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.

Mezz/Equity CLO

USD CLO Mezz/Equity

A quiet end to the week with US LLI +7bp on the day.  Our IG generic curves have widened a little on the week, AAA 116dm, AA 173dm, A 217dm with SubIG reasonably flat WoW. Just two trades today, both are ‘higher’ margin BBBs (310/355bps) that trade at their par ceilings, new issue BBBs in H200s-300a context and generic secondary levels firm as mentioned.  AIMCO 2019-10A D is callable with high margin +355bps (NC April 2021) and credit performance very clean, ARES 2015-2A DR also has very clean metrics but NC is Jan-2022 but covers 100.07 at 309dm (EoRP 2025) as more evidence that the market is pricing in stability at this rating level through the end of the year.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are a bunch of mezzanine trades today. The BBB is Halcyon 2016 which traded 98h / L400s dm. It does seem wider than our model predicted but that could be because spreads have widened  by 10bps or it could be because the deal does have a low MVOC / Jnr OC cushion.

The 4 x BBs all traded very well, around par price / 650dm. This does look like a tightening of the BB curve of around 10bps.

The Single B, Arbour 7, traded at 99.15 / 895dm which could perhaps indicate a slight widening in the single B curve but one trade is not enough to draw a conculsion.

AAA CLO

USD CLO AAA

Heavy lower mezz supply today into a 5bp rebound in US LLI on the day with tone relatively mixed and tiering significant.  4 x AAA trades all hitting their par ceilings, CIFC 2020-1A A1 at 100.26 163dm is highly callable with NC just passed and with a AAA coupon of +170bps and excellent performance mainly given the 3.0 nature of the deal.  Our AAA generic curve is 112dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

16 x BBB trade in a 261dm-447dm range, new issue is in H200s/300bp context and bonds with coupon > 300bp with strong MVOC >110 cover at par ceilings.  With the remainder of trades there is significant tiering effect driven by MVOC and credit effects mixed with some manager tiering.  CGMS 2013-4A DRR trades lowest in cash px terms 93.5 at 389dm, driven by the effect of the ‘lower’ coupon +265bp coupon but also MVOC is low 108, ADR is high 1.6 whilst Carlyle’s record is a touch lower than its peers.  Our generic secondary curve is 369dm.  At the BB end, we tightened our generic curve slightly to 644dm (similar to new issue context), we observed 9 trades in a 522dm-734dm range.  2 bonds that hit their par ceiling both have coupons > 670bps so have inherent callability despite NC periods 2-8 months away, this is a positive tone for the market in the short-medium term.  For the remaining bonds, margin structure has less impact and instead credit and manager profiles are key drivers, WELF 2017-2X D covers at weakest level 97.4 cash px 734dm / 5.5y WAL – low MVOC 105, high CCC 9.4 and Jnr OC cushion is at the lower end 1.9 with Wellfleet’s performance lagging peers slightly.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 2 x AA trades today. Aurium 4 is callable and traded at 149dm. RRE 3 is still in its NC period and traded at 178dm.

There are 4 x A trades. They have traded in the low 200s dm. GLG 4 is the wide trade at 240dm.  

There are 8 x BBB trades. They have trades in MH300s dm. Grosvenor Place 2015-1 traded at 292 dm but the deal is amortising which explains this.

There are 5 x BB trades. These traded H500s to 600a dm. The wide trade is Harvest 11, at 613dm, which does have poor credit metrics.

There are 7 x B trades. These have traded around 800a dm. This does look like a widening, to us, of around 10bps.

AAA CLO

USD CLO AAA

We observed 30 trades today and US LLI retreat 2bps on the day with some mild softening across mezz.  One AAA trade OZLM 2018-18A A CVR at par ceiling 99.99 (coupon +102bps) at 102dm / 3.7y WAL – metrics are clean from this CLO from Sculptor.  Our generic secondary curve is 111dm for AAA.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA bonds also hit their ceiling (coupon structures +240-250bps) with new issue in 160bps context and our generic secondary curve 173dm.  At single-A all bonds hit their par ceiling aside from ICG 2014-3A B1RR (ICG) that covers 99.75 at 190dm / 5.5y WAL (EoRP 2023).  It is indeed the coupon of the bond (+185bps) that has driven execution with new issue in 200bps context and our secondary curve 214dm, this bond does not share the same callability likelihood as other bonds that trade today at par ceilings carrying coupons of 215bps+.  At the BBB level two bonds are closest to their par ceilings, coupon structures are +300-360bps on these with new issue in late200s/300bps context they are callable.  The remaining 4 x BBB trades are at larger discounts to par whilst these have coupons <300bps.  OCT35 2018-1A C trades 98.45 289dm / 6y WAL which is the most significant discount to par (+260bps coupon) with ADR high at 1.5, CCC high at 9.5.  Our generic secondary curve is 367dm.  At the BB level our generic curve softens slightly to 647dm whilst credit and MVOC play a major part in execution, NEUB 2017-26A E covers 99.28 604dm / 6.3y WAL (coupon +590bps) with MVOC 107.3 and low ADR 0.8 and very strong Jnr OC cushion 4.2.  Conversely SNDPT 2017-2A E covers 89.52 at 837dm / 6y WAL (EoRP 2022) with a similar coupon +610bps – MVOC is cuspy at 103, ADR is high 1.6 and Jnr OC cushion is low at 1.4.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 2 x AA trades today. Aurium 4 is callable and traded at 149dm. RRE 3 is still in its NC period and traded at 178dm.

