AAA CLO

USD CLO AAA

Heavy mezz supply today with US LLI dropping 9bps on the day.  Just one AAA trade today, HLM 3I-2014 A1R (HPS) trades at it’s ceiling 100.035 117dm / 3y WAL (+118bps coupon) with new issue talked in early 110s and this trading at generic secondary levels which we observe at 115dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA behave in similar vain to AAA (trading at ceiling) with only HLM 3I-2014 A2R cover at a slight discount 99.96 (+170bps coupon) 171dm – with new issue talked 145bps-150bps and our generic curve 165dm this is only slightly wide to that and market prices in likelihood of refi/reset.  Single-A new issue are talked +185bps-190bps with our generic secondary curve wide to this 231dm, the low coupon on GALXY 2017-24A C +170bps means execution is weaker with a cover 99.27 at 184dm, with higher coupon HLM 3I-2014 BR with +240bps coupon and cover 99.9 at 242dm / 5.1y WAL, this bond has clean metrics with only IDT cushion a little cuspy at 0.8.  Heavy BBB supply today, new issue talked +295bps area with our secondary generic curve 363dm, with bonds typically carrying a coupon below +300bps trading below par with the severity of discount based off credit performance.  Some exceptions to this rule including another HPS bond HLM 3I-2014 CR (+360bps coupon) with cover 97.5 at 410dm / 5.5y WAL – MVOC is weak 109.2 and IDT cushion is cuspy 0.8 with a weaker manager record vs peers.  At BB the new issue market is more opaque given bonds do execute at a discount, our generic curve is 675dm with new issue talked in lm600s context.  BBs that trade at their ceiling have a coupon > 690bps and are 3.0 structures with 2.0s typically trading at a discount with the severity of this driven by MVOC and interest diversion proximity with coupon level an influence.  See PriceABS trade listing for details.

AAA CLO

USD CLO AAA

A quieter day today with 12 covers and 1 disclosed DNT, all IG – AAA and BBB with US LLI continuing to tick up (+1bp dod) and AAA broadly flat.  With AAA new issue in vl110s context bonds with highest coupons are best bid, KKR 30A A1 (+150bps coupon) covers 100.34 142dm / 4.2y WAL which puts into perspective the value versus 3y AAA refi/reset paper in m90s context in new issue.  Bonds post reinvestment and delevering continue to see execution around par ceiling whilst weaker bonds with cuspy coupons like VENTR 2017-28A A2 trade at a small discount (CVR 99.94) – high ADR 1.9, high Sub80 4.4 and cuspy IDT cushion 0.5 from a weaker manager MJX.

Mezz/Equity CLO

USD CLO Mezz/Equity

BBB secondary generic range has been in 345dm-400dm context recently with new issues in +290s context, we have observed a 2-5bps widening in BBBs over the past couple of days.  Trading range today 418dm-472dm is dominated by weaker names / weaker performing bonds - VENTR 2013-15A DR2 covers at the wide end of recent context 472dm / 7.3y WAL (CVR 95.15) despite a high coupon +392bps, but this deal has a high ADR 2.3, high Sub80 5.8, cuspy Jnr OC cushion 0.1 (WA collateral px v low 95.7) and a weaker manager profile.

AAA CLO

EUR AAA CLO

There are 6 x AAA trades today. CVC Cordatus 17 priced at the height of the pandemic driven widening at 195bps margin. All the others have margins between 65bps and 93bps. CVC Cordatus 17 traded at 227dm. The others were between 112dm and 128dm. This is a tightening on the AAA curve of 4bps.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 8 x AA trades. Contego 2 is in amortisation and traded at 152dm. The AA curve is unchanged.

There are 2 x A trades. Palmer Square 2020-2 is a static deal and closed in late 2020 and traded MH100h which is around 313dm. Madison Park 11 traded at 98.20 / 257dm.

There are 4 x BBB. Palmer Square 2020-1 is also static and traded around 426dm.

Tikehau 3 (BB rated) traded at 95.45 / 616dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

Just shy of 50 covers today whilst a continued positive tone on leveraged loans (US LLI +2bps) allowed for an all mezz execution day.  AA trades are both 2021 vintage with coupons +175-185bps and execution a shade under par in cash px terms 99.56 on both.  Single-As are talked +185-190bps in new issue, execution today reflects this which bonds that trade at their ceiling carrying coupons > 200bps with the exception of TRNTS 2017-7A C (+220bps) which covers 98.79 245dm / 5.2y WAL – MVOC at the low end 118.7, elevated ADR 1.5, high CCC 10.9 and a tighter IDT cushion 1.5% than benchmark bonds whilst the manager’s record is slightly weaker to peers.  BBB new issue is talked in 290bps-295bps area whilst secondary context has been 350dm-400dm, with credit influencing execution today, ZAIS7 2017-2A D covers 88 at 622dm / 5.8y WAL, this is higher coupon +375bps but is downgraded to Ba1, low MVOC 107, high ADR 2.5, high Sub80 5.2, CCC 8.5, IDT cushion on the cusp 0.2 and manager record weak to peers.  At the other end of the scale is CGMS 2019-4A C (Carlyle) which has a +400bps coupon and covers 100.65 390dm / 8y WAL – 0.1 ADR, 0.55 Sub80, 4.1 CCC, IDT cushion 4.5.  With BB bonds talked in early 600s context in primary with some bonds offered at a small discount this lines up a little more with secondary context which has been 650dm-720dm.  Execution today is through these wides 721dm-786dm with bonds trading at a significant discount (up to 9pts).  The 2 bonds that carry coupons +560bps-620bps which are tight to new issue and cover in 91.3-91.4 context (725dm-786dm) despite good credit quality illustrating the basis that new issue refi/resets are causing.

