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.

AAA CLO

USD CLO AAA

Given President’s Day yesterday this week started off slower, with 8 covers today.  One x AAA CEDF 2016-5A A1R (Aegon) covers at 100.06 at 109dm / 3.8y WAL, this theme of migrating to par continues given the environment is ripe for refi/resets.  Although the margin on this bond (+110bps) does not present a clear path to refi since markets need to tighten more with AAAs currently hovering around this mark. 

Mezz/Equity CLO

USD CLO Mezz/Equity

One single-A trade OCTLF 2014-1A CRR (Octagon) covers also around par 100.066 with a coupon +220bps, which is very close to the prevailing single-A curve (vl 200s).  BB trade 624dm-811dm, we can give an example here of how fundamental performance alters the pattern of execution at this end of the capital stack, there are 2 similar profile BB rated (and original BB) bonds with bond coupons similar +660bps/+665bps and post NC (EoRP are 2021/2022).  The difference here being in performance with Brigade’s BATLN 2016-10A DR cover at par (100.09) 663dm / 5y WAL and has a strong MVOC 108.2, low ADR 0.6, strong IDT cushion 4.9 and low 2nds balance 0.5.  Contrastingly Sculptor’s OZLM 2017-19A D covers at a significant discount (92.05) for a similar profile but MVOC is almost 4pts weaker 104.5, ADR is high 1.8, IDT cushion is cuspy 0.3 and 2nd lien balance is high at 4.7%.

AAA CLO

EUR AAA CLO

There are 2 x AAA trades today. St Paul’s 10 traded at 100.11 / 157dm because it is a 2019 vintage and callable now. Invesco 5 traded at 100.74 / 133dm because it is a 2021 vintage and not callable until April 2022. They both pay similar bond margins. The AAA curve looks unchanged.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There is 1 x BBB trade. Man GLG 2 traded at 99.11 / 440dm. Even allowing for the fact this is a GLG bond, and allowing for an MVOC which is lower than normal at 114.07% and the Jnr OC cushion is low at 1.46% - still it appears that the BBB curve may have widened by 20bps.

There are 2 x BBs. Madison Park 12 only pays 520bps and is therefore a big discount bond. It traded at 96.41 / 622dm. Holland Park pays 703bps and therefore traded at 100.32 / 728dm. We think this curve has widened by 14bps.

The only single B trade is Arbour 6 which traded at 99.03 / 880dm. OakTree is a well liked manager and the deal is performing well but still this traded 23bps wider than our curve predicted.

AAA CLO

EUR AAA CLO

There are 5 x AAA trades today. The spread range is from 118dm to 150dm. The 150dm trade is Ares 14 which of course is the high margin bond (112bps) and is 2020 vintage. One of the bonds, Penta 2, is in amortisation and traded at 122dm. Overall these 5 trades represent an average tightening of the AAA curve of 3bps for us. In the New Issue market Bloomberg reported that Aurium 7 and BlueMountain 2021-1 both priced at 83bps which is pretty much an unchanged level for AAAs.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There is 1 x BBB trade. Bosphorus 4 traded tight at 99.03 / 320dm. This is about 30bps tighter than our curve predicted – but it is only one trade. In terms of the New Issue market Bloomberg reported the 2 new deals came at 310bps and 320bps. That compares with Oak Hill 8 (the last new issue – on 10 Feb) at 350bps.

There are 5 x BB trades to look at – although Halcyon 2016 was a DNT. The Toro 2 deal is amortising but this didn’t make much difference to the spread on the BB. It traded at 98.03 / 644dm. CVC Cordatus 10 and Mill Town Park showed about 15bps of tightening and traded around 570dm. Halcyon 2016 was best bid at 771dm but DNT’d and even though this deal is in poor shape (low MVOC od 107.17% and low Jnr OC cushion of 1.06%) this bid was still around 70bps wider than our model predicted. In New Issues BBG reported that the new deals came at 575bps and 600bps (Oak Hill 8 at 610bps).

There are 4 x B trades. They have traded between 834dm and 890dm. All apart from Madison Park 14 are not performing that well. The two new issues came at 850dm vs Oak Hill 8 at 890dm (over floored Libor).

AAA CLO

USD CLO AAA

Plenty of liquidity today with 45 covers across the capital stack, furthermore the S&P US LLI continues to retrace January gains (+12bps this week).  AAA bonds trade at par, with 2.0 CLO exchanging hands at 77dm-145dm, whilst 3.0 trade 149dm-188dm, with the latter a Palmer Sq BSL CLO AAA with a high coupon +200bps covers at a premium to par at 100.265 at 188dm / 2.2y WAL – with these bonds rarer and carrying high coupons they are well bid especially with the defensive nature of the deals (MVOC 167, 0% Sub80, 4.2 IDT cushion).

Mezz/Equity CLO

USD CLO Mezz/Equity

AA 2.0 also trade at par as we have seen recently 156dm-170dm with strong performance on these bonds.  Single-A trade mostly at a small discount to par 177dm-189dm with an outlier 2.0bond from Oak Hill OAKC 2019-4A C with a high coupon +265bps covers 100.62 / 7y WAL NC Jul 2021 – performance is good (MVOC 121, 0 ADR, 0.7 Sub80, IDT cushion 4.2) but the high coupon for a 2.0 AA makes this a sought after bond to diversify portfolios.  BBB trade in cash price terms slightly back to single-A in chronological order 279dm-316dm which is around 5-7bps of tightening versus recent comps.  As we saw with single-A, high coupon BBB with robust performance are well bid, ACIS 2014-5A D (Highland Cap) with coupon +434bps covers at 100h at 419dm / 3.5y WAL, the MVOC is strong 124.3 given the deal is post-reinvestment and delevering with IDT cushion strong 2.5% despite the high WARF 4163.  BB trade 594dm-682dm in line with 570dm-770dm context this month to date for comparables.  PGIM’s DRSLF 2015-37A ER covers 95.67 at 594dm / 6.8y WAL with relatively weaker metrics accounting for the 4.3% discount to par – MVOC 105.6, ADR 1.0, IDT cushion close to 1% and a lower coupon to offset risk reward +515bps.  One single-B (original B) trade today ELMW3 2019-3A F (Elmwood AM) covers near par 99.61 at 875dm / 8.8y WAL – the MVOC is strong 106.9, ADR is low 0.2, Sub80 is low 0.4, WARF is healthy 3042, CCCs are within TH 4.4 and IDT cushion is strong 3.7 and there is a high coupon +869bps making this a very well bid second loss bond.

AAA CLO

EUR AAA CLO

 We’ve got 11 x AAA trades today. Three of these are fixed rate: Armada 2, Anchorage 1 & Hayfin Emerald 1. They all traded just above par. Fixed rate bonds have much less liquidity and so their effective DM (although they most likely traded to a yield) is very high being in the low 200s. The other 8 trades were in the 127dm to 152dm range. This is a widening of 5bps on the day.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 3 x BB trades. CVC Cordatus 11 and Euro-Galaxy 7 both traded tighter than we expected. They were 569dm and 660dm respectively. Barings 2018-3 traded where we expected, at 718dm, and that is due to its slightly low MVOC of 108.17% and Jnr OC cushion of 1.08%. These three trades do not give us a straightforward picture of how the curve has changed but on balance we believe it has tightened by around 35bps.

The only single B trade, BNPP Euro 2018, traded at 96.81 / 808dm which is no real change on our curve.

AAA CLO

USD CLO AAA

A busy day of flow with 57 covers across IG and SubIG.  2.0 AAA continue to trade at a small premium to par given the optionality in a refi/reset scenario and the same with 3.0 AAA with higher coupons and 1y NC’s due at some point this year.  There is a second pay AAA today from Ares ARES 2014-31RA A2 that covers 99.99 in 8m size at 130dm / 4.6y WAL which slots in naturally in at the wide end of 2.0 AAA dm’s today. 

