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.

AAA CLO

USD CLO AAA

13 covers to end off this week – 4 x AAA, 1 x AA, 1 x A, 1 x BBB and 6 x BB.  AAAs trade in a narrow dispersion 123dm-136dm with levels firming up very slightly towards the 120dm mark at this end of the cap stack in high quality names like Blackrock and Neuberger.  The US LLI has ticked up 108bps on the week and is now less than 50bps off the 2020 high. 

Mezz/Equity CLO

USD CLO Mezz/Equity

The AA bond that trades today is CBAM’s CBAM 2017-1A B 202dm / 4.8y WAL (2022 RP profile) which is at the tight end of 200dm-240dm context – this bond has clean metrics.  The single-A is a rare short dated bond HLA 2014-1A CR (Bardin Hill) 336dm / 1.6y WAL (2018 RP profile), this is an impaired deal which is deleveraging (CCC 19.5, Sub80 35.4, WARF 3830, ADR 5.1 and -18 IDT cushion) with MV shortfalls on the 2nd and 3rd loss tranches, this tranche has coverage given it’s more senior in the paydown schedule 164.8 MVOC.  PIPK 2020-6A D from Partners Group (BBB) covers 449dm / 5.1y WAL (2021 RP profile) tight to recent 510dm-570dm context, this bond is of high quality and is a 3.0 post covid issue so has plenty of cushion (IDT cushion 5.4%) and a defensive portfolio (WARF 2625, WA collateral px 98.4, MVOC 116.5) so explains the tighter level.  BBs trade 669dm-964dm across numerous profiles which is not dissimilar to recent activity at this rating level.  At the tight end is GoldenTree’s GLM 2019-4A E 669dm / 7.8y WAL (2024 RP profile) which is tight to 750dm-850dm recent context (the deal is performing well – Sub80 1.5, CCC 6.6, WARF 3045, WA collateral px 96.5, MVOC 104.8), at the wide end is Alcentra’s SHACK 2017-11A E 964dm / 7.3y WAL (2022 RP profile) with a cuspy MVOC 100.6, high CCC 11.2, higher WARF 3365 and cuspy IDT cushion 0.97).

AAA CLO

EUR AAA CLO

There are 3 x AAA trades today. They have traded between 150dm and 160dm. This is about 4bps tighter on the AAA curve.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The Richmond Park AA traded at 223dm which is also about 5bps tighter than we had predicted.

AAA CLO

USD CLO AAA

Today we have seen the first trades this week with the election saga almost drawing to a head and the US LLI 100 rebounding 96bps as a sign the markets have not softened.  There are 20 covers today – 10 x AAA, 1 x AA, 3 x A, 5 x BBB and 1 x BB.  AAAs traded tighter 127dm-167dm with a very short dater from Onex OCP 2015-9A A1R 105dm / 1.4y WAL, furthermore PGIMs DRSLF 2018-57A A covers 128dm / 4.1y WAL (2023 RP profile) versus 134dm-160dm context since month end.  Whilst at the wide end there are 2 impaired deals from MJX and HIG which are running ADRs well in excess of 1% and higher concentrations of Sub80 priced assets.

Mezz/Equity CLO

USD CLO Mezz/Equity

The AA bond is Sound Point’s SNDPT 2017-4A A2A 193dm / 5.3y WAL (2023 RP profile) which trades tighter than recent 200dm-230dm context, this bond has clean metrics.  Single-As trade in a narrow dispersion 283dm-300dm (2024 RP profiles) and once again tighter to 250dm-290dm recent context with fairly clean bonds trading.  BBBs trade 387dm-570dm which are in line with recent context with no signs of tightening.  The BB bond is MVEW 2017-1X E 1087dm / 5.7y WAL which again is in line with the most recent data point in this profile towards the back end of October, this bond has mixed metrics with a low WARF 2966, ‘low’ CCC 7.7, MVOC > par 101, Sub80 5.9 but has cuspy IDT cushion of 0.46.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just one EUR trade yesterday. Dunedin Park single A traded at 308dm. This is in line with the curve we already had.

AAA CLO

EUR AAA CLO

On US Election Day there are no USD trades and only 5 EUR trades. The 3 AAA trades were between 157dm and 172dm which doesn’t evidence any trend in spreads.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The 2 single A’s traded at 307dm and 326dm which is about 30bps tighter than previously.

AAA CLO

USD CLO AAA

Today saw a long list of 29 AAAs pre-election whilst the US LLI retracing 10bps from Friday close, with trading range 124dm-206dm.  There is a softer tone for weaker credits with 6 trades > 170dm which are non-3.0 high coupon.  MVOC’s are in early-mid 140% context for these credits which is lower than 150% benchmark whilst a number of weaker managers (MJX, Sound Point, Trinitas) feature at this end and asset pricing < 80 has crept just over 10% on a couple of these outliers (see PriceABS trade listing for details).  At the wide end is AGL’s AGL 2020-4A A 206dm / 2.43y WAL – this is a May close 3.0 CLO with a high coupon +221 and a very defensive structure (eg. IDT cushion almost 6%) and portfolio (eg. WARF 2727, WA collateral price 98.23 / CCC 1.97).