AAA CLO

USD CLO AAA

A quieter end to the week with 14 trades, all IG.  US LLI up 4bps on the week but remain 20bps down on YTD highs.  AAA hover around par, in some cases a slight discount to par with a coupon array +90bps to 108bps cuspy to lower WAL refi/resets in mid-90s context and longer WALs (6y) in 105bps-115bps context.  The exception being CFIP 2014-1A AR (CFI Partners) that carries a +132bps coupon and sound performance on the deal but with an inexperienced manager (4 CLOs under management) this did not meet with premium execution. 

Mezz/Equity CLO

USD CLO Mezz/Equity

AA new issues are in 140bps-145bps context, HPS’s HLM 7A-2015 BR covers at a discount 99.45 134dm / 3.5y WAL given the low coupon +118bps along with the fact that this has an elevated ADR 1.3 and a poor manager record.  Furthermore the basis between a 2.0 and a 3.0 AA with similar coupons (+165/+170bps) is evident with 60c differential in execution, with the defensiveness of the structure and portfolio between an Elmwood 3.0 cover 100.27 (MVOC 131, ADR 0.2, Sub80 0.35, IDT cushion 4.1) and a Marble Point 2.0 cover 99.635 (MVOC 127, ADR 0.8, Sub80 3.29, IDT cushion 0.1).  Single-A new issues are in 175-190bps context, with 2.0 bonds with coupons 200bps+ cover close to par for long and short WALs, which clearly have different profiles (in reinvestment period versus delevering 2-3y past EoRP).  One BBB trade, Highland Capital’s ACIC 2015-6A D (coupon +377bps) which is post reinvestment with sound metrics for a bond that has been through the pandemic cycle without the ability to trade (IDT cushion 2.75, MVOC 123 and WA Collateral px 97), the cover is 100.05 at 375dm / 2.9y which offers attractive value versus new issues in vh 200s context for longer WALs.

AAA CLO

EUR AAA CLO

Only 1 AAA trade today. Armada 2 traded at 100.01 / 125dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The one BBB, CGMSE 2014-1, traded at 97.37 / 374dm which is a touch wider on the day.

AAA CLO

USD CLO AAA

More than 40 executed trades today so heaviest liquidity since last week, with US LLI retracing 7bps since Friday close with a more positive feel today.  AAA trade at their ceiling with Halsey Point’s 3.0 HLSY 2020-2A A1 best bid 100.61 167dm / 3.3y WAL (high coupon +186bps / strong metrics and cushions). 

Mezz/Equity CLO

USD CLO Mezz/Equity

At the AA level bonds with a coupon of +160bps-170bps are on the cusp of execution around par given new issue has ground in to mid 100s this week (Elmwood II reset talked +140-150bps).  With new issue single-As talked now in the high 100s execution in secondary is weaker for those bonds with coupons < 200bps, NEUB 2018-27A C for instance (+170bps coupon / strong metrics MVOC 121, Jnr OC cusion 3.2) covers 99.68 converted to 176dm / 5.4y WAL.  ARES 2019-52A C (+268bps coupon) which is also a 2.0 covers 100.13 at 266dm / 6.5y WAL with similar metrics.  With new issue now talked in +300bps context this has only limited impact upon execution with credit factors more pivotal, especially IDT cushions and MVOC, Crestline’s DEN14 2016-1A DR covers weakest at 94.8 (split BBB/Ba1) 421dm / 7.1y WAL (coupon +335bps) with MVOC at the low end 110, WARF elevated 3359, CCC high 8.9 and IDT cushion negative -0.25.  On the other hand BCC 2019-1X D (Bain Cap) covers 100.14 (high coupon +385bps) with better performance MVOC 112.2, CCC 7.5, IDT cushion 2%.  One BB today, a 3.0 from AGL AGL 2020-6X E covers above par 101a 729dm / 6.6y WAL (high coupon +748bps / strong MVOC 111 / IDT cushion 4% and 0 ADR and 0 Sub80) with new issues talked in early 600s this bond offers value even at a small premium to par.

AAA CLO

EUR AAA CLO

There are 3 x AAA trades today. ALME 2 is in amortisation and traded at 124dm. Avoca 21 has a lower margin of 89bps and traded at 122dm. Rockford Tower 2018-1 has a margin of 103bps and traded at 145dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 6 x orig AA trades today. 4 of them are from amortising deals and have been upgraded to AAA (Orwell Park, Contego 2, CGMSE 2015-2 and Harvest 14). The other two, Mackay Shields 2 and Henley 1, are more recent deals with higher margins and have traded with wider DMs (267dm and 209dm respectively).

There are 3 x orig A trades. Cairn 3 is amortising and the orig single A has been upgraded to AA. It traded at 195dm. The other two traded in H200s to 300dm.

AAA CLO

USD CLO AAA

35 Covers across the cap stack today.  AAA trade around their ceiling level of par with the exception of OZLM 2015-11A A1R (Sculptor) that covers 99.92 (+125bps coupon) 128dm / 3.3y WAL – ADR is high 1.7 and Jnr OC cushion is cuspy 0.8 whilst the manager record is weak to peers. 

