AAA CLO

USD CLO AAA

25 debt covers today, across high grade and junior mezz, US LLI -3bp on the day with some mild softening at BB.  At the AAA level we are starting to see more bonds not hitting their par ceilings with around half of the 17 x AAA trades executing at a small discount.  The coupons on bonds hitting their par ceiling are north of 100bps with most of those bonds clearing at a discount from weaker managers with the exception of HAYFN 2018-8A A which covers 99.95 at 114dm / 3.8y WAL (coupon +112bps) with the only ‘weak’ metric its MVOC 151.6.  But this is the first day in some time we have seen a large percentage of AAAs not hitting their par ceilings, albeit very small discounts with VIBR 2018-8A A1A cover at the largest discount 99.85 (coupon +114bps).  Our generic AAA curve remains unchanged at 113dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

1 x AA trade MDPK 2013-11A BR2 with a low coupon (+145bps) covers 99.83 at 150dm / 3.7y WAL, our generic curve is 160dm with new issue in similar context explaining the lower callability and execution below par, metrics are also average on this bond.  7 x BB trades with a 11.5pt cash px dispersion with dm range also wide 568dm-883dm.  Our generic curve is 667dm with new issue guidance 625-700bps.  WINDR 2016-1A ER covers near par 99.5 at 568dm / 4.4y WAL (coupon +555bps) but the WAL (EoRP was mid 2020) and performance (MVOC 107, ADR 0.6, Jnr OC cushion 4.6) drive execution given the coupon is still south of new issue.  At the other end of the range is MP3 2013-1A ER that covers 88.00 at 883dm / 6.2y WAL (EoRP late 2022) carrying a +646bps coupon, however the MVOC is low 103.5 and Jnr OC cushion low 1.2 but it’s the manager’s weak performance record that is setting it apart on a number of key metrics.

AAA CLO

EUR AAA CLO

There are 3 x AAAs today. Penta 2 and Halcyon 2014 are in amortisation. All three bonds have traded between 127dm and 141dm.

Mezz/Equity CLO

USD CLO Mezz / Equity

US LLI was flat on the day and we saw limited liquidity with 1 x AA trade.  NEUB 2021-41A B covers 99.89 at 157dm / 8y WAL at our generic secondary level of 160dm.  This bond has a long 5y reinvestment period since it is a recent 2021 vintage with strong metrics (MVOC 131.5, 0 ADR, Jnr OC cushion 5.45%) and trades near reoffer (coupon +155bps).

AAA CLO

EUR AAA CLO

There are 4 x AAAs today. The older vintage bonds, with lower margins, have traded around 130dm. AlbaCore 1, 2020 vintage, with a high margin of 153bps traded at 195dm. Overall AAA spreads are unchanged.

Mezz/Equity CLO

USD CLO Mezz/Equity

A quiet end to the week with only 11 trades (all mezz/equity) whilst US LLI was largely flat on the day.  AA bonds trade with coupons 140bp-150bp at a small discount to par including a rare 2021 vintage TALPK 2021-1A B (Blackstone) that covers 99.75 at 154dm / 8y WAL (+150bp coupon) whilst our generic curve is 158dm with new issue in similar context.  Single-A’s trade at a discount to par ceiling in a 168dm-185dm range (lower coupons 165bp-185bp and clean bonds) with our generic curve 231dm and new issue in H100s-200area.  At the BBB level trading range from a dm point of view is 343dm-423dm (coupon structures 3-handle) with our generic curve 337dm and new issue 300a, GWOLF 2019-1A CR which is a refi hits par ceiling (coupon +365bps) with 0 ADR and a long reinvestment period out to 2026.  At the wide end today is OAKCL 2019-1A D (OakTree) CVR 97.5 at 423dm / 7y WAL with a high coupon +380bps (EoRP 2024) but fundamentals are weak (ADR 2.6 and Jnr OC cushion cuspy 0.5) impacting execution.  1 x BB trade today LCM 22A DR CVR 95.25 at 654dm (coupon +550bps) which is pretty close to our generic curve 663dm for BB.  The bond is relatively clean, but a slightly elevated ADR 1.2 and a weaker manager record vs peers impacting only slightly upon execution along with the limited callability likelihood.

