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.

AAA CLO

USD CLO AAA

A very busy day with 45 covers – 33 x AAA, 1 x A, 2 x BBB, 8 x BB and 1 x B.  The AAAs trade 131dm-163dm across all RP profiles.  At the wide end is Trimarin’s CRMN 2014-2A A1R 163dm / 0.99y WAL – this deal has passed EoRP (2018 RP profile) and is deleveraging, but has a residual ADR of 2.2, low diversity 51, high Sub80 assets 16.9 and a low WA collateral price 89.72 with Jnr OC/IDT cushions compromised, the bond has the buffer of a high MVOC 286% given it’s deleveraging.

Mezz/Equity CLO

USD CLO Mezz/Equity

The single-A trade today is PGIM’s DRSLF 2013-30A CR 267dm / 5.2y WAL (end 2020 RP profile), this is in line with recent context 255dm-290dm in this cohort.  The BBBs trade 371dm-400dm (2021/2025 RP profiles) which is at the tighter end of recent 380dm-460dm context, today’s bonds have clean metrics.  The BBs trade 769dm-958dm across 2021/2023/2024 RP profiles which is right in line with trading since month end seen in 760dm-960dm context.

AAA CLO

EUR AAA CLO

There are 24 trades today. Looking at the 5 x AAA trades first. Adagio 4 traded at 99.82 / 133dm which is quite tight but the deal has started paying down and the AAA is only 1.4yrs WAL. Of the other 4 AAA trades Anchorage 1 traded at 141dm and the others were around 158dm. The Anchorage trade does seem a little on the tight side although it does have a good MVOC and a healthy Jnr OC cushion.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 7 x A trades. There is a dispersion in traded spreads from 255dm to 325dm which is margin dependent. The tightest trade is Arbour 3 at 255dm which has a margin of 140bps. The widest trade is Crosthwaite Park at 325dm which has a margin of 290dm. Overall we see the curve 12bps tighter than yesterday. This compares with new issue pricing, as reported by Bloomberg this morning, for Harvest 25 of 280bps over floored Euribor for the single A. Harvest 25 new issue pricing is wider through the belly of the credit curve, from AA to BB, compared to the recent tights achieved by CVC Cordatus 18 at the end of Sep.

There are 6 x BBB trades. They have traded between 405dm and 460dm. This compares with 425 over for the recent Harvest 25 print as reported by Bloomberg.

There are 4 x BB trades. There are a wide dispersion in spreads but each one has a different story. Avoca 10 traded at 719dm but it is very short at 5.28yrs. Arbour 7 traded at 788dm but it is an 8.45yr and this is a normal amount of term structure. Dryden 73 traded at 840dm / 8.05yr. The deal is clean enough but PGIM deals often seem to trade wide, especially in the lower ratings, probably because of their high bond bucket. Madison Park 8 traded at 939dm but this is a poorly performing deal with a low MVCO of 104.61% and a low Jnr OC cushion of 0.47%. For comparison Harvest 25 printed at 800 over as reported by Bloomberg.

There are 2 x B. Carlyle 2020-1 traded at 1060dm. Purple 2 traded at 1260dm but it does have a low MVOC (100.78% versus 104.57% for Carlyle).

Mezz/Equity CLO

USD CLO Mezz/Equity

A quiet day with 3 x DNTs on BBs, but nonetheless we ran the DMs at the available published cash prices.  The indication range is 1172dm-1175dm (2019-2021 RP profiles).  With the weaker indications comes weaker metrics, firstly MVOCs are a little cuspy (100.7-102) whilst fundamentals are on the weak side – par build negative all round, CCCs 12-25 range, ADRs 1.5-2.2 range, IDT and Jnr OC cushions breached.  A trade listing is available in PriceABS.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just one AA trade today. OZLME 3 traded at 97.37 / 223dm. Its MVOC is 130% and Jnr OC cushion is 3%. It’s only one trade, so can’t read too much into it, but this is about 10bps wider on the curve.