Mezz/Equity CLO

USD CLO Mezz/Equity 

AA bonds behave the same as AAA with two exceptions that cover at a small discount, both of these bonds are from weaker managers, whilst MVOC are at the low end (126-127 vs 127-129 benchmark).  Single-A bonds trade at the ceiling with a higher coupon 3.0 OAKC 2020-6A C better bid 100.48 (+275bps coupon) with NC next month.  BBB trade at a discount with dm range 282dm-462dm, Blackrock bonds continue to trade tight (99.58) given the conservative pools/structures MAGNE 2015-15A DR covers 99.58 282dm / 6.7y WAL (bond coupon +275bps / NC passed).  At the other end of the scale Carlyle’s CGMS 2014-1A DR covers 94.38 (similar coupon +260bps / NC passed) but MVOC is 2.7pts below the Blackrock bond, ADR is > 1pt higher, Sub80 is 1.5pts higher and IDT cushion is cuspy 0.7 whilst the manager record is weaker.  Clean BB bonds like Napier’s REG12 2019-1X E (109 MVOC, 0.3 ADR, 0.5 Sub80, 4 IDT cushion) trade at their ceiling 100.34 cover in this case with the coupon +685bps with BB new issue slightly inside this.  MORGN 2018-2X E is ‘out of the money’ from a reset point of view and from an inexperienced manager – covers at 92.52 698dm / 6.8y WAL.  There is significant of tiering of bonds at the level (almost 8pts in today’s execution) in the capital structure for small shifts in dynamic/credit.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 5 x BB trades today.  They are all reasonably clean bonds. The outlier looks to us like Madison Park 11 which traded lower than we expected, based on its performance.

There are 2 x B trades. Barings 2014-2 traded at 90.35 / 946dm. CGMSE 2016-2 traded at 100.01 since it has been called via a reset which is closing on 15 March 2021.

AAA CLO

USD CLO AAA

26 covers today, predominantly mezz.  AAA trades today 108dm-111dm for bonds with coupons +108bps-113bps which is aligned with new issue AAA pricing, bonds trade at around par.

Mezz/Equity CLO

USD CLO Mezz/Equity

2.0 AA trade in similar context to AAA (at a small premium to par) 148dm-169dm.  BBB trade in a narrower dispersion 345dm-439dm with trades carrying bond coupons +260bps-348bps, with all bonds trading at a discount to par with little basis in MVOC amongst the line up.  With new issue in vh200s context bonds with coupons > +300bps are better bid, along with a very short FLAGS 2014-8A DR with EoRP 2019, delevering and as such high MVOC 115.5 better bid despite CCC 21, Jnr OC cushion -4.2% and tranche beneath PIKing.  At the wide end is BLACK 2016-1A CR that covers 92.80 (coupon +300bps) 430dm / 6.3y WAL – ADR is high 1.7, CCC is high 10.3 and Jnr OC cushion is cuspy 1.1 whilst the manager has a weaker profile to peers.  BB bonds trade in a characteristically wide dispersion 625dm-934dm with new issue in the mid-600s context the array of bonds that carry coupons close to this or lower trade at a significant discount to par.  MORGN 2019-4A E is well bid in h90s context 742dm / 5.8y WAL (coupon +700bps) with strong metrics all round, bond is callable in July but is already migrating towards par given the market environment.  2 x single-B trades today with covers in the 80s cash price and 1000dm context (coupons in high 700s context) whilst new issue is spotty for single-Bs and issued at discounts there is not much visibility into the pathway for resetting for second loss single-B bonds, so the focus on these bonds is clearly on the credit quality, MVOC and proximity to interest diversion (see PriceABS trade listing for full details).

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 6 x BBB trades today. The only distressed bond is Madison Park 8 which has a low MVOC of 114.21% and a low Jnr OC cushion of 1.23%. It has the highest margin of 465bps which keeps it price up at 99h. The range of DMs is from 318dm to 500dm (for the Madison Park 8 bond). Overall we see a softening of the BBB curve of around 10 bps.

AAA CLO

USD CLO AAA

21 covers to open the week, all IG and US LLI closing almost flat to Friday close the market seems to be stabilising after the small blip after month end.  Higher coupon AAA continue to be better bid regardless of NC given the low spread environment.  New issue AAA are in the vl100s context, 2.0 CLOs with lower bond coupons cover above par - APID 2013-15A A1RR (+101bps coupon) covers 100.04 at 100dm / 3.6y WAL.  Furthermore 3.0 AAA with coupons > 185bps cover 100.37 – 100.44 in a 175dm-191dm range, with exemplary performance.

Mezz/Equity CLO

USD CLO Mezz/Equity

Lower coupon AAs trade at a slight discount (+130bps-150bps) with new issue spreads hovering around this range making these bonds cuspy for a refi/reset.  On the other hand OCT20 2019-4A B (Octagon) which has passed NC in Feb with a +190bps coupon covers 100.23 186dm / 6.3y WAL given this is ‘in the money’ for a potential reset.  With new issue spreads for single-A in the vh100s-200bps area single-As with coupons < 215bps cover below par, whilst DRSLF 2013-28A A3LR (passed NC) with +215bps offers attractive value with CVR 100.03 despite average performance, which would otherwise have traded at a higher premium given the potential for reset.  BBB new issue is now in vh200s context and as such execution on bonds today that carry coupons +265bps / +305bps is weaker given these bonds are a little out of the money for a reset after factoring in transaction costs etc.  ARES 2017-45A D is cuspy (+305bps coupon) with a weaker MVOC 111.4 and IDT cushion only 1.7 this covers 99.93 / 306dm.