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just two BBB trades today. They traded at 441dm and 465dm. This is about 40bps tighter than yesterday’s BBB trades.

AAA CLO

USD CLO AAA

Just the one cover today, PGIM's DRSLF 2018-55A A1 141dm / 3.94y WAL (2023 RP profile) which is at the tight end of 40dm-175dm context this week.  The MVOC is strong 156.2, Sub80 assets are low 3.9, WARF is strong 3171 but IDT cushion is cuspy 0.98 whilst ADR is highly elevated 2.43.  However PGIM is a benchmark manager so the tight dm refllects this.

AAA CLO

EUR AAA CLO

There are 6 AAA trades today. AAA spreads broadly unchanged although it looks like the curve might have steepened a little pivoting around the 4yr WAL point. Less than 4yrs is about 5bps tighter and greater than 4yrs is about 3bps wider.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 2 x BBB and bot traded around 495dm. This is about 35bps wider.

The only BB traded at 827dm which is about 50bps wider.

The only single B traded at 1257dm. Barings Euro 2018-1 does have a low MV OC (100.18%) and low Jnr OC cushion (0.37%) but even allowing for this we estimate a further 40bps of widening across the curve.

AAA CLO

USD CLO AAA

18 covers today, mostly mezz with some softening seen especially in BBBs as the US LLI has dropped 75bps since last Friday – 1 x AAA, 1 x AA, 7 x BBB, 9 x BB.  The AAA trade BMILK 2018-1A A1 (GSO) covers 142dm / 4.4y WAL (2023 RP profile) at the tight end of 140dm-175dm context this week – the bond has a strong MVOC 154.6, low Sub80 4.1, low ADR 0.5 and healthy cushions from a benchmark manager. 

Mezz/Equity CLO

USD CLO Mezz/Equity

The AA trade is ICG 2014-2X BRR (ICG) 220dm / 5.5y WAL (2023 RP profile) which trades towards the wider end of 195dm-230dm context this week – Sub80 assets is high 9.0, WARF 3495, CCC high 13.1, ADR is elevated 1.4 and IDT cushion is negative.  BBBs trade 477dm-520dm (2022-2024 RP profiles) wide of early-mid 400s dm context recently.  The MVOCs on todays bonds are 108-109 so no material dispersion and there are no significantly impaired bonds so the effect of the softening has impacted BBBs by around 70bps.  BBs trade 642dm-1084dm (2018-2023 RP profiles) with 700dm-930dm context this week in these profiles, there are 2 bonds outside of this context KKR 17 E (KKR) and PARL 2018-1A D (DoubleLine) that have cuspier MVOC 100-102, higher WARFs 3400 area and cuspy IDT cushions and the fact that DoubleLine's bond props up the wide end (1084dm / 7.6y WAL) being a weaker manager than its peers.

AAA CLO

EUR AAA CLO

There are 5 AAA trades today. AAA spreads definitely wider – about 9bps wider across the curve. Range is from 160dm to 170dm apart from Aurium 6 which priced to call because of its high stated margin (190bps). It traded at 100.46 which optically is 233dm to maturity.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

It’s a similar story with AAs. The curve is 16bps wider with spreads now between 225dm and 240dm.

The only single A trade, CVC Cordatus 10, traded at 308dm and at the BB level CVC Cordatus 9 traded at 760dm.

AAA CLO

USD CLO AAA

10 covers today – 3 x AAA, 4 x A, 3 x BB.  AAA trade 145dm-162dm with a recently closed 3.0 CLO from PGIM +165bps high coupon bond DRSLF 2020-86A A at the ‘wide’ end 162dm / 4.3y WAL, as seen regularly this profile has a defensive portfolio (WARF 2879, CCC 3.1, MVOC 157.8, Sub80 0.7, WAS 3.2 and WA collateral price > 96 at 96.3).

Mezz/Equity CLO

USD CLO Mezz/Equity

The BSL CLO Single-As trade 268dm-305dm which is in line with similar context this week.  There is a MM CLO from GSO DIMND 2019-1A C that covers 397dm / 5.0y WAL, first we have seen in a while at this level of mezz, the metrics look reasonable with MVOC 120.1, Sub80 6.9, ADR 0.06, IDT cushion is at the low end 1.6 whilst the WAS 5.4 is clearly much higher than BSL but conservative for a MM CLO.  This is a useful data point nonetheless.  BBs trade 806dm-922dm, bar belled with short/long dated WALs, but with 2024 RP profiles with a longer WAL these trade at the tighter end 806dm-837dm which is at the middle/wide end of this week’s 750dm-850dm context.  The shorter WAL 2018 RP profile CSAM bond MDPK 2014-12A E covers 922dm / 3.3y WAL which is wide to a similar GSO bond yesterday BOWPK 2014-1X E that traded in early 700dm context.  The CSAM bond is weaker with MVOC 103.6 (vs 106.3 on GSO), WARF is high 4354 (vs 3618), ADR 1.4 (vs 1.1) and WA collateral price is sub 90 (89.4) so these account for the wider dm.

