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.

AAA CLO

USD CLO AAA

Post Thanksgiving holiday supply is limited with 6 trades today with a softer tone all round given the uncertain market conditions around the Omicron strain.  AAA bonds with coupons > 100bps trade today at a discount which we have not seen for a while aside from credit impaired bonds.  Our AAA index widens to 109dm (+4dm).

Mezz/Equity CLO

USD CLO Mezz/Equity

4 x BB bonds trade 686dm-773dm with OAKCL 2019-3A ER cover 94.79 given the high ADR 1.84% whilst our BB index widens to 667dm (+9dm).  Best execution is BATLN 2015-8A D1R2 CVR 99.5 at 686dm / 5.5y WAL (coupon +675bps), with credit metrics overall not out of line on this bond it appears the shorter end of the curve (EoRP 2022) is more appealing given the aforementioned market conditions versus the longer WALs 7-7.5y) on the remaining trades today.

AAA CLO

EUR AAA CLO

Just the 2 x AAA trades today, after Thanksgiving. Both traded around 117dm which are unchanged levels. Both have a Non Call End Date over 2 years ago.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just the two trades today. The AA is from Dryden 51 2017. The deal is in amortisation. It traded at 100.10 / 175dm.

The BBB is from Palmer Square 2020-2 which is a static deal. It traded at 100.30 / 450dm.

AAA CLO

USD CLO AAA

US LL Index continues to soften (-6bp dod) whilst liquidity has been thin in CLOs with the traditional tapering off given Thanksgiving in 2 days.  2 x AAA trades today, both are MM CLOs with coupons +150-160bps cover at a small discount to par and trade 155dm-160dm, OR 2020-3A A1L was the last AAA 1st pay MM CLO to hit par ceiling 2 weeks back and this carried a coupon of +180bps, Guggenheim MM CLO 2021-4 is marketing now which will provide good intelligence on par AAA pricing for MM CLOs.  

Mezz/Equity CLO

USD CLO Mezz/Equity

TRYSL 2021-1A E which is a BSL CLO BB tranche covers at 96.13 at 811dm / 7.3y WAL, this is a 3.0 from new manager Sancus Capital with a 2024 EoRP and high coupon +738bps coupon, our BB index is 658dm with new issue +640bps context.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are a lot of mezzanine trades for us to look at today. The 4 single As have traded between 201dm and 251dm depending on their margin. All these bonds are performing well with MVOCs between 125.64% and 128.61% and Jnr OC cushions around 4%.

The only BBB, Ares Euro 7, traded strongly at 100.19 / 307dm.

There are 6 x BBs. CVC Cordatus 18 BB traded at 100.30 inspite of just being called for a reset. The others have traded between 530dm (RRE 3) and 662dm (Sculptor Euro 8).

Both single Bs have traded around 955dm even though Aurium 5 has a much higher margin than Man GLG Euro 6.

Mezz/Equity CLO

USD CLO Mezz/Equity

12 mezz / equity covers today, with a 10-line list DNT.  US LL Index -9bp on the day with rate hikes starting to be priced in (mid-2022) given the inflationary environment coinciding with Powell’s confirmation of the head of the Fed for another tenure.  There is little in the way of spread movement in CLOs felt yet.  2 x Single-As trade 206dm-209dm (coupons +205bps) with bonds trading at a small discount to par but near our single-A index of 206dm which in turn is in line with new issue guidance.  1 x BBB trade, WITEH 2015-10A DR which is short dated post-reinvestment (EoRP 2019) bond and covers at par ceiling at 293dm / 2.2y WAL – our BBB index is 322dm.  BBs trading today (for bonds in reinvestment phase) 587dm-770dm with our BB index 657dm, with AIGIM 2018-1A ER trading closest to par given the coupon structure (+660bps) and overall clean credit metrics and a strong MVOC 107.5.

AAA CLO

EUR AAA CLO

There are 8 x AAA trades today. All bar Mackay Shields 2 traded between 100 and 110dm. Mackay Shields 2 traded at 182dm because of its very high 155bps margin. 3 of the deals are amortising, BNPP Euro 2017, CVC Cordatus 5 and Mackay Shields 2. The only one of the bonds with weak credit metrics is Jubilee 2016-17 but as a AAA it didn’t make much difference and it still traded at 107dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only mezz trade is the Ares Euro 14 single B which traded very well at 100.16 / 849dm. It is performing well with an MV OC of 108.62% and a Jnr OC cushion of 4.17%.