There are 2 x Orig A trades. Both traded around 205dm.

There are 4 x orig BBB trades. Sorrento Park has delevered substantially nad has been upgraded to single A. It traded at 290dm. Grosvenor Place 2015-1 has also started amortisation but has not paid down so much and traded at 294dm. Toro 3 and Northwoods 19 both traded in the H300s/VH300s dm.

The only BB, Jubilee 2014-14, traded at 99.59 / 513dm. This is a tricky one to analyse. On the one hand the deal is in amortisation, on the other hand, in spite of this, it has a low Jnr OC cushion of only 0.02%.

AAA CLO

USD CLO AAA

24 covers today across the capital stack, whilst US LLI lost 5bp on the day.  AAA bonds hit ceiling levels with 3.0 bonds (2020 vintage) trading 100.30 and highly callable (NC last month).

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trades also hit their ceiling, with a ‘tight’ OCT14 2012-1A A2RR (+150bps coupon) CVR 100.05 at 149dm (EoRP 2022) with new issue in 150-170bp context, our generic secondary curve is 171dm.  Two single-A trades today, with one trading at a discount, LCM 26A C covers 99.06 at 199dm / 5.3y WAL – coupon is +180bps with new issue 180-200bps context and our secondary curve slightly wider to this at 208dm.  The metrics on this bond are a little weaker whilstthe coupon (as mentioned) is cuspy for reset, hence suffered – MVOC 116.3, ADR is 1%, Jnr OC cushion is low 1.6 and LCM’s manager record is weaker to peers.  At BBB, new issue is in late 200s-300a context whilst our secondary curve is wider at 371dm reflecting the disparity between primary and secondary at this mezz rating grade. 

TIA 2017-2X D covers weakest 94.76 given the margin structure (+260bps coupon), inexperienced manager (4 x CLOs under management) with slightly below performance metrics, MVOC is lagging at 108.5 and Sub80 asset bucket is high at 3.3%.  Trading range today is 298dm-405dm with the wide end of this range a 3.0 bond FCO 2020-13X D which is highly callable with a coupon of +405bps.  At BB, trading range today is 599dm-768dm, whilst our generic secondary curve widens slightly to 645dm.  MVOC drives tiering with coupon structure having less of an influence, at the wide end is JEFFM 2015-1A ER CVR 93.52 at 768dm / 7y WAL – MVOC is low at 104.5, ADR is elevated 1.7, Sub80 also elevated 2.8 and Jnr OC cushion is cuspy at 0.97 with little in the way of call likelihood given the margin is +645bps, credit weakness and Shenkman’s weak manager record.

AAA CLO

EUR AAA CLO

There are 2 x AAA trades today. They have traded around 100.30 area / 120dm area. This looks like a tightening in the AAA secondary curve of around 4bps.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 3 x BBB trades today. They have traded wider than we expected, by around 10bps. It’s hard to tell if this represents a spread widening or not since two of them are quite distressed for credit. Jubilee 2014-11 and Accunia 2 both have low MVOCs and low Jnr OC Cushions.

There are 3 x BB trades. Toro 2 is in amortisation. Even though this is the case it still has a low MVOC and Jnr OC Cushion. It traded at 98.96 / 614dm. Cairn 10 traded at 565dm. St Pauls 9 traded at 96.06 / 606dm which was a couple of points cheap to our model.

There are 4 x B trades. They have traded in a 750dm to 820dm range. From a rich/cheap analysis point of view the pick of the trades looks to be CVC Cordatus 10 which looks around a point cheap to our model valuation.

AAA CLO

USD CLO AAA

US LLI continues its climb (+6bps on Friday close) with only a handful of trades today, all AAA.  Our AAA generic curve remains unchanged at 109dm.  Trades all hit their ceiling with the premium driven by the margin structure of the bond, ICG 2019-1A A1A has a ‘high margin’ and strong cashflow +138bps to NC (July 2021) and covers at 100.41 at 130dm / 5.2y WAL.  At the other end of the scale is TRNTS 2016-5A ARR (lower margin +103bps) with CVR 100.02 at 102dm with the bond post NC and delevering so has a shorter WAL 1.6y (EoRP 2020) which is the key driver of the duration and execution price, given limited window to call this bond before it pays down in full.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just the one BBB trade today. Barings 2014-1 traded at 99.92 / 320dm.