AAA CLO

USD CLO AAA

Nine covers today, all AAA trading 134dm-198dm (2021-2023 RP profiles) with similar profiles trading 134dm-170dm since month end.  There is, therefore, once outlier trade AIG’s AIGIM 2020-1A A 198dm / 2.45y WAL.  This is an outlier trade, not from a credit perspective though.  This is a recently executed transaction (end May 2020) which has a high coupon +205bps and trades above par (100.17) in line with tightening since May and the fact that there is path to a refi/reset given NC is only in April 2021 and WACC is close to 280bps.  Furthermore given this is a post-vol transaction the portfolio is defensive – WAS is low 334bps, CCCs low 5.15, low retail exposure 0.85% but this leaves a lower diversity 60 given the relative exclusion of certain sectors like retail, also Sub80 balance is 0.53% and WA collateral price is high 98.2 as expected so the portfolio has a defensive 3.0 feel to it and post-vol CLOs like this do have pronounced tiering.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

12 mezzanine trades today. The 3 x A have nominally traded between 295dm and 360dm but in fact Mackay Shields 2  and BlueMountain Fuji 4 have traded to call because of their high margins and are both around par price.

The 2 x BBBs have traded around 415dm which is about 15bps wider.

There are 5 x BBs and they have traded between 750dm and 805dm which is around 40bps wider.

The 2 x B traded around 1040dm which is right on top of our curve.

AAA CLO

USD CLO AAA

With month end out of the way, activity picked up with 31 covers, mostly in line with recent context – 13 x AAA, 5 x BBB and 13 x BB.  The AAAs trade 134dm-167dm (2021-2025 RP profiles) flat to recent trading activity.

Mezz/Equity CLO

USD CLO Mezz/Equity

The BBBs trade 373dm-481dm, once again flat to recent context, the bonds are clean with MVOCs around 110%, ADRs less than or equal to 1, healthy IDT/Jnr OC cushions and low Sub80 buckets <4.5.  The BBs trade 757dm-955dm across 2021-2024 RP profiles which is fairly comparable to 720dm-910dm context over the past 10 days.  There is one outlier trade ArrowMark’s AWPT 2013-1A D2R2 1277dm / 8.5y WAL – the MVOC is cuspy 100.5, neg par build -1.56 and IDT/Jnr OC cushions on the low end 0.63/1.6 respectively, whilst WA collateral price is the lowest of all BBs to trade today 94.59 and WAS (a guide to credit risk) is the highest of all BBs today.

AAA CLO

EUR AAA CLO

A huge mezz list traded yesterday. In total across all ratings 82 debt tranches traded, which is the heaviest day for EUR we can ever remember. We’ll start with the 5 x AAA. All but Madison Park 14 traded in a range from 142dm to 156dm. For these bonds this is a slight tightening in the curve of around 7bps. Madison Park 14 traded at 99.50 / 171dm because of its high margin at 112bps.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only orig AA, from Sound Point 2, traded at 230dm which is unchanged on the curve.

There are 23 orig single A bonds. Leaving aside Castle Park because it is paying down and traded at 100.01 / 230dm – the rest of them traded in a range from 270dm to 340dm, for which the dependent variable is stated margin. It’s hard to say exactly, since the traded DM does move around as the margin varies but we would estimate the curve is around 5 to 10bps wider.

There are 53 x BBB trades. If we look at the outliers first, at the tight end we have Castle Park again which as already stated is paying down. It traded at 327dm. At the wide end we have 2 Carlyle deals, 2017-2 and 2017-3, which traded at 530dm. In both cases they have low MV OCs (111% handle versus a more normal 114.5%) and low Jnr OC cushions of 0.8% versus 3.5%. The rest of the trades were in the range from 360dm to 490dm again dependent on margin. Its again hard to say if there has been a definitive move in the curve but we would say it is perhaps 10 to 15bps wider.