AAA CLO

USD CLO AAA

A bumper day with more than 50 trades, US LLI +3bp on the day and most rating levels tightened.  Our AAA 1st pay generic curve remains at 114dm with bonds trading at par ceilings, one modest exception today is Shenkman’s RMRK 2018-1A A1 CVR 99.985 – credit factors are weaker on this bond with ADR high at 2%, Sub80 >2% and Jnr OC cushion cuspy at 1.2%.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA also trade at par ceilings with coupons as low as +130bps, our generic curve shifts tighter to 161dm, one outlier trade KKR 13 B1R which has a very low coupon for a AA +115bps covers at a small discount 99.86 at 120dm, credit performance is clean.  At single-A two bonds hit par ceilings, both very different – firstly MP18 2020-2A C is a 3.0 with high coupon +296bps and clean performance (callable in Sept) and GALXY 2018-29A C is a shorter dated bond (EoRP 2018) but given the deal is delevering MVOC is strong as well as key cushions, note coupon is low at +168bps which is inside our generic curve of 225dm.  BBB trade in a wide dispersion, 10pt cash px and 243dm-534dm.  A number of BBB trades trade at par ceilings with coupons typically well north of +300bps with a couple of short dated exceptions that have built up good buffer in terms of MVOC and key cushions (See PriceABS trade listing for full details).  At BB the dispersion is even larger, 12pts on cash px and dm range is 548dm-819dm with a range of profiles exchanging hands.  Three bonds that hit par ceilings all have coupons > 700bps with our generic curve 660dm and new issue in similar context.  A range of factors and combinations of variables including but not limited to MVOC, ADR, Jnr OC cushion levels and manager performance play a major part in the tiering.  At the wide end is STCR 2018-1A E (Steele Creek IM) CVR 88.41 at 805dm / 6.7y WAL – MVOC is low 104, ADR is high 1.5, CCC is high 11.7, Jnr OC cushion is at the low end 1.97 and the manager’s performance is weaker to its peers.  4 x single-B trades today, dm range is 910dm-1007dm and our generic curve shifts 7dm tighter to 925dm with the positive execution levels today.  CSAM’s MDPK 2014-13A FR covers 95 at 910dm / 5.7y WAL – MVOC is 104.1 which is at the low end of BBs, ADR is < 1%, CCCs are high but Jnr OC cushion is strong at 3% whilst the manager is benchmark.  See PriceABS trade listing for full details.

AAA CLO

EUR AAA CLO

There are 7 x AAAs today. Again there are 2 fixed rate bonds, with the same coupon as yesterday, which today traded around 170 over swaps which yesterday was 165 over. For the floaters the AAA sector looks to have softened a few basis points. They traded between 123dm and 146dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 2 x AA trades. Blue Mountain Fuji 4 is fixed rate and has a cleansing notice outstanding. It traded at par. Carlyle 2017-2 traded at 177dm which is quite a strong level considering it has a low Jnr OC cushion of 1.33%.

There are 3 x BBB trades today. They have traded around 300dm. The best value trade, according to our models, is the Carlyle 2016-1 at 320dm.

There are 2 x BB trades, Anchorage 3 is performing well and traded at 99.15 / 645dm. Jubilee 2016-17 is performing poorly and traded at 93.50 / 665dm (even though it has 100bps less margin).

AAA CLO

USD CLO AAA

More than 30 covers today, across the stack, US LLI +2bp on the day and we see overall some mild softening in seniors and lower mezz.  AAA trades dominated by 2nd pays (we had 2 yesterday), which all hit their par ceilings and trade in a 139dm-164dm range, the metrics of all of these bonds are relatively clean with Sub80 buckets < 1.7%.  Our generic AAA curve remains at 114dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

One x AA trade OZLM 2015-12A A2R CVR at par ceiling at 156dm / 2.4y WAL, the metrics on this bond are weaker but the margin structure of the bond (+160bps) means there is some inherent callability and small pick up to 2nd pay AAA.  Our generic AA curve is 165dm.  2 x BBB trades, coupon structures are 300-325bps which are cuspy for resets given new issue is in similar context (L300s) and our generic secondary curve lags this slightly at 336dm.  The bonds also suffer from some weaker performance, BLACK 2016-1A CR (Black Diamond) has an elevated ADR 1.8, Sub80 bucket >2%, CCC bucket > 7.5% (8%) and Black Diamond’s overall performance in terms of ADR is almost double the market average at 2.1%.  At BB, cash px dispersion is 10pts and dm range is 582dm-801dm with significant tiering driven by a combination of variables.  For instance, bonds with lower coupon structures (<550bps) and weaker MVOCs with elevated credit impairments like ADR and cuspy cushions do suffer from an execution point of view - CGMS 2014-2RA D CVR 91.37 at 699dm / 6.8y WAL – MVOC is at the low end 104.5, ADR is high 2.5, Sub80 2%, Jnr OC cushion is 1.5.

AAA CLO

EUR AAA CLO

There are 6 x AAAs today. Oak Hill 4 and Harvest 18 are fixed rate bonds and traded around par / 165a over swaps. Of the others Arbour 8 has an outstanding cleansing notice and so traded closer to par at 100.15 / 175dm. The other three traded around 100.40 / 160dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 8 x AA trades. Halcyon 2014 is in amortisation. CVC Cordatus 9 and Penta 3 have cleansing notices outstanding. The other 5 trades all traded around 170dm. CVC Cordatus 9 and Penta 3 traded closer to par at 185dm area. Halcyon 2014, in amortisation, traded a little wider than we expected at 193dm.

The single A trade is Harvest 14. This deal is also in amortisation and so traded tight for a single A at 187dm.

There are 2 x BBB trades today. North Westerly 5 traded at 356dm and Man GLG 5 traded with its customary spread premium at 391dm.

The only BB trade, Anchorage 1, has a cleansing notice outstanding and so traded closer to par at 99.47 / 553dm which would ordinarily be a very tight level for a BB.