AAA CLO

USD CLO AAA

A quiet end to the week with 8 trades, predominantly senior with US LLI continuing its ascent +3bp on the day.  AAA hit par ceilings all around, even coupons as low as +98bps (SPEAK 2015-1A AR2 CVR 100.10 at 93dm from Orix).  Our AAA generic curve is 109dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade identically to AAA and also hit their ceilings, with new issue 150-160bps context and our generic secondary curve 171dm.  TICP 2017-9A B with coupon +160bps covers at 100.06 (159dm / 4.8y WAL) with the bond callable and the margin suggests it is cuspy for a reset, implying the market expects to tighten, the bond has clean metrics all round with a mixed manager record (good average default rate but key cushions are weak to peers).  At BB our generic curve is 641dm which is around 7dm tighter from month end (new issue in similar context), with one trade today OZLM 2015-12A D (Sculptor) cover near par 99h – deal is post EoRP so bond has a shorter WAL 4.3y but is not ‘callable’ given the margin structure, ADR is high 1.5, Sub80 are healthy 1.7, CCC high at 9.8% and Jnr OC cushion is strong 2.3% whilst MVOC is 106.8.  Market expects a tightening effect given the disparity between new issue and margin structure of this bond is that is to be inferred.

AAA CLO

USD CLO AAA

A lot of liquidity today, mainly IG but across the stack with just shy of 70 trades, US LLI +5bp on the day.  AAA all hit their par ceilings, with one small exception, STCR 2018-1A A covers 99.92, bond coupon is on the lower end +101bps (103dm), also metrics are at the weaker end (MVOC 147, ADR 1.5, CCC 8.7 and Jnr OC cushion 1.7) whilst the manager’s record is also at the weaker end of its peer group.  Our generic secondary curve remains at 109dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade in similar cash price context to AAA with one exception DRSLF 2015-41A BR cover 99.42 – bond coupon is at the low end +130bps (so less inherent callability) and MVOC is also at the lower end 127.2 whilst other metrics are clean.  Our generic secondary curve widens slightly to 174dm with new issue 150-155bps context.  High coupon 3.0 CLO AAs (240-250bps) trade at highest cover prices 100.22-100.32 (234dm-246dm) given callability and high risk adjusted returns (see trade listing for full details).  Single-A are also similar in trading execution context, with one trade outlier BLUEM 2018-3A C cover 99.8 (bond coupon 220bps), MVOC is at the lower end 117.8, ADR is elevated 2% and Jnr OC cushion is cuspy 1.6 whilst the manager Assured IM’s record is a little weak to its peers in key metrics.  Our generic curve is 209dm with new issue in late 100s context.  At BBB our generic curve widens slightly to 364dm, 2 bonds trade at par ceilings where bond coupons are tight or in line with new issue (255-280bps).  Notably, at the wide end is MCLO 2017-10A C (Marathon) with CVR 93.76 at 506dm (end of 2021 EoRP and callable) – MVOC is low at 107.3. ADR is elevated 2.3, Sub80 is high 3.2 and Jnr OC cushion is cuspy 0.4.  BB trading range today is in a very wide dispersion 512dm-854dm with significant tiering.  BLACK 2014-1A D (Black Diamond) covers at its par ceiling , this is a very short WAL 3y (EoRP was 2018) and MVOC is high at 121.5 and Jnr OC cushion is strong 17.8% more than compensating for all other credit metrics being weak.  At the wide end is VENTR 2017-26A E CVR 92h at 854dm (EoRP 2022) with a high coupon +680bps and is callable, but metrics are weak - MVOC low 103, ADR is elevated 1.8, Sub80 is high 4.6 and the manager’s record is weak the market does not anticipate this bond to be callable all things considered.  Our generic secondary curve is 638dm.  A handful of Single-Bs trade today with the dispersion 922dm-951dm with our generic curve widening slightly to 935dm.  There is one outlier ‘distressed’ trade today, SNDPT 2013-2RA F covers 75.67 at 1407dm / 5.5y WAL (Sound Point) – MVOC is cuspy 100.4, ADR is elevated 1.6, CCC are high 9.8, Jnr OC cushion is low 1% but bond is current.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 2 x A trades today. Both reflect the recent tightening in mezz spreads and have traded around 220dm. Over the last 10 days single A par spreads have tightened by around 30bps.

There are 3 x BBB trades. Traded spreads are between 324dm and 414dm. Over the last 2 weeks BBBs have tightened by around 40 to 45bps.

There are 9 x BB trades. Spreads range from 560dm to 730dm. Carlyle 2017-3 has a low MVOC and low Jnr OC cushion. Accunia 1 also has a low MVOC. BB spreads have tightened by around 60bps over the last 2 weeks.