AAA CLO

EUR AAA CLO

Just 2 x AAA trades today, both Barings deals. They have both traded around 140dm which is a few bps tighter than seen recently.

Mezz/Equity CLO

USD CLO Mezz/Equity

Just a few covers to wrap up the week where US LLI stabilised last 2 days of the week after a WOW fall of 16bps.  1.9m of AGL 2020-6A B1 which is a 3.0 AA tranche covers 100.44 (high coupon +240bps) 564dm / 5.5y WAL – this is an archetype 3.0 with strong MVOC 136.5, 0 ADR, 0 Sub80 and strong cushions with WA Collateral price 100.12 (NC is next month).  At the single-A level there is a 3.0 and a 2.0 trade, the 3.0 is BCC 2020-2A C (Bain Cap) covers 100.60 with clean metrics all round and carries a high coupon of +305bps, NC is April and with new issue in late 100s this is a well bid bond.  The 2.0 is Sculptor’s OZLM 2018-22A B which has a coupon of +180bps and covers 99h, this is cuspy with new issue levels and the performance is a little weak (ADR 1.6, CCC 7.9%, IDT cushion 0.6) so is bid back to par.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 2 x orig A trades today. Sorrento Park is amortising and is a current AAA. It traded at 100.11 / 196dm. Toro 3 traded at 99.63 / 286dm which is around 10bps wider on our single A curve.

There are 5 x BBB trades. All except Penta 7 traded at small premiums. Penta 7 traded at 98.05 / 369dm. The BBB curve hasn’t really moved, but if anything is a few bps softer.

The 3 x BB trades have traded between 600dm and 650dm.

AAA CLO

USD CLO AAA

29 covers today across the capital stack, US LLI fell 12bps on the day so the largest day on day drop since the end of January volatility.  AAA held up well as compared to yesterday with all bonds trading at a small premium to par with higher coupon 2.0 and 3.0 CLOs trading at the highest premium (100.42 / 100.48).  2.0 CLOs post NC and still in reinvestment with coupons < 125bps tend to trade closer to par with new issue AAAs in similar context for longer WALs.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade in similar cash price context with only PGIM’s DRSLF 2015-37A BR CVR < par (99.95) given the lower coupon +140bps making this bond less appealing for a reset.  There are two shorter dated Single-As that trade 178dm-257dm (both at discounts to par), DRSLF 2013-30A CR (PGIM) covers 99.63 at 178dm / 4.8y (coupon +170bps) with new issue lm200s context this bond is unlikely to migrate too much further towards par.  Although the coupon on MCBSL 2015-1A CR (Monroe) is +257bps this covers mh99h given credit fundamentals are poor and balanced a little by the fact that the deal is delevering.  Both BBB trades today carry a coupon of +315bps but have different reinvestment profiles (one is passed and the other is 2025) with dm range 318dm-366dm.  Focusing on the 3.0 high coupon bond that is in reinvestment SYMP 2020-22A D covers close to par (99.77 / 318dm) with NC Jan 2022 and typical outperformance of 3.0 structures.  BB trade in a wide dispersion 579dm-825dm (new issue BBs in lm700s context) given a variety of margin profiles (530bps to 725bps).  At the wider end of the range is OZLMF 2013-4A D2R (Sculptor) that covers 94h (coupon +725bps) but has a weak MVOC 104.9, high ADR 1.3 and Jnr OC cushion is -0.3 with this bond PIKing.

AAA CLO

EUR AAA CLO

There are 5 x AAA trades today. They are all 2020 vintage with high margins. All traded around 100.40 area and around 200dm. This is a widening in the AAA curve of 6 bps according to our calculations.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only BBB is Euro-Galaxy 4 which traded at 99.36 / 361dm which is an unchanged level.

AAA CLO

USD CLO AAA

A step up in activity today with just shy of 40 covers with a touch of softening filtering in, the S&P/LSTA US LLI is down 8bps since Monday close.  AAA has been trading above par consistently but there are 2 trades today at a small discount driven by some mild credit weakness and a slightly weaker manager record than benchmark.  For instance MP12 2018-1A A covers vh99h with a coupon of +101bps, high ADR 1.6, low IDT cushion 0.3 and Marble Point’s record is only a touch weaker to benchmark. 

