AAA CLO

USD CLO AAA

6 covers today, US LL Index +6bp on the day.  AAA trades cleared at par ceilings whilst we kept our generic curve at 107dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

One mezz trade today, BB rated MDPK 2014-14A ER (CSAM) which has a margin of +580bps (new issue 650bps talk / generic secondary 644dm) and covers at a discount 97.56 at 625dm / 6.8y WAL – metrics are average with a good MVOC 105.8, ADR <1 and Jnr OC cushion >2 but CCC high at 10% from a benchmark manager.

AAA CLO

USD CLO AAA

10 trades today with over $70m of bonds exchanging hands, US LL Index +5bp on the day and some tightening at AAA.  AAA bonds all trade at par ceilings with 2 bonds carrying coupons +95-99bps, both within reinvestment.  Ultimate execution levels are driven by MVOC and not coupon structure given all the AAA bonds have clean metrics today.  We have tightened our generic AAA curve to 107dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

At the BB level there are 4 trades 589dm-738dm with a cash px dispersion of almost 7pts.  YCLO 2019-2A E hits par ceiling (coupon structure +694bps) at 691dm / 8.5y WAL (to mat) and a strong MVOC 108.4 / low ADR 0.4 / strong Jnr OC cushion 5.6% / low WARF 2790 with the bond (highly) callable from October given new issue context is circa 50bps tighter that the coupon.  Contrastingly, at the wide end is MVEW 2017-2A E that covers 93.06 at 738dm / 6.2y WAL – this bond is past NC (EoRP 2023), lower coupon (out of the money for reset) +596bps, low MVOC 104.9, high ADR 1.2 and lower Jnr OC cushion 2.6 whilst the manager’s record is weak to peers.  Our generic curve at BB is 645dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

5 covers today, US LL Index +5bp on Friday’s close.  The only IG bond is a BBB OCT54 2021-1X D CVR 99.92 at 306dm / 9y WAL, this is a recent vintage so clean portfolio with a high margin +305bps and trades around par.    4 x BBs with a narrow trading range 599dm-677dm with tiering driven by margin structure and MVOC (>106) given the bonds are all clean with at least 2y reinvestment period, our generic curve is 639dm with new issue talked 650bps area.

AAA CLO

USD CLO AAA

25 trades today, predominantly mezz, US LL Index -3bp on the day whilst we saw tightening mezz.  1 x AAA trade which is a recent vintage WLLMN 2021-1A A (coupon +110bps) hits par ceiling at 108dm / 6.4y WAL.

Mezz/Equity CLO

USD CLO Mezz/Equity

Single-A curve tightens given execution levels today, OCP 2017-14A B (coupon +195bps / EoRP Nov-22) hits par ceiling at 195dm / 5.1y WAL, this bond has clean metrics.  BBB bonds (coupons > 340bps) trade 340dm-398dm with 2 bonds hitting par ceiling given new issue levels are tighter +315bps area, our secondary curve tightens to 318dm.  SHACK 2017-11A D trades at a discount 98.43 at 398dm / 5.3y WAL (coupon +365bps) with metrics weaker – MVOC 109.6, ADR 1.02 with Alcentra’s record of Jnr OC cushion weaker to its peers 2.35 v 3.31.  At BB the trading range is 526dm-758dm with a 6pt cash px dispersion especially given different wal profiles / static CLOs.  At the tight end are 2 x Palmer Sq static BBs that cover at a premium to par at 526dm-543dm given static typically trade tighter to reinvesting given delevering deals and increasing CE.  Weakest execution is OCT22 2014-1A ERR at CVR 94.26 at 660dm / 6.3y WAL – low MVOC 104.9, ADR 1.04, cuspy Jnr OC cushion 0.94 and a low coupon +545 whilst Octagon’s performance slightly lags its peers.  Our generic curve is largely unchanged at 613dm.  There are two rare single-B trades today, with both bonds meeting good execution, trading range is 636dm-768dm which is aligned with BB trading, but the bonds are well past reinvestment ends (2019/2020) with good cushions and strong performance with portfolios defensive given WARF at or just shy of 3000 with CCC buckets inside 7.5%.