Mezz/Equity CLO

USD CLO Mezz/Equity

AA bonds, which are all post NC trade 131dm-193dm with an upgraded single-A cover 210dm from Marble Point.  The lower coupon AAs (+115bps/+150bps) trade at a discount with performance on the respective KKR/Wellfleet bonds slightly worse from a credit point of view but with the lower coupons not compensating enough for the additional risk these trade at 99.5 and 99.6.  Two single-A bonds exchanged hands today and cover 225dm-251dm with both covers at a discount, Seix’s MVEW 2017-1A CR covers 99.21 at 251dm / 5.3y WAL and has a weak MVOC 117, high ADR 1.6 and a cuspy IDT 1% with a running coupon +235bps which is at cohort.  BBB trade in a wide dispersion 270dm-424dm given the variety of performance and profiles on bonds.  The MVOC on bonds that trade at a premium to par is on average 1 point higher whilst other factors like ADR and Sub80 exposures are on the whole lower.  OZLM 2014-8A CRR trades at the highest discount 97.635 at 363dm / 5.5y WAL and has a lower than average coupon +315bps with mediocre performance (MVOC 111, ADR 1.2 and IDT cushion negative -0.56 and a cuspy Jnr OC cushion).  BB (orig BB) trade 581dm-783dm with the safeguards of strong MVOCs driving the dm distribution.  A MidOcean managed bond covers 96h and despite a reasonably strong MVOC the drag on cash price is driven by the higher ADR (1.1) and weaker performance overall of the manager.  A CVC managed bond covers at 95.83 with manager performance around benchmark levels but the low MVOC 104.5 and lower IDT cushion pull this to a steeper discount.  Two original single-B rated bonds trade today in a 944dm-1031dm range with cover prices driven largely by MVOC distribution, higher WARF and cuspy IDT cushions, in these cases the MVOC are 102-103 and cash prices are in mh80s-90 area.

AAA CLO

EUR AAA CLO

 There are 6 x AAA trades today. Tymon Park is a fixed rate and the deal is amortising. It traded at 100.05. Leaving this trade aside the other 5 had a trading range of 122dm to 148dm. The tight end trade is Armada 2 which in spite of its low margin of 76bps traded at a 100.17 / 122dm. The widest trade is Providus 3, which has the highest margin at 112bps and traded at 100.42 / 148dm. We think the secondary AAA curve has tightened by 4bps. Bloomberg reported that Oak Hill 8 priced at the very tight level of 84bps. After CVC Cordatus 4 reset at 83bps on 5 Feb there were two subsequent new issues that came at 87 and 88bps and now Oak Hill 8 is back at 84bps.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 6 x AA trades. Two of them are from deals in amortisation – Carlyle 2015-2 and Cairn 6. All the trades were around a mean of 198dm which is an unchanged spread curve for us. According to Bloomberg Oak Hill 8 priced at 135bps.

There are 9 x A trades. Funnily enough they are all from deals in amortisation. Spreads range from 184dm to 228dm, which is unchanged for secondary spreads. Oak Hill 8 priced at 240bps per Bloomberg.

Thee are 4 x BBB trades – although two are DNTs but we received the best bid. All four are 2020 vintage with high margins. Three of the prices are 101h and one of them, Zinnia, is 103h. Spreads are between 519dm to 569dm which obviously appear wide because of the large premiums involved. Oak Hill 8 priced at 350bps.

AAA CLO

USD CLO AAA

A consecutive day of mute liquidity as the S&P US LLI also flattens out this week following a week of retracing gains.  AAA bonds continue to trade around par with margins +96bps to +125bps from an array of managers.  From a credit point of view none of these bonds has signs of weakness, whilst Octagon’s OCT18 2018-18A A1A which trades 100.07 94dm has a NC next month with AAA coupon +96bps so unlikely short term candidate for refi/reset but pricing has shifted nonetheless with the current market dynamic.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA bonds also continue to trade around par, bonds from CIFC and 40/86 Advisors which have clean metrics (MVOC 128.50-129.50 and strong cushions) with dm context 158dm-162dm.  BB (original BB) trade at discounts to par in 620dm-700dm range with lower MVOC and lower coupons driving the severity of discount, for instance Carlyle’s CGMS 2018-2A D covers 93h with a relatively lower coupon +525bps equating to 635dm / 7.22y WAL.  CVC’s APID 2017-27A D covers 97.02 with a higher coupon +640bps at cover 97.02 698dm / 6y WAL whilst CVC’s overall manager performance is closer to benchmark of the 2 managers.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just one trade today – a BB. Carlyle 2015-3 traded at 94h / 623dm. The bond is pretty clean with MVOC of 108.25% and Jnr OC cushion of 1.52%.

AAA CLO

USD CLO AAA

13 covers today, all IG.  AAA bonds that are all post NC all trade around par as we have seen recently, at the wide end today is Sound Point’s SNDPT 2013-3RA A that covers at the lowest cash px 100.02 115dm / 3.8y WAL and has a weaker MVOC 146.6 along with cuspy IDT cushion 0.02 with slightly weaker than average manager metrics. 

Mezz/Equity CLO

USD CLO Mezz/Equity

AA bonds behave in similar fashion to AAAs with the pull to par given the reset friendly environment.  Sculptor’s OZLM 2014-6A A2AS covers at 100.00 despite a breached IDT cushion and a high 2nd lien balance of 3.8%.  Apollo and AXA IM’s AA bonds also trade at a small premium to par with comparable / slightly improved metrics.  BBB trade on the whole at par with the exception of Alcentra’s SHACK 2016-9X D that covers at 99h and 386dm / 4.7y WAL – the MVOC is weak 111.2, ADR is elevated 1%, Sub80 is higher 2.5, WARF is higher 3234, CCC is higher 7.4, IDT cushion is cuspy 0.7 and cov-lite exposure is high at 20%.  The combination of these metrics and the manager’s weaker track record culminate in weaker trade execution.

AAA CLO

EUR AAA CLO

 A large number of AAA trades today – 15 in total. Four of the bonds are from 2020 or 2019 vintages. They are Providus 4, Montmartre, Deer Park and Henley 1. These four traded with spreads between 155dm and 194dm and the bonds have margins between 114bps and 159bps. All the other bonds traded between 101dm and 147dm. The 101dm trade is Jubilee 2014-14 which is amortising and is only 1yr WAL, which means if you take this bond out of the range it becomes 116dm to 147dm. We think the AAA curve has tightened by around 6bps. Today Bloomberg reported 2 New Issues. Palmer Square 2021-1, their inaugural issue, priced at 87bps over floored Libor and Dryden 44 2015 reset at 88bps – both for the AAA and both for 1.5/4yr structures.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 2 x AA trades. St Paul’s 3-R, which is not the cleanest deal (slightly low MVOC and Jnr OC cushion) traded at 99.20 / 177dm. Henley 1 traded at 100.20 / 214dm. Bloomberg reported that the AAs from today’s New Issues came at 135bps and 150bps which are at the wider end of recent Primary pricing.

The 2 x A bonds traded at 219dm and 245dm for approx. 5yr WAL. This is about 7bps tighter than before. The New Issues came at the wide end of recent pricing; at 220bps and 235bps margin.

The only BBB trade is St Paul’s 2 which traded at 99.50 / 412dm. This level reflects the recent widening in New Issue which were at 315bps and 370bps margin.

AAA CLO

USD CLO AAA

14 covers to round off the week, with positive momentum off some weakness going into January month end, with S&P US LLI ticking up 19bps on the week retracing most of the losses.  AAA bonds traded at around par, both bonds almost identical in profile and trading at 100.03 and 100.03 which works out to 124dm (+125bps coupon), given these bonds are post NC this seems a reasonable ceiling. 