Mezz/Equity CLO

USD CLO Mezz/Equity

The 2 x Double-A bonds trade softer with covers at a small discount too.  However this is driven by NAV as MVOC are lower (127.5-128.7) than recent comps which have traded around par with similar margins (+150-170bps).  BBB trade in a wide dispersion in dm terms 249dm-524dm given a spread of bond coupons from 250bps to 541bps.  MP18 2020-2A D2 which is a 3.0 bond and is pre NC has a high coupon 541bps and as a result of strong fundamentals it trades strongly at 100.914 CVR 524dm / 6.7y WAL.  Given other 2.0 BBBs that trade today have much lower coupons (2 or 3 handle) with weaker fundamentals this bond represents excellent value.  At the other end of the scale OZLMF 2013-4A CR covers at 97 (bond coupon +335bps) and has a weak MVOC 110.5, elevated ADR 1.3, Jnr OC cushion -0.3 with the tranche immediately subordinate PIKing.  BB also trade in a wide dispersion given the volume of trades today 539dm-912dm with 2 bonds trading above par, one of them being a 3.0 TRNTS 2020-14A E 101.23 CVR but the other a 2.0 NEUB 2017-16SA E that covers 100.03 at 539dm / 4.4y WAL (bond coupon +540bps), the latter bond has a very strong MVOC 107.2 as a result of delevering predominantly but also has strong cushions (IDT cushion 2.6) from a benchmark manager.  Two rare single-B trades 925dm-964dm (bond coupon range +812bps-820bps) and CVR prices 92-93, the last single-B trades we observed were back in mid-Feb and were in 875dm-1050dm context and with few new issues having single-B tranches (St Pauls IV reset that is due to price this week has a single-B tranche with IPTs l/m 800s).

AAA CLO

EUR AAA CLO

There are 7 x AAA trades today. All except Fair Oaks 2 are in amortisation. We think AAA spreads have widened by 4 bps.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 5 x A trades. These are all from older vintages with similar margins and have therefore traded tightly grouped from 257dm to 278dm. We think this is around 6bps wider which reverses the tightening we saw the previous day.

There are 3 x BBB trades. Tikehau and Jubilee 2015-15 are in amortisation. All 3 bonds traded with 99h. It makes it hard to be too precise about spread moves but we think this rating category has also widened by a handful of basis points.

There are 4 x BB trades. All indicate a widening in this curve of around 40bps.

Mezz/Equity CLO

USD CLO Mezz/Equity

A similar day of lucklustre liquidity today with S&P US LLI dipping 4bps on the day with all 6 trades are in mezz.  AA bonds have been trading around par and today is no different with higher coupon bonds better bid, AA bonds with coupons as low as +130bps trade around par and continue to support new issue levels into +140-150bps range even for longer (5y) reinvestment periods.  At the tight end of the dm range today is an upgraded AA to AAA bond AIMCO 2015-AA BR (AIMCO) which covers 100.02 with coupon +130bps but is delevering (hence CE improving) with good performance (ADR 0.24, IDT cushion 2.7).  At the BB level today execution is very much credit driven (as opposed to based upon margin structure) with a trading range of 598dm-716dm (coupon range +547bps-675bps).  GALL 2018-1A E (Gallatin Loan Management) covers at the highest level today in h90s context, MVOC is strong 107.8, ADR<1 (0.9), Sub80 low 0.5 and IDT cushion is strong 4% whilst the deal is delevering so the WAL is shorter.  For bonds still in reinvestment periods the execution range is 699dm-716dm (bond coupons higher +625bps-675bps) with credit generally weaker on these 3 trades that see execution from 98.78 / mh90s (See PriceABS trade listing for details).  New issue BBs on the other hand are being talked in mh600s in primary whilst we are seeing a generic secondary execution range 640dm-730dm as a comparison.

AAA CLO

EUR AAA CLO

A busy day today. There are 8 x AAA trades today. 5 of them are very short – below 1.5yrs WAL. Fair Oaks 2 is a Class X and the others are all in amortisation. The AAA curve is unchanged.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only AA trade is Harvest 20 which traded at 100.13 / 214dm which is also unchanged for AAs.

There are 4 x A trades. Grosvenor Place 2015-1 is in amortisation. GLG 4 is not such a clean bond and of course has the GLG spread premium attached to it. Overall we think the A curve has tightened by 6 bps.

There are 13 x orig BBB trades. We reported either side of Feb month end how the BB curve had widened and this was supported by secondary trades and the new issue market. However today’s trades show a snap back of 20 to 25bps.

The 5 x BBs have not shown a big spread move. The long end of the curve has drifted wider by 10 bps but at the short end, Orwell Park which is amortising, traded tighter than expected at 503dm.

The 2 x B have both traded wider than the curve with their low MVOCs and in the case of Harvest 8 a low Jnr OC cushion as well. The curve however is unchanged.

AAA CLO

USD CLO AAA

With month end just passing us it was a slower and cautious start to the month from a liquidity perspective, with 4 x AAA covers today.  There was a slight softening tone going into month end whilst US LLI has a small bounce from Friday’s month end close of +5bps.  AAA trade today in similar context (at par) with sequencing of cover prices lining up with bond coupons, ie. higher coupon bonds post NC cover higher given the closer proximity to refi/reset likelihood.  As a comparison new issue / refi AAAs just prior to month end were in +130bps (Par-Four) context for longer WALs EoRP 2026 and +100bps for shorter WAL (MJX) / EoRP 2022, note that both of these managers have weaker records versus their peers so benchmark execution would be tighter.  AAA Secondaries trade as tight as 75dm for short dated / low coupon WALs and 122dm as a generic level.