AAA CLO

EUR AAA CLO

There are a handful of trades today. The only AAA is Providus 1 which traded at H99h which we estimate to be around 131dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There is 1 x AA trade. St Pauls 3R traded at L99h / 177dm. It has a Jnr OC cushion of 1.19% which is on the low side.

The only A rated bond is Cadogan Square 12 which traded at 100.13 / 267dm. We believe this deal has a cleansing notice outstanding.

Finally there are 2 x BBB trades. Richmond Park traded at 100.10 / 346dm. Holland Park at 100.72 / 461dm. They are both Blackstone deals and both are performing well. The traded spread difference is due to the different margins on the bonds.

AAA CLO

USD CLO AAA

A little more liquidity today with 23 covers, US LL Index largely unchanged on the day (+1bp).  6 x AAA trades with 4 hitting par ceilings, firstly a recent new issue MCLO 2021-16A A1A covers at 99.80 at 123dm (coupon +120bps), whilst CGMS 2014-2RA A2 covers 99.89 at 134dm / 6.8y WAL which is a 2nd pay AAA hence the wider dm.  Our generic curve remains at 112dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

3 x AA trades cover at par ceiling and trade 138dm-171dm, these trades are shorter wal given post reinvestment, our generic curve is 155dm.  1 x single-A trade DRSLF 2020-85A C covers at par ceiling, high coupon +250bps (new issue +210bps / secondary generic 217dm) and clean metrics result in a good execution level.  At BBB, the trading range is 260dm-390dm with a 2pt cash px dispersion, our generic curve is 322dm with new issue tighter at +315bps area.  CANYC 2019-2A D has the strongest execution with a cover 100.29 at 390dm / 7.3y WAL – MVOC is strong 113.3, ADR is low 0.77, Sub80 is low 0.9, WARF is low 2857 and Jnr OC cushion is 4.4 whilst the coupon is high +395bps so this makes this bond highly callable given NC has just passed last month.  BB trade 561dm-781dm today, our generic curve 612dm / new issue M600s area.  2 x short wal bonds (EoRP 2020) hit par ceilings (see PriceABS trade listing) with coupon structures in a 565-745bp spread.  One moderately distressed trade today WINDR 2014-3KRA E CVR 91.21 at 781dm / 6.8y WAL, this bond has a coupon +609bps which is in the low/mid-range for ‘callability’ but fundamentals are poor – MVOC is low 103.9, ADR is high 3.2, Sub80 is high 4.2 and Jnr OC cushion is cuspy at 0.8, the manager First Eagle does have a record of higher default rates vs peers.

AAA CLO

USD CLO AAA

14 covers today across IG and SubIG, US LL Index +2bp on the day.  Our AAA curve remains at 112dm with both AAA trades today hitting par ceiling carrying coupons of +112bps.

Mezz/Equity CLO

USD CLO Mezz/Equity

A high coupon AA trade OZLM 2019-23A B1R (Sculptor) covers at its par ceiling (coupon +185bps) with new issue in +165bp context and our secondary curve 157dm, the bond has clean metrics.  The single-A trade is BCC 2019-1A CR (Bain) which covers at par ceiling at 212dm / 8.3y WAL, the coupon is +215bps which is around our secondary curve 212dm and new issue context +210bps.  At BBB the trading range is 298dm-421dm with a 5pt cash px dispersion.  OCP 2013-4A CRR covers at par at 298dm / 4.5y WAL, this bond is post reinvestment (EoRP Apr-21) with a +300bps coupon and strong MVOC 111.1, with new issue in +315bps context (our secondary curve is 327dm) there is limited near term callability but this bond does have clean metrics and with the short wal this supports the execution price.  At the wide end is RMRK 2018-1A D (Shenkman) which covers 94.78 at 402dm / 6y WAL (EoRP 2023) – MVOC is at the low end 109.1, ADR is elevated 1.9 and Jnr OC cushion is low 1.5 whilst the coupon is also lower than new issue context at +302bps with a longer wal.  4 x BB trades, a short wal BANDM 2014-1A DR covers at par ceiling (EoRP 2018) 465dm / 2.2y WAL.  We have not seen reporting on this since earlier this year but the MVOC does appear to have a current shortfall based off pool cut off from earlier this year at 93.82 so this is likely to have moved given the deal has been delevering.  The remaining BB trades are 636dm-664dm (coupons 575-615bps) trading at 2-4pt discounts to par, our generic curve is 609dm with new issue in mid-600s context which drives the execution prices today given the limited near term callability.