Mezz/Equity CLO

USD CLO Mezz/Equity

12 x BBB trades only today to round off the week, US LL Index -4bp on the day and -13bp wow.  BBB trade 270dm-414dm today with our BBB index now 323dm (flat wow).  Those trades that hit par ceiling have coupons >300bps with the exception of MAGNE 2016-18A DR which is post reinvestment (Aug 2021) with a +270bps coupon and a clean portfolio and strong NAV as characteristic of Blackrock CLOs so does trend towards par.

AAA CLO

EUR AAA CLO

The 2 x AAA trades are at 105dm and 111dm. This could potentially be a bp or two wider than our curve.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 2 x A trades. Both of them are wide to regular single A levels. Black Diamond 2017-2 traded at 99.00 / 240dm and GLG Euro 4 at 98.06 / 223dm. Both bonds have low MV OCs, Jnr oC cushions and tend to attract a manager spread premium anyway.

Mezz/Equity CLO

USD CLO Mezz/Equity

26 covers today, all mezz, US LL Index -6bps dod which reflects overall market sentiment today with inflationary pressures coupled with weak economic growth concerns.  2 x single-A trades which trade either side of our single-A index at 204dm, with new issue context +215bps area ALLEG 2018-3A C from Axa IM covers at par ceiling (coupon +220bps) whilst NEUB 2017-26A C covers at a discount given it’s lower coupon +175bps at 180dm.  Both bonds have clean metrics.  24 x BB trades today 607dm-739dm range, our BB index is 674dm whilst new issue guidance is +645bps area.  As we have seen bonds with coupons >690bps are tending to hit their par ceilings given the inherent callability with SIXST 2020-16A E and BCC 2020-5A E both having these characteristics along with strong 3.0 metrics.  Other BBs are tiered by coupon, MVOC and ADR levels, BCC 2016-2A E (Bain) has a high coupon +704bps and is post-NC and post reinvestment but covers at a discount 98.76 at 739dm / 4.2y WAL – ADR is high 1.4, CCC is high 7.2 and Jnr OC cushion is cuspy at 1.5% whilst MVOC is trending at the lower end of BB levels 105.2.

AAA CLO

EUR AAA CLO

There are a lot of trades to look at today. Starting with the 2 x AAA they have both traded around 107dm. Both bonds are coming to the end of their NC date and both traded at small discounts.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The 2 x AAs traded around 170dm. These are also clean deals. Arguably these spreads reflect a widening of a couple of basis points.

The 3 x A bonds have traded H220s dm. In terms of performance the bond with the highest MVOC is Arbour 3 and the bond with the highest Jnr OC cushion is CIFC Euro 4.

There are a lot of BBBs. The average spread is 320dm. The worst performing deal, perhaps not surprisingly, is GLG Euro 4 which has low performance metrics.

There are a lot of BBs also. The average spread is 642dm. Harvest 7 is in amortisation and the BB traded at 568dm.

The single Bs have traded with an average spread of 824dm. BlueMountain Fuji 3 traded notably tight at 762dm  / 98.03 given its margin of 707bps.

AAA CLO

USD CLO AAA

32 trades today with $145m of liquidity across the capital stack, US LL Index -1bp dod.  AAA trades, which carry coupons as low as +96bps within reinvestment period all hit their par ceilings.  Our AAA index is 106dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

At the AA level there are 5 trades in a 134dm-175dm range, MAGNE 2019-23A B (Blackrock – top tier manager) a high coupon +175bps covers at par ceiling with new issue in +170bps context and our AA index 158dm which is in the middle of today’s trading range.  At single-A there are also 5 trades in a 196dm-230dm range, new issue guidance is +215bps and our AA index is 205dm.  Best execution is WELF 2019-XA BR (high coupon +220bps) at 99.67 at 225dm / 6.8y WAL with clean metrics / EoRP 2025.  9 x BBB trades in a 292dm-370dm range (new issue +330bps / BBB index 321dm) with 2 trades with coupons > 300bps hitting par ceilings, whilst 2 trades CEDF 2013-1A D1RR and EATON 2018-1A D both with similar coupon structures (>300bps) trade at a small discount given elevated ADRs (0.9% context), lower MVOCs (112 area) and slightly higher asset migration to Sub80 prices.  1 x BB trade today MDPK 2018-32A ER (coupon +620bps) covers at a discount 99.19 at 634dm / 7.3y WAL, new issue guidance is +645bps area and our BB index is 679dm whilst this bond has clean metrics and a benchmark manager CSAM it is the margin that limits the execution price.  5 x rarer single-B trades 825dm-939dm range, our single-B index is 885dm with tiering today from a cash px point of view is driven mainly by margin structure given the bonds are relatively clean in terms of fundamentals.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