There are 6 x B trades. Castle Park is amortising and traded at 645dm. The others traded from 740dm to 920dm. Single B’s have tightened by 55bps over this period.

AAA CLO

USD CLO AAA

Twenty covers today, the vast majority are mezz whilst US LLI continues to rebound +8bp on the day.  One AAA trade today CIFC 2018-3A A (coupon +110bps) covers at par ceiling 100.055 109dm which is right on our generic AAA secondary curve.

Mezz/Equity CLO

USD CLO Mezz/Equity

3 x BBB trades trade in a 354dm-434dm range, our generic curve is 361dm with new issue grinding tighter from the late 200s we have seen recently.  With this said, VENTR 2016-25A D2 has a high coupon +421bps and is callable (post NC) and trades close to par as a result 99.44 at 434dm / 4.8y WAL – metrics are average with Jnr OC cushion slightly weak 1.6, ADR 1.8, sub80 bucket elevated at 4.9 but CCCs are within the threshold at 5.7.  At the BB level our generic curve tightens to 636dm (which again is around new issue context), trading range today is 558dm-699dm with a significant amount of tiering given the array of profiles, performance and managers.  Bonds with stronger MVOCs drive execution levels with coupon structures in a low dispersion 540bps-632bps today.  At the tight end is ALM 2016-18A DR (post EoRP – Jan 2021) and the shorter WAL driving direction to an extent, covers 99.68 at 558dm / 4.8y WAL with a strong MVOC 108 (likely to improve as deal delevers if not reset) despite ‘lower’ coupon +550bps (ADR 1.5 and Sub80 is low 0.5, CCC 6.1 and Jnr OC cushion is healthy 2.6) whilst the manager has a good record versus peers.  At the wider end is TRNTS 2018-8A E (similar coupon +590bps) CVR 94.26 699dm / 6.8y WAL – here the WAL is longer (EoRP 2023), MVOC is >2pts lower 105.9, CCC is higher 7.7 and manager profile is equal to peers.

AAA CLO

EUR AAA CLO

There are 5 x AAA trades today. All traded L100h which is around 120dm. It doesn’t look like the AAA curve has changed.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 6 x BB trades. Spreads range from 535dm to 580dm. All the bonds have similar characteristics with margins around L500bps. All bar RRE 3 are currently callable. All are in good shape with MVOCs around 111% and Jnr OC cushions around 4.5%.

Mezz/Equity CLO

USD CLO Mezz/Equity

20 covers today, all mezz with the majority Sub-IG, note that US LLI dived 7bps on the day and as a result we saw some mild weakening in mezz dm’s.  At the AA and A levels there was less of an impact with bonds trading at their par ceilings, with new issue continuing to show a tightening feel (+150bp and +190bp context for AA & A respectively) even RRAM 2018-3A BR2 single-A (with coupon +180bps slightly inside new issue) trades at it’s par ceiling, market pricing in future tightening effect as mentioned yesterday.  BBB new issue talk now a shade tighter at +270-280bps but SNDPT 2013-1A B1R and NCC 2018-IA D both trade at a significant discount despite bond coupons in line with new issue (+270-300bps) and post NC, furthermore SNDPT 2015-1RA D1 which has a high coupon +375bps and NC is later this year trades at a discount (96.33) at 455dm.  Our generic BBB curve widens slightly to 360dm given the inherent callability likelihood is lower at this end of the stack despite coupon structures in line with new issue (and unlike AA/A), market is not pricing in callability likelihood on BBBs through end of year even at premium coupons to new issue, as mentioned.  At BB, our generic secondary curve shifts +2dm to 643dm, new issue remains in similar context, the effect of higher coupons have less of an impact at this end of the curve since credit factors and manager experience have far more influence.  Trading range today is 607dm-784dm, with APEXC 2019-2A E at the wide end 95.15 CVR at 984dm / 8.1y WAL – this also has a longer WAL (EoRP 2024), key credit factors / MVOC are aligned with comps but the manager’s (Apex) record is weaker than its peers with default rates almost double the peer group.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just the one BB covered. Madison Park 8 traded at 100.07 / 738dm. We think this does reflect the approximately 45bps tightening that has occurred in BBs, considering this deal is not the strongest performer.

AAA CLO

USD CLO AAA

A quieter start to the week, with a long holiday weekend in Europe as well, we observed 6 trades today, all high grade.  One x AAA trade NEUB 2017-16SA AR hits the par ceiling CVR 100.063 at 103dm / 6.7y WAL (coupon +104bps and NC 2023) whilst new issue remains in 105-115bps context and our generic secondary curve is 109dm so the market is pricing in some medium term tightening effect.