AAA CLO

EUR AAA CLO

There are 11 trades today with 4 of them at the AAA level. Tikehau 1 has started paying down and traded at 145dm. The other AAAs traded between 155 and 160dm which is an average widening of 4bps.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only AA trade is GLG Euro 2 which traded at 289dm. Even allowing for the spread premium attached to Man Group shelves this is a wide level and may perhaps signify that AA spreads have widened.

There are 2 x A trades. Babson Euro 2014-2 traded at 342dm and Jubilee 2014-11 at 396dm. Even after allowing for a spread premium for the Jubilee bond due to its low MVOC (116.08%) and its breached Jnr OC cushion (-0.7%) we see the single A curve 36bps wider.

There are 2 x BBB. BNPP Euro 2019 traded at 472dm which is 29bps wider than our curve predicted. Avondale Park traded to call because of its high margin (510bps). This is a price of 100.78 which backs out to 542dm to maturity.

The two BBs traded as follows: Barings Euro 2016-1 at 846dm and Providus 2 at 803dm. The Barings deal has breached its Jnr OC cushion (-0.38%) and we thought could have traded wider.

AAA CLO

USD CLO AAA

A busier day with 42 covers – 11 x AAA, 9 x AA, 6 x BBB, 14 x BB and 2 x B, the US LLI fell for another day -12bps.  The AAAs trade 139dm-177dm with the wide end dominated by two weaker bonds – MJX’s VENTR 2018-35A AS 175dm / 4.6y WAL (low MVOC 144.6, ADR 2.5, high WAS 3.98, IDT cushion 0.3) and Highland Cap’s ACIS 2014-5A A1 177dm / 0.6y WAL (0.45 factor but CCC 26.4, WARF 4092, ADR 1.6, IDT cushion -1.5).

Mezz/Equity CLO

USD CLO Mezz/Equity

The AAs trade 201dm-229dm which is within recent context 180dm-240dm.  BBBs trade 412dm-517dm which is also in line with recent context, at the wide end is MJX’s VENTR 2016-24A D1R 517dm / 4.8y WAL – high ADR 1.5, cuspy IDT cushion 0.4 and WA collateral price 93.2.  BBs trade 704dm-1101dm which again is in line with recent context, bonds with elevated ADRs and cuspy MVOCs populate the wide end (see PriceABS trade listing).  Rarer single-Bs trade 1195dm-1419dm (2023 RP profiles) with trading context this month a fairly wide dispersion 770dm-1350dm, so the outlier is BlueMountain’s BLUEM 2018-3A F 1419dm / 7.6y WAL – cuspy MVOC 100.01, CCC 13, ADR 2.2 and cuspy IDT cushion 0.2.

AAA CLO

EUR AAA CLO

There are 28 trades today and the only AAA among them is Harvest 11 which traded at 150dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The 3 x AA traded. The tightest trade is ALME 5 which traded at 216dm. Then GLG Euro 4 traded at 241dm which is due to its low MV OC, low Jnr OC cushion and the Manager name. Widest is Halcyon 18-1 which traded at 269dm. The performance is OK on this deal and it is mainly because the Manager is Bardin Hill.

There are 5 x BBB which have traded between 410dm and 490dm. At the tighter end are the GSO and Commerzbank bonds and the wider end are Barings and Carlyle. The Barings bond does have a low Jnr OC cushion and the Carlyle bond has a low MV OC.

There are 10 x BBs which have traded in a range from 650dm to 940dm. The tightest trade is Tymon Park for GSO. Most trades have a 700handle for spread but the two widest by far are St Pauls 3R at 903dm and Madison Park Euro 8 at 940dm. Both these levels can be explained by the poor performance of these deals. They both have low Jnr OC cushions of around 0.4% and low MVOCs of around 104.7%.

There are 9 x B trades. Leaving aside the Dryden 63 bond which is GBP denominated and is therefore a special case, the others traded in a range from 930dm to 1230dm. A number of these bonds are not clean. The three widest trades in EUR are Barings 2016-1, Newhaven 2 (Bain) and Madison Park Euro 7 (CSAM). All of these have low MVOCs and low Jnr OC cushions (in the case of Barings 2016-1 it has been breached). The Dryden 63 GBP bond traded very wide at 1490dm probably because there is less diversity in the pool. Its actual credit metrics look OK.

AAA CLO

USD CLO AAA

22 covers today, the vast majority IG – 2 x AAA, 6 x AA, 13 x A, 1 x BB with a little softening in this seniors.  There is a 1st and 2nd pay AAA today, the 1st pay JTWN 2019-14A A1 (Investcorp) covers 163dm / 5.5y WAL which trades wide to recent 140dm context, the US LLI softened 4pts / 18bps today versus Friday close and Investcorp is a benchmark manager with strong fundamentals on this bond.  The 2nd pay VENTR 2018-31A A2 (MJX) covers 215dm / 4.8y WAL versus late-100s dm context seen this month in 1st pay FRNs, albeit this manager has a weaker record vs peers and this bond has weaker fundamentals (MVOC 138.7, Sub80 7.0, ADR 1.1 and IDT cushion <2 at 1.5). 