A busy day of mezz trading. The 2 x BBB have very different margins. Dryden 32 traded at 340dm. Bain 2019-1 at 434dm.The Dryden 32 deal is performing very well. The BBB has a high MVOC at 121.14% and a healthy Jnr OC cushion at 4.05%.

There are 7 x BBs. They have mostly traded in the VH500s to LM600s dm. Harvest 22 traded the cheapest at 698dm. It does have the lowest MVOC at 108.25% which certainly requires some spread widening but it was more than our valuation model predicted.

There are 6 x B trades. There is a wide spread range, from 677dm to 914dm. This is a reflection of the fact that some of the deals are in amortisation and the dispersion of margins (from 598 to 856bps).

AAA CLO

USD CLO AAA

A more active day with 33 trades and > 130m of liquidity, spreads and the US LL Index are both flat on the day.  AAA trades are all 1st pay and hit par ceilings with our AAA index 107dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

7 x AA trades, all lower coupon clean bonds (+135-145bps) and trade at a small discount to par given new issue is in +170bps guidance context, our AA index is 160dm.  23 x BB trades in a 614dm-699dm narrow trading dispersion whilst a 5pt price basis from a cash price perspective.  Bonds that hit par ceilings have coupons >690bps and low ADRs and strong MVOC 109+ whilst still in reinvestment, the prevailing new issue guidance is around +645bps with our BB index 679dm.  At the other end of the scale is TCW 2021-1A E (March 2021 close) that has a low coupon +582bps and CVR 94.9 at 658dm / 9.6y WAL, despite strong metrics the coupon drives execution.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The 2 x AA trades have traded a few basis points wider at around 170dm. They are both performing very similarly and with exactly the same margin (150bps). The Spire Partners bond traded 5bps tighter than Carlyle.

There are 3 x A trades. They have traded between 222dm and 232dm, which are unchanged spread levels.

AAA CLO

USD CLO AAA

25 trades to open up the week, mostly high grade securities.  US LL Index -3bp dod and +7bp wow.  8 x 1st pay AAAs all hit their par ceiling with AAA index now 108dm.  2nd pay AAAs trade in a 127dm-138dm range with all trades at a small discount to par given coupons are ‘relatively’ low for 2nd pays +113-125bps range with small basis to AA.

Mezz/Equity CLO

USD CLO Mezz/Equity

One AA trade WINDR 2015-2A BR covers at a discount (low coupon +125bps and well past reinv end - 2019) at 126dm / 1.6y WAL, our AA index is 160dm.  CATLK 2013-1A BR single-A covers at a discount 99.19 at 248dm / 4.7y WAL (coupon +230bps), whilst new issue is +215bps context there are credit issues with this bond – ADR is high 1.3, CCC is high 7.9 and Jnr OC cushion is low 1.6.  TICP 2017-9A D from Sixth St (BBB) has a coupon +290bps and covers at a discount 99.96 at 291dm / 5y WAL, metrics are clean on the bond whilst new issue is +330bps guidance / our BBB index 321dm so execution falls short of par.  At BB, a shorter dated bond TRMPK 2015-1A ERR covers at par ceiling (EoRP 2020) given strong cushions and healthy MVOC 108.9 and clean metrics (ADR 0.6 / Sub80 0.5), 2 x clean bonds in reinvestment trade in a 603dm-655dm range whilst our BB index is 683dm. 

AAA CLO

USD CLO AAA

US LL Index +2bp dod whilst only 3 x second pay MM CLO AAA trades today.  The higher coupon (180/250bps) bonds hit their par ceilings, MCMML 2020-1A A is a Middle Market 2nd pay bond too so has an especially high coupon of +250bps coupon and covers at 100.31 at 241dm / 3.6y WAL (MVOC 188 and 0 ADR).  One trade is at a discount today MCFCL 2018-1A A1 which has a lower coupon +137bps (which is in line more with BSL CLO 2nd pays) and covers 99.89 at 142dm / 2.4y WAL, metrics are clean so the coupon drives the execution price.