Mezz/Equity CLO

USD CLO Mezz/Equity

5 x AA trades all trade around their ceiling, with new issue context 150-170bps and our generic secondary curve slightly back to this at 174dm, lower coupon bonds (coupon<140bps) post NC trade at a very small discount, eg. OCT36 2018-1A B CVR 99.85 (+139bps coupon) at 142dm / 5.3y WAL despite the strong MVOC 132.9 and clean metrics, callability / coupon structure drive direction at this end of the capital stack.  Bonds with coupons >150bps (with NC of Oct this year in the case of MDPK 2016-22A BR) hit their par ceiling with market expecting a short-medium term tightening effect.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just one BB covered on Mon. Northwoods 21 traded at 100.62 / 701dm.

AAA CLO

USD CLO AAA

US LLI hits a YTD high today (+4bp on the day) and we observe 25 trades today and AAA trades all hit their par ceilings as expected, a couple of bonds including VIBR 2018-8A A1A have MVOC <150 and an elevated ADR (1.5)  cover with a very small discount 99.95 at 116dm.  Our generic AAA curve is 108dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

BBBs trade 301dm-431dm, our generic curve is 362dm with new issue in 290s context.  Execution today is not close to par despite the array of coupons on BBB trades > 300bps with a number of bonds with cuspy Jnr OC cushions so credit driving the tiering along with MVOC and manager profiling.  At BB our generic curve is 648dm with new issue in similar context, all trades today have coupons < 640bps so execution is at a discount across the board, however a short WAL bond GALL 2017-1A E covers at a tight level 98.87 at 574dm / 3.8y WAL (+540bps coupon) given a strong MVOC 107 and strong cushions (given the deal is delevering).  At the wide end is WITEH 2018-12A E CVR 93.86 at 756dm / 7.1y WAL (coupon +640bps) despite reasonable metrics the manager profile is inexperienced and performance has been lacklustre versus peers so this has a pronounced effect upon execution.  One x single-B trade YCLO 2018-1A F (York CLO) EoRP 2023 CVR 91.78 at 928dm which is right on our generic curve of 920dm – metrics looks clean (MVOC 104.8, ADR 0.99, Jnr OC cushion 4%) and this is a very good proxy for single-B.

AAA CLO

EUR AAA CLO

There are 5 x AAA trades today. All have been callable for a while. All traded between 111dm and 124dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 5 x BBB trades. Again all of these are callable. The spread range is from 290dm to 360dm. All the bonds are performing well.

AAA CLO

USD CLO AAA

Just shy of 40 trades today across all ratings.  AAA trade at par ceilings almost exclusively, including a 2nd pay LCM 30A A2 100.05 at 164dm / 7.4y WAL.

Mezz/Equity CLO

USD CLO Mezz/Equity

One double-A bond covers at par ceiling, single-A bonds cover near par and driven mostly by the margin structure.  Our generic curve is 227dm with new issue tighter and NEUB 2013-14A CR2 has a higher coupon +190bps and hence has higher callability with CVR 100.04 189dm, ARES 2018-47A C (coupon +175bps) CVR 99.71 at 181dm / 5.5y WAL.  BBB trade 281dm-407dm, our generic curve continues to grind tighter to 359dm.  WELF 2017-2A C is the standout bond with CVR 100.00 at 340dm, coupon is +340bps and NC was in March whilst the deal has good metrics aside from an elevated CCC 9.4% so callability is high.  At the BB level our generic curve tightens to 648dm (new issue around similar context) with bonds with coupons lower than 600bps trading the furthest distance from par, ATRM 12A ER (+525bps) covers 98.27 at 571dm / 4.3y WAL so whilst a lower coupon the MVOC is at the lower end 105.7 and CCC is very high 12.4 but other metrics clean.  Our Single-B curve tightens around 8dm to 920dm, AIMCO 2015-AX FR covers closest to par 98.65 (coupon +700bps) at 736dm / 4.5y – the MVOC is elevated (vs comps) at 105.7, ADR is low 0.2, Sub80 assets are low 1.7 and cushions strong from a manager with an excellent track record hence the tight level.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 19 x Mezz trades today. Starting off with the AA. Jubilee 2013-10 traded at 195dm which is unchanged for AA levels.

There are 6 x A trades. The three that have been callable for a long time, Babson 2015-1, Jubilee 2015-16 & Harvest 8 traded around 200dm. The other 3 bonds, Bardin Hill 2019-1, Mackay Shields 1 & Euro-Galaxy 5 all have high coupons and becoming callable. They all traded at premium prices and around 280dm.

There are 3 x BBB trades, all in various stages of amortisation. The two with low coupons, Contego 2 and Cairn 3 traded around 280dm and Toro 2, with a higher margin, traded around 360dm.

There are 9 x BB trades. All of these bonds have been callable for a long time. They have all traded between 525dm and 585dm. They are all performing well with MVOCs around 110% and Jnr OC cushions around 3.5%.