AAA CLO

USD CLO AAA

US LL Index +4bp on the day, whilst only 4 x AAA trades today, with our AAA curve at 112dm which is similar context to primary.  ICG 2014-3A A1RR covers below par at 99.94 at 105dm / 3.3y WAL - margin is > 100bps (+105bps) but metrics are weaker with ADR 1.6 and MVOC 150 and Jnr OC cushion 1.75%, bond is post NC and with new issue spreads wider there is limited callability in this with EoRP through 2023.  

Mezz/Equity CLO

USD CLO Mezz/Equity

5 trades to round out the week, all lower mezz.  US LL Index +5bps on the day and we tightened our curve across most mezz tranches.  One BBB trade today, a recent 3.0 BSP 2021-23A D covers at par ceiling at 361dm / 8.8y WAL, strong metrics (MVOC 113, ADR 0, Sub80 0.1, Jnr OC cushion 5.4) and a high coupon +365bps maintain this at it’s par ceiling (NC is Jan 23 and EoRP is 2026) given excellent risk adjusted cashflows.  BB trades 664dm-765dm with CIFC 2016-1A ER trading at par ceiling at 765dm / 7.8y WAL, this has a high coupon +770bps and clean metrics from a benchmark manager CIFC.  With new issue in +650bps context ANCHC 2015-6A ER covers at a discount 98.65 at 664dm / 5.8y WAL, the coupon is below new issue +635bps and metrics are relatively clean on the bond but the callability drives this to a discount whilst manager performance (Anchorage) is slightly weaker to peers and we see this in the Jnr OC cushion which is 2.43% on this bond with peers 3%+.

AAA CLO

USD CLO AAA

34 covers today, US LL Index +5bp on the day, tightening in IG mezz.  AAA trade at par ceilings naturally with coupons > 115bps.  Our generic curve remains at 112dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

At AA, our curve tightens to 155dm (-3dm) given a tighter trading range today, with bonds trading around par or a small discount.  At single-A there is one trade TICP 2018-10A C covers at par ceiling at 190dm / 5.3y WAL (EoRP 2023), metrics are clean whilst the coupon +190bps is below new issue so market anticipates tightening.  Our generic curve remains at 218dm.  10 x BBB trades today, a narrow trading range 300dm-438dm with a 2pt cash px dispersion, our curve tightens to 339dm (-8dm).  Given the narrower range, MVOC and coupon levels are key tiering factors along with numerous other metrics including Jnr OC cushions.  VOYA 2015-1A CR trades at the steepest discount CVR 97.5 at 307dm / 5.5y WAL (post reinvestment) – coupon is low +235bps and metrics are weak (MVOC 108, ADR 1.05, Jnr OC cushion 0.9 whilst Voya’s performance is slightly weakers to its peers.  Significant tiering at BB with a 9pt cash px trading dispersion and dm range 487dm-847dm.  2 bonds that hit their par ceiling are short wal (well past EoRP) trading 487dm-498dm with 2-2.5y wals.  For the remaining trades execution is driven by wal (reinvestment ends), whilst the four weakest trades from a cash px point of view are all in reinvestment phase and carry coupons of 550bps-710bps with little inherent callability and weaker MVOCs (104-107).  New issue markets are in +640bps area whilst our generic curve widens to 627dm (+8dm).