AAA CLO

USD CLO AAA

>30 covers today across the stack, US LLI +4bp and slight softening across IG.  All 1st pay AAA hit par ceilings, notably coupons > 100bps with our generic curve 114dm.  3 x 2nd pay AAAs cover at a slight discount to par and trade in a 128dm-136dm range, these are great data points as are quite rare and in good sized clips of 3m each. 

Mezz/Equity CLO

USD CLO Mezz/Equity

1 x AA CRNPT 2020-9A B covers at par ceiling 100.04 268dm / 3.7y WAL (coupon +269bps), metrics are extremely clean on this 3.0 high coupon bond which is callable in 10 days time.  1 x single-A trade SRANC 2014-3A CR covers at a discount 98.29at 273dm / 4.9y WAL (bond coupon +235bps / EoRP 2022 / callable) – issue here is that the deal is a little impaired from a credit point of view, ADR is high at 2%, Sub80 bucket is high at 5.6% and Jnr OC cushion is lower at 1.8% whilst the manager Canaras is inexperienced with a weaker record to peers.  5 x clean BBB bonds cover at small discounts to par, bond coupons +295-345bps, new issue in L300s and our generic curve is 334dm so the bonds have some limited callability with the MVOC strong >111.  BB trading delta is 6pts and dm range is 614dm-768dm, our generic curve is 657dm.  MVOC drives tiering today with bond relatively clean and trading around our generic curve, with Shenkman’s JEFFM 2015-1A ER at the wide end 93.55 CVR at 768dm / 7y WAL – ADR is high 1.7 and Jnr OC cushion is cuspy 1.2.  2 x rare single-B trades today, dm range is 975dm-1065dm (bond coupon range +820-865bps), APID 2015-22A ER trades firmer 94.01 at 975dm / 8.2y WAL – metrics are clean all round (MVOC 103.5 / ADR 0.8 / Jnr OC cushion 3.04).  SHACK 2017-11A F from Alcentra, on the other hand, covers 88.21 at 1065dm / 7y WAL – slightly weaker metrics all round to the CVC bond (MVOC 102.9, ADR 1.1, Jnr OC cushion 2.1) whilst manager records are fairly similar to CVC.  Our generic BB curve is 932dm.

AAA CLO

EUR AAA CLO

The AAA trade today is the recent single tranche refi of CGMSE 2017-3 which traded at 100.07 / 117dm

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 5 x BBB trades today. Penta 3, which has a cleansing notice out, traded high at 99.82 / 311dm. Dryden 69 2018 has a high margin of 400bps and traded as expected at 100.28 / 421dm. The remaining 3 bonds all have low margins of around 240bps and traded wider than expected at around 300dm.

AAA CLO

USD CLO AAA

16 trades to kick off the week, whilst US LLI ticks up another +5bp on Friday close, we see tightening across the stack week on week.  All AAAs continue to hit their ceilings today and our generic curve is now 113dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

3 x BB trades, including a rare 2021 vintage CANYC 2021-1A E CVR 99.50 at 648dm / 10y WAL, away from this two other clean bonds trade 593dm-597dm (coupons +568bps) with strong cushions and MVOC >106 from benchmark managers Blackrock and Barings.  Our generic BB curve tightens into 656dm.

AAA CLO

EUR AAA CLO

4 x AAA trades today. They have traded between 115dm and 137dm which is around 5 bps wider than our curve and is in line with the widening seen in the primary market. All four bonds will become callable soon.

Mezz/Equity CLO

USD CLO Mezz/Equity

Just 3 mezz BB trades today, US LLI finishing up the week +4bp on the day and our generic BB curve shifting tighter to 665dm.  Trading range today is 514dm-611dm for very clean bonds with coupon structures < +530bps, whilst new issue is in similar context to our generic curve.  MVOC levels tier execution levels from a cash px point of view along with the strength of certain diversion tests like Jnr OC cushion.  STWRT 2015-1A ER trades softer at CVR 95.69 at 611dm (+528bps coupon) – MVOC is at the lower end of the trades 105.5, Jnr OC cushion is 2.4 which again is at the lower end of the trades today but still healthy.  Execution is almost 2pts back in cash px terms to a similar profile bond NEUB 2018-27A E (CVR 97.45 / coupon +520bps and same EoRP 2023) which has a MVOC of 106.9 and Jnr OC cushion 3.3.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are just 2 x BB trades today. Halcyon 2016 traded at 685dm and Carlyle 2020-1 at 638dm. The Halcyon bond has a lower MVOC and Jnr OC cushion. Both these traded spreads could indicate the BB curve has widened recently.

AAA CLO

USD CLO AAA

45 covers today, predominantly mezz.  US LLI was largely flat on the day and AAA levels flat too as bonds continue to hit their par ceilings.