AAA CLO

USD CLO AAA

US LLI continued to rebound and was up 3bp on the day (vs +8bp yesterday) with more than 30 trades executing into this form across all rating categories.  AAA bonds trade at their par ceiling, our generic curve is unchanged at 108dm which is close to new issue levels.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA also behaves similar to AAA and trade at its ceiling, our generic curve is unchanged at 177dm with new issue 150-170bps guidance.  Single-A also trade at their par ceiling for the majority of trades, with our generic curve tightening in to 231dm (new issue 175-205bps guidance) only CRMN 2013-1A CR with a ‘lower’ coupon of +180bps trades at a small discount 99.90.  Another outlier trade is TRAL 2013-1A CR (EoRP 2021, coupon +280bps) covers at a discount 99.77 at 285dm due to weaker fundamentals (MVOC is low 115.6, Jnr OC cushion is cuspy 0.8 and manager record is weak).  At BBB our generic curve sharpens to 360dm with new issue in L200s-300area.  Higher coupon (>320bps) bonds with elevated MVOCs trade at their ceilings with tiering for the remainder driven by MVOC, credit factors and manager experience.  At the wide end is RMRK 2018-1A D (Shenkman Cap) CVR 94.28 at 407dm (coupon +302bps), EoRP is 2023 with a low MVOC 108.8, high ADR 2.3, cuspy Jnr OC cushion 1.1 whilst a weak manager record.  At BB our generic level maintains at 651dm with new issue in similar context, MVOC is a determinant in tiering but credit factors and manager experience play a bigger part in influencing execution levels as opposed to inherent callability (see PriceABS trade listing for full breakdown and analysis).  2 x single-B trades today, dm range is 888-973dm with tiering driven by MVOC, BALLY 2018-1A E covers 90h at 973dm / 8.4y WAL (EoRP 2023) – lower MVOC 103.2 with all other fundamentals clean with DRSLF 2013-28A B3LR covers 94.63 at 888dm / 6.4y WAL (EoRP 2022) – higher MVOC 105.2 with clean metrics, our single-B curve tightens by 3dm to 928dm.

AAA CLO

EUR AAA CLO

Just 4 x AAA trades today. All four covered L100h which is L100s DM.

AAA CLO

USD CLO AAA

A quieter start to the week with 10 trades and upbeat loan market (US LLI +8bps on Friday close).  Our AAA curve has shifted marginally tighter on the week to 108dm with new issue 105-115bp talk.  The only AAA trade today is a wide MM CLO from Cerberus CERB 2018-4RA A1TR that covers 99.91 at 157dm, this deal is post NC but has credit issues (ADR is almost 3%, Sub80 almost 6% and CCCs / WARF 4427 are very high) despite the coupon +153bps.

Mezz/Equity CLO

USD CLO Mezz/Equity

Single-A bonds all trade at their par ceilings, coupon range is 240-265bps at 240-259dm.  Our single-A generic curve is 236dm whilst new issues are in late 100s context so execution levels today are at par.  At BBB our generic curve is 361dm with new issue 300bp area, MOCAP 2014-1A DR covers near par given implied callability (coupon +360bps) but more the fact that the WAL is so short <3y / MVOC high 134.4 and the deal delevering (EoRP 2018) whilst cushions strong at the mezz end (Jnr OC cushion 6.4%).  On the other hand MCLO 2015-8A CR covers at a significant discount 92.09 – a number of reasons, the manager profile is very weak, MVOC is at the weaker end 108, ADR is elevated 2.9, Sub80 bucket is high 4.3, CCCs are high 10.3, Jnr OC cushion is -0.3 and tranche has endured 1 payment date PIK whilst is current last 3QTRs.  At BB our generic curve has shifted tighter on the week to 650dm whilst new issue is in 630bp area.  All bonds traded today have coupons < 630 and trade at a discount as a result, at the wide end is DEN16 2018-1A E that covers 89.03 at 786dm / 6.3y WAL (EoRP 2023 and post NC), credit performance is fine albeit slightly depressed Jnr OC cushion 1.1%.  The margin structure and the weaker manager record to peers have contributed to this discount to par.

AAA CLO

EUR AAA CLO

Just 1 x AAA trade today. Avoca 22 traded at 100.18 / 112dm. It is performing well and isn't callable for over a year.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There is 1 x BB trade today, Laurelin 2016-1, which traded at 94.86 / 666dm. It’s been callable for some time and so traded some way back of an immediate call.
There are 4 x B trades. Carlyle 2015-2, which refinanced in 2017 and has been callable for a long time, traded quite high at 97.88 / 737dm. The other three, which became callable much more recently traded wider at between 840dm and 910dm. Laurelin 2016-1 single B traded the widest of these and does have the weakest credit characteristics.