AAA CLO

USD CLO AAA

More than $55m of liquidity today across the stack, with tightening at single-A with US LL Index +2bps on the day.  At AAA bonds trade at their par ceiling (coupons > 110bps), SCI generic curve is 112dm. 

Mezz/Equity CLO

USD CLO Mezz/Equity

At single-A one bond trades at a discount STCR 2014-1RA C covers 98.914 at 221dm / 4.5y WAL – new issue talked at +202bps, the coupon on this bond +195bps whilst MVOC is low 117.5 and ADR high at 1.6 resulting in weaker execution.  Our generic curve is 218dm, with bonds with attached coupons > 200bps trading at their par ceilings.  At BBB our generic curve softens slightly to 347dm with a trading range of 305dm-431dm and a 5pt cash px dispersion.  JTWN 2016-9A C2R hits par ceiling 100.02 at 409dm / 4y WAL – this bond is post reinvestment and has a short wal with a strong MVOC 113 and clean metrics.  At the other end of the scale is MP3 2013-1A DR CVR 95.00 at 408dm / 5.5y WAL (EoRP Oct-22) – bond coupon is +305bps (< new issue +315bps), MVOC is lower 109.4 and Jnr OC cushion is cuspy 1.3 with Marble Point’s performance slightly weaker to peers.  At BB the trading range is 541dm-743dm and a 7pt cash px dispersion.  CIFC 2019-FALX E covers strongly 99.89 at 743dm/8.6y WAL (EoRP 2025) – bond coupon is high +741bps with the bond callable in October (new issue guidance is +640bps area).  Octagon’s OCT34 2017-1X E2 covers 93.95 at 675dm / 6y WAL (EoRP 2023) with a +550bps coupon which is inside new issue, ADR is also high 1.4 and Jnr OC cushion is cuspy 1.5 whilst Octagon’s performance metrics are slightly below peers.  SCI generic curve remains at 619dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

28 covers today, US LL Index +4bp on the day and a tightening theme at AA, BBB and BB.  At the AA level, trading range is 141dm-157dm for  low coupon bonds below new issue context (+162a) with bonds trading at par or a very small discount to par.  Top execution is TFLAT 2017-1A B CVR 100.055 at 155dm (coupon at +156bps < new issue) which is market positive, with the bond callable in October this year.  At BBB the trading range is 247dm-499dm with our BBB curve tightening into 344dm.  Execution is poor for lower coupon bonds (<300bps) with these lagging in cash px terms 94.15-96.56 from the rest of the trades 98+, with new issue levels +310bps area the inherent callability is low and a key driver.  At the BB level the trading range is a narrower dispersion than seen recently 528dm-615dm and cash px dispersion of 3.5pts, our generic curve tightens to 619dm with new issue in +630bps context.  GRNPK 2018-1X E (Blackstone) trades at the lowest cash px 96.47 at 561dm / 6.5y WAL – coupon is low +495bps which is influencing the direction despite clean fundamental metrics and MVOC is steady at 106.8 with another 1.75y reinvestment period remaining.  One bond hits par ceiling, this is a short wal KVK 2013-1A ER (coupon +594bps) with reinvestment period ending in Jan 2020 and Jnr OC cushion healthy at 3.7 whilst MVOC is strong at 108.8 despite a high ADR 1.2 an high CCC 15.7 given the inability to manage credits.

AAA CLO

USD CLO AAA

8 x covers today, US LL Index +2bp on the day.  AAA hit par ceiling with coupons all > 100bps, our curve tightens to 110dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

2 x AA trades, both hit par ceiling (coupons +170-180bps) with our generic curve 162dm which is around new issue levels, so bonds have higher callability given post NC and still in reinvestment through 2023.  1 x single-A trade, ARES 2019-54 A covers at its par ceiling 100.303 at 280dm / 6.5y WAL, this bond has a high coupon +285 (vs our generic curve 223dm and new issue context +200bps) with strong fundamentals (MVOC 120, ADR 0.7, Sub80 0.9, Jnr OC cushion 3.7) so risk adjusted cashflows are strong and the bond has just passed its NC in July with a remaining 3y reinvestment period.