Mezz/Equity CLO

USD CLO Mezz/Equity

Two different profile single-As trade today with a similar WAL.  The first one is a 2.0 CLO, Sculptor’s OZLM 2017-21A B covers 98.89 213dm / 5.3y WAL (2023 EoRP) with MVOC 120.66, Sub80 2.5, CCC 8.5 and IDT cushion 0.7 with a lower margin +190bps.  The second one is a 3.0 CLO from OakTree OAKCL 2020-1A C (2021 EoRP) which overs mh100h 320dm / 5y WAL with respective metrics MVOC 123.02, Sub80 0, CCC 1.8 and higher IDT cushion 4.1 with a higher coupon +335bps, a defensive bond with a higher coupon better bid.  2.0 BBB trade at a small discount to par 294dm-307dm (post NC) with these bonds migrating towards their reset ceiling levels.  BB bonds with coupon of under +600bps trade at a 3-4pc discount to par whilst a GoldenTree bond GOLD9 2014-9A ER2 covers at the most significant discount at 96h with it’s MVOC up to 2pts lower than benchmark 104.7 and a cuspy IDT cushion 1% along with a lower coupon (+566bps) than those bonds that trade closer to par with coupons well in excess of 600bps.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just a handful of mezz trades today. There are 4 x A trades. They have quite a uniform spread distribution – from 241dm to 258dm. All the bonds are clean although Carlyle 2017-2 is slightly the weaker performer of the four, but not by enough to affect its spread. We think the single A curve tightened by 25bps in secondary today.

There are only 2 x BBB trades. It traded very wide, at 96.55 / 445dm. Carlyle 2017-2 BBB traded at L100s / approx. 308dm. Its hard, from this feedback, to be too sure where the BBB curve moved to but it does look like it has tightened – by most likely at least 30bps.

There is one BB trade. GLG 2 BB traded at 96.50 / 774dm. With one trade it is hard to draw too many conclusions – but we do think the BB curve has tightened too.

AAA CLO

USD CLO AAA

A very heavy day of liquidity with more than 50 trades.  Only 2 x AAA trades today and they have a tightening tone and trade above par (covers 100.35/100.36) 123dm-126dm with very clean metrics on both bonds, whilst coupons on both bonds are +130bps/+133bps with NC July this year, so investors are pricing this as if there is a clear pathway to refi/reset in Q3. 

Mezz/Equity CLO

USD CLO Mezz/Equity

AA bonds trade slightly back to AAA in cash px terms but at a small premium to par, with three exceptions today that trade below par.  These 3 bonds (from TPG, Seix and Sculptor) have weaker credit fundamentals that are preventing them from trading above par (elevated ADRs as high as 2.7 on TPG, high Sub80 buckets 2.8 on TPG) with the cuspy/breached IDT cushions a lead indicator of stress.  The TPG has a reasonable record as a manager but this bond TICP 2018-IIA A2 is tripping Jnr OC test, furthermore Seix and Sculptor have weaker manager records.  Single-A trade 180dm-250dm with higher coupon bonds better bid over par (given the likelihood of respective deal resetting) with MVOC and IDT cushions also influencers on this dynamic.  There is an outlier trade from Apex Credit JFIN 2014-2A C covers at a discount 99.76 at 335dm / 2.5y WAL, this is an upgraded original BBB bond from a deal that is deleveraging (EoRP 2018) but has tripped its Junior OC test with immediately subordinate tranche PIKing, furthermore CCCs are high at 19%, Sub80 and ADRs running high at 13.4 and 2.3% respectively but counteracted by the fact that the MVOC is high since the deal is delevering.  BBB (all original BBB) trade 281dm-389dm with higher coupon bonds trading closer to / at par with the exception of bonds with lower MVOCs (<112), EGCLO 2018-1A D (Tall Tree) covers 98.46 at 358dm / 4.4y WAL predominantly due to a lower MVOC 110.9 but the fact that this bond is deferring interest (only 1 Qtr but is now current) due to a tripped Jnr OC test (-0.3).  Taking a closer look at the liquid 2023 RP profile this has tightened to comps by around 30dm with these bonds migrating to par.  BB (original BB) trade 600dm-884dm which is flat to recent context across a number of RP profiles.  MVOC and Int diversion tests continue to drive pricing at this rating along with other credit factors like ADR, Sub80 and CCC but to a lesser extent.  For instance at the wide end today is a bond from a weaker manager MJX VENTR 2017-28AA E cover h80s at 884dm / 5.6y WAL with a low MVOC 104.2, high ADR 104.2, high ADR 1.95, high Sub80 3.8 and a cuspy IDT cushion 0.5.  There is one x Single-B (original B) trade from Eaton Vance EATON 2014-1RA F that covers 93.51 at 964dm / 8.1y WAL which trades at the wide end of recent context 890dm-970dm for comparables, this is not due to market softening but instead due to fundamental weakness (ADR is high 1.6, Sub80 is high 2.2 whilst IDT cushion is lower than benchmark 1.5) and MVOC is low at 103.6, the equity on this deal is paying distributions and there is no PIK on this F tranche so the bond is very much current.

AAA CLO

EUR AAA CLO

There are 4 x AAA trades today. Providus 2 is a 2018 vintage bond with a margin of 101bps. It traded at 100.13 / 148dm. The other three are all 2020 deals, with margins around 160bps. They all traded around 100.55 / 194dm. All four bonds are performing well. The secondary spread curve has widened by 8bps for us. Today Bloomberg reported that Anchorage 2021-4 was upsized and printed its AAA 4bps wider than Avoca 22, at 87bps over floored Libor.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 6 x BBB trades. The spread range is from 344dm to 442dm. Predictably GLG 4 traded wide, in spite of having a low margin, at 93.00 / 428dm. The widest trade is Hayfin 4, issued in 2020 with the highest margin of today’s trades at 415bps, at 100.71 / 442dm. The tightest trade is Sound Point 3. Even though its margin is only 320bps and our models forecasted a discount valuation, it actually traded at 100.58 / 344dm. The whole mezz stack has widened also in new issue, as reported by Bloomberg. For example Anchorage 2021-4 priced its BBB at 320dm whereas Avoca 22 priced at 290dm on 29 Jan.

There are 4 x BB trades. Carlyle 2015-2 is in amortisation and traded at 583dm. The other three traded between 699dm and 755dm.

There are 2 x B trades. Castle Park is in amortisation and traded at 664dm. OZLME 4 has a low MVOC at 105.50% and traded at 818dm.

AAA CLO

USD CLO AAA

19 covers today with the majority high grade.  AAA, all 1st pay and 2.0 all cover at a minimum of par with the S&P US LLI retracing by 7bps some of the losses seen earlier this week by 7bps.  Performance delta between AAA bonds making less distinction on covers today given the market migration towards par given the pathway many deals have towards refi/reset.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade in almost identical fashion to AAA with bonds in fact trading slightly above par with a dm range today 163dm-184dm.  BBB cover at a discount to par and trade in a 380dm-385dm range, with both bonds (Alcentra/Sculptor) having either a cuspy/breached IDT cushion which is a major influencer of bid prices at this end of the capital structure given the proximity to deferring, furthermore the Sub80 balances on two bonds today (around 2.8%) is around slightly above normal (circa 15bps) for bonds that have traded at a discount over the past couple of weeks, whilst the ADR levels on these bonds (1.05/1.09) are trending weaker and in the ball park where bonds at a discount trade.  One BB bond today trades (original BB) TRNTS 2020-12A E (Trinitas) covers a shade over par at 735dm / 9.4y WAL, this is a 3.0 bond with NC in a year from now and very defensive metrics all round (ADR 0.3, Sub80 0.3, MVOC 110, IDTC 4.3) with a high coupon +740bps.  One single-B bond trades today (original B) BABSN 2017-1A F (Barings) which covers 91.5 at 908dm / 6y WAL, this 2022 RP profile carries a higher coupon than other recent comparables from this profile (+600-690bps) which have traded in a 650dm-900dm range.  The metrics overall on this bond are strong with reset likelihood cuspy on this deal (AAA +118 and post NC) so investors are pricing this to a longer WAL.