AAA CLO

USD CLO AAA

With month end today a lighter day of flows, with 15 covers, all IG – 1 x AAA, 6 x AA, 5 x A, 3 x BBB.  The AAA trade today is Sculptor’s OZLM 2014-7RA A1R (2021 RP profile) that covers 166dm / 5.54y WAL, this profile has traded in a wide dispersion this week 120dm-190dm.  This bond, despite being short dated has some fundamental weakness at the deal level with CCCs 15%, ADR 1.14 and IDT / Jnr OC cushions both compromised whilst the MVOC is much lower than comparable AAA bonds which are almost 10pts higher.

Mezz/Equity CLO

USD CLO Mezz/Equity

The AAs trade 189dm-218dm across 2021-2024 RP profiles which is flat to comparables over the past week, with again bonds with weaker MVOCs the key lever for tiering at this mezz rating level.  The single-As trade 287dm-357dm across 2020-2023 RP profiles, versus 240dm-320dm context over the second half of September, through the wide end is Pretium's CRNPT 2020-9A C 357dm / 5.6y WAL, this is a recently closed high coupon (360bps) transaction with a more defensive portfolio (eg. WAS 3.4, WA collateral px 98, CCC 2.1) and structure (1y RP, MV attach 17.45% which >1pt higher to peers).  The BBBs trade 371dm-454dm (2019/2021 RP profiles) which are flat to recent context, with Partner’s PIPK 2020-6A D at the wide end 454dm / 5.1y WAL, this is a recently closed transaction with a high coupon (460bps) on this tranche and a much higher attachment point 15.25% and if the WAS is a guide to credit risk then it’s a defensive portfolio since the level is 320bps.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

4 trades today. 1 x A & 3 x BB. The single A is from Penta 6. It traded at 311dm which is around 15bps wider than previous trades.

The BBs from BlueMountain Fuji and Avoca XIII traded around 720dm. The BB from Holland Park traded at 850dm. Mainly this is because it has a much higher margin at 703bps (versus 520bps for the other two) and also because it does have a little bit of a low MV OC at 104.97% (versus 107.8% for the other two).

AAA CLO

USD CLO AAA

A quieter day today, with 12 trades – 4 x AAA, 2 x BBB, 6 x BB.  The AAAs trade 138dm-149dm across 2021/2023/2025 RP profiles versus 120dm-160dm context yesterday, so largely flat to recent context, whilst this week has seen a 25bps softening in the ULLI leveraged loan index (+12bps MTD), whilst new issue spreads for 3y RP +130bps area, with a pick up for secondary with more aggressive portfolios than defensive primary portfolios.

Mezz/Equity CLO

USD CLO Mezz/Equity

BBBs today trade 373dm-377dm (2019 RP profile), this is a rarer WAL profile with trading context towards the middle of this month in 350dm-410dm context in this profile, so today’s bonds are flat to that, despite the fact that the bonds have weaker fundamental performance (ADRs 1.2-2.6) with cuspy cushions and WARF at the wide end just north of 4000, MVOCs are strong 118-119.  The BBs trade in a wide dispersion 720dm-1290dm versus last 7 day context 736dm-868dm, the BBs wide of this context have cuspier MVOC’s (100-104) versus 110.4 for AGL’s AGL 2020-5A E that covers at the tight end 720dm / 6.04y WAL.  BBs north of 1000dm report ADRs of 2%+, cuspy IDT/Jnr OC cushions and WA collateral px of 93-94 vs 95-98 for bonds that trade sub 1000dm.  See PriceABS for trade listing and details.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

We’ve got 11 trades today, all in the mezz space. The 3 x A have traded between 276dm and 298dm. This is about 20bps wider on the curve. CVC Cordatus XVIII priced at 240bps over floored Euribor last week, according to Bloomberg.

The 5 x BBB traded between 400dm and 435dm apart from ALME II which traded at 464dm. The reason for the higher DM on ALME II is because of its much higher coupon (385bps margin versus around 250bps for the others). All the deals look pretty clean. For regular 250bps margin BBBs we’re seeing spreads around 70bps tighter than where we last had them marked.

