AAA CLO

USD CLO AAA

A third consecutive day of significant liquidity with 48 covers with focus again on lower mezz – 8 x AAA, 6 x AA, 4 x A, 10 x BBB, 16 x BB, 4 x B.  AAA trade in a narrow dispersion 116dm-131dm (2.0 CLO) and fairly flat to trading levels this week. 

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade 157dm-202dm which once again is flat to recent 160dm-210dm context.  A familiar bond at the tight end MAGNE 2015-12A BRRA from Blackrock covers 157dm / 6.2y WAL, strong MVOC 127.5, low ADR 0.6, low Sub80 bucket 2.6, strong IDT cushion 5.3 and a high WA collateral px 97.49 from a benchmark manager.  Single-A trade 239dm-280dm (2020-2022 RP) which is largely flat to 230dm-270dm trading context in similar profiles this week, with Guggenheim’s SBF 2016-2A B at the wide end 280dm / 4.95y WAL with reasonable metrics overall (only IDT cushion cuspy 0.15) and a manager record only marginally weaker to its peers.  BBB trade 289dm-477dm which means this is the first time a BBB security has traded 2-handle since the pandemic set in, granted this is a bond from a defensive benchmark manager Blackrock MAGNE 2012-7A CR2 289dm / 5.2y WAL – low ADR 0.5, low Sub80 3.7, cushions strong and a high WA collateral px 97.7.  BB trade 568dm-925dm which is comfortably in the trading zone seen this week in similar cohorts.  The key outlier today is Steele Creek’s STCR 2018-2A E 925dm / 7y WAL (2023 RP profile) which compares to 650dm-970dm context in this profile this week highlighting some of the tiering we are seeing just within this liquid 2023 RP profile.  The bond itself covers 150dm wide to another 2023 RP profile WELF 2017-3A D. So digging deeper into the basis….Steele Creek has been more active buying bonds at a discount typically around 87 cash price which is 5pts lower than Wellfleet, it has also lost a lot more par on sales activity than Wellfleet, avg credit risk sale px is around 79 which is around 13pts lower than Wellfleet whilst Steele Creek’s BB MVOCs are around 70bps lower than Wellfleet across their respective shelves.  Single-B trades 736dm-1111dm which compares to 770dm-1100dm seen in equivalent profiles this week where there has been more liquidity than usual.  At the tight end is ARES 2017-43A E 736dm / 6.3y WAL which has a strong MVOC 103.5 which is 1.5pts higher than VOYA 2018-2A F which trades 1001dm whilst other metrics fairly comparable aside from a higher WARF 3451 (Ares) vs 2933 (Voya) but this is counteracted by a lower ADR 0.75 (Ares) v 1.3 (Voya).

AAA CLO

EUR AAA CLO

There are 8 x AAA trades today. All bar one (Voya 1 A) traded at a significant premium and therefore were priced to call date, because they are 2020 vintage deals with high margins. Voya 1 A traded at 99.95 / 135dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 5 x BB trades which traded in a range from 660dm to 760dm. After yesterday’s tightening we now see a widening that reverses yesterday and widens another 50bps. It could be that yesterday’s BB levels were an artifact.

AAA CLO

USD CLO AAA

A second consecutive day of heavy flow with 58 covers with levels generally flat to most recent context across the board – 7 x AAA, 8 x AA, 7 x A, 20 x BBB, 13 x BB, 3 x B.  AAA trade 111dm-166dm, with 2 x 3.0 CLOs propping up the ‘wide’ end 160dm-166dm, both with conventional 3y EoRP profiles.  The 2.0 CLOs are flat to recent trading with clean metrics.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade 163dm-215dm which is flat to recent trading context, once again 2 x 3.0 CLOs prop up the wide end 212dm-215dm with the 2.0s trading 163dm-189dm.  Single-A trade 249dm-275dm which is in the middle of 210dm-380dm context this month to date, with generally clean metrics and MVOCs within 2pts of each line item.  BBBs trade 336dm-494dm which once again is flat to 310dm-560dm recent context, all the bonds are 2.0 CLOs with MJX’s VENTR 2016-24A D2 494dm / 4.7y WAL at the wide end – slim MVOC 107.2, high ADR 1.6, cuspy IDT cushion 0.2 and a lower WA collateral px 95.11.  BB trade 422dm-968dm, once again this is flat to 410dm-1000dm context since month end, with all bonds 2.0 CLOs.  At the wide end is Sound Point’s SNDPT 2017-4A D 968dm / 6.4y WAL – low MVOC 102.6 and weaker manager metrics contributing significantly to the wider dm since the other metrics look clean.  Single-Bs trade 730dm-912dm, again bang in line with 730dm-1000dm context post month end, all the bonds are relatively clean with MVOCs above par despite elevated ADRs 1.2-1.8 for these second loss bonds.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are a bunch of mezz trades today. There are 5 x BBBs. The tightest trade is Arbour 3 which traded at 303dm. It has started paying down, hence its MVOC is high at 119% and also it has a low coupon. The other 4 have traded in a range from 360dm to 455dm. The wide trade is Halcyon 2017-1 which has a low MVOC (113.17%) and a low Jnr OC cushion (1.03%). Northwoods 2019-19 has a high margin of 400bps traded at 100.10. This is 445dm to call because there is still 1 year left of the NC period. Considering also its good performance this bond could have traded at a higher price.

The 4 x BBs traded in a range from 575dm to 645dm. The widest trade is Blackrock 8 and this deal does have a lower Jnr OC cushion than the others (2% vs 3.5%). These levels are a tightening in our BB curve of 57bps.

The 2 x B trades have traded around 925dm which is a 55bps widening.

AAA CLO

USD CLO AAA

Heavy liquidity today, 66 covers with significant trading in low mezz – 3 x AAA, 8 x AA, 4 x A, 21 x BBB, 19 x BB, 11 x B.  With one traditional 2.0 AAA cover CGMS 2014-3RA A1A 115dm / 4.1y WAL in flat to recent tights.  Two 3.0 CLOs trade in a 147dm-184dm range, firstly Blackrock’s MAGNE 2020-27A A1 covers 147dm / 4.2y WAL which notoriously trades tight given the manager’s strength and defensive play (coupon +155bps).  At the other end of the curve is AGL’s AGL 2020-6A A1 184dm / 4.3y WAL, again a defensive play but coupon is wider +195. 