Mezz/Equity CLO

USD CLO Mezz/Equity

The AAs trade 195dm-239dm across RP profiles in line with 180dm-240dm context over the past week, at the wide end is again an MJX bond VENTR 2017-26X B 239dm / 4.3y WAL which is 26dm wide to CSAM’s MDPK 2015-16A A2R (which also has weak fundamentals but a stronger manager) – weak MVOC 121.6, high ADR 1.9 and neg IDT cushion -0.4.  There are a large number of single-As trades today 251dm-352dm trading range across 2021-2024 RP profiles which have traded 245dm-300dm context over the past week.  At the wider end are 3 recently closed high coupon 3.0 CLOs with significant cushion and defensive portfolios that tier to a higher dm, as we have seen recently the gap between lower cash px / legacy CLO 2.0 and higher cash px / post-covid defensive 3.0.  The BB trade today is CIFC’s CIFC 2013-1A DR 932dm / 7.1y WAL (2022 RP profile) which trades in the middle of 720dm-1120dm context this month, there is mild weakness in this bond counteracted by the manager’s strengths – MVOC is just above par 101.6, CCC 10.7, ADR 1.1, IDT cushion is 1.1 and WA collateral price is 1-2pts lower than benchmark at 94.3.

AAA CLO

EUR AAA CLO

There are 8 trades today with one of them being AAA. Bosphorus Euro 4 traded at 99.67 / 157dm. Yesterday Sound Point Euro 4 priced at 110bps over floored Euribor for the AAA as reported by Bloomberg.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The 2 x AA traded at around 226dm. Again this compares with 180bps over floored Euribor for Sound Point Euro 4 as reported by Bloomberg.

The 2 x A bonds traded around 310dm which is around 20bps tighter than where we last had our single A curve marked.

There are 2 x BB trades in the 850dm area. Both deals are not the cleanest. They have Jnr OC cushions around 1% and MV OCs around 104.50%. For reference Sound Point Euro 4 priced at 735dm over floored Euribor per BBG.

The single B Jubilee 2017-XVIII traded at 80.85 price. We are having an issue backing out the DM for this and are investigating.

AAA CLO

USD CLO AAA

15 covers to end this week off – 3 x AAA, 4 x AA, 5 x A, 3 x BB, the week ends with US LLI up 13bps and retraces all of the dip seen last week.  The AAAs trade 146dm-168dm, with Marble Point’s MP4 2013-2A ARR at the wide end 168dm / 2.54y WAL – low MVOC 140.9, ADR 1.01 whilst IDT cushion is negative.

Mezz/Equity CLO

USD CLO Mezz/Equity

The AAs trade 189dm-212dm (2019-2022 RP profiles) tight to 200dm-240dm recent context, the credits today have weaker fundamentals but nonetheless trade tight to the respective curve.  The single-As trade in a wide dispersion 201dm-299dm (2019-2022 RP profiles) which is similar to recent trading context, at the tight end is Invesco’s RCTTE 2015-1A CR 201dm / 3.3y WAL with a strong MVOC 125.2, low Sub80, low ADR 0.7 and lots of cushion on Int Div tests.  However at the wide end is Bain’s BCC 2017-2A CR 299dm / 5.6y WAL – low MVOC 112.8, high Sub80 6.1, high ADR 2.35 and neg IDT cushion pushing this bond close to a 3-handle dm.  The BBs  trade 926dm-1186dm (2020/2021 RP profiles) which is wider than 700dm-1050dm context seen in these rare profiles this month, the reason being the IDT cushion is cuspy or negative in all of the BBs today and a MV shortfall on one of the bonds MP7 2015-1A ERR.

AAA CLO

EUR AAA CLO

There are 3 x AAA trades. Harvest 11 with a margin of 92bps traded at 99.91 / 151dm. BBAM 1 (for RBC) and Arbour 8 with margins around 153bps traded at approx. 100.58 / 190dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 2 trades which were orig BBB, both from GSO and both have paid down a lot. Castle Park traded at 100.17 / 325dm & Sorrento Park at 99.50 / 314dm.

The one BB, Ares Euro 6, traded at 93.90 / 704dm.

AAA CLO

USD CLO AAA

A similar day of liquidity to yesterday, with 26 covers – 4 x AAA, 1 x AA, 8 x A, 8 x BBB, 5 x BB.  The AAAs trade 138dm-155dm, all bonds are clean whilst MJX’s VENTR 2018-32A A1 trades at the wide end 155dm / 4.4y WAL with a weaker MVOC (142 vs 149+ for benchmarks) and an elevated ADR 1.5 accounting for the wider trade.