AAA CLO

USD CLO AAA

A busy day with 43 covers, US LL Index +1bp on the day and further tightening at BB and BBB to a lesser extent.  The story at AAA remains unchanged with bonds changing hands at par ceilings, with CIFC 2013-3RA A1 with a coupon +98bps also hitting this level.  Our generic AAA level remains at 112dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

At AA our generic level is 155dm with new issue in 160bps context, trading range today is 150dm-167dm with bonds typically hitting par ceiling, TRNTS 2017-7A B covers at a discount 99.93 at 162dm / 4y WAL – ADR is high 1.4, MVOC is slightly low 127.9 (vs 128-130 benchmark) whilst the manager record is broadly in line with peers but Trinitas is inexperienced with 9 x CLOs ($4bn) under management.  Single-A bonds hit par ceilings today since the coupons on the trades high +225-280bps, with new issue +200bps context and our generic level of 213dm.  At BBB the trading range is 282dm-370dm, with shorter WAL (post reinv 2018/2019 typically) bonds hitting par ceilings, BABSN 2016-1A DR covers 99.86 at 308dm / 6y WAL with a +305bps coupon which is at new issue levels (tight to our secondary level 346dm) 2y left of reinvestment.  CGMS 2013-2A DR covers at the deepest discount 98.26 at 282dm / 4.5y WAL – the coupon is low +240bps and ADR is high at 1.2 whilst other metrics are clean with the bond post reinvestment.  BB bonds trade in a wide dispersion 421dm-704dm with a 6pt cash px range with all but 2 bonds post-reinvestment and a combination of MVOC, margin structure and ADR levels dictate execution, our generic level is 643dm with new issue in 610bps context.  At single-B our generic level is 942dm, there are 2 distressed trades today that trade 1104dm-1218dm with WINDR 2014-1A F at the wide end CVR 81h at 1218dm / 8.3y WAL – MVOC is cuspy 101.9, ADR is high 1.4, Jnr OC cushion is cuspy 1.4 and there is 2y left of reinvestment with a coupon of +853bps, risk adjusted cashflows are weaker.

AAA CLO

USD CLO AAA

A quiet day with 7 covers, US LL Index flat day on day whilst BB continues to tighten.  3 x AAA bonds trade at par ceilings (coupons >100bps) with our generic curve tightening slightly to 112dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

1 x single-A trade, MILOS 2017-1A CR (Invesco) covers at its par ceiling 100.074 at 188dm / 5y WAL, the coupon is +190bps which is at the tight end of new issue talk.  This bond is callable and has clean metrics.  At BB, the trading range is 573dm-609dm (bond coupons at 5-handle) with clean metrics – MVOC > 107, ADR < 0.5 and strong Jnr OC cushions from benchmark names.  Therefore execution is strong and we tighten in our BB curve to 653dm with new issue in +600bps context.

AAA CLO

USD CLO AAA

US LL Index -2bp on the day, with $50m+ of flow today and some slight tightening at the BB level.  A very familiar theme at AAA with bonds trading at par ceiling, including bonds pre-NC and coupon as low at +110bps so market is pricing in some tightening given AAAs are now indicated in L110s and our generic level -1bp to 113dm. 