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade 170dm-230dm which is right in line with trading activity since month end, with no effective outliers.  Single-A trade 246dm-382dm versus 230dm-300dm context since month end, the stand out outlier is Partners Group’s PIPK 2020-6A C 382dm / 5.3y WAL, this tiers as a 3.0 CLO (coupon +404bps) and not for credit reasons whilst trades above par cover 101.02.  The bond carries a strong MVOC 125.2, high cushions (IDT 5.1), high WA collateral px 99.02 and low WARF 2642.  BBB trade in a very wide dispersion 338dm-806dm versus 320dm-430dm context post month end, so in line at the tight end.  There are two significant outliers, firstly HPS’s STRTA 2018-1A D 562dm / 6.2y WAL – high 2nd lien concentration 10.6% pushes up the WARF to 4033, low diversity 41, high CCC 24.4 and a very high ADR 4.1.  Secondly a 3.0 CLO from Zais ZAIS 2020-16A D2 806dm / 6.7y WAL (+649bps coupon), with the absence of investor reporting yet on this bond the only metric available is WARF which is high at 3200 for this vintage (+400 higher than benchmarks) and this has to a large extent been reflected in the high new issue coupons 219dm-249dm for multiple AAA tranches.  BB trade 412dm-865dm versus 450dm-1000dm context since month end, at the tight end is one bond TRNTS 2018-9A D (Trinitas) 412dm / 7.7y WAL – strong MVOC 110.3 for a 2.0 CLO is the key driver here, with MVOCs typically at this elevated level for 3.0 CLOs like AGL 2020-5A E that trades wider 651dm / 5.9y WAL with a comparable MVOC 110.6.  Today saw the highest flow in Single-Bs in a single day since covid with 11 covers that trade 749dm-1108dm versus 715dm-1000dm context since month end.  Through the wide end is BLUEM 2018-3A F 1108dm / 7.5y WAL – cuspy MVOC 101.3, high ADR 2.1, cuspy IDT cushion 0.2, furthermore at this end of the range is Apex’s JFIN 2014-1A E 1076dm / 3.1y WAL, although a stronger MVOC 104.9 the ADR is vh 3.4, Sub80 is vh 18.8, CCC is vh 30.5 and WA collateral px is vlow 87 and Jnr OC cushion is negative -2.99, this bond is PIKable and is carrying a deferred amount of interest.

AAA CLO

EUR AAA CLO

A busy day yesterday. There are 3 x AAA trades which traded between 136dm and 146dm. These 3 trades are an average of 3bps wider.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only AA trade is Armada 1 which traded at 209dm – an unchanged level.

There are 7 x BBBs. Three of the bonds traded at quite large premiums and therefore have traded to call. The par or discount trades were in a range from 355dm to 390dm. The tightest bond is Oak Hill 3 which doesn’t have especially good credit metrics but is by a well regarded manager.

There are 13 x BB trades. The trading range is from 580dm to 780dm. The tightest trade is Voya 1 at 579dm, even tighter than Adagio 4 at 587dm which has started paying down. The widest trade is Toro 6 at 781dm.

AAA CLO

USD CLO AAA

A relatively busy start to the week with 28 covers with dm's generally flat to recent tights (US LLI ticked up 8bps on Friday close) – 12 x AAA, 6 x A, 6 x BBB, 4 x BB.  AAAs are all 1st pay and 23m trades in a familiar tone 104dm-136dm, with a very short dated PineBridge bond GALXY 2018-29A A at the tight end 104dm / 1.4y WAL, despite being out of reinvestment period for 2 years the performance has been good (ADR 0.49, Sub80 3.8, MVOC 175.1, cushions strong).  At the wide end is a Sound Point bond SNDPT 2013-3RA A 136dm / 4y WAL which has some weaker fundamentals – ADR 1.4, IDT cushion is -0.05 and MVOC is at the low end 143.2. 

Mezz/Equity CLO

USD CLO Mezz/Equity

Single-As trade in familiar range 228dm-270dm to that seen recently so little to report in way of outliers at this level, especially with this cluster of bonds within 1 point of MVOCs.  BBB trade 357dm-446dm versus 315dm-410dm recent context, with the 2022 RP profile outliers trading 445dm-446dm from LCM and Voya, these manager’s have only slightly weaker credentials to their peers but suffer in these bonds from cuspy IDT cushions and slightly weaker MVOCs (106-107 vs 107-110 for stronger bond profiles).  All other metrics are generally in line.  BB trade 825dm-978dm vs 600dm-1000dm context since month end.  At the wide end is Marathon’s MCLO 2019-1A D 978dm / 8.2y WAL, despite a ‘healthy’ MVOC 102.2 the CCC bucket is high 12.3, ADR is high 2.8, IDT cushion is cuspy 0.3 and the manager’s record is far weaker than peers pushing the dm on this bond to the wide end.

AAA CLO

EUR AAA CLO

Just the one AAA trade yesterday. ANCHE 1X A2 traded at 100.05 which is priced to call.

AAA CLO

USD CLO AAA

29 covers today – 12 x AAA, 4 x A, 4 x BBB, 8 x BB, 1 x B.  AAA trade 107dm-137dm similar to recent context, with an ‘outlier’ 3.0 CLO from DoubleLine Cap PARL 2020-1A A1 173dm / 4.3y WAL covers above par at 100.39 (new issue coupon +183bps).

Mezz/Equity CLO

USD CLO Mezz/Equity

Single-A trade 193dm-307dm with pre (2.0) and post (3.0) covid tiering clearly evident here with 2.0 trading 193dm-208dm and 3.0s trading 290dm-307dm (both trades 100.33), with the 2.0s trading tighter than recent 200dm-230dm context mainly due to a short dated WAL on Allianz GI’s WSTC 2014-2A BR 193dm / 1.9y WAL.  BBB trade 316dm-420dm versus 350dm-430dm recent context, one bond is the outlier here at the tight end NEUB 2018-27A D 316dm / 6.5y WAL with fairly strong metrics from a benchmark manager.  Furthermore a short dated TCW bond FIG 2014-1A DR 364dm / 3.2y WAL (2019 RP profile) trades flat to Octagon’s OCT44 2019-1A D 362dm / 8y WAL (2024 RP profile) with the TCW bond having the benefit of deleveraging but suffering from a credit standpoint (CCC 19%, IDT cushion -1.4, diversity 46 and par build -1.66) which highlights the importance of reinvestment periods.  BB trade 609dm-1134dm vs 600dm-950dm context since month end, the key outlier thus at the wide end is Marathon’s MCLO 2017-10A D 1134dm / 5.4y WAL (2021 RP profile) – the MVOC is sub par 99.6, CCC is high 12.2, ADR is high 2.5, IDT cushion is negative -2.1 and a very high cov-lite concentration of 76% perhaps going a long way to distort the fundamentals on this bond.  A single-B from GoldenTree AM GLM 2019-6A F covers 907dm / 8.5y WAL from a rare 2025 RP profile which is flat to a recent comp CGMS 2012-4A ERR 907dm / 8y WAL (2024 RP profile), the performance on the GLM bond is good with MVOC 103.5, low Sub80 0.25, CCC low 4.8, ADR ow 0.48 and WA collateral px strong 98.1.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 12 trades today. Starting with the single A, Harvest 23 traded at 264dm which is 20bps tighter.

The 2 x BBB traded around 410dm. This is around 20bps wider.

There are 5 x BB trades. 2 of them are paying down (Harvest 10 & Arbour 3) and traded around 550dm. The other 3 were in a range from 600dm to 720dm. These are also an average of 20bps wider.