Mezz/Equity CLO

USD CLO Mezz/Equity

The AA trade today is Investcorp’s JTWN 2015-7A A2R 204dm / 2.8y WAL which is post reinv and is tight to 230dm-250dm recent context in this profile, the perf metrics aren’t that clean on this bond with CCC 13.6, ADR 1.3, Sub80 8.9 and cuspy Jnr OC cushion whilst the manager’s performance is at benchmark levels so supports the dm albeit a short WAL.  The single-As trade 254dm-298dm (2022-2024 RP profiles) versus 235dm-335dm context over the past 10 days in these profiles, so today’s levels are flat to recent activity.  The BBBs trade 340dm-462dm which is firmer at the tight end of recent 370dm-520dm context, at the tight end is Blackrock’s MAGNE 2014-8A DR2 which is backed by a defensive portfolio (WARF 3092, ADR 0.5) and benefits from benchmark manager performance.  The BBs trade 709dm-867dm tight to 840dm-1100dm recent context, there is an outlier trade First Eagle’s LONGF 2013-1A ERR 1689dm / 5.3y WAL – MV shortfall 1.3%, Sub80 9.6, ADR 2.1, IDT/Jnr OC cushions both compromised and CCCs 14.4 pushing this bond well wide given the proximity to loss and int diversion.

AAA CLO

USD CLO AAA

25 covers today – 13 x AAA, 4 x AA, 6 x A, 2 x BBB.  The AAAs trade in familiar context at the tight end 130dm but as wide as 193dm today.  Nassau Corp’s NCC 2018-IA A covers 193dm / 4.2y WAL but is laced with issues – low MVOC 140.2, high WARF 3514, high ADR 1.76, neg IDT cushion -0.25 with Jnr OC cushion not far off 0.75 and WA collateral price 90.94 which is 5pts off benchmarks, the manager’s performance is also weaker to peers.

Mezz/Equity CLO

USD CLO Mezz/Equity

The AAs trade 183dm-213dm (2022-2024 RP profiles) which is in line with 180dm-240dm context over the past week.  The bonds today are all clean from a fundamentals point of view.  The single-As trade 202dm-282dm tight to 260dm-400dm recent context, at the wide end is the recently (Aug) closed PGIM DRSLF 2020-86A C 282dm / 6.1y WAL which has a very defensive portfolio (WARF 2879, WAS 3.18) with a +280bps spread.  The BBBs trade 299dm-358dm, both from Palmer Sq, at the tight end is PSTAT 2018-2X C 299dm / 3.3y WAL which is a static deal hence the tighter dm given the deal is deleveraging, the other bond is PLMRS 2020-1A C 358dm / 5.04y WAL which is also short dated and has a 1y RP with plenty of cushion built in, low WARF 2713, high WA collateral price 98.03 and low CCC 1.9.  Comparable bonds trade 380dm-500dm with ‘weaker’ metrics.

AAA CLO

USD CLO AAA

A much busier day today with 48 trades for notional > 125m across all rating bands, the US LLI has ticked up 13bps since Friday retracing the entire drop this month – 5 x AAA, 10 x AA, 14 x A, 7 x BBB, 11 x BB and 1 x B.  The 1st pay AAAs trade 139dm-177dm, with Angelo Gordon’s WOODS 2017-16A A at the wide end 177dm / 3.6y WAL – high WARF 3442, high CCC 17.6 and breached IDT test cushion pushing this wider.  There is a fixed rate 2nd pay bond from CSAM ATRM 14A A2BR but DNT at a yield of 2.34%.

Mezz/Equity CLO

USD CLO Mezz/Equity

The AAs trade 192dm-238dm across 2021-2025 RP profiles with context this month to date 180dm-270dm, with lower NAVs, higher ADR and cuspy IDT cushions continuing to drive bonds wider at this rating level – eg. Sound Point’s SNDPT 2014-2RA B trades at the wide end 238dm / 6.1y WAL – 120.1 MVOC (vs mh 120s comps), 1.9 ADR and -0.68 IDT cushion.  The single-As trade 249dm-293dm across 2021-2024 RP profiles which are at the tighter end of 240dm-340dm context this month.  The BBBs trade 355dm-519dm which is in line with context seen this month, at the wide end though is yet another outlier – Pretium’s CRNPT 2018-5X D 519dm / 4.8y WAL – vh ADR 3.01, neg IDT cushion, low WA collateral px 92.2, low MVOC 105.2 and CCC 13.4 pushing this bond to the wides.  The BBs trade 756dm-1234dm which are again in line with context seen this month which is a high dispersion (740dm-1200dm).  At the wide end (1200area) are bonds that have MV shortfalls and ADRs in excess of 1% and breached IDT cushions – see PriceABS trade listing for details.  The rare single-B trade is a welcome data point for this end of the capital stack, GoldenTree’s GLM 2019-4A F covers 1056dm / 7.8y WAL which is inside of some BBs that have full MV coverage, this bond has a low Sub80 1.54, good WARF 3055, ADR 1.22, WA collateral price 96.2 and IDT cushion is 1.22 so all in all good metrics.

AAA CLO

USD CLO AAA

A quiet end to the week with 6 covers – 4 x AAA and 2 x BBB.  The USLLI retracing 2bps of the 14bps drop we saw on Thursday.  The AAAs trade yet again in a familiar tone 132dm-162dm, with Five Arrow’s OCTR 2019-7A A1 at the wide end 162dm / 3.1y WAL with a weak MVOC 145.1 and high ADR 2.5 pushing this bond wider.