AAA CLO

EUR AAA CLO

There are 3 x AAA trades today – two floaters and one fixed rate. The two floaters, Adagio 4 and Aurium 2, are both deals in amortisation and traded at 119dm for short WALs of around 1.6yrs. These came out to prices of around 100.07. The fixed rate is Barings 2018-2 which traded at 100.00 which comes out to 214dm. As well as being a fixed rate with the reduced liquidity this implies it also has a low Jnr OC cushion of 0.28%.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 6 x AA trades. The tightest trade is Castle Park which is in amortisation and the Orig AA has been upgraded to AAA. It traded at 100.07 / 157dm. The other 5 trades are between 168dm and 223dm. We think AA spreads have remained steady.

There are 2 x A trades. Dartry Park is another deal in amortisation and has been upgraded to AA. It traded at 239dm. Madison Park 8 traded at 286dm. We see the single A curve having softened by 7bps.

There are 4 x BBB trades. The two discount trades, Willow Park and Oak Hill 7, traded at 321dm and 368dm respectively. The two premium trades, Oak Hill 5 an Dryden 35 2014, traded at 403dm and 450dm respectively. Overall we believe the BBB curve has widened by 9bps.

There are 2 x B trades. They both have similar credit performance but Voya 1 traded at 95.50 / 774dm and Madison Park 13 traded at 97.50 / 946dm. We do regularly see CSAM as a manager who trades wider to its peers.

AAA CLO

USD CLO AAA

16 trades today.  AAA 2.0 trade around par with Black Diamond’s BLACK 2017-1A A1A trading at a small discount - the deal is 5 months from NC and the fundamentals are slightly weaker to benchmark bonds along with a weaker manager record.  Apollo’s RRAM 2020-10A A1FL, a 3.0 covers above par 100.47 at 168dm / 4y WAL with typically defensive characteristics – high MVOC 168, low ADR 0.4, Sub80 0, low WARF 2985 and strong cushions.

Mezz/Equity CLO

USD CLO Mezz/Equity

One x AA bond from Telos AM covers at a small discount 99.75 186dm / 4.3y WAL and back to comps but credit is weaker Sub80 is high 7.3, IDT cushion is cuspy 0.4 and WA collateral px is low 95.7.  The single-A trade is from Voya IM cover 99.15 235dm / 6y WAL - which trades softer to comps but has credit challenges as CCC is high 8.4, IDT cushion is cuspy 0.5 and MVOC on the low end 116.  BBB trade 313dm-401dm with a Sound Point bond well bid with cover 100.65 401dm / 7.8y WAL with a strong MVOC 114.7 and strong credit metrics.  Assured IM’s BLUEM 2018-23A D covers at a discount 98.64 with 313dm / 6.5y WAL – MVOC is low 111.85, CCC is high 5.5, IDT cushion is 1pt lower than the Sound Point bond and has a lower coupon +290bps (vs +411bps on the Sound Point bond).  BB (original BB) trade 689dm-747dm, KKR 27A E at the tight end covers 100.07 with 689dm / 8y WAL and has a strong MVOC 108.7 and strong IDT cushion 3.7%, whilst SNDPT 2017-3A D covers at 95 with 747dm / 6.2y WAL with a weaker MVOC 105.1 and cuspy IDT cushion 0.5 from a weaker manager than KKR’s record.  2 x Single-B (original B) trade 770dm-885dm with both bonds (from Oak Hill and CSAM) having similar performance to date, both benchmark managers and post NC with the CSAM bond cover 92.6 (lower probability of a refi/reset given low AAA spread) and Oak Hill cover 96.6 with a clearer path to refi/reset (AAA +117bps).

AAA CLO

EUR AAA CLO

There are 2 x AAA trades today. They both traded around 140dm. They are both clean and quite long at 4.8yrs WAL. After the recent tightening we saw driven by the Avoca 22 New Issue print this represents a softening of around 10bps for us.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 2 x B trades today. Aurium 3 traded at 97.59 / 781dm. Blackrock 8 traded at 98.50 / 900dm. Both of them have slightly lower than average MVOCs in our opinion (around 106%). Spire Partners shelves are always well bid. We think the single B curve has also softened – by around 30bps.

Mezz/Equity CLO

USD CLO Mezz/Equity

With month end now out of the way the first trickle of bonds this month are all low mezz, predominantly BB.  There is one BBB trade today SHACK 2013-3A DR that covers 95h at 390dm / 5.7y WAL, this level is softer than recent comps and part of this is due to a lower MVOC 109.4 (vs 110-113 for recent comps) but also due to some market weakness that has crept into mezz (S&P US LLI ticks down 3bps today off Friday close, Friday close was also down 34bps on the week).  BB (all original BB) cover 587dm-742dm with cover prices in 94-99 range.  Bonds from Wellfleet and Anchorage trading at the steepest discount with performance from both moderately worse than their peers (especially for Jnr OC cushion which is key at this end of the capital structure), the Anchorage bond ANCHC 2014-3RA E has a low MVOC 105.9 and a cuspy IDT cushion 0.8.  However a shorter dated Columbia bond CECLO 2015-24A DR covers 99h with a 587dm / 4.5y WAL with a worse manager record than Wellfleet/Anchorage, however an optional redemption event has been triggered for 4th Feb effective date by the equity so this bond has naturally migrated towards par.  Single-B (original BB) trade 557dm-886dm so not too dissimilar to BB trading today, with the obvious exception of TRAL 2017-4A E (EoRP 2022) with a mh80s cover at 886dm / 5.8y WAL – the MVOC is very low 103.8, cuspy IDT cushion 0.4, low WA collateral px 94.45 and a weak manager record.  Furthermore there is a distressed trade at the wide end from Cutwater CTWTR 2014-1A D covers 60h at 2170dm / 3.5y WAL, this deal is delevering (AAAs still not fully redeemed) given it’s well past reinvestment (2018) but also the bond is PIKing but has just paid interest in January following 3 months of deferral – the MVOC has a shortfall 95.9, ADR is high 3.04, Sub80 is high 17%, WARF high 4263, Jnr OC cushion is -7.7, a high 2nds balance of 3.6% and a weak manager record.

Mezz/Equity CLO

USD CLO Mezz/Equity

This week is rounded off with > 30 mezz trades (BBB and below) with a softer tone in the underlying as the S&P US LLI is down 34bps on the week.  28 x BBB trades make up the large majority and trade predominantly close to or near par 263dm-408dm.  The bonds trading at a discount do suffer from lower MVOC/MVAP.  Sculptor’s OZLM 2014-7RA CR has the lowest MVOC of the trades today (109.7) and CVR is 96 374dm / 5.3y WAL, this bond also has breached IDT and Jnr OC tests (immediately subordinate tranche PIKing) with other similar profile bonds trading 98.50/99 cash price.  Seix’s MVW 2014-1A DR CVR is 98.91 at 401dm / 3.3y WAL for a bond that is from a deal that is delivering and increasing in CE, however with the IDT and Jnr OC tests crushed the bonds subordinate to this are PIKing, the short WAL and higher coupon +365bps supporting the cash price on this bond with fundamentals also suffering from the inability to manage credit migration during this pandemic nor able to take advantage of distressed prices middle of last year to improve the NAV.  Only one BB bond trades today, Marble Point’s MP11 2017-2A D covers m93h at 394dm / 6.5y WAL which is around 20dm wide to recent comps, this is an original BBB rated bond with a lower MVOC vs peers, with poor fundamentals (ADR 1.5, high 2nds balance 2.8%, IDT cushion close to breaching 0.01% and cuspy Jnr OC cushion 1.01% with Marble Point’s performance only slightly weaker to peers.  3 x single-B trades, at the tight end is LCM 20A ER which is an original BB and has a CVR 94.34 at 668dm / 5.3y WAL, this bond has a cuspy Jnr OC cushion of 0.3 but the equity tranche immediately subordinate to this is paying healthy distributions at around 13% yield to par, the bond has MV coverage 104.8 but has a strong performing pool (WARF 2733, Sub80 1.9, WA collateral px 98, 2nds 0.16).  Original Single-B today trade 818dm-859dm for 2021/2023 RP profiles which is at the tight end of a 830dm-960dm recent distribution, both bonds are from benchmark managers (CSAM and Blackrock).  At the wide end is CSAM’s MDPK 2018-28A F CVR 93.77 859dm / 8.2y WAL – this bond trades at a higher discount given the weaker critical fundamentals - higher 2nds balance 3.6%, Sub80 3.3%, 14.5% CCC and a lower WA collateral px 97.9 whilst the bond has good cushion and unlikely to defer interest in the short-medium term whilst carrying a high coupon +760bps.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