AAA CLO

EUR AAA CLO

There are 7 x AAA trades today. The secondary AAA curve has widened by another 3bps on average. This is backed up by the New Issue pricing reported by Bloomberg. Golden Tree 5 and CGMSE 2016-2 priced at 82bps and 83bps respectively at the AAA level. The most recent New Issues at the end of last week were Arbour 4 and Jubilee 2018-21 which both priced at 79bps. In the group of secondary trades the two tightest spreads are for ALME 2 and Oak Hill 5 which priced at 119dm and 123dm respectively. ALME 2 is amortising and Oak Hill 5 has passed it RPE date and both are very short at approx. 1.7yrs WAL.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just a handful of mezz trades today. There are 2 x BB trades – both of them GLG bonds. Both these trades were at lower prices than we predicted. GLG 2 traded at 97.16 / 745dm and GLG 4 at 85.41 / 762dm. GLG 4 has a much lower margin than GLG 2 which ordinarily would have tightened the traded spread but in this case we also need to take into account that GLG 2 is in amortisation whereas GLG 4 is not. With the only 2 BB trades both being GLG it is hard for us to determine whether the BB curve has widened or whether these are just GLG specific issues. We can look to assistance form the primary market where Bloomberg reported that Jubilee 2018-21 reset at 650dm over floored Libor which is a good 50bps wider than other BBs although Arbour 4 reset at 585dm which is in line with recent new issues.

There are 5 x B trades. Contego 2 and Cairn 6 are both deals in amortisation. All 5 trades show that the single B curve has widened – by on average, for us, 29 bps. Again this is somewhat supported by the new issue market where Bloomberg report that Arbour 4 reset at 820dm (not much change) while Jubilee 2018-21 reset at 900dm (significant widening).

AAA CLO

USD CLO AAA

Given month end is tomorrow it is not surprising that trading has slowed, there are 10 covers today whilst S&P US LLI dipped 2bps on the day.  Half of these trades are AAA and execution is around par with little tiering to note.

Mezz/Equity CLO

USD CLO Mezz/Equity

One single-A trade VIBR 2017-6A C covers at par, this bond is post NC with EoRP September this year and has a coupon of +260bps which is around 40-50bps premium to new issue, performance is weak/average on the deal (ADR a touch high 1.4, CCC at the bucket ceiling and IDT on the low end 0.7) so path to reset is clouded.  BBB trade at a light discount to par at 333dm-384dm (for bond coupon range 290bps-365bps) versus new issue execution in early 300s area.  JFIN 2014-1A D covers at the highest level today 99.52 / 384dm given bond coupon +365bps has a path to reset.  An interesting BBB trade is WITEH 2014-1A DR that covers near par 99.27, this deal is distressed (ADR 2.5, Sub80 13, CCC 21, Jnr OC cushion -5) but the WAL is short given the deal is delevering, the bond itself is not deferring but the single-B tranche which is 2 Classes beneath is PIKing but this DR tranche is current and with MVOC 122 this is why execution was strong.  One BB trade today AVERY 2013-3A E (downgraded to B-) that covers 98.88 with 545dm / 2.7y WAL.  The coupon is +500bps and with new issue 570-600bps there is limited path to a reset here especially with spotty performance (ADR 1.8, Sub80 6, WARF 3568) but MVOC is strong 112 but given the short WAL (EoRP 2018 / deal delevering / AAA repaid) execution reflects the short WAL.

AAA CLO

EUR AAA CLO

There are 4 x AAA trades today. The Accunia bond traded wider than expected, even allowing for its high margin. On average the AAA curve tightened by 2bps. The traded range is between 100.01 and 100.08 with spreads to mat between 118dm and 146dm. Bloomberg reported that Hayfin 1 reset today with a AAA margin of 82bps. This is 1bps inside the Avoca 10 level (which was longer) and the same margin as Redding Ridge Euro 1 reset.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There is 1 x BB trade. Avoca 16 traded at 98.60 / 578dm. It is only one trade but this reverses the widening we saw 2 days in secondary bwics. Bloomberg reported that Hayfin 1 reset at 600 bps margin (compared to 595 bps for Avoca 10 and Redding Ridge 1).

There are 4 x B trades. Contego 2 and Orwell Park are in amortisation and traded at tight levels (729dm and 622dm respectively). The other 2 bonds, Voya 3 and Sound Point 3 traded at 849dm. Hayfin 1 priced at 835dm over floored Libor.

AAA CLO

USD CLO AAA

18 covers today, predominantly mezz.  3 x AAA trading around par with underlying bond coupons > +125bps with OAKC 2019-4A A1 (+133bps) best bid 100.30 (127dm) with NC in 5 months from now with a path to refi/reset quite possible as it stands.

Mezz/Equity CLO

USD CLO Mezz/Equity

BBB bonds trade near par with coupons > 340bps (vs new issue spreads 2-handle), as noted yesterday bonds with both lower relative coupons, MVOC and IDT cushions tend to trade at a small discount eg. VIBR 2017-6A D (Vibrant) +390bps spread covers 99.03 and has a 110.3 MVOC (3-5 pts off benchmark), high ADR 1.4, low IDT cushion 0.7.  Whilst at the other end of the scale a 3.0 BBB BSP 2020-21A D covers 101h (+435bps coupon) with MVOC 115.4, 0 ADR and strong cushions (NC Aug-21).  At BB end new issues are talked mid-late 500s so coupon is a driver of direction but performance is a bigger lever, bonds that trade with the highest discounts are constrained with lower relative coupons, lower MVOCs and performance issues, eg.  OAKCL 2019-1A E (OakTree) which has been downgraded to B+ covers 89h 855dm (MVOC 103.8, ADR 3%, IDT cushion is -0.4) whilst 3.0 BBs are bid at a significant premium HLSY 2020-3A E with a spread +834bps covers 102.1 798dm with a strong MVOC, 0 ADR and strong IDT cushion 4.2 and has a NS of May 2022 so risk adjusted cashflow is strong.  One x single-B bond today OCT21 2014-1A ERR 1009dm / 8.1y WAL, this bond has a coupon of +950bp and with scarce new issue in this rating category the performance and MVOC are key, performance on this second loss piece is relatively clean with MVOC 104, ADR 0.98, WARF 2939, IDT cushion 1.4 and the deal is past NC with EoRP 2024.