AAA CLO

USD CLO AAA

Once again a heavy day of liquidity across the capital structure with 36 covers, US LLI bouncing back 9bps after 3 days of softening.  All AAAs hit their ceiling with those bonds closer to 100bps coupon trading closest to par and those with higher coupons and longer NCs trading at the highest premiums, eg. HLSY 2020-3A A1A (margin +145bps callable in 1y) covers 100.43 137dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

Single-As trade at their ceiling, with the exception of COOK 2018-1A C CVR 99.57 at 183dm / 5.6y WAL.  Single-A new issues in the L200s and our generic secondary curve 233dm, this bond has a ‘lower’ coupon +175bps and is post NC so does trade with a small discount given callability likelihood.  BBB new issue is in L300s, our generic secondary curve is 357dm so bonds that typically have coupons >320bps hit par ceilings.  One exception today is OAKCL 2019-1A D (+380bps coupon) covers at a large discount 98.01 at 413dm / 7.1y WAL (EoRP 2024) with credit factors accounting for this – MVOC is lower 108.7, ADR elevated 2.7, CCC > 7.5 at 8.2 and Jnr OC cushion is cuspy 0.4.  At BB level, new issue is well into the 600s and our generic curve is 655dm, so higher coupon (675-700bps) commanding best prices 97-99 but there are some exceptions.  For instance, BABSN 2017-1A E (+600bp coupon) covers M99h given strong credit performance (MVOC 106.8, ADR 0.4, Jnr OC cushion 3.4).   Another day with single-B trades which provide some further data points.  Our generic secondary curve is 931dm, credit factors are the major influence here, for instance VENTR 2015-20A F covers MH80s 1053dm / 3.8y WAL – MVOC is cuspy 101, ADR is elevated 2.8, Sub80 is high 5.0, CCC is high 9.3 and Jnr OC cushion is cuspy 0.6 whilst the manager has a weaker record to its peers.  With little in the way of callability at this end of the stack these credit factors and manager profile drive tiering.  See PriceABS trade listing for more information.

AAA CLO

EUR AAA CLO

There are 5 x AAA trades today. All are from 2017 and 2018 vintages and have been callable for over a year. Traded spreads are in the 120h to 130h area, which on average is 2 to 3bps tighter. Today Bloomberg have reported that Arbour 9 priced its new issue AAA at 80 over which is about 3bps tighter than recent deals although some of this tight print will be because OakTree are a very popular manager, rather than general market moves.

AAA CLO

USD CLO AAA

More than 30 trades across the capital structure today, US LLI dipped for the third day in a row, today by 4bps.  Our generic AAA curve remains at 108dm and as mentioned recently bonds with coupons < 100bps are starting to hit their par ceilings, for instance SHACK 2015-8A A1R covers 99.98 (coupon +92bps) 94dm / 1.2y WAL, whilst DMs aren’t tightening any further than 90s for lower coupon bonds, eg. VENTR 2014-17A ARR (coupon +88bps) covers 99.90 at 96dm albeit a short WAL 1.2y which may have had an effect.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA bonds continue hit ceiling, our generic curve is 177dm whilst DRSLF 2014-36A BR3 covers at par ceiling with a coupon +145bps – the deal is post reinvestment end whilst this bond isn’t callable (new issue AA 160-180bps) the performance is strong with MVOC 130.5 and strong cushions from a benchmark manager.  Our BBB generic curve tightens slightly to 358dm as more bonds trade at their ceilings including some bonds that have coupons <300bps and benefit from good performance, TRMPK 2015-1A DRR.  Exceptions are now migrating towards credit issues on the respective deals, for instance MVW 2015-9A CR (Seix) covers 95h with a 312bps coupon whilst new issue 300-320bps, MVOC is low 109.7, ADR elevated 1.9 and Jnr OC cushion is cuspy 0.9.  Our generic BB curve also tightens to 652dm as more bonds exchange hands at par ceilings given inherent callability, bonds with coupons <600bps continue to trade at a discount with the severity of the discount driven by MVOC, SNDPT 2018-2A E (+600bps coupon) covers 92.08 752dm (MVOC 104.4 which is at the low end).  There are 3 x single-Bs today which provide very good data points and we shift our generic curve tighter to 919dm.  All bonds that trade today are now CCC rated with coupons in the 700s with CVRs in VL90s 930dm-958dm and MVOC around 103 and at least 1% Jnr OC cushion so these are not distressed bonds and good indicators of the strength of the bid at this end of the capital structure.

AAA CLO

EUR AAA CLO

There are 2 x AAA trades today, Ares 14 and Dryden 79. Both are 2020 vintage, traded at a premium and are callable. Both traded around 145dm. Bloomberg reported that 3 deals priced their reset today. Fair Oaks 1 and Sculptor 2 at 85bps and Euro Galaxy 7 at 83bps (over floored Libor).

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There is 1 x BB trade today. Carlyle 2019-1, which just refinanced, traded at 98.31 / 670dm. Recent BBs have reset at 630bps and 640bps over floored Libor, according to Bloomberg.