Mezz/Equity CLO

USD CLO Mezz/Equity

For mezz, we see a little tightening today.  AA bonds trade around par as bonds with coupons < 160bps trading at a slight discount given less inherent callability.  Our generic AA curve is 169dm and new issue in similar context.  At single-A our generic curve is 221dm (new issue L200s area) with good execution today as bonds with coupons <200bps (165bp-175bp) trade at or a slight discount to par which is potentially a sign the market is pricing in further tightening at this rating.  23 x BBB trades, with a 4pt spread in cash px and dm range 273dm-511dm, new issue is talked L300s and our generic BBB curve is 356dm.  Bonds with coupons > 400bps trade at their par ceilings whilst the remainder of bonds are tiered according to multiple factors including credit, loan pricing and manager performance.  At the wide end is MCLO 2013-5A CR, an original BBB and now B+ rated CVR 96.06 at 376dm / 4.3y WAL, this deal is delevering and performance has been impacted due to the inability to switch credits – ADR is high 2.8, Sub80 is high 7.7, CCC is high 20.6, Jnr OC cushion is negative and the bond is PIKing.  At BB there is a 7pt spread in cash px and dm range is 557dm-833dm, our generic curve is 669dm with an array of credit factors and loan pricing influencing execution.  Weakest execution is OAKCL 2019-1A E CVR 91.75 at 833dm / 7.5y WAL – ADR is high 2.6, MVOC is at the low end 104.1 and Jnr OC cushion low at 0.5.  2 x single-B trades today, dm range is 915dm-968dm which is around our generic curve of 930dm.  Bond coupons on today’s trades are 760bps-825bps so well inside market levels, whilst the bonds themselves have clean metrics.

AAA CLO

EUR AAA CLO

Just 4 x AAA trades today. They have traded between 122dm and 154dm which is around 1 to 2 bps tighter than our curve. All four bonds will either become callable soon or recently became callable.

AAA CLO

USD CLO AAA

Just over 30 covers today as liquidity starts to pick up following the holiday weekend, there are trades across the capital stack, whilst US LLI +4bp on the day.  AAA hit their par ceiling with 2 bonds trading at a slight discount given a combination of low MVOC and credit deterioration, particularly the impact of loan price migration in the underlying to below 80 and the manager records (Vibrant and Nassau) below average.  We maintain our AAA generic curve at 117dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

At the AA level our generic curve is 170dm, whilst BMMC 2019-1A A2A covers at it’s par ceiling given the coupon structure (+270bps), whilst OCT21 2014-1A A2R3 covers at a discount 99.70 at 146dm.  At single-A our generic curve is 223dm and there is one bond OCT21 2014-1A BR3 that lags the others with a CVR 99.36 at 185dm (EoRP 2024), notably the coupon is low +175bps and cushions a little weaker than peer bonds that trade at par ceilings.  At BBB the trading range is 281dm-410dm and our generic curve tightens into 360dm, MVOC and Jnr OC cushion levels have a pronounced effect on execution levels at this end of the spectrum, especially as MVOC dips below 110.  At BB the trading range is 10pts in cash px terms and dm range is 622dm-819dm given the plethora of profiles trading today.  Our generic curve remains at 666dm, ARES 2016-40A DR covers closest to par at 99.38 – strong MVOC 105.2, low ADR 0.6, Sub80 low 1.2 and bond coupon +635bps (EoRP October this year so shorter WAL).  At the other end of the trading range is SNDPT 2013-1A B2R CVR 89.78 at 755dm / 6.5y WAL – lower MVOC 104.5, ADR higher 1.05, bond coupon lower at +550bps and manager record (Sound Point) weaker to peers including Ares (above).

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The one AA trade, CVC Cordatus 11, is a fixed rate bond and traded at 99.68.

The only single A trade, St Pauls 4, traded higher than our model predicted at 99.75 / 224dm. For us this is about 20bps tighter than our prediction.

The two BBBs traded just over par at approx. 335dm. Both of them are not callable.

AAA CLO

USD CLO AAA

11 trades today, all at the senior end with 10 x AAA 1st pay.  All AAA bonds trade as we have seen for some time now, at their par ceilings including bonds with coupons into the mid-90s.  US LLI continues it’s ascent with +2bp on the day and our generic AAA curve flat on the day at 117dm. 

Mezz/Equity CLO

USD CLO Mezz/Equity

One AA bond ALM 2016-18A A2R covers at par ceiling 163dm / 3.2y WAL, coupon is +165bps and our generic AA curve tightens slightly to 174dm.

AAA CLO

EUR AAA CLO

There are 4 x AAA trades today. They have all traded between 120 and 122dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 3 x AA trades, which traded in MH100s dm. Contego 2 traded the tightest at 145dm and this deal is in amortisation and the AA has been upgraded to AAA.

AAA CLO

USD CLO AAA

As expected a quiet finish to month end with the Memorial Day weekend ahead.  Two AAA bonds trade at their par ceilings (coupon +115-125bps) with clean metrics all round.  We have shifted our generic secondary curve into 117dm for month end.  US LLI is +2bp on the day and +36bps on April month end. 

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Catching up on 28 May trades the only AA, Richmond Park, traded at 99.55 / 202dm. This is about 10bps wider than our AA curve.

In single A’s Toro 4 traded at 99.25 / 266dm.

There are 4 x B trades. Spreads are in H800s dm apart from Sculptor 2 which traded at 924dm. This one does have a slightly weaker performance than the other bonds.