Mezz/Equity CLO

USD CLO Mezz/Equity

The BBBs trade 367dm-413dm (2024/2025 RP profiles) firmly within a 350dm-460dm context this month to date.

AAA CLO

USD CLO AAA

Liquidity was similar to yesterday with 36 covers – 16 x AAA, 3 x AA, 5 x A, 7 x BBB and 5 x BB.  The 1st pay AAAs trade flat 132dm-153dm, whilst there are 2 x 2nd pay AAAs (1 x FRN and 1 x Fixed).  Firstly there is Voya’s VOYA 2017-4A A2 (FRN) that covers 172dm / 4.3y WAL which is a good data point for a rare profile which is c. 10dm-20dm off 1st pay wides which seems in line.  There is a fixed rate 2nd pay AAA as mentioned, this is CBAM’s CBAM 2017-1A A2R that yields 2.53% / 4.77y WAL – this bond has widened as covered 2.11% a week back, with no additional reporting since and MVOC flat this is evidence of widening on this rare fixed rate profile. 

Mezz/Equity CLO

USD CLO Mezz/Equity

The AAs trade 189dm-225dm (2018-2021 RP profiles) broadly in line with 190dm-250dm context over the past few weeks in these shorter dated profiles, no weakening per se.  The single-As trade 311dm-413dm (2020/2024 RP profiles) which are wide to 270dm-300dm recent context, much of this to do with the fact that today’s bonds have credit issues with ADR’s as high as 3.7% and significantly compromised IDT/Jnr OC cushions at the wide end so the weaking can be attributed to credit rather than market softening at this rating level.  The BBBs trade 402dm-512dm across 2020-2024 RP profiles broadly flat to 350dm-500dm recent context, at the wide end MVOC weakness drives trading levels with recent MVOCs at this rating level 107+ whilst Sound Point’s SNDPT 2013-1A B1R trades 512dm / 6.5y WAL with MVOC of 105.6.  BBs today trade 844dm-947dm across 2023/2024 RP profiles which sit within 740dm-960dm recent context, once again cuspier MVOCs driving BBs closer to 1000dm with LCM and Pretium managed BBs running cuspy MVOCs in 101.5 context and cover today 940dm-950dm with fundamental credit metrics reasonable.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just 7 mezz trades today – 3 x A & 4 x BB. The 3 single A’s have traded between 325dm and 360dm. Laurelin 2016-1 and Accunia 4 both traded at 325dm (which is about 15bps tighter on the curve) and Man GLG 6 traded at 360dm. Of course Man Group shelves always trade wide although, in this case, the Jnr OC cushion of this deal is in good shape at 4.47%.

Of the 4 BBs, three of them have traded between 725dm and 760dm which is an unchanged BB level. The outlier is Cairn 8 which traded at 810dm. It does have an MV OC of 104.80% which is about 2 points lower than the other bonds. Having said that its Jnr OC cushion is 4.48% which is perfectly fine.

AAA CLO

USD CLO AAA

A busier day with 45 covers – 22 x AAA, 9 x AA, 8 x A, 2 x BBB, 4 x BB.  Overall AAAs trade flat, mezz in places tighten with weaker bonds continue to trade wide to the curve.  The AAAs trade in a familiar fashion 134dm-167dm, with MJX’s VENTR 2013-15A A1R2 and Marble Point’s MP14 2018-2A A1 propping up the wide end 166dm/167dm, both these credits have weaker MVOCs (MP14 especially so 139.9), highly negative par builds -1.9/-3.2, ADRs >2% and cuspy IDT/Jnr OC cushions.

Mezz/Equity CLO

USD CLO Mezz/Equity

The AAs trade 179dm-246dm, with the largest cluster being 2023 RP profiles that trade tighter 179dm-202dm than recent context in early-mid-200s context, bonds are typically clean and MVOCs consistent around 123-125 for this cohort.  Two 2019 RP profile bonds trade 228dm-246dm at the wide end of the AAs, this is a rare profile and well wide of very late 100s context towards the end of September.  The single-As trade 235dm-322dm across 2020-2024 RP profiles versus 260dm-320dm context this month to date in the same profiles.  The outlier is at the tight end with Blackrock’s MAGNE 2014-8A CR2 235dm / 5.3y WAL which notoriously trades tight to comps – strong cushions in place, high WA collateral price (95.5), CCC < 10%, ADR 0.5 and a strong MVOC 116.3.  The BBBs trade 355dm-498dm, CIFC 2013-4A DRR covers 355dm / 6.9y WAL (2023 RP profile) at the tight end tighter than 430dm area context seen this month.  As for the wider end MidOcean’s MIDO 2016-6A DR covers 498dm / 5.2y WAL (2021 RP profile) which is wide to 380dm-400dm context seen this month to date in this profile, the MVOC is weaker (106.9) than those observed (109-112) whilst key cushions are cuspy with WARF elevated to 3494 (vs 3100-3300 for tighter trading bonds).  The BBs trade 1033dm-1115dm (2020-2022 RP profiles) through the wides of recent context 830dm-1000dm, the MVOCs on today’s bonds are cuspy with a shortfall on VOYA 2015-1X DR 99.4, whilst ADRs > 1.2, IDT/Jnr OC cushions are very cuspy and WARF on TPG’s TICP 2018-IA D high at 3422, this bond trades at the wide end 1115dm / 5.3y WAL and has a vh ADR (2.84).