The 3 x B have traded between 1030dm and 1100dm. This is nearly 100bps wider than our curve. We can only update our curves when we see bonds of that rating trading via BWIC and it is a little while since we last saw single B trades.

AAA CLO

USD CLO AAA

30 covers today – 27 x AAA and 3 x AA.  The AAAs trade 121dm-194dm across numerous RP profiles.  At the tight end of today’s range Blackrock’s MAGNE 2012-7A A1R2 covers 121dm / 2.44y WAL, this is comparable to 116dm-121dm context for this high quality manager over the past few weeks.  At the wide end of today’s range is an outlier trade JMP 2017-1A AR (Medalist Partners) cover 194dm / 2.54y WAL with very weak metrics – neg par build -2.55, Sub80 assets 11.8, ADR 1.75 and IDT/Jnr OC cushions both negative from an inexperienced manager with metrics weaker to its peers.

Mezz/Equity CLO

USD CLO Mezz/Equity

The AAs trade 188dm-199dm (2021/2023 RP profiles) which is slightly tighter to a 192dm-227dm range last week for this cohort and at the tight end of a 174dm-250dm dispersion this month to date.  The 3 bonds today have strong MVOCs 124-126.5 and clean metrics, with TCI Cap’s TSYMP 2016-1A BR at the wide end 199dm / 4.6y WAL with a slightly elevated Sub80 8.5, WARF 3401 (vs 3000a for tighter bonds) and WA Collateral price of 93.7 (vs 96area for tighter bonds), the manager has a good record despite being inexperienced.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just 2 trades again today. The AA is Orwell Park which has just started paying down. It traded at 220dm which compares to 165bps over floored Euribor for CVC Cordatus XVIII as reported by Bloomberg. The Orwell Park level is about 10bps wider than we had for our curve.

The BB is Ares Euro VII which traded at 723dm which is around 60bps tighter than our curve suggested. The BB from CVC Cordatus XVIII priced at 625dm over floored Euribor on Friday as reported by Bloomberg again.

Mezz/Equity CLO

USD CLO Mezz/Equity

6 covers today, all mezz with c. 120bps widening at the BB end – 2 x AA, 1 x BBB, 3 x BB.  The AAs trade 195dm-197dm (2021 RP profiles) which are at the tighter end of 185dm-250dm context in the same cohort, some metrics for Mariner’s ELM 2014-1A BRR (197dm / 3.9y WAL) weak – neg par build -2.4, IDT/Jnr OC cushions cuspy whilst cov-lites at 50% but the WA collateral price is strong 95.5 and low Sub80 0.69 / WARF 2874.

The BBB today is Monroe’s Cap’s MCBSL 2015-1X DR covers like a BB bond 928dm / 3.42y WAL which is heavily impaired and rated Baa3, the MVOC is not in shortfall yet 107.25 but other metrics point to very weak fundamental performance – ADR 2.5, Jnr OC cushion -5.9, WARF 4676, Sub80 20.1 and WA Collateral price is sub 90 (88.01).  The BBs trade 854dm-979dm (2022/2023 RP profiles) wide to 720dm-870dm recent context, there is a c.120bps weakening tone at this level of the capital structure since the bonds today are clean from a fundamentals point of view and all covered by MV.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just 2 trades today. The BBB is Holland Park which traded at 510dm. For us this level is 35bps wider than our interpolated point on the curve, after a widening on Thursday as well.

The BB is another GSO deal, Castle Park this time. This deal is paying down. This traded at 629dm which of course is a lot tighter than the regular BB curve.

AAA CLO

USD CLO AAA

5 covers today – 3 x AAA, 1 x BBB, 1 x BB.  The AAAs trade 137dm-158dm slightly softer to yesterday’s 130dm-150dm context in the same RP profiles (2020/2022/2023).  The bonds today are relatively clean with the exception of LCM’s LCM 20A AR at the wide end 158dm / 1.9y WAL – slightly weaker MVOC 147.5 and only cuspy IDT/Jnr OC cushions, but WA collateral price is strong 94.4.