AAA CLO

USD CLO AAA

Heavy liquidity with 63 covers.  AAA continues to be bid at it’s par ceiling with higher coupon bonds and 3.0s ‘in the money’ (+130bps+) for a refi/reset better bid, regardless of NC which are typically well within a year.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA repeats AAA behaviour, with typically lower coupon and lower performing bonds bid at a small discount to par, eg.  TICP 2018-IIA A2 (TPG) covers 99.95 at 127dm (+125bps coupon) and ARCHS 2016-2A BR (First Eagle) cover 99.96 cover at 187dm despite a higher coupon +185bps but has weaker credit (ADR >1, Sub80 6.2, WARF 3676, CCC 14% and negative IDT cushion).  Working down the scale Single-A and BBB trade back in cash px terms to AA with the majority of bonds cover below par with higher coupon and high MVOC 2.0 bonds better bid.  BB trade in a wide dispersion 537dm-880dm, driven predominantly by fundamental performance with impact of ADR and Sub80 migration, furthermore weaker IDT cushions are typically correlated to weaker execution whilst of course MVOC also remains critical in the tiering of bonds at this level.  Therefore bonds that cover at a premium to par are either 3.0 high coupon or 2.0 higher coupon with strong MVOC and healthy cushions with low ADRs/Sub80 buckets.

AAA CLO

EUR AAA CLO

There is 1 x AAA trade today. Oak Hill 6 traded at 99.91 / 127dm. For the secondary market this does not evidence much of a change in spreads, if anything a basis point or two wider. Bloomberg reported a stack of refi’s and resets in the New Issue market today. Looking at the resets, if anything the Primary market is a basis point tighter. Avoca 10 reset is notable for a longer than usual NC/RPE structure of 2/5 and this priced at 83bps margin.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 2 x AA trades. Cairn 8 has traded 100a / 172dm and Jubilee 2017-19 at 99.66 / 175dm. These are about 5bps tighter on our AA curve. Bloomberg reported the resets priced at 135bps which is unchanged in the Primary market.

There are 2 x BBB trades, both Man GLG bonds. GLG 4 traded at 93.51 / 412dm and GLG 5 at 98.60 / 416dm. Obviously these are a lot wider than regular BBBs. Out of these two deals GLG 4 is in much the worse state. It has an MVOC of 114.21% (118% to 120% is more normal) and Jnr OC cushion of 0.61% (2% to 3% is more normal).

There are 9 x BBBs. According to our calculations the secondary curve has widened by around 20bps although that is not reflected in the New Issue market. The Black Diamond 2015-1 deal is in amortisation and it looks like the BB has been downgraded to single B although we don’t see anything in the deal that warrants this.

There are 3 x Bs. Given the relative margins, BNPP 2015-1 traded wider than the others even though its performance is very similar. The actual traded range of all three is from 772dm to 805dm which is not a big change in the secondary curve. Bloomberg reported that Avoca 10 reset at 875dm over floored Libor.

AAA CLO

USD CLO AAA

18 covers to start off the week, AAA-A.  1st pay AAA trade trade at their current ceiling of par (for margins+100bps-115bps) and there is a rare short dated 2nd pay trade at 100.125 from Voya IM (coupon +190bps) trading at 177dm / 0.94y WAL (despite weaker credit fundamentals – eg. CCC 19%, ADR 1.9, IDT cushion -2.1).

Mezz/Equity CLO

USD CLO Mezz/Equity

AA once again behave in similar context to AAAs by trading at their par ceiling with higher coupon (and short NC period remaining / coupon +195-220bps) being slightly better bid in m100h.  A similar story with single-A but lower margin bonds (+160-170bps) trading at a small discount to par, whilst a weaker single-A CANYC 2014-1A BR (from a MVOC point of view – 117.4  which is 3pts off benchmark) covers at a small discount too, note also that this bond has 84% current cov-lite exposure which appears to be driving MVOC lower along with a cuspy IDT cushion.

AAA CLO

EUR AAA CLO

There is 1 x AAA trade today. Avoca 17 traded at 100.41 / 127dm. We see this as a tightening on the AAA curve of 6bps.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 10 x AA trades. One of them, Harvest 10, is in amortisation. It traded at 142dm. The others traded between 190dm and 210dm which is an unchanged secondary curve. Bloomberg reported that Bosphorus 6 (Commerzbank) priced yesterday at 85bps on the AAA and 135bps on the AA. These are unchanged new issue levels. At the BBB and BB levels the prints did look like a widening of around 20bps, back to the levels of mid Feb.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

A quiet end to the week. There are 3 EUR trades and just the one single A. Jubilee 2019-23 traded at 100.53 / 262dm. We hadn’t seen a single A trade on a bwic for some time so this allows us to update our curve a little wider.

There are 2 x BBB trades. They are both 2020 vintage and have traded around 100.70 at 335dm, which is around 15bps tighter on our curve.

AAA CLO

USD CLO AAA

Busiest trading day of the week with just under 40 covers, the S&P US LLI saw its first daily drop of the month (-2bps).  AAA continue to trade around par with both PGIM and Pinebridge bonds with EoRP 2023 (post NC) trading 100.07 and 100.05 respectively (coupons +101 and +102bps). 