The 4 x B trades were in a range from 825dm to 1030dm. The 2 widest trades are the two Barings bonds. Both of these have low Jnr OC cushions at 0.85% and also low MVOC at around 104%. Also at the wide end is the Cadogan Square 12 trade at 950dm. This also has a low MVOC. The bond that is performing the best is Dryden 2017-59  which traded at 825dm. Overall, even allowing for poor credit quality of some of the bonds, it looks like the single B curve is around 35bps tighter.

AAA CLO

USD CLO AAA

Trading across the stack with 32 covers with another heavy stream of liquidity in BB rated bonds – 6 x AAA, 6 x A, 9 x BBB, 11 x BB.  AAA trade 109dm-129dm (2023 RP profiles) which is tighter than recent context.  Over the past 3 weeks this profile has traded as tight as 116dm but today there are 4 bonds that breach this level, with the 2 that do not hampered by lower MVOC and credit issues.  For instance, at the tight end of the range is ARES 2018-47A A1 109dm / 3.9y WAL – very high and impressive MVOC 164.6 and all credit fundamentals clean.

Mezz/Equity CLO

USD CLO Mezz/Equity

Single-A trade 230dm-285dm which are flat to recent context, with Carlson’s CATLK 2018-5A C 285dm / 5.7y WAL at the wide end driven here particularly by its weaker MVOC 114.5 but equally the ADR is very high at 1.81.  BBB trade 310dm-408dm across RP profiles which is firmer at the tight end versus 360dm-490dm context over the past 10 days.  However this is clouded by the fact that there is a static CLO from Palmer Sq at the tight end PSTAT 2020-1A C 310dm / 4.5y WAL and a very short dated Bain Cap credit AVERY 2014-5A DR 343dm / 3.2y WAL (EoRP 2018) with all other BBBs conforming to recent context and trade 365dm-408dm.  BB trade 605dm-953dm with similar context since month end 620dm-950dm, so a little firmer.  However on closer inspection at the tight end is another static CLO bond from Palmer Sq PSTAT 2020-2A D 609dm / 4.7y WAL, but at the tight end there is an impressive bond from Napier Park REGT6 2016-1A ER 605dm / 4.9y WAL, although shorter dated (EoRP Jul 2020) has a strong MVOC 105, low ADR 0.55, good cushions IDT 2.4, clean fundamentals and the manager’s performance record is better than peers.

AAA CLO

EUR AAA CLO

There are 15 trades today with 7 of them being AAA. All the trades are close to par and range from 135dm to 141dm. This is an unchanged spread level.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The AA, Jubilee 2015-XV has started paying down and therefore traded tight at 177dm.

The 4 x BBB have traded between 400dm and 440dm. This is unchanged also.

The 2 x BB traded around 630dm. This is 30bps tighter.

The single B, Griffith Park, traded at 875dm.

AAA CLO

USD CLO AAA

A heavy day of liquidity with 52 covers across the capital structure – 17 x AAA, 3 x AA, 3 x A, 7 x BBB, 21 x BB, 1 x B.  AAAs are all 1st pay and trade 111dm-152dm which is in line with recent tights, with MVOCs stronger given the underlying rally.  At the tight end there are, as seen typically, shorter dated bonds (2020,2021 EoRPs) that trade sub 120dm, with longer WALs (2021-2023 EoRPs) trading in the middle ground 121dm-142dm.  There is an outlier trade from Deutsche AM FLAGS 2014-8A ARR 152dm / 0.54y WAL (EoRP was 2019), this bond is deleveraging and hence has a high MVOC (251.9) but has weak credit metrics given it’s inability to trade out of the market volatility seen this year (Sub80 13.3, CCC 18.7, ADR 2.9, IDT cushion -7.4, WA Collateral px 92.02).

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade 187dm-210dm (2022-2023 RP profiles), we have not seen 2022 RP profiles for a while but the 2023 RP profile bonds trade 196dm-210dm which is at the wider end of more recent 165dm-215dm context, the MVOCs on these bonds are a shade lower but more importantly there is credit weakness at the wide end with DFG’s VIBR 2015-3A A2RR ADR 1.8, IDT cushion is -0.9 and WA collateral px is a shade under 95.  However this bond does not trade wide to recent context despite the credit issues.  Single-A trade 235dm-290dm in line with recent context.  BBB trade 346dm-463dm which again are in line with recent 350dm-500dm context, with MVOC driving tiering and to a lesser extent higher ADRs.  BB trade 624dm-953dm which are within the 600dm-1000dm recent horizon for BB dm’s.  Clearly cuspier MVOCs drive bonds wider at this rating level along with ADRs that are excess of 2% given their proximity to loss.  For instance First Eagle’s WINDR 2014-3KRA E trades at the wide end 953dm / 7.5y WAL – MVOC 101.2, ADR 3.7, WA collateral px 93.5 and a cuspy IDT cushion +0.18%.  There is a rare single-B trade CVCs APID 2013-15A FRR 1145dm / 7.4y WAL, this is an originally single-B rated bond and trades flat to recent comps, note there is tiering at this this level with downgraded BB original single-B bonds have traded tighter recently (700dm-1000dm).  The CVC bond has a cuspy MVOC 100.5 and reasonable credit metrics and as such is able to trade in line with recent data points with higher MVOCs given the more upbeat market environment.

AAA CLO

EUR AAA CLO

A busy day today with 27 trades spread across the capital structure. There are 3 x AAA which have traded in a range from 121dm to 141dm. Overall this is about 8bps tighter on the AAA curve for us. The tightest trade is from Jubilee 2015-XVI. Our valuation algorithm had predicted a wider spread for this bond since it has a low Jnr OC cushion at 0.25% but it appears that is not a significant factor for the buyer. If this test gets tripped it will just shorten the AAA without the AAA taking any losses of course. These AAA levels in secondary compare with New Issue pricing for Jubilee 2020-24 as reported by Bloomberg yesterday at 107bps over floored Euribor. The pricing for yesterday’s new issue confirms the tighter pricing of Carlyle 2020-2 approx 1 week earlier.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 3 x AA trades today, all from GSO deals. The two floaters, Dunedin Park and Holland Park traded around 210dm. This is about 7bps tighter on the AA curve. The fixed rate, Willow Park, traded at 243dm. These levels compare with Jubilee 2020-24 at 170 over floored Euribor yesterday as reported by Bloomberg.

There are 3 x A trades. Marlay Park traded at 247dm which does look a very tight level – although part of the explanation is the low stated margin of 155bps which means all else being equal the low dollar price would give a good return in the event of a refi. Penta 6 traded at 291dm. These compare with yesterday’s New issue at 270bps over floored Euribor. CVC Cordatus 17 traded to call because of its high margin of 315bps.

There are 9 x BBB trades. All but 2 of the trades have traded at par or above and most of these have priced to call. The two bonds that traded to maturity, St Pauls 9 and Voya 1, traded around 360dm which is 17bps tighter than we had.

There are 8 x BB trades. The 6 bonds that traded below par have DMs ranging from 600dm to 700dm. This compares with Jubilee 2020-24 at 685dm over floored Euribor. Most of these secondary BB trades, of course, will have much shorter WALs than the New Issue which came with a 1yr/3yr structure as reported by Bloomberg.