Mezz/Equity CLO

USD CLO AAA

30 trades today ahead of a slowdown due to Memorial weekend.  All mezz and US LLI was flat on the day, we see a little tightening effect on single-Bs.  At single-A our generic curve is 219dm whilst new issue is as tight as 180a for shorter refi and new issue in L200s context.  As such, bonds with coupons lower than 200bps struggle to hit par ceilings, whilst there is an outlier trade ZAIS8 2018-1A C CVR 96.41 at 262dm / 4.5y WAL – MVOC is low 115, ADR is extremely high 4%, Sub80 bucket is also high at 4.6%, CCCs are high at 8.9%.  At BBB there is a 5pt dispersion in cash px and dm range is 266dm-494dm whilst our generic curve is 365dm and new issue in L300s context.  Bonds with coupons <300bps struggle to hit their par ceiling and credit effect on those bonds with coupons >300bps impacts upon execution.  At the wide end is MCLO 2019-1A C CVR 95 at 494dm / 7y WAL where coupon is +407bps with an EoRP 2024 and the bond is callable – but ADR is high 2.3, Jnr OC cushion is weak at 1.6 whilst the manager’s record is particularly weak vs peers impacting upon execution price.  At BB the dm range for trades today is significant 545dm-811dm whist our generic curve widens very slightly to 663dm, new issue is in similar context perhaps slightly tighter 640-650a.  Bonds with a 6-handle coupon and good performance cover close to par whilst those bonds with minor deviance in MVOC <105 tend to trade at a more pronounced discount with the severity driven by ADR or Jnr OC cushion performance.  MDPK 2016-22A ER covers at it’s par ceiling (+670bps coupon) and has a 106 MVOC, low ADR 0.5 and strong Jnr OC cushion >4%.  A single-B there is a very short dated bond BABSN 2014-IA E which covers MH90s at 675dm which is more in line with BBs but the WAL is very short at 2.95y as the deal is delevering but despite that MVOC and Jnr OC cushions are strong.  There are 2 further trades in 90-L90s area 882dm-985dm and we tighten our generic curve into 943dm, with very little primary supply of this rating band there is good execution in the secondary market for 1-2m clips.

AAA CLO

EUR AAA CLO

There are 2 x AAA trades today. Vendome 2020-1, which has been reset for value 20 July 2021, traded at 100.28 because of its high margin of 186bps. Purple Finance 2 traded at 100.13 / 136dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only AA trade, Black Diamond 2015-1, traded at 99.92 / 167dm. The deal is in amortisation.

There are 5 x A covers which have all traded in 230dm to 250dm range.

Of the 4 BBB’s Contego 2 is in amortisation and traded at 100.20 / 269dm. The other three all traded around 350dm with the wide trade being Jubilee 2016-17 because of its low MVOC and Jnr OC cushion.

The only BB trade, BNPP 2018, traded at 98.92 / 591dm.

There are 8 x B trades. They have mostly traded in L800s DM although ALME 4 traded at 725dm. The weakest bond for credit is the Bain deal, Newhaven 2, but even so that traded at 813dm.

AAA CLO

USD CLO AAA

More than 40 covers today across the capital stack.  US LLI is largely flat on the day (+1bp) and we tightened our curves slightly across all ratings.  AAA 1st pays hit their par ceilings and do so for bonds with coupons as low at +96bps (BCC 2018-1A A1) as we have also seen this week.  Furthermore we have another 2nd pay datapoint CANYC 2014-1A A1BR covers at a discount 99.76 at 121dm given it’s particularly low coupon +117bps.  We have tightened our curve to 120dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade 125dm-180dm and we tighten our generic curve by 2dm to 173dm, margin structure drives execution with a low coupon +118bps on HLM 7A-2015 BR resulting in weaker execution given less implied callability at 99.78 at 125dm.  Our single-A curve also tightens 2dm to 219dm, one outlier today (converges away from par) is VENTR 2018-31A C1 CVR 98.95 at 216dm (coupon +195bps) with the manager’s record weaker to peers and some negative migration in credit / MVOC.  Our generic BBB curve tightens to 366dm whilst in new issue APIDOS CLO XXVII Refi BBBs are talked inside 300bps at 280a, OFSBS 2018-1A D covers 95.56 at 403dm / 6.2y WAL (EoRP 2023 / coupon +320bps) with the discount driven by a weaker MVOC 109.2 and a weaker Jnr OC cushion to peers 2.2% whilst the manager OFS is inexperienced with a record much weaker than peers.  BB trade as usual with significant tiering with a trading range of 577dm-774dm whilst we tighten our curve into 660dm today whilst CARVAL CLO IV BBs are talked 620-635bps.  Credit performance and MVOC drive tiering with WOODS 2017-16A E at lowest cover of the day 95.21 at 746dm / 6y WAL – MVOC is low at 104.8, ADR is elevated 1.2, CCC is above threshold 7.6 whilst the manager Angelo, Gordon’s default record much worse than peers.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 7 x orig BB trades, although one has been downgraded to single B (Dryden 35 2014). All apart from Madison Park 7 have traded well. Madison Park 7 traded cheaper than we expected (94.73 / 607dm) but then again it has been callable for some time and is a low margin bond. Voya 2 has a cleansing notice issued and traded at 100.00 / 616dm. The range of traded spreads is from 607dm to 669dm.