Mezz/Equity CLO

USD CLO Mezz/Equity

AA mirror AAA trading with all trades around par, bonds with 2022/2023 EoRP profiles and coupons +140bps-170bps trade accordingly.  Single-A also trade around par with two exceptions, firstly a higher coupon bond with clean metrics REG16 2019-2A C from Napier Park covers VH100h (higher than other covers in L100h).  Secondly CATLK 2018-5A C (Carlson Cap) covers 99h given some credit challenges (MVOC is low at 117.5, ADR is high at 2, Sub80 is high at 3.5 and cov-lite balance is high at 43% with a lower WA collateral px 96.9).  BBB trade in dm terms 280dm-475dm, bonds that trade at the highest discount have MVOC < 110, cuspy IDT cushions and from weaker managers (Sculptor, Sound Point and Bardin Hill).  BB trade in a very wide dispersion in terms of cash px (86-100.74) and dm (472dm-893dm).  Breaking this down, 2 bonds that trade at a premium to par have high coupons +713bps / +715bps, are still within NC (EoRP 2023/2024), have strong IDT cushions, low ADRs (<0.7) and low Sub80 (0.5) so cashflows are strong coming out of the pandemic.  At the other end of the scale are two bonds from Seix and MJX that cover at 86, these also have similar EoRP (2023/2024) but MVOC are at least 4pts lower (103.5) and credit is poor (ADR 2%, Sub80 3-5%, IDT cushions cuspy 0.4) whilst both managers have poor records versus peers.  At the tight end of the dm range is FLAT 2015-1X E (NY Life) that covers 99.93 at 472dm / 4y WAL (low coupon +470bps) and has strong performance (MVOC 110, ADR 0.5, Sub80 1.9 and IDT cushion 3.65).

AAA CLO

EUR AAA CLO

There are 6 x AAA trades today. Three of the bonds are in amortisation – 2 Cork Street bonds and Dartry Park. These three have all traded between 100.00 and 100.05 and spreads between 114dm and 134dm. Adagio 8 is a 2019 vintage and has a margin of 93bps. It traded at 100.31 / 129dm. The last two AlbaCore 1 and Vendome are 2020 vintage, with margins around 170bps and traded around 100.65 and spreads around 190dm. We think the AAA curve has widened by 2bps based on these trades.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 3 x BBB trade. Cairn 3 is from a deal in amortisation and has a low margin of 250bps. It traded at 100.07 / 290dm. The other two BBBs have margins around 340bps, traded around 100.15 at spreads around 370dm. We think the BBB curve has tightened by between somewhere between 2bps and 5 bps.

The only BB trade is Palmerston Park which traded at 99.71 / 582dm. For us this is about 20bps tighter on the BB curve.

AAA CLO

USD CLO AAA

Liquidity picked up today with 24 covers and 2 DNTs with disclosed color, US LLI up 7bps since Friday close, with Seniors and lower mezz trading exclusively today.  AAA continue to trade around their equilibrium for 2.0 bonds with coupons 102dm-126dm with a natural tendency for these cover prices to improve on higher coupon AAAs, for instance GSO’s GRIPP 2017-1A A covers 100.16 (+126 coupon) with LCM’s LCM 20A AR 100.06 (+104 coupon) given the path to refi is clearer on the GSO bond. 

Mezz/Equity CLO

USD CLO Mezz/Equity

BBB, for the large part trade at par or a small premium to par with a couple of exceptions.  Apex Credit’s APEXC 2019-1A C covers 98.33 at 439dm / 7y WAL (coupon +411bps) sharing a similar profile to an Oak Hill bond that today trades 1.5pts higher.  There is some credit weakness in the Apex bond (ADR is high at 1.5, IDT cushion is at the lower end 1.96) and the manager has a weaker profile to its peers with Oak Hill having a far superior record to date.  Voya’s VOYA 2016-1A CR covers at a significant discount 95.35 at 349dm but carries a lower coupon (+265bps), low MVOC 108.8, ADR>1, CCC 9.2, par build highly negative -1% and a cuspy IDT cushion 0.65 with the manager’s record weaker to its peers.  BB bonds with solid fundamentals continue to perform well, highlighted by 2 of the trades today trade at a small premium to par (MDPK 2016-21A DR and BATLN 2019-14A E) and very clean metrics.  TICP 2015-1A E covers at the largest discount to par 97.58 and this is due in particular to the fact that this deal has been downgraded to single-B, the coupon is lower than similar profiles (so compensation for loss risk is lower), MVOC is at the lower end 105.6, ADR >1, Sub80 assets higher at 3.5 and most importantly since this bond is PIKable the Junior OC test cushion is very cuspy at 0.45 (Class F tranche immediately beneath is currently PIKing).

AAA CLO

EUR AAA CLO

There are 6 x AAA trades today. All the bonds have traded at a premium which is being limited by their callability. The spread to maturity range is, of course, high which is just a function of the margin on the bonds and therefore how much of an effect pulling the price back to par has. For the record the range of DM to maturity is 125dm to 212dm, though this doesn’t inform very much. We don’t think AAA spreads have moved, based on these trades. According to our spread curve and our algorithm Fair Oaks 2 has traded a little wider than we predicted. The deal metrics are fine so we presume, as a smaller manager, there is a manager premium associated with this name.