AAA CLO

USD CLO AAA

More than 20 covers today with the most liquidity seen in more than a week – 2 x AAA, 4 x AA, 3 x A, 4 x BBB and 9 x BB.  AAA trade 133dm-140dm (2023 RP profiles) wide to 115dm-130dm recent context, reason being the bonds have credit issues with Sculptor’s OZLM 2017-21A A1 140dm / 3.7y WAL at the wide end (high CCC 13.3, high ADR 1.9, cuspy IDT cushion 0.4 and slightly lower WA collateral px 95).

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade 165dm-226dm with recent context in early 200s context this represents a fair amount of tightening in line with the rally in the underlying.  At the tight end the bonds’ MVOCs are strong (>130) and despite CCC migration (to 17%) and high ADR (1.5) Apollo’s RRAM 2018-3A A2R2 covers 165dm / 5.5y WAL.  Single-A trade 224dm-309dm in line with recent 200dm-280dm context, the outlier trade is Palmer Square’s PSTAT 2020-3A B 309dm / 4.5y WAL which is a 3.0 CLO high coupon bond +330bps static CLO issue so in line with tiering we have seen in 3.0s (not for credit reasons).  BBB trade tighter 320dm-439dm vs late 300s recent context, there is an outlier trade Deutsche AMs FLAGS 2014-8A DR 439dm / 3.7y WAL – very high CCC 18.7, high WARF 3686, low MVOC 109.98, high Sub80 13.3, high ADR 2.9, IDT cushion compromised -7.4 (with Jnr OC cushion also negative).  BB trade 724dm-1054dm which is broadly in line with recent context so there has been no signs of tightening.  However the bonds that trade today are weaker in credit overall and given these trade in line with recent benchmarks this is supportive of broader market tightening.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 15 trades yesterday, all of them mezz. Of the two single A’s Avoca 10 traded at 283dm while Halcyon 2017-1 traded at 338dm. The Halcyon bond has 4.5pts less of MVOC than Avoca 10 and 3.5pts less of Jnr OC cushion.

There are 3 x BBB. Two of them are seasoned deals with margins in the 200s, Contego 2 and Arbour 3. These both priced around 305dm. Then also there is Avondale Park which priced in May 2020 at the height of the COVID spread widening with a margin of 510dm (and priced at 580dm). Now as spreads are much tighter than they were then this bond has priced to call at a price of 101.72. Optically if you run this price of 101.72 to maturity you get a spread of 523dm. We see the curve having tightened by around 50bps.

There are 7 x BB trades. The trading range is from 615dm to 762dm. The tightest bond is Grosvenor Place 2015-1 (CQS) at 615dm and the widest is Purple Finance 2 (Natixis) at 762dm, which does have a low MVOC and Jnr OC cushion. Overall this is probably a shift in the curve of 20bps tighter but most of the variation in spreads is coming from credit characteristics and manager names.

There are 3 x B which have traded between 800dm and 960dm. Mostly this is margin dependent. Overall we think the single B curve has widened by 30 bps.

Mezz/Equity CLO

USD CLO Mezz/Equity

Following a few days of lull with the Thanksgiving holidays and now straight into month end, we saw the market open slowly today with 2 covers, both single-A rated.   The bonds trade 208dm-258dm (2020/2022 RP profiles) which are tighter than recent context 260dm-300dm.  With the rally in the underlying this is reflected in stronger MV metrics (MVOC circa 117 on the bonds vs recent 113-116), WA collateral px higher in 96 context (vs recent 94-95) and lower Sub80 priced asset buckets 3.2-4.4 (vs 7.5-10 on recent comps).  Octagon’s OCT23 2015-1A CR covers 208dm / 4.2y WAL with clean metrics all round, please see PriceABS trade listing for full details.

AAA CLO

EUR AAA CLO

BWIC trading having restarted after the Thanksgiving break, we have 7 trades today. Only one is AAA. Dryden 51 traded at 99.83 / 147dm. Its only one AAA trade but this level is about 10 – 15bps wider than our curve.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 4 x AA trades. The 3 cleaner bonds (from CQS, Five Arrows & Onex) have traded in a range from 207dm to 226dm. The more distressed bond (Halcyon 2016 by Bardin Hill) traded at 271dm. This bond has a slightly lower MVOC at 131.76% and a low Jnr OC cushion at 0.46%.

There are 2 x A trades which have both traded around 280dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The day before Thanksgiving there are only EUR CLO trades, 23 of them. The 7 x AAs have traded between 190dm and 220dm. These are unchanged AA spreads.

The 7 x A bonds have traded between 260dm and 350dm. The tightest trade is Arbour 5 by OakTree Capital. OakTree shelves always trade tight relative to their peers. AT the wide end we have GLG Euro 5 at 338dm (deal is performing well) and Halcyon 2017-1 (Bardin Hill) at 351dm (deal is not performing so well – MVOC is low at 119.34% and Jnr OC cushion is low at 0.65%). Overall single As have tightened by 10bps.

There are 2 x BBB. Voya Euro 1 traded at 356dm. Harvest 16 traded at 416dm. The Harvest 16 bond does have 2pts lower of MVOC and 2pts lower of Jnr OC cushion. Overall it looks like BBB spreads have tightened by 40bps. Yesterday it was reported by Bloomberg that 2 New Issues priced. CVC Cordatus 19 priced at recent tights but Toro 7 levels were more like those prior to the recent vaccine driven rally. For example at the BBB level CVC Cordatus 19 priced at 380bps over floored Euribor which was 45bps tighter than Bain’s deal a week earlier but then this was swiftly followed by Toro 7 at 450bps.

There are 7 x BBs which traded between 620dm and 800dm. This spread variation is mostly margin driven rather than credit driven. Traded prices are between around 94.00 and 98.00 irrespective of the margin on the bond, which vary from 470bps to 681bps.

AAA CLO

USD CLO AAA

29 covers today – 9 x AAA, 10 x A, 2 x BBB and 8 x BB, US LLI is up 46bps since Friday close and this is reflected in a continued firm tone.  AAA are all 1st pay and trade 101dm-131dm which is flat to recent tights, the bonds are all clean fundamentally with strong MV coverage.  At the tight end are notoriously short dated WAL benchmark bonds (circa 2y) from CVC APID 2015-21A A1R 101dm and CSAM MDPK 2015-19A A1R2 108dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

Single-As trade 223dm-311dm with recent context 200dm-260dm, whilst bonds at the wide end (3-handle) trade at levels seen in the first half of this month pre rally.  However digging deeper into the bonds there are credit factors to account for with two outlier bonds that prop up the wide end 310dm-311dm.  MJX’s VENTR 2017-26A C 310dm / 4.98y WAL and Carlson’s CATLK 2013-1A BR 311dm / 5.7y WAL both have much weaker MV coverage (113 vs 115+ for peers), carry high ADRs 1.2-1.95, negative IDT cushions and hence cuspy Jnr OC whilst the MJX bond has a WAS greater than 4% 4.06 despite a 2876 WARF.  BBB trade in a narrow dispersion 407dm-412dm which is in the middle of a fairly wide spread of trading context seen this month in similar cohort 340dm-500dm, both bonds share similar strong fundamental profiles with the only exception being the Neuberger bond NEUB 2019-34A D that carries a 1.64 ADR but reinforced by a strong MVOC 111.5, low Sub80 bucket 1.5, low WARF 2824, low CCC 5.9 and strong cushions with a 97.95 WA collateral px.  BB trade 699dm-850dm with trading horizon for similar cohort 600dm-1000dm.  At the wide end is an ‘outlier’ which is Sculptor’s OZLM 2018-20A D 850dm / 7y WAL – low MVOC v peer group 102.6, high CCC 11.9, high ADR 1.54, cuspy IDT cushion 0.22 and a relatively low WA collateral px 95.12 with the manager’s record weak to peers.