AAA CLO

USD CLO AAA

Just 9 covers today as the US LLI dipped 7bps on the day.  AAA covers hit their ceiling, despite new issue talk into the +110s we have our generic secondary curve at 108dm given the level of execution, CIFC 2017-1A AR for instance has a coupon of +101bps and covers 100.053 at 98dm (EoRP is this month) and market anticipates this bond is still callable.

Mezz/Equity CLO

USD CLO Mezz/Equity

Higher coupon (>300bps) BBB bonds continue to hit their par ceiling, with one exception today ZAIS1 2014-1A CR CVR 97.09 at 431dm – this is a credit impaired deal with MVOC 108.8, ADR elevated 3.2, Sub80 elevated 8.05, Jnr OC cushion cuspy 0.5 whilst the bond has been downgraded to BB-.  Our generic BBB curve is 360dm with new issue in early 300s.  With new issue BBs well into the 600s a short dated BB BANDM 2014-1A DR covers near par 99.5 at 491dm / 2.5y WAL (coupon +470bps) despite Jnr OC cushion highly negative -5.5 the bond or the subordinate bond isn’t yet picking but equity is without distributions for a year, the deal is delevering so expectations are this bond does redeem.  The other BB trade is ANCHC 2014-5RA E (Anchorage) CVR 97.8 at 594dm with bond recently into post-reinv phase, coupon structure is low to new issue +540bps whilst credit is good, the bond hence has little callability.  Our generic BB curve is 659dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

A few lower mezz trades today. There are 3 x BB trades. CIFC 1 and CVC Cordatus 18 traded around 615dm. CVC Cordatus 16 traded around 690dm. All 3 bonds are performing well with MVOCs around 109%. Both Cordatus bonds are not callable for around 6 months having been refi’d fairly recently.

There are 2 x B trades. GLG Euro 1 predictably traded wide given its low margin of 645bps at 88.88 / 910dm. Jubilee 2019-23 has a margin of 960bps and traded at 99.89 / 988dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

22 IG mezz tranches exchanged hands today with the majority hitting their par ceilings, whilst US LLI shifted -2bps on Friday’s close.  1 x AA trade WELF 2017-3A A2 (Wellfleet) CVR 99.7 at 157dm. Execution is at a discount given this is a ‘lower’ coupon (+150bps), new issue talk is 160-180bps whilst our generic secondary curve is 177dm and credit factors are secondary to the margin structure at this end of the stack.  4 x single-A trades 191dm-239dm range with bonds again hitting their ceilings.  With new issue 200-210bps and our secondary curve 232dm best execution is on a callable bond ARES 2013-2A CR with a high coupon +240bps and CVR 100.035 despite weaker Jnr OC cushion 1.1% and an elevated cov-lite balance of 88%.  With regards to BBB, new issue talk is 300-320bps with our generic secondary curve slightly back to that also tighter (by 2dm) to 364dm.  BBB bonds with a coupon < 300bps today trade at a discount to par given the callability likelihood is inherently lower whilst bonds with coupons > 300bps hitting their par ceilings.  There is one outlier, a small clip of VOYA 2016-2A CR covers 99.05 at 422dm (high coupon +400bps) with EoRP July 2021 / NC passed, MVOC is at the low end 108.2, CCCs at the high end 9.9% whilst most importantly the Jnr OC cushion is only 1.1% and the manager’s record is weaker to its peers.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just 2 x B trades today. Both are St Pauls deals and both have low MVOCs and low Jnr OC cushions. They both traded around 855dm. Both deals (St Pauls 3 and St Pauls 9) have been callable for over a year.

AAA CLO

USD CLO AAA

A quiet end to the week with less than 10 covers and US LLI ticking up +2bp on the day.  AAA trades all hit their ceilings and trade in a 101dm-116dm range, bonds with coupons between 100-110bps are now hitting their ceiling, we also move our generic secondary curve tighter by around 6dm to 109dm aligned with new issue.

Mezz/Equity CLO

USD CLO Mezz/Equity

One x BB trade today RMRK 2017-1A D (coupon +665bps) covers below par 96.89 at 728dm / 6.4y WAL, our generic BB curve also tightened on the week, by 6dm to 665dm which again is more aligned with new issue.  However this trades below par given the callability is not a clear and obvious pathway given the bond’s coupon offers no buffer to new issue especially given bonds are offered in primary at a discount at the same coupon (mid 660s).  There is a single-B trade today KKR 21 F (coupon +725bps) covers also at a discount 90h at 904dm.  Incidentally our single-B curve has shifted tighter on the week to 928dm given the velocity of trading activity at this level of the stack.  With less visibility of single-Bs in primary and bonds being offered at a discount there is little in the way of callability of single-Bs and bonds as such trade at a significant discount, this bond from KKR has good overall credit performance and cushions are strong whilst the managers record is extremely strong so this bond offers good cashflow and redemption value for buy and hold investors who can ride the mtm.