AAA CLO

USD CLO AAA

Close to 70 covers today across all rating bands with US LLI continuing its ascent (+4bps on the day) and we observed some tightening across BBB and BB.  All AAA bonds hit their par ceilings with coupons as low as +95 with EoRP into 2023 and post NC, so market is expectant of further tightening.  Our generic dm curve is 121dm with Canyon Cap’s new issue pricing AAAs at 118bps end of last week.

Mezz/Equity CLO

USD CLO Mezz/Equity

One AA bond doesn’t hit the par ceiling, OCT17 2013-1A BR2 CVR 99.83 at 144dm / 4.7y WAL – the margin is ‘low’ at +140bps, MVOC is at the lower end 127, CCC are elevated 6.2%, ADR is elevated 1.1 in comparison to another Octagon bond OCT48 2020-3A B (coupon +185, MVOC 131, ADR 0, CCC 3.2) CVR at 100.31 at 179dm.  Note our generic curve is 175dm with a Northwoods reset small AA strip being marketed at 140a context.  A similar theme for single-A with 3 bonds executing at small discounts to par, the coupons on these specific bonds are at the lower end 175-185bps and MVOCs dipping below the 120 mark, our generic curve is 222dm for single-A with new issue being marketed 210a context.  At BBB also a similar story, 6 bonds hit their par ceilings and these all have coupons >375bps with MVOC >112%, whilst a number of bonds with margins of 250-295bps (& lower MVOC 110-112) cover at a slight discount to par, our generic dm curve does tighten to 367dm whilst new issue is marketed in L300s context to put this into perspective.  As we have seen for a while, BB’s trade with significant tiering with cash px dispersion of >13pts and dm range 592dm-889dm today.  3 bonds hit their ceilings, 2 of which have high coupons >700 (vs our tighter generic curve 664dm).  For the remainder of bonds the coupons are either cuspy for a reset or are well below new issue levels and tiering is driven by MVOC and multiple credit factors, for instance SNDPT 2013-2RA E (coupon +600bps) CVR px is 88.64 at 889dm / 5y WAL (EoRP has just passed in April) and the MVOC is 102.6, ADR is high at 1.5, CCC is high at 10% and Jnr OC cushion is cuspy at 0.97.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just two lower mezz traded today. The only BB trade, Dryden 59 2017, traded at 96.68 / 542dm.

The only single B, Arbour 7, traded at 99.30 / 893dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

13 covers today, all low mezz/equity including 2 highly distressed bonds.  BB trading range is 573dm-815dm with BLUEM 2013-1A DR high coupon +750bps with most favourable execution px of 98.06 at 801dm / 4.63y WAL, the ADR is high 1.8, WARF is high 3440 and Jnr OC cushion is cuspy at 1% otherwise this bond would have traded near par given the strong cashflow.  At the other end is LCM 26A E (lower coupon +530bps) CVR 91.79 at 691dm / 6.5y WAL with a similar MVOC and better performance metrics all round, but risk adjusted cashflow is lower given the coupon and hence impacts upon execution.  We have our generic BB curve at 668dm and this bond is close to that but the margin is well below new issue context (in mid 600s context) so callability likelihood is low.  One single-B trade LCM 14A FR (EoRP 2023 and coupon +761bps) CVR 81.11 at 1118dm / 8.5y WAL – MVOC is cuspy 101.9 and Jnr OC cushion is also cuspy 1.2%.  This is wide to our generic curve 959dm given the weaker key metrics and the manager’s profile has been weaker in terms of managing to key tests like Jnr OC cushion despite managing to a good default record.  In terms of the 'distressed' bonds that trade today, HLA 2013-2A D is original BBB (now B1 rated), EoRP 2017 with the deal highly delevered (the D tranche is 2nd pay as it stands) and MVOC is 100.4 with the tranche still current (E tranche below is PIKing), this is a legacy position with the tail of collateral in run off and trades at cover of 85.03 at 1788dm / 1.2y WAL.  HLA 2014-2A D is original BB (now Caa3) 'highly distressed' with EoRP 2018 and deal delevering as well with the D tranche sitting in the middle of a 6 tranche remaining structure, the bond has a PIK balance with 4Q with deferred interest but has paid its coupon on the April IPD, the MVOC is 81.91 on this Bardin Hill CLO which covers at a px of 24.54 which translates into a 5000dm+ bond with an equity type profile.

AAA CLO

EUR AAA CLO

Just 1 x AAA trade today. Invesco 1 traded at 99.95 / 107dm.