AAA CLO

EUR AAA CLO

A very heavy day’s trading with 46 EUR trades in total. 5 of them are AAA. Castle Park traded at 96dm but it is a hugely delevered deal. The other 4 traded between 140dm and 153dm. These are unchanged AAA levels.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 17 x AA trades, many of them fixed rate. The floaters have traded in a range from 197dm to 230dm. Many of the fixed rate have traded to a call date however if you take the traded price and calculate the DM to Mat the range is from 250dm to 322dm so it is evident that fixed rate AA bonds trade with at least 40bps of spread premium.

There are 3 x BBB trades. The GBP denominated Dryden 63 2018 traded at 519dm. Bain 2018-2 traded at 420dm and Bardin Hill 2019-1 at 485dm, which are in line with their manager premiums. Overall this is around a 30bps widening in the BBB spread curve.

There are 18 x BB trades. The trading range is from 630dm to 780dm. Surprisingly the widest trade is Bain 2019-1. The deal is performing well and Bain is not a manager that normally trades wide. Jubilee 2015-XV traded tight, at 650dm, but this deal is paying down.

The 3 x B trades traded around 875dm. We haven’t seen any movement in the BB or B curves.

AAA CLO

USD CLO AAA

Nineteen covers today – 3 x AAA, 3 x AA, 4 x BBB and 9 x BB.  AAA trade 153dm-164dm, these are all rare 2nd pays so trade 20-30dm wide to the 1st pay curve.  At the wide end is CSAM’s MDPK 2016-20X A2R 164dm / 5y WAL – this has a higher Sub80 bucket than the other trades at 7%, higher CCC 16.7, higher WARF 3149 and resultant higher WAS 3.93 and lower WA collateral px 94.97.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade in a very wide dispersion 202dm-335dm, with the tight end made up on 2023/2024 RP profiles that trade 202dm-215dm in line with recent context, however the outlier is Caryle’s CGMS 2017-2A A2A 335dm / 5.7y WAL – the MVOC is very low 122.5, ADR is high 1.44, WARF is elevated 3241, IDT cushion is cuspy 0.6 and the manager’s track record is weaker to its peers.  Despite this the dm is >100dm wide to the curve which isn’t in line with the relative weakness of the bond.  BBBs trade 372dm-457dm (2021/2023 RP profiles) which is flat to 350dm-500dm context over the past week in the same cohorts.  At the wide end is ICG’s ICG 2017-1A D 457dm / 5.8y WAL and this is driven particularly by velocity of defaults as it carries a 2.3% ADR and risk taking in the form of a higher WARF 3308 and higher Sub80 bucket 9.5.  BBs trade 597dm-1031dm with the short end (3-4y WAL) trading 600dm area which is tighter than recent 640dm context.  The longer WAL (2020-2024 RP profiles) trade 706dm-1031dm vs recent 600dm-800dm context with 3 bonds wide to this spread, these 3 bonds have markedly lower MVOCs circa 101%, carry higher ADRs 1.4-1.7 whilst at the wide end is Sound Point’s SNDPT 2017-2A E with a cuspy IDT cushion +0.03 which is relevant to know since this bond is PIKable.

AAA CLO

EUR AAA CLO

There are 9 trades today with 2 of them being AAA, one floater and one fixed rate. The floater, Jubilee 2015-XVI, traded very tight at 130dm. It is very short at 1.7yrs and has passed its reinvestment end date although it hasn’t started paying down yet. The fixed rate is Arbour 4. It traded at 100.01 which is priced at around 130 over to its call date.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 5 x BB trades. The trading range is from 660dm to 730dm. This is about 10bps wider. The BB curve is very steep from the 6yr point to the 8yr point – around 80bps.

The 2 x B have both traded at 869dm. This is around 40bps tighter on our curve.

AAA CLO

USD CLO AAA

Mostly lower mezz trading today with 24 covers – 1 x AAA, 1 x A, 14 x BBB and 8 x BB, US LLI ticking up 17bps on the week with CLOs typically trading flat to recent tights across the stack, whilst lower quality bonds continue to underperform the benchmark curve in lower mezz.  The AAA trade is ORIX’s MARNR 2017-4A A 122dm / 2.7y WAL which is flat to recent 120dm-130dm context, the ORIX bond is clean so trades as benchmark.

Mezz/Equity CLO

USD CLO Mezz/Equity

The single-A trade is First Eagle’s HULLS 2014-1A CR 324dm / 2.9y WAL, this is a rare short dated profile (EoRP 2018) not seen this month to date, with 2019 RP profile trading in high200s context – the CCC is high at 21, ADR is high 4.5 and WA collateral px 85.5 but the bond is covered by MV (MVOC 115.6) showing the effect of a portfolio going static.  BBBs trade 368dm-491dm with trading context 330dm-470dm over the past week in similar profiles.  Anchorage’s SIX10 2016-2RA CR 491dm / 4.9y WAL covers through recent wides – with WAS high at 4.2 (it’s driven not by cov-lites but by single-B issuers like Windstream, CPK, Brown Jordan), high cov-lite 32% and compromised IDT cushion -0.7.  BBs trade 691dm-1036dm vs 600dm-800dm recent context with 4 bonds well wide of this 907dm-1036dm.  The MVOCs on these 4 bonds is cuspy circa 101area, ADRs are high 1.1-1.7, cov-lites are high at 35% and IDT cushion negative in the widest 2 bonds (see PriceABS trade listing for full details).

AAA CLO

EUR AAA CLO

There are 14 trades today with just 1 AAA. Sound Point Euro 1 traded to call at 100.27 / 131dm to call, which shows as 160dm to maturity.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 4 x AA trades. They have traded between 203dm and 218dm. The widest trade is Ares 12 which has the highest margin at 175bps and trades at 100.02 and has the most refi risk. Overall these AA trades are about 12bps tighter than our curve.

There are 4 x BBB trades. The range of traded spreads is wide – from 332dm to 449dm and these spreads correlate well with the stated margins on the bonds. At the tight end (332dm) we have Tikehau 3 which pays 235bps and is performing well. Then Penta 3 and St Pauls 5 traded around 395dm. They pay around 290bps and are not quite so clean especially Penta 3 which has a slightly low MV OC and Jnr OC Cushion. Last of all is Harvest 22 which traded at 449dm. It has a margin of 400bps but is clean. We’re seeing our spread curve moving about 40bps tighter at the short end but largely unchanged at the long end.