For month end pricing we have a good number of mezz trades. There are 2 x AA. Both these bonds traded at 183dm which is sharply tighter for month end. For us, it is around 50bos tighter on our AA curve. Bloomberg reported that Avoca 22 (1.5yr Non-call/4yr RPE) priced today at 83bps over floored Libor for the AAA tranche. This is a new tight and is 7bps tighter than Henley 4 and 4bps tighter than Redding Ridge 6. The AA of Avoca 22 came in at 130bps which is also 5bps to 10bps tighter than recent 1.5/4 structures.

There are 3 x A trades. These have priced between 216dm and 248dm. Aurium 2 is amortising, but has only just started paying back the AAA, and the AA here traded at 227dm. Bloomberg reported that the New Issue level for Avoca 22 is 200bps which compares to 210bps to 230bps for previous 1.5/4 structures. We had to tighten our secondary single A curve by 25 to 30 bps.

There are 3 x BBB trades. Harvest 10 was refi’d in 2017 and is in amortisation. Even with its low margin of 285bps it traded at 100.05 / 283dm. The other two, Hayfin Emerald 4 and Sound Point 3, are 2020 deal with margins of 415bps and 320bps respectively. These traded at larger premiums and spreads of 441dm and 355dm.

There are 6 x BB trades. The spread range is from 654dm to 752dm. The widest trade is Man GLG 4 which is underperforming and from an unloved manager. The two tightest trades are Jubilee 2018-20 and Harvest 11. The Jubilee bond is performing well but the Harvest less so (MVOC 108.49% vs 107.36% and Jnr OC cushion 3.36% vs 1.17%).

There are 2 x B trades. GoldenTree 4 is performing well and traded at 99.79 / 724dm. Carlyle 2014-2 has a low MVOC and traded at 92.00 / 930dm. Overall for clean credits we think the single B curve has tightened by 30 to 40 bps.

AAA CLO

USD CLO AAA

44 covers today across the capital stack, whilst noting that S&P US LLI is down 22bps this week.  AAA continue to hover around par especially with today’s well bid higher coupon (> +120bps) 2.0 bonds that are post NC and trade 119dm-125dm.  Furthermore we have not seen many 3.0 AAAs trade recently but there are two trades today that trade with a premium to par and both carry coupon >+150bps and still in NC along with the stereotypical defensive features like low CCC, low Sub80, high cushions and high MVOC. 

Mezz/Equity CLO

USD CLO Mezz/Equity

One AA bond today, a 3.0 bond Apollo’s RRAM 2020-10A A2B that has a high coupon +300bps and covers at a significant premium 100.67 and 287dm / 5.8y WAL.  BBB trade 316dm-406dm with recent comps trading 300dm-370dm so largely unaffected by the recent softness in the US LLI.  There is also a rare recent 3.0 bond from MJX VENTR 2020-40A D1 that covers at 453dm / 6.7y WAL with defensive deal characteristics and excellent performance (WA collateral px 100.03, MVOC 116, CCC 0.4, Sub80 0).  BB (all original BB) trade 596dm-853dm with recent comps 630dm-750dm, at the wide end (but DNT) is VENTR 2017-30X E 785dm / 6.6y WAL from a manager MJX that typically trades wider (MVOC is on the low end 104.8, Sub80 elevated 3.7, higher 2nds 1.4).  Well through the wide end is a Seix bond that DNT and covers 853dm / 5.5y WAL with a high ADR 1.6, low MVOC 104.1 from a weaker manager.  Single-B (original B) trade 786dm-990dm (EoRP 2023/2025) sharing equity type returns and in line with recent context 830dm-910dm from similar profiles.  With MVOC driving DMs an example of this is an Elmwood bond ELMW1 2019-1A FR that covers at par, with a high coupon +898bps, a 2019 vintage that has recently been reset – Q4 2020 and benefits from the protections of a 3.0 structure/portfolio whilst locking in a high coupon with a long reinvestment end (2025) along with a remaining 2.5y NC period.

AAA CLO

EUR AAA CLO

Just three trades in Euro land today. The only AAA, CVC Cordatus 3, traded at 100.00 / 131dm, in line with previous levels. Bloomberg reported that Henley Park 4 priced today with a 1.5/4yr structure – the AAA pricing at 90bps over floored Libor, in line with recently established new issue levels.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only AA, Fair Oaks 2, traded at 100.87 / 308dm. This is 20bps wider than our curve. Henley 4 priced at 135bps over floored Libor per Bloomberg.

The BB trade, Oak Hill 3, traded at 95.50 / 637dm. We are seeing approximately 45bps of widening on our BB curve.

AAA CLO

USD CLO AAA

A considerably busier day with 46 trades, with almost half AAA.  These AAA trade around par 98dm-128dm pretty much in line with the coupons on bonds.  The bonds that trade at a very slim discount to par has marginally weaker credit metrics as expected (with MV metrics similar to bonds that trade slightly above par), these metrics include ASR, Sub80 and 2nd lien buckets which are softer along with WAS/WARF which are a touch higher also. 

Mezz/Equity CLO

USD CLO Mezz/Equity

AA and Single-A bonds again trade in similar fashion to AAA, near par and in line with their margins 146dm-155dm and 191dm-217dm respectively, with no outliers.  BBB don’t trade too dissimilar 297dm-359dm with higher coupon bonds bid at a higher cash price and a cuspy IDT cushion (0.19) pushing BABSN 2015-2A DR to a higher discount to par than other BBB trades (99.02) given the proximity to PIKing.  BB (original BBB) trade 382dm-453dm whilst these have stronger MV metrics (106-108) closer aligned with BBB.  Original BB bonds trade in a wide dispersion 499dm-699dm given the different profiles and margins, with two outliers at the wide end.  Firstly MDPK 2013-11A ER covers at 96.00 with 722dm / 5.4y WAL with weaker metrics (MVOC 105.5, high Sub80 4.4, high CCC 12.9 and a cuspy IDTC 0.7), secondly at the wide end is BLUEM 2016-3A ER which covers at the highest discount 90.00 at 747dm / 7.9y WAL – low MVOC 104.3, high ADR 1.6. cuspy Jnr OC cushion 0.7 and Assured IM’s manager record is slightly weaker to its peers.  Just the one single-B trade today SNDPT 2016-2A ER which is an original BB and covers 96.33 at 770dm / 5.2y WAL which trades only slightly back (+23dm) to the wide end of BBs (BLUEM above), the metrics are mixed vs BLUEM with MVOC clearly the moving the needle most in terms of CVR (MVOC is 40bps lower 103.9, ADR is 90bps better 0.8 and Jnr OC cushion 50bps better 1.3).  See PriceABS trade listing for full details.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just EUR mezz trades to look at today. There are 3 x BBB. Jubilee 2014-11 BBB is performing poorly – it has a low MVOC of 111.78% and a breached Jnr OC test at -0.13%. Therefore this bond traded the widest at 448dm. The other two BBBs traded around 350dm. We have tightened our BBB curve by 15bps.

