit their par ceilings, coupons +120bps, whilst a small clip of ZAIS7 2017-2A A covers at a discount 99.38 at 155dm / 2.4y WAL – high coupon +129bps but weak credit ADR 2.1, Sub80 4.4 and MVOC at the low end 149.7.  Our AAA index remains at 111dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

At BBB there are 17 trades in a 298dm-431dm range with 4 trades hitting par ceiling, key characteristics of these are coupons well into +300s and MVOC >113.  However SNDPT 2017-2A D has a high coupon +360bps (still in reinvestment) but has a low MVOC 109.4, high ADR 1.4 and cuspy Jnr OC cushion 1.5 with cover 96.77 at 431dm / 5.2y WAL.  Our BBB index widens to 344dm.  There are 3 x BB trades 656dm-683dm with RRAM 2020-12A DR2 trading close to par with CVR 99.90 at 673dm / 9.2y WAL, coupon is +672bps and metrics are clean all round whilst bond coupon is strong versus prevailing new issue levels, our BB index shifts wider to 708dm.

Mezz/Equity CLO

USD Mezz/Equity

A quiet end to the week with $24m of mezz liquidity, whilst US LL Index continues to firm +11bp dod.  A small clip of CLRCK 2015-1A BR trades at a discount 99.64 at 169dm / 3.9y WAL, this has a ‘low’ coupon +160bps (vs new issue mid-160s) so has limited callability associated, Jnr OC cushion is also at the low end 1.9.  Our AA index is 172dm.  7 x BBs trade 682dm-767dm with a number of bonds hitting par ceilings since said coupons are north of +700bps, AIGIM 2019-2A ER covers at a discount 97.5 at 682dm / 8y WAL, coupon is low +640bps and MVOC is at the low end 107.8 despite clean credit metrics.

AAA CLO

USD AAA CLO

$81m of liquidity today across 29 trades, with spreads flat on the day and US LL Index -4bps dod.  AAA bonds that are in reinvestment are slowly beginning to hit their par ceilings again, OCT33 2017-1A A1 with a +119bps coupon and EoRP 2023 hits its par ceiling at 100.01 at 119dm / 3.1y WAL.  Our AAA index is unchanged at 111dm. 

Mezz/Equity CLO

USD Mezz/Equity CLO

1 x AA trade BETHP 2021-1A B which is a 3.0 CLO +160bps coupon / EoRP 2026 and covers 99.67 at 164dm / 8y WAL which is close to our AA index at 172dm.  Also just 1 x single-A trade EATON 2020-2A C which is also a 3.0 with a high coupon +260bps and hits par ceiling at 259dm / 5.2y WAL, new issue in early 200s and our A index 211dm this bond that callability built in given it’s also post NC.  At BBB there are 7 trades with 2 hitting par, APID 2015-21A CRis a short wal bond post reinvestment with a strong MVOC given the deal is delevering and covers at 100.00 at 245dm / 3.9y WAL.  Blackstone’s CATSK 2017-1A C covers at 100.08 with a high coupon +370bps and converts to 368dm / 4.95y WAL – this bond is in reinvestment (EoRP 2022) and has clean metrics including 111.9 MVOC.  Our BBB index is 333dm.  12 x BB trades in a 590dm-826dm range with a 6pt cash px dispersion in trading.  Our BB index is 681dm with BCC 2019-4A E hitting par ceiling from Bain Cap – EoRP 2025, high coupon +748bps (new issue guidance in low-mid 600s) and strong MVOC 108.  At the other end of execution is CGMS 2015-3A DR (coupon +520bps / post reinv, generally weaker metrics) covers at 94.15 at 692dm / 4y WAL which falls slightly wide to our index.  At single-B KKR 13 FR covers 94.50 at 869dm / 3.9y WAL, this bond has a +700bps coupon, good MVOC 105.5, low ADR 0.6 but a little migration on the underlying collateral with Sub80 bucket 2.3% and CCC at 8.3% but Jnr OC cushion is strong 4.9 and this close to our single-B index 882dm.

AAA CLO

EUR AAA CLO

The 3 x AAA trades have all traded around 115dm which is about 2bps wider than our model predicted.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 3 orig AAs. Carlyle Euro 2015-2 has heavily amortised and the orig AA is AAA rated now. It traded at 100.07 / 174dm. Carlyle 2018-2 traded at 182dm. The surprising one for us is Barings Euro 2018-1 which has a low margin of only 100bps and therefore we predicted a tight traded spread whereas in fact it traded at 161dm.