AAA CLO

USD CLO AAA

Plenty of trading today with >35 covers across the stack with levels softening a touch across senior and some mezz.  The US LLI in contrast climbed 8bps on the day.  All 1st pay AAAs trade at par ceilings and we have shifted our generic curve slightly wider to 121dm, not also the wider primary print from Canyon Cap at 118bps / AAA with a long EoRP 2026.  There was a rare 2nd pay BLUEM 2017-3A A2 that covers at a discount 99.66 at 121dm / 6.6y WAL which is the tightest 2nd pay trade seen this year in dm terms but given the margin is very low (+115bps) this is more or less in line with a comparable Aegon AM managed bond CEDF 2018-7A A2 last month that covers 124dm / 6.3y (margin +113bps). 

Mezz/Equity CLO

USD CLO Mezz/Equity

Single-A bonds hit par ceilings again, with one exception AWPT 2014-2A CR (ArrowMark) CVR 99.98 at 221dm / 5y WAL with MVOC (117.8) lagging the YCLO 2014-1A CRR comparable bond that trades 100.05 (MVOC 121.9), all other factors are fairly comparable.  Our generic curve does shift wider to 221dm.  At the BBB level, trading activity has been firm and our generic curve is 375dm, Canyon Cap’s new issue prices 305bps this week.  Weaker MVOC on WINDR 2018-2A D and CANYC 2014-1A CR back up their execution prices which are discounts to par, all other metrics are in line with both managers fairly in line with their peers from a historical perspective.  At the BB end, there is a 7pt dispersion in cover prices across a 2pt dispersion in MVOC so credit factors and manager profiles have a significant say in tiering.  To showcase this there are two x bonds with similar reinvestment profiles, at the tight end is CIFC’s CIFC 2018-3A E (coupon +550bps) CVR 98.51 at 577dm / 6.8y WAL – MVOC is strong 106.7, ADR is low 0.3, Sub80 is low 0.7, CCC is in line 5.7, Jnr OC cushion is strong 4.5% whilst CIFC is a benchmark manager.  At the other end of the scale is First Eagle’s WINDR 2014-2A ER (coupon +575bps) CVR 91.75 at 739dm / 6.5y WAL – MVOC is weaker 104.4, ADR is higher 1.03% and Jnr OC cushion is half of the CIFC bond at 2.1% and First Eagle’s manager record is weaker than average from an ADR point of view which is highly relevant at this end of the capital structure.  Our generic curve has widened to 671dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

5 x mezz debt covers today and 6 x equity.  The US LLI index jumped 5bp on the day and we saw some small tightening effect in BBB and BB.  BBB bonds all hit their par ceilings and trade 238dm-266dm, the 3 bonds that trade all have short WALs (EoRP 2019/2020) with coupons below prevailing new issue and strong MVOCs (117-121) given the level of delevering effect in the respective high quality deals (cushions and credit strong) from Blackstone and First Eagle.  These are quite different from some recent comps where the inability to trade the underlying has led to a negative credit shift in the underlying – please see PriceABS trade listing for full details.  At the BB end we also have high quality bonds that trade nearer to par, CEDF 2014-4A ER (EoRP Jul-21) which has a shorter WAL 5.3y covers at par and has a coupon +636bps with strong credit (ADR 0.9, Jnr OC cushion 3.8, Sub80 0.9) and MV metrics (MVOC 106) with prevailing new issue close to the coupon on this bond and our generic secondary curve at 655dm.  OCT39 2018-3A E covers at 98.96 at 594dm / 7y WAL (EoRP 2023), coupon +575bps and credit and MV metrics are strong hence the margin structure and longer WAL impact upon execution price.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Quite a few lower mezz traded today. There are 5 x BB trades. 4 of them traded in the MH500s dm but Jubilee 2016-17 traded at 660dm. The Jubilee bond is in fact by far the worst condition with a low MVOC and Jnr OC cushion. Blue Mountain Fuji 2 traded at 100.22 / 569dm and has the highest MVOC and Jnr OC cushion, but according to our valuation model this is still a rich price. We see BBs as widening over the last 2 days of trading.

There are 5 x B trades. These have traded between 750dm and 930dm. Toro 3 traded well at 99.15 / 813dm in spite of having the lowest MVOC and Jnr OC cushion of all the bonds traded.

AAA CLO

USD CLO AAA

18 covers today across the stack with all AAA bonds hitting their respective par ceilings, with bond coupons >100bps.

Mezz/Equity CLO

USD CLO Mezz/Equity

One x AA bond KVK 2016-1A BR hits it par ceiling (coupon +200bps) with new issue tighter 150-170 context / our generic secondary 175dm and the bond callable.  2 x single-A bonds also hit par, coupon range is 220-225bps and new issue in H100s context and our generic secondary level 214dm.  Three BBBs hit their par ceiling, with the margin structure driving this for two of these (coupons 370-390bps) and short WAL 2.4y driving it for the other WSTC 2014-2A CR.  With new issue in H200s-300a context the higher coupon bonds have a high call likelihood, CIFC 2019-6A D has a high coupon +395bps with NC end of 2021 with excellent performance to date and as such risk adjusted cashflows are strong with a CVR 100.89 at 381dm / 7.8y WAL (EoRP 2025).  A large dispersion in execution at BB today, at one end of the spectrum is JFIN 2013-1A DR (Apex) CVR 98.00 at784dm / 5.2y WAL (EoRP 2022), coupon is high at 737bps and all metrics clean aside from a high ADR 3.3 but the MVOC makes up for it at 109.  At the other end is JTWN 2014-5X E (Investcorp) with CVR at 89 at 910dm / 3.2y WAL.  This deal is delevering since past its 2019 EoRP and metrics are suffering due to the inability to trade the underlying – MVOC is cuspy 102, ADR is 2, Sub80 is 3.7 and Jnr OC cushion is -1.3 whilst the bond is not PIKing itself the immediately subordinate note is PIKing along with Equity.  Our generic secondary curve widens slightly to 656dm.