There are 7 x BB trades. The spread range is from 630dm to 670dm which is about 30bps tighter for us. Barings 2014-2 has slightly weaker credit characteristics than the others and traded at 655dm. The widest trade of all, at 672dm, is Euro-Galaxy 7 (managed by PineBridge), which is actually performing OK. This is a name that does tend to trade wider.

AAA CLO

USD CLO AAA
35 trades across the capital stack today.  AAA trade above par in a variety of profiles 92dm-138dm, at the tight end are 2 x BlueMountain bonds that are post mid-late 2020 reinvestment period end with margin 93bps/105bps and delivering with short WALs (<2y) with limited path to refi/reset.  Furthermore bonds with higher coupon, in today’s case in excess of +129bps trade at a higher premium given the proximity to refi/reset as they get closer to NC later this year with the outlook for spread tightening encouraging.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade at a premium to par as well and in similar fashion to AAA as we have seen recently.  Profiles are similar (2022/2023 EoRP / bond margin +165bps-180bps) and trade flat to recent context.  Single-A trade 190dm-218dm, with a Sculptor bond OZLM 2015-12A BR at the wide end 218dm / 4.1y WAL – this has a weaker MVOC 119.4 and weaker credit (Sub80 3.9, IDT cushion -1.6, WA collateral px 96.4) hence covers below par 99.51.  There is an original BBB and now A3 rated Allianz Global bond WSTC 2014-2X CR that covers wider in dm terms and more like a strong BBB at 262dm / 3y WAL (CVR 100.08 / high coupon +265bps) with good MV metrics but weak credit (eg. high CCC 17.2, IDTC 0.3, high WAS 4.48).  BBB trade for the large part at or close to par 272dm-457dm with a couple of outliers, firstly at the wide end is MJX’s VENTR 2017-26A D CVR 98.5 with a high coupon +425bps and resultant dm of 457dm / 5.3y WAL – this bond trades below par due to a weaker MVOC 108.9, weaker credit (ADR 1.9, Sub80 4.7, IDTC -0.52) and from a weaker manager profile.  The second outlier at this rating level is another MJX bond VENTR 2018-32A D that has a lower coupon +300bps but similar performance to the MJX 2017 above albeit not as severe (IDT cushion is positive and MVOC 70bps better) with CVR 95.77 with resultant 369dm / 7.1y WAL.  The higher coupon the 2017 bond compensating for the higher CVR than the 2018 bond.  BB trade 659dm-756dm (2023/2025 EoRP) which is also flat to recent context for similar profile bonds (ie. similar EoRP / margin), bonds have MVOC > 104 and healthy IDT cushions with the exception ATCLO 2018-11A E which trades at the wide end 756dm / 6.8y WAL at CVR px 90.00 – this has a lower MVOC 104.04 with IDT cushion cuspy 0.3 hence close to PIKing, there is so Class F single-B tranche subordinate to this to absorb potential interest deferrals.  Single-B trade 793dm-831dm for original single-B with original BB trading tighter 638dm-669dm albeit with lower coupons (+575bps-635bps) in line with BB bonds mentioned above today, in some cases tighter given MVOC and coupon.  A GoldenTree bond GLM 2019-5A F has a low CVR 91h with 793dm / 8.3y WAL (MVOC 104.7,  ADR 0.35, IDTC 3.17, +657bps coupon) with a recent comp GLM 2019-4A F CVR higher 92.5 and is 30dm tighter 762dm / 7.7y WAL (MVOC 105.01, 1.06, IDTC 2.0, +640bps coupon) with the key differential here is the MVOC which is 30bps tighter and also the coupon which is 30bps delta from the same manager and vintage 1 year apart.

AAA CLO

EUR AAA CLO

We’ve got 11 x AAA trades today. Five of them are paying down (the ones with the shortest WALs in the PriceABS archive). Of these five, all except for Black Diamond 2015-1 have traded at small premiums since the possibility of a call has gone away. The range of DMs for these are from 86dm to 125dm. Naturally their traded spreads are tight (versus regular AAAs) although the widest trade is the Black Diamond 2015-1 which traded at 99.96 / 125dm.  Barings 2015-1 is a fixed rate bond, also in pay down, and traded at 100.01. The remaining 6 bonds have traded in the range 122dm to 158dm. At the tight end is ALME 2 which is a 2014 deal with a low margin of 75bps and traded at 100.17 / 122dm. At the wide end is Fair Oaks 3 which is a 2020 deal with a high margin of 125bps and traded at 100.73 / 158dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 2 x AA trades. Both traded around 205dm which is quite wide for AAs but Barings 2017-1 has a busted Jnr OC test (-0.15%) and Accunia 2 also has a low Jnr OC cushion (0.23%) and is also not a top tier manager.

There are 3 x BBB trades. Their trading range is 375dm to 449dm. Carlyle 2020-2 is a very recent deal and so traded at 101.20 / 445dm, with its long non-call period.

There are 8 x BB trades. The traded range is from 605dm to 705dm. We have widened our BB curve by 20bps. All the trades were in line with our forecasts from our automated valuation service with the possible exception of Aqueduct 4 which did tighter than we expected at 99.40 / 605dm. Grosvenor Place 2015-1 and Cairn 6 are from deals in amortisation. We applied a wider spread to Carlyle 2017-3 because of its low MVOC (107.02%) and low Jnr OC cushion (1.14%) but then as it traded at a big discount (92.51) of course this tightened its spread back into 649dm.

There are 6 x B trades. The range is from 770dm to 925dm. This is 11 bps wider on our curve. The two widest trades are Harvest 11 and Newhaven 2. Both of them traded at big discounts (92.38 and 85.00 respectively) and both have low MVOCs (around 103.50%).

AAA CLO

USD CLO AAA

Just under 30 trades to open the week.  AAA trade in similar tone 90dm-129dm with cover px at or around par, with some higher coupon bonds (+134bps) cover > par 100.27-100.39 (126dm-129dm) with these bonds still within NC period.  There is one outlier trade which is from a weaker manager Ellington ECLO 2018-3A A1 186dm / 2.5y WAL, this bond carries a high coupon +165bps but is plagued with credit issues – high ADR 14.8, Sub80 assets 23.3, WARF 5735, CCC 43.5 and Int div cushions well out of joint.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA also trade similarly and uniformly with margin on the bonds 152dm-210dm at / around par.  Single-A trade 191dm-197dm which is at the tighter end of recent 190dm-220dm context for similar profile bonds, cover prices migrating towards par, at the tight end is a Neuberger bond 191dm / 5.6y WAL with clean metrics – MVOC 120.3, ADR 0.86, WARF 3003, strong cushions and WA collateral px 99.4.  BBB also migrating towards par and trade 245dm-413dm, with a notoriously clean Blackrock bond (MVOC 112.3) at the tight end with a short WAL and +215bps coupon 245dm / 4y WAL.  At the wide end is a slightly longer Carlyle bond with a higher coupon 413dm / 5.5y WAL with lower MV metrics MVOC 108.5, higher coupon +365bps and cuspy IDT cushion with cover price at a larger discount 97.64.  BB trade 528dm-711dm, bonds are relatively clean fundamentally and hence trade uniformly in line with their running coupons, Onex’s OCP 2017-13X D  covers at 100.01 663dm / 6.1y WAL, this bond has strong cushions IDTC 2.72 / Jnr OC cushion 3.72, low ADR 0.6, low Sub80 0.34 and high WA collateral px 99.4.  Single-B (original B) trade 762dm-961dm with the higher coupon (+867bps) ARES 2018-50X F cover 961dm / 7.2y WAL with CVR 94.59 and MVOC healthy 104.1, low Sub80 0.29 and high WA collateral px 99.3 with bond not close to PIKing (IDTC 1.33) , this bond is recently post NC with AAA coupon +117 so cuspy for a reset / refi.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Only 2 debt trades today, and 7 equity trades. We will fill in the equity yields into PriceABS later in the day. Of the two debt trades one is a AA. Euro-Galaxy 4 AA traded at 99.75 / 207dm which does seem quite wide to us. It’s difficult to tell from just one trade whether this means the curve has widened or this an outlier.