Mezz/Equity CLO

USD CLO Mezz/Equity

At single-A, bonds trade at par ceilings (high coupons +275-295bps) which is consistent given our generic level 212dm and new issue talk +190-200bps.  At BBB the trading range is 291dm-454dm with one bond hitting par ceiling GALL 2018-1A D1 (Gallatin) with coupon +310bps cover 100.052 at 308dm / 3.3y WAL, this bond is post reinvestment (Jan-2020) and with our generic BBB level 352dm / new issue +290-300bps talk the deal likely to continue to delever, metrics are strong MVOC 115.9, ADR 0.8 and Jnr OC cushion 5.4.  At the other end of the scale is MP12 2018-1A D (Marble Point) which carries a similar coupon +300bps but a longer reinvestment end (2023) but covers 94.79 at 396dm / 6.3y WAL – MVOC is weaker 109.3, ADR is weaker 1.3 and Jnr OC cushion is tighter at 1.3.  At the BB level we see a tightly dispersed trading range of 560dm-696dm with a 2.7pt cash price dispersion.  At the tight end is WINDR 2016-1A ER (First Eagle), this bond is post-reinvestment end (mid 2020) with a +5555bps coupon and covers 99.81 at 560dm – strong MVOC 107.8, low ADR 0.6, high Sub80 2.6 and high CCC 10.2 and strong Jnr OC cushion 4.7.  At the lower end in cash px terms is another bond post-reinvestment end (Apr-21) AMMC 2015-16X ER with a coupon +606bps and CVR 97.1 at 678dm / 4.8y WAL – MVOC is low 104.98, ADR is elevated 1.2, Sub80 is low 0.7 but Jnr OC cushion is cuspy at 1.1.  Risk adjusted cashflows are therefore worse given our generic BB level of 662dm and new issue indicated at +600bps area.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 3 x BBB trades today. Newhaven 2 has the lowest margin, at 230bps, and traded at 304dm. OZLME 5 has a margin of 340bps and traded at 372dm. Mackay Shields 1 has a margin of 405bps and traded at 431dm.

There are 4 x BB trades. They have traded between 550dm and 670dm. All the traded levels look quite tight to us. If these levels are maintained it could signify a tightening in the BB curve, perhaps by 20bps or so. One of the deals, Dryden 51 2017, has a cleansing notice outstanding.

There is one B trade. Northwoods 21 traded at 944dm.

AAA CLO

USD CLO AAA

4 x AAA trades to open up the month, all clear at par ceilings (coupons >100bps) with all bonds callable and within reinvestment periods.  Our generic AAA level is unchanged at 114dm.  US LL Index is +2bp on Friday month end close.

AAA CLO

EUR AAA CLO

There are 6 x AAA trades today. They have traded around L130s dm. The widest trade is Man GLG 6 at 139dm, although this is one of the later and cleaner GLG shelves. We believe this deal has a cleansing notice out. All the other bonds that traded are clean and unremarkable.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 3 x BBB trades. They have all traded around 350dm. Again there is nothing remarkable about these bonds. They are all performing well.

AAA CLO

USD CLO AAA

11 covers today, senior and low mezz/equity.  US LL Index -2bps on the day and spreads broadly flat, with a little softening at BB.  Both AAA trades hit par ceilings (coupons > 100bps), our generic curve for AAA remains unchanged at 114dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

BB trade 651dm-948dm, our generic curve (671dm) shifts closer to new issue levels (675-700bps) with tiering driven keenly by default and loan price migration on the underlying, WOODS 2018-11BA E (EoRP 2023 / coupon +580bps) covers 90.17 at 782dm / 6.3y WAL, MVOC of 105 is in line with tighter prints but the ADR is high at 1.85 and Sub80 bucket is high at 3.3 whilst the manager’s (Angelo, Gordon & Co.) performance is in line with peers aside from it’s weaker default record.  At the other end of the scale is a comparable bond with similar reinvestment end APID 2017-28A D (coupon +550bps) covers at 95.06 at 651dm / 6.1y WAL – MVOC 105, ADR 1.2 and Sub80 2.5) with the manager CVC’s default record more in line with peers.  4 x single-B trades in a wide dispersion 854dm-1457dm, whilst our generic curve is 919dm.  The outlier trade is SNDPT 2013-2RA F which is now Caa2 rated and covers 74.68 at 1457dm / 5.4y WAL, the bond is post reinvestment (EoRP Apr-21) and MVOC is cuspy 100.75, ADR is elevated 1.5, Jnr OC cushion is cuspy <1% whilst the manager’s (Sound Point) ability to build par and Jnr OC cushions lag its peers, but the bond is not PIKing.