AAA CLO

EUR AAA CLO

There are 4 x AAA trades today. They have traded in L100s dm. Black Diamond 2015-1 is in amortisation and is only a 1yr WAL and traded at 111dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are also 4 x B trades. Contego 2 is in amortisation and the single B traded at 690dm. The other three traded around 800dm. All four bonds are out of their NC period.

AAA CLO

USD CLO AAA

A more active day with 40 covers across all rating levels.  AAA bonds hit par ceiling with CSAM’s MDPK 2016-20A A2R slightly shy of par at 99.99 – this bond is a 2nd pay AAA and notably the CCC level is elevated on this deal at 10.5% whilst other metrics are strong.  Our generic AAA curve remains at 116dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

1 x AA trade TRNTS 2018-9A B1 which hits par ceiling at 194dm / 5.8y WAL – this is callable given NC is in the past and coupon is +195bps with new issue in 150-170bps context.  1 x single-A trade too and it also hits the par ceiling, SEVEN 2016-1A BR 199dm with coupon +200bps, new issue is in 200bps context (our generic secondary curve is 214dm) but since this deal is delevering it is the shorter WAL and good risk adjusted cashflow that is pulling this to par.  At BBB the new issue market is in H200s-300bps context, there are a number of 3.0 bonds today with high coupons (>400bps) and strong credit profiles that have high callability and hit par ceilings.  For the remainder of trades the migration of certain credit parameters eg. predominantly ADR and Sub80 buckets along with MVOC and manager profile drive tiering, at the wide end for instance is ZAIS7 2017-2A D CVR 88.2 at 647dm with a lower than average MVOC 107.3, high ADR 2.4, high Sub80 assets 5% and a weak manager profile.  At BB there is a 12 point spread in cash price terms amongst execution today.  DRSLF 2014-36A ER2 covers at par, with a high coupon +688bps and reasonable metrics the strength of the manager profile has a large part to play here, MVOC is healthy at 105.2 whilst the bond is callable from June.  At the other end of the scale is ATCLO 2018-12A E (Crescent Cap) that covers at 88 which translates to 817dm / 7y WAL, here the margin on the bond is low +595, MVOC is low at 103.8, Jnr OC cushion is low 1.8 and other metrics not far back from the PGIM bond, however the manager record is weak and callability is low.  Our generic secondary curve for BB is now 650dm.  3 x originally rated single-Bs trade today which are valuable data points, cash prices are in early 90s and dm range is narrow 915dm-925dm whilst our single-B curve remains flat at 939dm.  The bonds that trade today have clean metrics with ADRs 0.5-1%, Sub80s at good levels 1.6-2.6 and Jnr OC cushions of >1.9% with coupons 727-764bps so risk adjusted cashflow is strong for bonds now rated CCC.

AAA CLO

EUR AAA CLO

There are 8 x AAA trades today. AAAs look like they have widened by around 5 to 6 bps.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only AA trade, ALME 4, traded at 100.00 / 156dm.

There are 5 x BB trades. They have traded in MH500s dm. On average it looks like these BBs have retraced an apparent tightening that the trades of a few days ago seemed to show. Only one of these trades has poor credit metrics, Jubilee 2017-19, which has a low MVOC and low Jnr OC cushion. All of these trades have been callable for a long time and being priced to a low probability of call.

AAA CLO

USD CLO AAA

Trading activity today was concentrated at both ends of the capital stack, with seniors and low mezz.  AAA bonds all hit par ceilings with our generic secondary curve unchanged at 116dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

4 x BBs trade in a tight range today from a dm perspective 647dm-707dm, MVOCs on these bonds are all in the 104 region with tiering driven by manager profile but also ADR levels.  For instance VOYA 2016-4A E2 trades at the highest cover 98.79 at 696dm and has a low ADR 0.5 and good cashflow from a ‘higher coupon’ +665bps, whilst TICP 2018-3R E covers lower 96.65 at 678dm whilst the ADR is 4x higher 2.2 and cashflow is lower +590bps so risk adjusted return is weaker overall, our generic secondary curve for BBB remains flat at 371dm.  1 x single-B trade today, MVEW 2019-1A F (Seix) CVR is 97.1 at 944dm which is right at our generic secondary level of 939dm, credit performance on the deal is clean, manager performance is slightly weaker to peers and MVOC is healthy at 104.5 with strong cashflow with a margin +870bps.  This feels like an archetype single-B bond despite the current rating of Caa1, Jnr OC cushion is strong at 3% so little prospect of interest diversion with equity yield strong.