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

6 mezz trades today. At the AA level Henley 1 traded at 229dm. This is on the same day that Henley 3 priced in the new issue market which had a AA that priced at 190bps margin over floored Euribor, as reported by Bloomberg.

The only single A trade is Bain 2018-2 which traded at 337dm. This compares with 290bps over floored Euribor for Henley 3. For us this is a widening in the single A curve of 50bps but we are probably catching up on a period without any single A BWIC activity.

The other 4 trades are all BB. They have priced between 720dm and 840dm. The wide trade is Carlyle 2014-2. This deal is not performing as well as its peers. Its MV OC is 104.51% (versus 106.5% for the others) and its Jnr OC cushion is 1.85% (versus 4.25% for the others). If we treat Carlyle 2014-2 as an outlier because of its performance then the other more on-the-run deals have traded between 720dm and 790dm. This compares with a discounted margin of 735bps over floored Euribor for Henley 3. The Henley 3 spread is not a true DM because it takes into account the issue price of 95.50 but not the value of the floor.

AAA CLO

USD CLO AAA

A quiet start to the week with Columbus Day yesterday (no trades) and nine covers today – 3 x AAA, 1 x AA, 1 x A, 4 x BB.  The US LLI continued to tick up since last Friday’s trading (+0.06%) and dm’s are overall stable.  The AAAs trade 137dm-164dm which are broadly in line with last week.  At the wide end is Trinitas’s TRNTS 2016-5A AR 164dm / 2.05y WAL, this has a weaker MVOC 144.6, neg par build -2.06, high ADR 1.78 and compromised Jnr OC/IDT cushions.

Mezz/Equity CLO

USD CLO Mezz/Equity

The AA trade is AGL’s AGL 2020-5A B 267dm / 4.84y WAL (2022 RP profile), this is well wide to 190dm-200dm recent context in this profile since this is a recently closed 3.0 CLO with high cushions and very defensive portfolio, as mentioned recently these 3.0’s are tiered given this and the high coupon at issue +278bps.  The single-A trade is Voya’s VOYA 2017-2A B 260dm / 5.6y WAL (2022 RP profile) which is tight to recent context in mid-280s with metrics broadly in line with recent bonds in this profile.  The BBs trade 772dm-858dm which is in a narrower dispersion than 740dm-960dm context seen since month end, with metrics on the 4 bonds clean, see PriceABS trade listing for details.

AAA CLO

EUR AAA CLO

There are 12 debt trades today. 4 of them are AAA. They have traded between 141dm and 155dm. The 141dm trade is BlueMountain 2016-1 and it has traded about 12bps tighter than the others because it has a low margin at 79bps and so has more to benefit if it gets refi’d / reset. AAAs have tightened around 5bps.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The 3 x AA have traded in a range from 206dm to 231dm. This is an average tightening of 17bps. The traded DM is more dependent on margin than any credit quality differences. Madison Park X does have a slightly low MV OC at 129.08% and the Jnr OC cushion is only 1.66% but these are not distressed numbers by any means and in fact this bond traded the tightest at 206dm (it has the lowest margin at 120bps).

Of the 2 x A Tymon Park traded at 253dm. It has started paying down and also has a low margin at 145bps. Hayfin Emerald 3 traded at 302dm. It is nearly 3yrs longer in WAL and has a margin of 260bps. Single A’s look around 10bps tighter to us.

The only BBB, Contego 4, traded at 402dm which is 11bps tighter on its interpolated point on the curve.

There are two single B trades at around 1050dm. This is unchanged on single B spreads.

AAA CLO

USD CLO AAA

A quieter end to the week with four covers – 2 x AAA and 2 x AA, whilst the US LLI ticked up 0.44% wow.  A 1st pay AAA AGL 2020-7A A1 covers 175dm / 4.5y WAL, this is a recent vintage (last month close) high coupon bond with a more defensive portfolio (WARF 2681, WA Collateral px 98.55 and MVOC 164) which trades above par 100.21 (spread +180bps) and as we have seen recently these types of bonds are tiered from legacy CLOs with less covid-friendly portfolios.  There is a rare 2nd pay AAA fixed rate bond from CBAM (CBAM 2017-1A A2R) that covers at a 2.11% yield / 4.85y WAL. 

Mezz/Equity CLO

USD CLO Mezz/Equity

The AAs trade 193dm-204dm (2022/2025 RP profiles) which have traded 170dm-200dm over the past 2/3 weeks.  Octagon’s OCT29 2016-1A BR trades through recent wides at 204dm / 7.4y WAL, this is longer dated (2025 RP profile) and only has a weaker ADR 1.26 with other metrics broadly in line.