There are 5 x BB trades with a range from 634dm to 730dm. BlackRock Euro 1 traded tight at 634dm but that is because it has a low margin of 442bps. The wide trade is Avondale Park but that is because it has the highest margin, traded at 102.07 and actually traded at 462dm to call. We don’t see any change to our BB curve.

AAA CLO

USD CLO AAA

An extremely buoyant day with 59 covers, mostly in mezz – 2 x AAA, 5 x AA, 11 x A, 11 x BBB and 30 x BB with tightening across the board as markets continue to rally.  AAA trade a shade tighter 100dm-123dm with a very short dated Barings bond very close to breaching the 100dm barrier BABSN 2013-IA AR 100dm / 1.5y WAL, the tightest trade we have seen in the past week from this cohort is Allstate Investment’s AIMCO 2015-AA 105dm / 1.4y WAL last week which had a better MVOC (151) versus the Barings bond 146.6 whilst Sub80 assets are comparable across both deals, with Allstate a less experienced manager with an excellent track record versus a benchmark manager in Barings.

Mezz/Equity CLO

USD CLO Mezz/Equity

AAs trade 162dm-215dm with again a firmer level at the short end of the curve (recent context 180dm-200dm), AXA IM’s ALLEG 2015-1A B1R 162dm / 2.5y WAL (EoRP Jul-2019) despite some credit issues (WARF 3942, CCC 20.5, IDT cushion -2.7) seeing firmer bids given the short duration.  At the ‘wide’ end is a recent vintage 3.0 CLO CIFC 2020-2A B that trades above par 100.30 and 215dm / 6y WAL with strong cushions (5.1 IDT cushion) and a defensive portfolio (WARF 2757 / CCC 1.4) meaning investors are not prepared to bid this any further away from par at this point in the cycle.  Single-As trade 201dm-300dm tighter to 240dm-360dm horizon this month to date, with the curve shifting tighter.  At the tight end is a benchmark manager Blackrock’s MAGNE 2015-16A C1R 201dm / 4.2y WAL with their deals serial outperformers from a credit perspective (WARF 3063, CCC 4.9, MVOC 116.5, Sub80 3.7, strong cushions and WA collateral px 96.1).  BBB trade 381dm-494dm which is in line with recent context, albeit weaker bonds than we have seen over the past week from a credit perspective holding firm at these levels with no bias to widening.  The 30 x BBs today trade 603dm-804dm represents tightening given recent 700dm-815dm context with 9 x BBs cover inside 700dm across benchmark names like CSAM, Oak Hill. GSO, Neuberger and CIFC dominating – see PriceABS trade listing for full details.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

A very busy day of mezz trading today. There are 9 x AA trades. 3 of them come from deals in pay down – Harvest X, Orwell Park & Elm Park. Harvest X is the most paid down and the AA only has a 2.1yr WAL – it traded at 152dm. The two GSO deals in paydown traded around 200dm. The other 6 AA trades were in a range from 225dm to 240dm. These regular AAs are about 10bps tighter on average than our curve.

There are 5 x A trades. 2 of them have priced to call – AlbaCore 1 & Northwoods 21. The three that priced to maturity have priced in a range from 305dm to 330dm, which is unchanged on our curve.

There are 11 x BBB trades. The trading range is from 390dm to 470dm. Predictably the wide trade is GLG Euro 5. Also at the wide end are Purple Finance 2 at 467dm and Toro 6 at 469dm. Toro 6 is a clean deal but Purple Finance 2 does have a slightly lower than normal Jnr OC cushion at 1.72%. At the tight end of the range we have Sutton Park and Madison Park 9. It’s hard to be definitive about the movement of the curve. We certainly do think it has further tightened but perhaps by only around 15bps because some of the some of the spread differences we have observed could be due to less weight being given to impaired credit metrics than was the case in the recent past.

There are 10 x BB trades. Their trading range is from 620dm to 715dm. None of the deals are impaired. The spreads broadly follow the WAL term structure. Overall we see the curve having a parallel shift downwards by around 10bps but also steepening by 30 to 40bps between the short end and the long end.

There are 3 x B trades. ALME 5 traded at 830dm. Penta 2 traded at 928dm which is actually quite tight given its low MVOC of 100.69% and low Jnr OC cushion of 0.3%. But then it has a low stated margin which would help it to trade tighter. Jubilee 2019-23 traded at 1018dm. It’s a clean deal but this bond has a high margin of 960bps which explains its traded level.

AAA CLO

USD CLO AAA

24 covers today – 18 x AAA, 1 x BBB, 5 x BB.  AAA trade 119dm-143dm in line with recent tights, the bond profiles are typically clean with 2 bonds at the wide end with weaker MVOCs (c. 141 MVOC) and corresponding WA collateral px 92-94.  But these metrics are marginal as are the manager profiles which are again marginally weaker as compared to peers, eg. Symphony and Marble Point.

Mezz/Equity CLO

USD CLO Mezz.Equity

The BBB trade is TCW’s TCW 2019-2A D1 391dm / 8.3 WAL (2024 RP profile) with recent context 360dm-450dm, this bond has clean metrics overall and an outstanding manager record versus peers so fully supportive of the tight dm.  BB trade in a narrow dispersion again 742dm-815dm which are in line with recent 720dm-830dm context in similar profiles, weaker manager profile and higher ADR have a bigger pull on the wide end with OakTree’s OAKCL 2019-4A E cover 815dm / 8y WAL ADR 1.81 and weaker corresponding manager metrics (ADR across CLOs of 2.26), albeit all other metrics on this bond being reasonable from a fundamental point of view.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

A busy day of mezz trading today. Starting with the two AAs, both of them are Black Diamond bonds. BD 2017-2 with a 140bps margin traded at 98.50 / 224dm and BD 2019-1 with a 195bps margin traded at 99.25 / 254dm.

The only single A trade is Halcyon 2018-1 which traded at 330dm. This is about 10% wider than its WAL point on our single A curve but we expected that since this is a recurring feature of Bardin Hill secondary trades.

There are 2 x BBB trades, which have both traded around 460dm. This is also an unchanged spread curve for us. The Accunia bond traded around 10% wider than the raw curve predicted but this is also expected.

There are 12 x BB trades today. The short end of the curve (approx. 6yr WAL) has traded around 645dm (about 50bps tighter). The 7yr point has traded around 670dm (around 40bps tighter) and the 8yr point, after adjusting for some specific credit features of Madison Park Euro 8 and Carlyle 2015-1 traded around 700dm (about 16bps tighter). The Madison Park and Carlyle bonds have low MVOCs and Jnr OC cushions.

AAA CLO

USD CLO AAA

33 covers today across all rating levels  - 8 x AAA, 5 x A, 10 x BBB, 9 x BB, 1 x B.  AAAs trade 127dm-169dm with a mixed bag of demographics explaining the wide dispersion.  At the tight end are conventional 1st pay AAAs with good performance trading in similar context to recent levels 127dm-136dm, thereafter the trading range 147dm-169dm is made up of 2nd pay AAAs that trade back to 1st pay AND weak 1st pay credits, for instance at the wide end is a weak 1st pay from Steele Creek STCR 2015-1A AR 169dm / 2.3y WAL – low MVOC 145.5, high CCC 11.8, high ADR 1.3 and low WA collateral px 93.1 whilst the manager’s record is weak to peers.