AAA CLO

EUR AAA CLO

Just the 3 x AAA trades today. Avoca 11 and Penta 3 are both in amortisation. The spread range is from 103dm to 112dm. All 3 bonds have been callable for a couple of years but, as stated, two of them are paying down.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just 4 mezz EUR trades today. The only single A, Blackrock 9, traded at 100.18 / 253dm.

There are 3 x BBBs. Palmerstone Park is in amortisation and the BBB traded at 350dm. The other two are Avoca bonds and traded around 400dm.

AAA CLO

USD CLO AAA

US LL Index +2bp on the day, spreads stable today with 16 trades.  9 x AAA trades with 3 x 2nd pays which all trade at a small discount to par, at 133dm-148dm, whilst 1st pays with coupons as low as +93bps and still in reinvestment period do execute at their par ceilings.  Our AAA index is 110dm whilst new issue is as wide as +118-121 bps guidance.

Mezz/Equity CLO

USD CLO Mezz/Equity

7 x BBs trade in a 6pt cash px dispersion and dm range 583dm-731dm with our BB index is 663dm, trades that hit their par ceiling are CRMN 2016-1A D and DRSLF 2014-36A ER2 which both have coupons > 660bps and have both entered post reinvestment periods recently as in this year.  At the wide end of trading activity is HAYFN 2018-9A ER which covers at 94 at 731dm / 6.1y WAL, ADR is elevated at 1.1, coupon is lower +615bps and cov-lite exposure is 40%.

AAA CLO

EUR AAA CLO

At last we have a busy day in EUR CLOs. There are 6 x AAA trades. All the trades except for Black Diamond 2017-2 have traded up, between 1 and 5bps tighter. By contrast Black Diamond 2017-2 appears to have attracted a manager spread premium even after allowing for the high margin on the bond.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 4 x AA trades. They have all traded between H150s to L160s dm. BlackRock 4 AA attracted a manager spread discount.

There are 6 x A trades. Dryden 35 2014 has a high margin of 260bps and traded at 100.34 / 270dm. All the others traded around 230dm.

There are 2 x BBB trades. Both traded at 360dm. Unusually the Sculptor bond did not attract the spread premium it normally does and traded in line with Hayfin.

There are 3 x BB trades. GoldenTree 2 has a low margin but also a low MVOC and netted out to 658dm. Toro 6 is much cleaner and has a margin of 649bps and traded at 673dm. Madison Park 8 has the highest margin at 715bps and traded at 728dm.

There are 8 x B trades. Bosphorus 4 traded the tightest at 754dm. Most of the others were around 920dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just the one single A trade today. Madison Park 6 traded at 100.14 / 219dm. The bond recently became callable and has a margin of 200bps. It is performing well with a MVOC of 128.73% and a Jnr OC cushion of 3.99%.

AAA CLO

USD CLO AAA

US LL Index +14bp on the week.  Just one trade today SNDPT 2018-1A A which has a +100bps coupon, covers at par ceiling at 99dm / 3.3y WAL, EoRP is 2023 and is post NC with metrics relatively clean.  Our AAA index is 112dm.

AAA CLO

USD CLO AAA

15 covers today, senior spreads flat with some mild softening on lower mezz, US LL Index -1bp on the day.  3 x 1st pay AAAs hit par ceilings and our AAA index 109dm remains unchanged.