AAA CLO

EUR AAA CLO

Just the one AAA trade today. Dryden 44 traded at 149dm. It has a short 2.08yr WAL because the deal has just started paying down. AAA spreads are unchanged.

AAA CLO

USD CLO AAA

We saw 33 trades across the capital stack today with a fair amount of activity in mezz – 14 x AAA, 2 x AA, 6 x A, 2 x BBB, 8 x BB, 1 x B.  The AAAs trade 129dm-157dm across 2020-2024 RP profiles, with bonds with lower MVOCs along with elevated ADRs and cuspy IDT/Jnr OC tests migrating to the wide end.

Mezz/Equity CLO

USD CLO Mezz/Equity

The AAs trade 225dm-245dm (2023/2024 RP profiles) which is wide to 215area context for this cohort around the end of September, ANCHC 2020-15A B1 at 245dm / 5.9y WAL is at the wide end with clean metrics but only the manager’s (Anchorage) performance weaker to its peers.  The single-As trade 263dm-318dm across 2022-2024 RP profiles which are in line with recent context, Trimarin’s CRMN 2018-1X C 318dm / 6.4y WAL is at the wide end with a weaker MVOC 114.5 and high ADR 1.5 as key weaknesses.  The BBBs trade 354dm-373dm (2025 RP profiles) tighter to 370dm-460dm recent context, both bonds are recent vintages (2020) and naturally have low CCCs, low Sub80s and extra cushions.  The BBs trade 727dm-984dm which is in line with recent context, at the wide end is Symphony’s SYMPH 2016-18X E 984dm / 5.7y WAL – this has a high ADR 1.63 and cuspy MVOC 100.6 along with a higher CCC 12.3 and lower WA collateral px 94.2.  The single-B trade is AMM’s AMMC 2012-11A FR2 1347dm / 7.7y WAL which is through the wides at this rating level since month end (widest was AWPT 2013-1A D2R2 1277dm / 8.5y WAL), this bond is not covered by MV (MVOC 99.7), high CCC 10, ADR elevated 1.1, IDT cushion cuspy 0.65.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

We have just 6 trades today. Both AA trades were around 225dm which is about 15bps tighter.

The 3 x A trades traded between 285 and 320dm. The widest trade is Toro 2, which does have an MV OC and Jnr OC cushion a little on the low side.

The one BBB trade is for Euro-Galaxy 5 which is at 416dm. This indicates unchanged to a few bps wider on the BBB curve.

AAA CLO

USD CLO AAA

16 covers today – 13 x AAA, 2 x A and 1 x BBB.  The AAAs traded flat to recent context but also in a narrower dispersion 132dm-148dm with bonds having cleaner metrics from stronger managers.  The US S&P Lev Loan 100 Index ticked up 0.31% since month end retracing some of the softening seen just before the end of Sep.  For instance the CCC range was 4-15% with these stats seen much higher recently, MVOCs are strong with a 147-167 range, WARFs are <3400.  WA collateral prices were 93.4-97.3 which is strong and WAS 3.3-3.7 with no elevated levels.  See trade listing in PriceABS.

Mezz/Equity CLO

USD CLO Mezz/Equity

The single-As trade 263dm-293dm in a narrower dispersion versus more recent context 270dm-360dm, there were only two trades today.  The bonds are also clean from a fundamentals point of view with Sculptor’s OZLM 2019-23A C cover 293dm / 6.9y WAL, manager performance has been in line with it’s peers on most metrics but lags on IDT cushion which is in fact strong on this deal at 2.71%.  The BBB trade is Voya’s VOYA 2018-2A D 432dm / 7.1y WAL (2023 RP profile) which trades in the middle of a fairly wide recent trading horizon of 370dm-550dm.  The Voya bond has good MV coverage MVOC 107, Sub80 6.4, WARF <3000, CCCs 12.5, ADR slightly elevated 1.4 whilst key cushions (IDT/Jnr OC) are a little on the low side 1-1.45 respectively.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 21 trades in total. The 3 x AA have traded between 215dm and 240dm. This is a widening of 11bps. The widest of the trades is Oak Hill 5 and it does have a below average MV OC at 129.85% and a low Jnr OC cushion at 1.2%.

The 2 x A have traded at 308dm and 329dm. The wider bond is Carlyle 2013-1 and this does have a weaker performance.

There are 10 x BBB trades which traded between 380dm and 480dm. All the bonds are clean and the differences in traded spread are primarily margin driven. The exception to the rule is Carlyle 2018-2 which has traded at 478dm even though it has an average margin of 320bps.

Out of the 6 x BB five of them have traded between 740dm and 755dm with the clear outlier being Bain 2018-1 which traded at 890dm. The Bain deal is significantly worse performing than the rest. It has an MV OC of 103.54% versus an average of 106.84% for the others and it has a Jnr OC cushion of 1.07% versus an average of 4% for the others. The 5 tightly grouped trades show a tightening of 20bps on the BB curve.