Mezz/Equity CLO

USD CLO Mezz/Equity

Single-As trade 181dm-251dm across shorter dated profiles (2019-2022 RP profiles) which is tighter than 280dm-360dm context seen this month to date, granted there have not been many shorter dated single-As with good performance like today’s batch proving the strength of the bid in high quality paper.  The BBBs today are again of high quality and trade 325dm-469dm which is in line with 325dm-500dm context this month with a recent vintage bond from Bain Capital BCC 2020-2A D propping up the wide end 469dm / 6.5y WAL not due to performance but due to the fact that it is a 3.0 with a high coupon / defensive portfolio and structure with a cover over par 100.68.  BB trade 696dm-853dm in shorter WALs in similar context to recent trading 700dm-820dm with an outlier CSAM’s MDPK 2016-24A ER 853dm / 5.7y WAL – cuspy MVOC 101.5, high CCC 16.7, high ADR 1.2, high Sub80 8.6 and low WA collateral px 93.7.  The single-B trade is MidOcean’s MIDO 2018-9A F 1160dm / 7.6y WAL (2023 RP profile), with no comps this month other than a downgraded BB (now single-B) with similar RP profile cover 734dm / 6.98y WAL, however this is in line with a First Eagle single-B cover of last week 1177dm / 6.3y WAL (2022 RP profile), the bond itself is covered by MV (MVOC 101.3), ADR 1.1, Sub80 4.9, CCC 9.2 and has good IDT cushion of 2.8% so all in all reasonable performance and a good proxy single-B data point.

AAA CLO

EUR AAA CLO

9 trades today – 3 of them AAA. Cairn 3 traded at 99.71 / 135dm. Fair Oaks 2 has a very high margin of 190bps and traded to first call which is a price of 100.41. GoldenTree 4 also has a high margin of 155bps and traded at 99.74, which looks like the bid side of a price to call.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 3 x BBB trades. Each one has a different story. The cleanest bond is Carlyle 2015-1. This traded at 463dm which, for us, exhibits a further widening in the BBB curve of around 40bps. GLG Euro 1 traded at 445dm. This bond is clean enough but Man Group usually attract a spread premium. Halcyon 2016 traded at 572dm. The bond is in poor shape (MVOC of 109.38% and Jnr OC cushion of 0.09%) and the manager Bardin Hill also has a spread premium attached.

There are 2 x BB trades. Aurium 5 traded at 668dm and Mackay Shields Euro 1 at 738dm.

The only single B, Voya Euro 1, traded at 854dm.

AAA CLO

USD CLO AAA

Today saw limited flow with 7 covers – 1 x AAA, 2 x AA, 1 X A, 2 x BBB and 1 x B.  The AAA trade is Carlson’s CATLK 2013-1A A1RR 149dm / 3.5y WAL (2022 RP profile) which is has weaker metrics and is at the wide end of 135dm-150dm recent context in this profile – the ADR is elevated 1.24, IDT cushion is cuspy 0.15, WA collateral px is 92.2 and CCC 10.7 whilst the manager’s record is weak to its peers.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trades 189dm-203dm which are in line with trading this month to date.  The single-A trade is Invesco’s BTNY2 2018-1A B 233dm / 6y WAL (2023 RP profile), this dm is tight to any single-A this month to date due to the fact that the manager has an impressive record and that has translated into excellent performance metrics on this bond – strong MVOC 116.9, cushions are healthy and Sub80 assets is only 3.9.  BBBs trade 406dm-451dm (2023/2024 RP profiles) with similar context trading 400dm-500dm, no outlier bonds today to report.  The BB trade is Octagon’s OCT22 2014-1A ERR 734dm / 7y WAL (2023 RP profiles) which again is in line with recent activity in 710dm-800dm context in this profile but with the IDT cushion negative there is risk that this bond may also trip Jnr OC test (current cushion 0.6) and defer interest, the bond is covered by MV (MVOC 101.4).

AAA CLO

EUR AAA CLO

A busy day today – mostly in the mezzanine space, but there is one AAA trade. St Pauls 6 traded at 151dm. This also looks like a softening, as we saw yesterday in BBs. This bond has a short WAL at 1.8yrs and yet it traded 12bps than our curve predicted.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

All the rest of today’s trades are mezz. There are 15 original single As, although one of them, Castle Park has been upgraded to AA as it is paying down. Castle Park traded at 230dm. All the other single As traded between 280dm and 330dm. We’ve seen the curve flatten with 5yr vs 7yr about 10bps flatter. One of the bonds, Madison Park 8, is slightly distressed with an MVOC of 118.5% and a Jnr OC cushion of 0.52% and it was the widest trade at around 330dm.

There are 5 single B trades. All bar North Westerly 5 are in pay down. The 4 bonds in paydown traded between 760dm and 850dm for WALs between 4.4yrs and 6yrs. North Westerly 5 traded at 913dm for a 6.9yr WAL.

AAA CLO

USD CLO AAA

17 covers to round off the week – 2 x AAA, 2 x A, 7 x BBB, 5 x BB and 1 x B, whilst US LLI ticked up 81bps on the week and CLO trading remains firm and in line with this.  AAAs trade 118dm-130dm which is in line with recent tights, both bonds have clean metrics and strong MVOCs. 

Mezz/Equity CLO

USD CLO Mezz/Equity

Single-As trade 319dm-357dm (2022/2025 RP profiles), with Seix’s MVW 2013-1A C1R 357dm / 5.7y WAL at the wide end at recent wides, the bond has a weak MVOC 109.2, high ADR 2.3, neg IDT cushion 1.8 and WA collateral px 92.7 all contributing to the softer level on this bond.  BBBs trade again in a narrower dispersion 358dm-470dm similar to recent trading which has been in 340dm-570dm context, there are no outliers to report today whilst at the tight end is a clean bond from NY Life FLAT 2017-1A D cover 358dm / 5.8y WAL (MVOC 109.2, Sub80 3.8, CCC 5.7, ADR 0.11, WA collateral px 95.6).  BBs trade 695dm-758dm (2022-2023 RP profiles) which is a touch tighter than 700dm-820dm recent context with all bonds today clean.  There is a rare single-B trade today First Eagle’s WINDR 2017-2A F 1177dm / 6.3y WAL, although this trades wide of single-Bs we have seen recently in 750dm-1100dm context, the trading we have seen has been in downgraded BB bonds whilst the First Eagle bond is a true second loss bond, granted this bond has a cuspy MVOC 100.7 and an elevated ADR 1.22 the remainder of the metrics are reasonable (Sub80 3.6, IDT cushion 1.2, WA collateral px 95.2).

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

2 x BB and 1 x B trades to look at today. We have seen our first widening since the vaccine induced rally started. The 2 x BB traded at 715dm and 745dm which is 50bps wider for our curve, on average.