In the same deal the single A traded at 99.07 / 273dm which is more in line with our expectation.

AAA CLO

USD CLO AAA

A relatively slower end to a busy week with 23 covers.   AAA all trade above par today and in a narrow dispersion 118dm-128dm, given the path to call at par and refi/reset for a number of these bonds that have margin > +120bps.  Significant further tightening is unlikely given these bonds are all post NC as well.  We observed only a modest increase in S&P US LLI week on week, with a little flattening of this curve over the last 2 days.

Mezz/Equity CLO

USD CLO Mezz/Equity

Single-A trade 218dm-265dm with higher coupon bonds (>250bps) trading closer to par.  At the tight end bonds from LCM and First Eagle trade around 220dm (2023 EoRP / +195bps coupon) with the nearest comp VENTR 2018-31A C1 256dm with a similar profile earlier this week, key difference here are the NAVs which are better in the LCM/First Eagle bonds (MVAP 14.5-14.9 vs 13.3 VENTR) and the inherit weakness in MJX’s profile versus its peers.  BBB trade in a narrow dispersion 299dm-330dm (EoRP all 2023) which is flat to recent context.  At the tight end is CIFC 2018-2A C 299dm / 56.6y WAL, driven by the strong MVOC 111.8, low ADR 0.4, healthy IDT/Jnr OC cushions and the strength of the manager CIFC.  BB trade in a wide dispersion 490dm-629dm mainly due to the WALs (reinvestment period end profiles) today given the tight dispersion of MVOC and the running coupon on the bonds, eg. at the wide end a Greywolf bond trades 97.91 CVR at 629dm / 7.35y WAL (wide coupon +593bps with the lowest MVOC today 108.6) which is an inverse relationship to high coupon senior bonds or high mezz bonds and their relationship to cash price/dm.  Single-B (original B) trade 747dm-928dm with Blackrock bonds continuing to prop up the tight end given performance 747dm / 5.4y WAL (strong IDT cushion 2.7, high WA collateral px 99.3 and strong MVOC 104.4) but also a lower coupon +650bps and a higher cover 95.38, similar behaviour to BB bonds.  At the wide end, for instance, is  an Eaton Vance single-B 928dm / 7.9y WAL (+797bps high coupon) with a lower cover 92.57 but also a lower MVOC 103.6 and cuspier IDT/Jnr OC cushions from a more inexperienced manager.

AAA CLO

EUR AAA CLO

There are 8 x AAA trades. Four of them are paying down ie Black Diamond 2015-1, Adagio 4 (which is fixed rate), and both Cork Street trades. Adagio 4 being fixed rate traded at a yield which is the equivalent of 165dm (wide for a 1.4yr bond in pay down). The other three traded around 120dm and very close to par. Then of the remaining four bonds Fair Oaks 2 and Hayfin 4 were issued in 2020 and so have high margins (190bps and 145bps). These traded around 100.80 price at 204dm and 165dm respectively. Bilbao 2 has 114bps margin and traded at 100.39 / 152dm and Purple 1 has 80bps margin and traded at 100.08 / 130dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There is 1 x AA trade. Tymon Park is paying down therefore it traded tight for a AA at 99.97 / 158dm.

There are 3 x A trades. Palmer Square 2020-1 was issued in Oct 2020 as a static deal but hasn’t as yet started paying down. MacKay Shields 2020-1 and Providus 4 were also issued in 2020. Therefore, obviously, all these bonds have high margins and all traded above 101 price in LM300s DM.

There are 5 x BBB trades. Two of them are Man GLG deals, so not surprisingly these have traded quite wide (although their performance is not that exceptional). Both of these have quite high margins (around 370bps) and have traded in a 99.20 context which is around 430dm. Cairn 4 and Jubilee 2018-21 have similar margins but have traded around par and 405dm. Finally Jubilee 2017-19 has a 260bps margin and has traded 98.22 / 337dm.

There are 8 x BB trades. They have traded with an average price of 96.75 and a range of DMs from 560dm to 634dm.

The 3 x B trades have traded between 793dm and 861dm.

AAA CLO

USD CLO AAA

60 covers today, predominantly IG but trades across the liability stack.  AAA, which for the most part are in reinvestment period today, trade as such 100dm-127dm with covers at or near par, the bonds that trade at a slight discount don’t have particularly obvious weaker metrics with only WARFs and manager profiles slightly weaker.  But otherwise the AAA trades today are aligned with the firmer tone seen recently.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA, as yesterday, trade in similar fashion to AAA with a trading range 147dm-179dm (cash px’s near par) with bonds all in reinvestment period, the IDT/Jnr OC cushions typically more cuspier on the bonds that trade at a slight discount.  Single-A trade in similar fashion with bonds trading around par 191dm-265dm, at the tight end is CSAM’s MDPK 2018-30A C that covers at a larger discount 98.96 191dm / 5.1y WAL, the key driver here of this is the lower margin +170bps (versus +250bps on CANYC 2015-1A CR with same RP profile).  BBB trade in a narrow dispersion 295dm-350dm with bonds also migrating to par and dm’s stack up with recent context.  There is an outlier bond which DNT but a dm has been calculated for comparison - BMMC 2018-1A C from Bain covers 446dm / 5.6y WAL (high coupon +400bps / EoRP 2022) and this bond carries a very high ADR 2.94 and low WA collateral px 95.8 so from a credit point of view is fundamentally weaker.  BB trade 536dm-684dm, with nothing really controversial here the only thing to mention is the bond that trades at the wide end, PGIM’s DRSLF 2013-30A ER covers at a lower cash price 94.91 684dm / 5.7y WAL, fundamentally the performance isn’t particularly weak but the NAV on this is low and this is reflected in a lower MVOC 104.4 (vs 106-109 benchmark) and lower MVAP is 4.2 (vs 6-8 benchmark).  There are 2 x single-B trades (original single-B) cover 689dm-878dm, both are post reinvestment with healthy IDT/Jnr OC cushions.  The two bonds are interesting as they are both similar profile with similar bond margin (+640/670bps) tighter end is OCP 2015-9A E 689dm / cash px 98.18 from Onex which is an experienced manager with 14 CLOs under management, this bond has a stronger MVOC 107.1 with a better MVAP 6.6 and low Sub80 balance.  Whilst at the wide end is Gallatin Loan Management’s GALL 2017-1A F that trades wider 878dm / 92 cash px, the manager is inexperienced with 2 CLOs under management and this is reflected in a lower MVOC 104.2 and slightly higher Sub80 balance of 1.8, with the NAV delta so high between the two bonds this moves the needle more on this bond with MVAP 2.5pts lower at 4% for this second loss tranche.

AAA CLO

EUR AAA CLO

There are 8 x AAA trades. Carlyle 2015-2 traded at 100.13 / 120dm which is a tight level for a AAA  because this deal is in pay down. All the other AAAs apart from BBAM 1 have margins in the 80s bps and have traded with spreads in 130s DM. BBAM 1 priced in 2020 and pays a margin of 160bps and therefore traded at 100.75 / 191dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 2 x AA trades. Jubilee 2015-15 is paying down but the deal is not in great shape. The AA still has a low MVOC and low Jnr OC cushion. As a result of these competing dynamics but also taking into account its low margin it traded at 99.01 / 164dm. Adagio 8 traded at 100.25 / 202dm.