Mezz/Equity CLO

USD CLO Mezz/Equity

1 x BBB trade MP11 2017-2A D with a low coupon +280bps covers at a large discount 93 at 428dm / 5y WAL, which is wide to our index 332dm (new issue +325bps area guidance) since fundamentals are weak – ADR 1.2, Jnr OC cushion is cuspy 1.1, MVOC is at the lower end 108.7 and the manager (Marble Point) record is weak to peers.  8 x BB trades with a 6pt cash px dispersion from par and dm range 651dm-789dm with our BB index 669dm (new issue +640bps area). TCW 2019-2A E trades at a premium to par 100.13 at 738dm / 7.6y WAL – high coupon +740bps, strong MVOC 108.2, low ADR 0.5 and strong Jnr OC cushion 4.9.  Tiering is thereafter driven by coupon structure and MVOC, AWPT 2016-5A ER covers 94.05 at 754dm / 6.6y WAL (coupon +635bps, MVOC 105.6).  3 x single-B trades in a dm range 858dm-894dm with cover prices at a discount, tiering is driven in a similar way to BB bonds (margin and MVOC) but also sensitivity to ADR and Jnr OC cushion given these bonds can PIK.  There are 2 x PGIM bonds with a similar EoRP but coupons are +715bps and +827bps whilst the lower coupon bond DRSLF 2018-64A F does also struggle with a higher ADR 1.3 (v 0.9) and a lower Jnr OC cushion 3% (vs 4.7%) and this translate to > 6pts difference in execution price.  Our single-B index is 840dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just 2 x B trades today. Madison Park 11 traded at 92.85 / 824dm and Carlyle 2015-1 at 94.29 / 925dm. Both bonds have MVOCs on the low side of around 105.7% and the Madison Park 11 bond has a Junior OC Cushion of only 2.3%.

AAA CLO

USD CLO AAA

30 covers today, US LL Index -3bp on the day.  A 2nd pay AAA BLUEM 2017-3A A2 EoRP 2023 covers at a small discount 99.79 at 118dm / 6.5y WAL.  AAA index 109dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

2 x AAs trade at a discount, coupons on both are < 150bps with new issue +165bps area and our AA index 160dm, other metrics are in line.  At single-A new issue guidance is +205bps area and bonds with coupons < 200bps tend to trade at a small discount given inherent callability likelihood.  HLA 2017-2A B from Bardin Hill has EoRP 2022 / post NC with a +210bps coupon but covers at a small discount 99.86 at 214dm / 4y WAL, predominantly due to the manager’s weaker record.  At BB spreads flat on the day with a trading range of 553dm-726dm and our BB index 662dm (new issue +640bps area).  See PriceABS trade listing for details.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

We’ve got a bunch of mezz trades to look at today. There are 7 x BBB. Newhaven 2 and Avoca 18 have traded around 275dm because of their low coupon. The rest are mostly in the LM 300s DM. Overall we think BBBs are edging tighter.

The only single B trade, Madison Park 7, traded at 92h / approx. 795dm. This is lower than our model predicted but the lack of depth in single Bs makes it hard to determine if this is a one-off or not.

AAA CLO

USD CLO AAA

17 covers today, spreads stable and US LL Index +1bp dod.  6 x AAA trades all hit par ceilings.  AAA index 109dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

6 x BB trades, 7pt cash px dispersion and 644dm-808dm range, BB index 661dm (new issue +640bps).  ROCKT 2021-2A E, a recent vintage, covers near par at 99.68 at 644dm / 9.9y WAL with EoRP 2026 and +640bps coupon and a strong MVOC 107.6 / clean metrics associated with recent vintages.  At the other end of the spectrum is ATCLO 2016-7A ER which covers at 92.65 at 787dm / 6.7y WAL with a similar coupon +640bps and a shorter wal (EoRP 2023), MVOC is weaker 105, ADR is elevated 1.2, 5% CCC, Jnr OC cushion is cuspy 1.2 and the manager Crescent Capital’s record is weaker to peers.

Mezz/Equity CLO

USD CLO Mezz/Equity

Just one trade today, CYGPK 2020-1A DR a BBB covers at par ceiling 305dm / 8.8y WAL, bond coupon +310bps with long wal (EoRP 2026)with new issue in +325bp guidance, so market is pricing in some tightening for clean bonds like this.  Our BBB index remains at 340dm.

AAA CLO

USD CLO AAA

With month end today there is limited liquidity and all high grade with 8 covers / $75m of liquidity, US LL Index -1bp dod and -1bp on Sep month end.  4 x AAA trades hit their par ceilings, the profiles are all post reinvestment with low coupons (+80-82bps) short wals.  AAA index is 109dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

4 x AA trades also hit their par ceilings, with coupons +165-170bps and execution dm range 160dm-165dm, new is in similar context (+165bps area guidance) and our AA index 161dm.

AAA CLO

EUR AAA CLO

There are 6 x AAA trades today. One of them, Contego 4, is amortising and it traded at 95dm. The others traded between 104dm and 124dm depending mostly on their margin and their chances of a refi/reset.