The single B traded at 1005dm which is also quite a wide level but this could be more deal specific. St Pauls 8 has a low Jnr OC cushion of 0.73% and this may account for the wide level.

AAA CLO

USD CLO AAA

Following the pause with Veteran’s Day we saw 29 covers today, mostly mezz whilst US LLI index conceding 26bps versus pre-Vet Day – 3 x AAA, 1 x A, 10 x BBB, 15 x BB.  AAAs trade 105dm-124dm with short dated profiles (2020 RP profiles) dominating the tight end, whilst Onex’s OCP 2014-5A A1R at the wide end 124dm / 3.93y WAL (2023 RP profile), all bonds today have clean metrics and trading range is in line with recent tights.

Mezz/Equity CLO

USD CLO Mezz/Equity

The single-A bond today is Seix’s MVW 2013-1A C1R 357dm / 5.75y WAL (2022 RP profile) which is wide to early 300s recent context, this being said the Seix bond has credit issues with a high ADR 2.33, IDT cushion -1.8 and WA collateral px 92.8 all contributing to the softer dm.  BBBs trade 281dm-520dm with a 2-handle (vs mid-late 300s recent context) at the tight end for the first time in a long time, albeit this Allianz bond WSTC 2014-2A CR having a short WAL given RP ended early 2019 (281dm / 3.2y WAL).  The remainder of the BBBs trade 336dm-520dm which is broadly in line with recent levels however the TPG TICP 2020-15A D trades through the tights at 336dm / 8.6y WAL and this bond benefits from a conservative portfolio (WARF 2986 / Sub80 0.7, ADR 0.3, WA collateral px 97.1) but has a high cov-lite balance 48.8% along with high cushions given a 3.0 structure.  BBs trade 704dm-826dm (2020-2025 RP profiles) which is within recent  640dm-1100dm context, all the bonds are relatively clean with the only weak credit a Carlyle CGMS 2016-1X DR 823dm / 5.3y WAL – cuspy MVOC 100.9, CCC 12, ADR 1.9 and cuspy IDT cushion 0.1.

AAA CLO

EUR AAA CLO

Trading resumed today after the Veterans Day Holiday. There are 2 x AAA trades. Both trades are around 142dm. For us this is about 20bps tighter on our curve but we are catching up since these are the first AAA trades we have seen since the vaccine generated rally.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 5 BBB trades. Four of the trades were between 385dm and 405dm but Penta 5 was at 435dm which is probably because of its high margin of 360bps. The buyer paid around 98.13 and didn’t want to pay around the par number he would have had to if it had traded in line with the other spreads because that would have left him no room for any future price appreciation. The 4 trades around 400dm are showing an average tightening of 21bps on our curve.

There are 5 x BB trades which are between 660dm and 715dm. Spreads are roughly unchanged in the last day or two in BBB, because we had already reflected several consecutive days of tightening previously.

There are 3 x B trades. CVC 11 and Ares 10 traded around 915dm while BlueMountain Fuji EUR 5 traded at 993dm. BlueMountain is about 1yr longer, has a slightly lower MV OC but also maybe some of the premium is due to the manager.

Mezz/Equity CLO

USD CLO Mezz/Equity 

21 covers today, all mezz with the general tightening theme continuing across mezz – 6 x AA, 3 x A, 6 x BBB and 6 x BB.  AAs trade tighter 186dm-217dm, with trades comfortably inside 200dm today.  At the tight end is Voya’s VOYA 2017-1A A2 186dm / 4.8y WAL which is a fairly archetype AA bond (MVOC 122.5, Sub80 6.4, WARF 3214, CCC 10, ADR 0.97).  However at the wide end is only a marginally weaker credit, Crescent Cap’s ATCLO 2017-8A B 217dm / 4.5y WAL – ADR 1.7, higher cov lite exposure 33.7 and a weaker manager as the key differences.  Single-As trade 303dm-336dm in line with recent context with MVOC and WARF playing a key role in the slight tiering seen today (see PriceABS trading listing for details).  BBB overlap with the single-A and trade 324dm-400dm with some very short dated bonds and a static CLO migrating and obscuring the tight end of the range 324dm-371dm with more conventional 2024 RP profiles trading tighter 397dm-400dm versus 430dm-490dm recent context.  It is interesting to note that the ARES 2019-52A D which covers 400dm / 7.5y WAL has 91% cov-lite in it’s existing reference pool (with WARF not suffering too much at 3434) which is significantly higher than we have seen.  BBs trade 703dm-886dm in line with recent context 720dm-900dm with Neuberger’s NEUB 2017-25A E 703dm / 6.8y WAL at the tight end – low Sub80 3.3, healthy MVOC 103.9, WA collateral px 95.98 and other metrics broadly in line.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The post COVID vaccine rally is confirmed today with 5 mezzanine trades in BBB & BB. The 3 x BBB have traded between 390dm and 430dm. This is around 100bps of tightening over and above what occurred yesterday. The tightest of the trades is Barings Euro 2016-1 which has actually breached its Jnr OC test (-0.38%) although it does have a good MV OC (114.7%).

The 2 x BB traded at 695dm. This is about 145bps tighter than the last time we saw BBs trade – which was before this rally. Both bonds are clean with MV OCs around 106% and Jnr OC cushions around 3%.

AAA CLO

USD CLO AAA

Seven covers today – 4 x AAA, 1 x A, 2 x BBB with a continued improved tone with US LLI continuing it's improvement up 94bps on Friday.  High quality AAAs continue to firm up with trading range today 118dm-128dm with a 3.0 high coupon outlier from Octagon OCT48 2020-3A A 149dm / 4.6y WAL.  At the tight end is CVC’s APID XXXA A1A 118dm / 4.3y WAL – strong MVOC 164 and metrics very healthy. 

Mezz/Equity CLO

USD CLO Mezz/Equity

The single-A trade today is Oak Tree’s OAKCL 2014-1A BR 336dm / 5.2y WAL (2021 RP profile) which trades at the mid-wide end of 300dm-350dm recent context in this profile – the bond has some weakness with a lower MVOC 108.6, ADR 1.9, IDT cushion -3.2, CCC 14.7 and WA collateral px 92.7 but despite this holds up in dm terms versus recent comps with higher MVOCs.  BBBs trade today 324dm-426dm (2020/2021 RP profiles) tight to 450dm-570dm recent context, at the tight end is Palmer Sq’s PSTAT 2020-1A C 324dm / 4.6y WAL with excellent performance / defensive portfolio (3.0 CLO) – Sub80 1.8, WARF 2852, CCC 5.4 and WA collateral px 96.85.  At the wide end is KKR 17 D that covers inside recent comps at 426dm / 5.2y WAL with reasonable performance (high CCC 17.6, MVOC 107.4, ADR 0.9, IDT cushion cuspy 0.34, Sub80 assets 4.7).

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

We have a bounce today in line with other credit markets and stock markets on COVID vaccine news. 7 x BBBs traded, between 430dm and 490dm, which is an average of 46bps tighter on the curve. The average traded price is 99.70.