Both single As have traded around 212dm.

AAA CLO

USD CLO AAA

$320m of liquidity today across 36 trades with some big tickets changing hands.  US LLI bounced back +5bps dod.  At AAA our index shifts slightly tighter on the day to 111dm.  GOCAP 2019-42A A2 is a MM CLO 2nd pay with a high coupon +200bps and covers near par at 202dm / 5.2y WAL whilst we saw 2 other 2nd pay BSL CLO AAAs trade with FCBSL 2020-1A A2 covering at par given the relatively high coupon +190bps in relative terms versus the Golub MM CLO 2nd pay.  Bonds continue to trade at a discount with the exception of GSM 2021-IIIA A1 which has a high coupon +132bps / 1st pay AAA that covers 100.16 at 129dm / 6y WAL.

Mezz/Equity CLO

USD CLO Mezz/Equity

A number of AAs trade at par ceilings, these bonds have high coupons +185bps-230bps with new issue guided in 160-170bps pre-vol.  Our AA index is 172dm.  At BBB there are 5 trades in a 355dm-441dm range with our BBB index at the tight end of this range 332dm, a couple of higher coupon bonds (365bps-394bps) trade at a small discount to par whilst bonds with coupons <340bps trade at a 5pt+ discount to par with new issue in the early-mid 300s area.  At BB there are 8 trades today in a 697dm-803dm range whilst our BB index ticks wider to 682dm, 3 bonds hit par ceilings, these have coupons > 700bps & MVOC > 110, whilst 2 additional bonds that also have 7-handle coupons trade at a discount to par given weaker MVOCs (as low as 108) and higher ADR / CCC migration (See PriceABS listing for details).

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Both AAs are from CBAM deals and both traded at 190dm.

The single A, Grand Harbour 2019-1 from MeDirect Bank, traded at 297dm.

The 6 x BBBs have mostly traded LM300s dm range. The exception is Jubilee 2019-22 which traded at 414dm because of its high margin.

The 2 x BB have traded at 611dm and 547dm which is a definite widening pressure, as we saw with the Barings 2021-3 New Issue level of 700 over.

AAA CLO

USD CLO AAA

$130m+ of liquidity as of the last day of the month which is the most for any single day this month.  With a softer tone in the markets this has reflected on CLO spreads as well with all ratings experiencing some widening going into month end.  US LL Index -14bps dod and -47bps mom.  With the softer trend over the past 2 days trading for AAA as bonds cover below par, there is one bond that hits par ceiling GSM 2020-IA A1 which has a high coupon +137bps and clean metrics covers 100.02 at 136dm whilst bonds with coupons into the +120s covering at a small discount to par as the market prices in some uncertainty over deals calling and inherent callability.  Our AAA index is 112dm. 

Mezz/Equity CLO

USD CLO Mezz/Equity

At AA bonds trade at a discount to par and in a 170dm-183dm range with our AA index widening to 166dm, CGMS 2015-4A A2R which has a +180bps coupon still covers at a discount 99.86 at 183dm / 5.7y WAL despite new issue talked in the mid-160s pre-Omicron volatility.  At single-A, REG16 2019-2A C covers at its par ceiling given the high coupon +270bps (bond is post NC).  Other single-As with coupons as high as +210bps (GTLNF 2013-1A CR) covers at a discount to par at 212dm / 5.2y WAL despite very strong metrics.  Our single-A index is 211dm.  At BBB there is one bond that is still in reinvestment and hits par ceiling, OCP 2016-11X CR covers 100.06 at 363dm / 5y WAL, the coupon is high +365bps (MVOC healthy at 112) and metrics are clean whilst the shorter WAL is attractive in this environment.  At the wide end is ZAIS7 2017-2A D which covers at 90.14 at 623dm / 4.7y WAL (downgraded to Ba1), MVOC is low 109, ADR is high 2.14, CCC 6.9 and 4% Sub80 bucket explains the weakness in credit.  Our BBB index is 330dm.  At BB the trading range is 623dm-891dm whilst our BB index is 676dm.

AAA CLO

EUR AAA CLO

There are 3 x AAA trades, between 120 and 145dm. All performing well with MV OC around 163% and Jnr OC cushions around 4%.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The single A trade, Black Diamond 2017-2, traded at 97.91 / 267dm. This is wide for a single A because this bond does have a low MVOC of 122.10% and also Black Diamond is a manager which trades wider.

The 2 x BBB have traded around 325dm. This appears to reflect some widening pressure on mezz bonds.