There are 2 x BBB. The higher margin bond (Accunia 1) traded at 99.61 / 427dm and the lower margin bond (Carlyle 2015-3) at 98.29 / 333dm.

AAA CLO

USD CLO AAA

Significant liquidity today with 80 trades across the liability spectrum, S&P US LLI has ticked up 11bps since Friday close.  AAA trade around par with dm’s at the short end 76dm-106dm for bonds with coupons < 100bps, delevering and out of reinvestment period.  Whilst bonds typically in reinvestment and with margins >100bps trading 108dm-133dm near to par with pathway for potential refi/reset upon end of NC.  At the ‘wide’ end there is a 3.0 CLO OCP 2020-18A A that covers above par at 172dm / 3.1y WAL.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade in similar fashion to AAA around par 156dm-165dm, both bonds have EoRP end of next year with strong MVOC (128-130) and WA collateral px 99 area.  The theme on single-A is bonds trading at a slight discount to par (98.3-99.70) and 191dm-245dm.  Digging into this a little OZLM 2017-19A B (EoRP 2022) covers 222dm / 5.8y WAL at cover px 98.57 (Margin +195bps) in 3.4m size with 118.5 MVOC, whilst BLUEM 2013-2A CR (similar EoRP) covers on 12 Jan at 213dm / 5.6y WAL at cover px 99.05 (same Margin +195bps) in 4m size with 116 MVOC, with fundamentals comparable between the deals the fact that BlueMountain is the stronger manager has a larger influence.  BBB trade 312dm-384dm, at the tight end 312dm-320dm are two PSTAT bonds which are static CLOs from Palmer Square which typically trade tighter, for the remaining BBBs tiering by MVOC as seen recently is a larger influence.  A significant number of BB trades today (33 in total), original BB bonds trade 550dm-862dm which includes a selection of 3.0s with the majority of bonds trading at par, of which the coupons are all > 600bps.  There are outliers that trade at the wide end 793dm-862dm, these bonds are constrained by lower MVOCs (as seen recently), credit issues (ADRs >1%), cuspy IDT/Jnr OC cushions or weaker manager profiles (MJX, Apex) – please see PriceABS trade listing for full details.  Single-B trades today are all original BB bonds and trade in relatively similar context to BB 625dm-772dm with MVOCs similar / slightly back to BB.  There is one outlier trade VENTR 2013-15X ER2 (MJX) through the wide end 986dm / 7.9y WAL – MVAP is very low 1.1%, MVOC is cuspy 101, ADR is elevated 2.3, IDT cushion is compromised -0.75 whilst Jnr OC cushion is on the cusp whilst the manager has a weaker profile versus peers.

AAA CLO

EUR AAA CLO

There are 5 x AAA trades. The spread range is from 121dm to 134dm (mean 129dm). The price range is 100.11 to 100.33 (mean 100.19). These levels compare with Penta 5 which reset today, as reported by Bloomberg – the AAA priced at 95bps over floored Libor. That is about 10bps tighter than New Issue AAA levels as they were in Dec 2020.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 2 x AA trades. They have traded around 173dm. Jubilee 2015-16 has quite a low MVOC (133.41%) and a low Jnr OC cushion (0.38%) but still this didn’t affect the spread it traded at which was 175dm. Penta 5 AA reset at 155bps, per Bloomberg.

There are 3 x A bonds. The weakest bond of the three is Barings 2018-1 which has a low MVOC and has breached its Jnr OC cushion. Taking its credit into account but also its low margin of 150bps means it traded at 98.33 / 230dm. The other two bonds traded at small premium prices and spreads of around 250dm. Penta 5 reset at 240bps over floored Libor.

There are 7 x Orig BBB trades. Two of them, Cairn 3 and Elm Park, have started paying down. They traded at 296dm. The other 5 traded between 326dm and 368dm. Penta 5 reset at 370dm over floored Libor.

The BB trade, Armada 3, traded at 602dm. Penta 5 reset at 650dm over floored Libor but it will be a longer WAL. We have tightened our BB curve, calibrated for secondary trading, by 50bps.

The single B, Ares 7, traded at 752dm. This compares with 875dm on Penta 5. Again, for secondary, we have tightened by 60bps this time.

AAA CLO

USD CLO AAA

No trading yesterday given MLK day and today has opened the week sharply with 46 trades.  AAA (all 1st pay) trade 117dm-129dm in familiar tone to end of last week with clean metrics on these trades, the bonds are trading generally at or around par in line with NAVs continuing to tick up.

Mezz/Equity CLO

USD CLO Mezz/Equity

One AA bond CEDF 2016-5A BR covers above par 100.17 at 172dm / 5.6y WAL, once again in similar context to recent trading.  Single-As trade 218dm-318dm with bonds continuing to grind towards par, with lower coupon bonds trading at a bigger discount, eg. VENTR 2018-31A C1 (MJX) covers 96.75 at 256dm / 5.8y WAL (coupon +195bps) trading in the middle of the Single-A range today and has a profile with a low WARF 2926, high WAS 408 but from a weaker manager which seems to be the drag.  BBB trade 279dm-369dm, with higher coupon bonds (360-370bps) trading at a slight premium to par but remain at the wide end in dm terms (359-369dm).  At the ‘tight’ end is GLD11 2015-11A DR2 279dm / 6.3y WAL (cover px 97.76 / coupon +240bps) trading similar to its nearest comp YCLO 2015-1A DR that covers last week 306dm / 6.1y WAL / coupon +260bps with a cash px 97.5.  BB trade 588dm-864dm, the range of coupon here is narrower 550bps-600bps but the range of reinvestment period ends is wider with WALs from 4y-7y, MVOC and ADR have a larger part to play here in terms of tiering.  For instance at the wide end is MVW 2015-9A DR (Seix) cover 86.5 at 864dm / 6.7y WAL (EoRP 2023) with the lowest MVOC 102.6 of the bonds today – the bond has a very high ADR 1.9 and cuspy IDT / Jnr OC cushions.  Single-Bs trade in a very wide dispersion 640dm-1018dm, with original BB bonds dominating the tighter end of this 640dm-830dm (original B rated trade 785dm-1018dm).  There is one interesting trade within this mix that breaks this mould - MAGNE 2015-16A F (Blackrock) covers 785dm / 4.8y WAL which is inside some original BB single-B bonds, Blackrock has an exceptional manager record and their deals are more conservative with ADR low at 0.48, WARF low 3052, CCC low 4.9 and IDT/Jnr OC cushions very healthy.  At the wide end is SHACK 2015-8A F that is an original single-B covers 1018dm / 4.5y WAL (EoRP 2019) but has a low MVOC 101.9 and very cuspy IDT / Jnr OC cushions (0.2 / 1.2) with MVAP only 1.8%.

AAA CLO

EUR AAA CLO

There are 5 x AAA trades. The traded DM to mat range is 117dm to 139dm. The tight end of the range is Harvest 14 which traded at 100.04 / 117dm and has a 63bps margin. The wide end of the range is Toro 4 which traded at 100.20 / 139dm and has a 92bps margin.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 6 x orig AA trades. One of them is Sorrento Park which is paying down and has been upgraded to AAA. This traded in between a AAA and a AA spread at 151dm. The other trades ranged from 201 dm|mat to 217dm|mat. We are widening our AA curve by around 15bps.

There are 6 x Orig BB trades. The widest trade is Toro 6 which traded at 748dm. This bond has been downgraded to single B. The other 5 trades ranged from 574dm to 711dm. The tightest is Jubilee 2015-15 which is paying down. The widest is Armada 3. Man GLG 6 DNT’d. The best bid was 93.64 (711dm) but the seller’s reserve was 95.00 (683dm).

There are 3 x B trades which ranged from 752dm to 908dm. The Ares 7 and Sound Point 3 are in line with our curve but Voya 3 is around 25bps wider, so perhaps this indicates some widening pressure.