Mezz/Equity CLO

USD CLO Mezz/Equity

More than 30 covers today, all mezz/equity.  US LL Index -6bp on the day with a long list of mezz on offer ahead of month end.  At single-A the trading range is 187dm-350dm, our generic curve 200dm whilst new issue is in L200s context.  One single-A does not hit its par ceiling, CRNPT 2018-4A C covers at 99.05 at 209dm / 5.3y WAL – the coupon is low at +190bps which appears to be the main lever for the execution level for this bond that has 2y reinvestment left and reasonable fundamentals aside from ADR which is high at 1.5, but the manager Pretium does have a higher default record but manages other key metrics to a good level like Jnr OC cushion and par build.  At BBB the trading range is 287dm-589dm with par ceilings hit on certain well performing bonds with ADRs < 1% and coupons > 300bps, as we have seen lately.  For the rest, tiering is driven partly by MVOC but ADR levels which are in a high 1.5-3.5% range.  At the wide end is ZAIS9 2018-2A D CVR 89.00 at 561dm / 5.8y WAL – MVOC is low 109, ADR is high 2.7, Sub80 is high 4.3, CCC 8.3 and Jnr OC cushion 1.2 (coupon +345bps, EoRP 2023).  At BB the trading range is wide at 596dm-1130dm, bonds that trade at par ceilings have coupons > 600bps and low ADRs (near zero) and strong Jnr OC cushions (>3%).  Tiering is driven similar to BBB bonds by MVOC, ADR and manager performance for bonds that trade below par (see PriceABS trade listing for full details).  Our generic level for BB is 664dm with new issue in 675-700bps context.  1 x single-B trade today VENTR 2018-33A F cover 86.17 at 1053dm / 8.6y WAL (+800bps coupon), this trades wide to our curve 923dm – MVOC is low 102.8, ADR is high 1.6, Jnr OC cushion 1.8 whilst the manager MJX’s record is weak to peers.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only AA trade, Dryden 56 2017, traded at 164dm.

There are 3 x A trades. They have traded between 221dm and 241dm. The Barings 2018-1 deal is not performing that well. It has been callable for 1.5yrs. The other two are much cleaner.

There are 4 x orig BBB. Harvest 10 is in amortisation and has been upgraded to A. This traded at 278dm. Black Diamond 2015-1 is also in amortisation, but not for so long and is still rated BBB. This traded at 310dm. The other two are regular BBBs. Madison Park 14 traded at 388dm. Bosphorus 5 traded at 494dm which is because of its high margin at 480bps and it is just about to become callable.

There are 6 x BB trades. Barings 2016-1 and Black Diamond 2015-1 are in amortisation and both traded around 555dm. Cairn 10 is clean and traded at 580dm. The other three, Man GLG Euro 5, Jubilee 2016-17 & Bain 2018-2 are all in different degrees of poor performance and therefore these three traded between 667dm and 714dm.

The only single B, Barings 2016-1, which as already stated is amortising, traded at 801dm.

AAA CLO

USD CLO AAA

16 covers today, across the stack, US LL Index softens 4bps on the day whilst CLO liabilities are broadly flat on the day.  AAA bonds that trade today cover at par ceilings, firstly CAVU 2019-1A A2 is a 2nd pay AAA with a coupon of +190bps and clean metrics (ADR 0.6, Sub80 0, Jnr OC cushion 4.6) and has a high coupon +190bps so risk adjusted cashflows are strong.  GALL 2018-1A A is a very short dated AAA bond which is now 18 months post reinvestment and covers at 101dm / 0.5y WAL.  Our AAA generic level remains 114dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

1 x AA bond ZAIS8 2018-1A B cover is 98.21 at 202dm / 3.3y WAL, this bond is post reinvestment and has a coupon of +145bps which is tight to new issue and our generic secondary curve 152dm so there is limited callability but more striking are the weak fundamentals (ADR 3.8, Sub80 4.8, CCC 9.4) which all impact upon execution.  9 x single-As trade in a 184dm-291dm range, bonds with coupons > 230bps hit their par ceilings (our generic level is 196dm, new issue in L200s context) given inherent callability.  With the remaining bonds <200bps coupon driven by MVOC tiering predominantly with another distressed Zais bond (same deal as above AA) ZAIS8 2018-1A C covering at the highest discount 97.35 at 241dm / 4.3y WAL with poor metrics as above and MVOC 116.7, at the low end.  2 x BBB trades, firstly GLGU 2018-2A CR covers near par 99.22 at 369dm / 4y WAL, the coupon is +348bps with our generic curve 330dm and new issue 315-330bps context there is some callability in this bond (post NC) which ends it’s reinvestment period in Oct-21, although fundamentals have pushed this to a discount rather than hitting its par ceiling with MVOC 110, ADR 1.8 and Jnr OC cushion cuspy at 1%.  The other BBB trade is HAYFN 2018-9A DR which covers 97 at 377dm / 5.6y WAL, this carries a lower coupon +316bps and some elevated key metrics (ADR 1.1, Sub80 4%) and a low MVOC 111.5 despite the fact that Hayfin is a benchmark manager.  At BB there are two trades, a 2021 vintage 3.0 CLO SYMP 2021-25A E covers 100.03 at 649dm / 9.9y WAL, the coupon is relatively high +650bps (our generic curve 667dm, new issue 675-700bps context) so with the NC is 2023 there is expectation of tightening and inherent callability in this bond which has exemplorary fundamentals as would expect of a 3.0 (ADR 0, Sub80 0, CCC 1.4, Jnr OC cushion 5.5) whilst MVOC is strong at 108.5.  PAIA 2019-1A D is the other BB trade, this covers 98.63 at 709dm / 7.4y WAL with a high coupon +685bps (post NC, EoRP 2024) but fundamentals are weak with ADR 1.7, Sub80 2.2, CCC 6.1 and a cuspy Jnr OC 1.9 whilst the manager’s record is slightly weaker to its peers.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only AA trade, St Pauls 3R, traded at 164dm.

There are 4 x A trades. They have traded around M240’s dm.

There is 1 x orig BBB which is now A rated, Babson 2015-1. This deal is amortising. It traded at 288dm.

AAA CLO

USD CLO AAA

9 trades today, US LL Index flat to Friday close and week on week, whilst -11bps month to date.  Our AAA generic curve has widened slightly to 114dm.  A lower coupon AAA MIDO 2014-3A A3A2 covers 99.90 at 100dm / 3.2y WAL – metrics are weaker with ADR 1.3, Sub80 2.2, CCC 6.6 and Jnr OC cushion cuspy 0.5 whilst the margin is sub-100bps at +97bps. 

Mezz/Equity CLO

USD CLO Mezz/Equity

There are 7 x BBB trades today in a 298dm-410dm range, our generic curve is 328dm which is right on new issue talk 320-330bps.  Solid performing BBBs with coupons > 300bps cover at their par ceilings, eg. SLVER 2014-1A DR which is callable and covers 100.06 at 334dm / 4.8y WAL – ADR 0.5, Sub80 0, MVOC 111.9 and Jnr OC cushion 2.5.  Whilst a bond with a similar EoRP (this year) AWPT 2014-2A DR with a comparable coupon of +320bps covers 98.36 at 356dm / 5y WAL – MVOC is 110.1, ADR is 1.1, Sub80 is 2.1 and Jnr OC cushion is 2.2 whilst ArrowMark’s manager record, especially from a default perspective is far worse than the manager of the SLVER bond, 40/86 Advisors.