Mezz/Equity CLO

USD CLO Mezz/Equity

The BBB is Oak Hill’s OAKC 2019-3A D covers 391dm / 8y WAL (2024 RP profile) which is firm to recent 395dm-440dm context in the same RP profile, the metrics are strong on this bond – MVOC 109.6, Sub80 2.5, ADR 0.4, IDT/Jnr OC cushions strong and WA collateral price >96.  The BB is Voya’s VOYA 2020-1A E 781dm / 6.9y WAL (2023 RP profile) firmly in a 720dm-850dm recent context in the same cohort, excluding those fallen angel BBs.  The metrics are strong on this recently closed Voya bond – MVOC 107.8, Sub 80 1.5 and low CCC 0.33.

AAA CLO

EUR AAA CLO

30 trades in all with half of them AAA. The spread range is from 145dm to 165dm. In regard of the price range, apart from Hayfin Emerald 2 which traded at 100.19 for the rest of the trades the price range is 99.20 to 99.95. All the bonds look clean and the average Junior OC cushion for this cohort of trades is 4%. We see this as a 10bps widening through the middle of the curve.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The 4 x AA traded between 201dm and 235dm. Three of these bonds have higher margins (around 180bps) but only Dunedin Park achieved premium pricing of 100.20 / 214dm. OZLME 5 and Carlyle 2019-2 traded around 99.20 / 235dm.

The only single A trade, BlackRock Euro 5, traded at 267dm which is around a 50bps tightening in the single A curve, for us.

The Orig BBBs have mostly traded between 450dm and 480dm. The two outliers are Carlyle 2017-2 which traded at 535dm. It has a low MV OC of 110.90% and low Jnr OC cushion of 0.61%. The other outlier is Halcyon 2017-2 which traded at 660dm and has an even lower MV OC of 106.91% and low Jnr OC cushion of .67% and has been downgraded to BB. We are seeing the BBB curve around 25 to 30 bps wider.

The two BBs have traded round 845dm which is about 90bps wider on the curve.

AAA CLO

USD CLO AAA

26 covers today – 3 x AAA, 5 x AA, 6 x A, 10 x BBB, 2 x BB.  The AAAs trade in similar trait 130dm-148dm versus 113dm-150dm context in the same cohort this week, the 3 bonds today are clean, with a short dater BlueMountain’s BLUEM 2012-2A AR2 propping up the tight end 130dm / 1.99y WAL, other than CCCs running into mid-high teens % area on all AAAs today. 

Mezz/Equity CLO

USD CLO Mezz/Equity

The AAs trade 192dm-227dm (2022/2023 RP profiles) which is right in line with recent context 186dm-233dm in this cohort.  The single-As trade 228dm-326dm across a wide variety of RP profiles, once again in line with 240dm-320dm recent trading context.  At the wide end today is a rare and short 2017 RP profile bond from Bardin Hill HLA 2013-1A B 326dm / 0.86y WAL – high WARF 4138, high CCC 15.6, high ADR 6.1 whilst IDT/Jnr OC cushions are well into negative territory and WA collateral price is 63.3, the seniors on this deal are almost redeemed so this Class B is close to being fully redeemed so has a very short WAL.  The BBBs trade 394dm-745dm (2021-2024 RP profiles), once again in line with recent context 370dm-760dm, with Crescent Cap’s ATCLO 2014-1A DR2 at the wide end 745dm / 5.5y WAL but DNT (cash px 84.11), this has weaker metrics all around including 103.7 MVOC and 1.7 ADR along with negative IDT/Jnr OC cushions.  The BBs trade in a narrow dispersion 852dm-868dm (2022-2023 RP profiles) wide to 720dm-850dm recent context.  The bonds today are covered by MV (103.2-103.8), ADRs 0.9-1.2 whilst cushions are healthy with only the manager profiles slightly weaker to their peers as the only levers to the marginally softer levels today.

AAA CLO

EUR AAA CLO

28 trades today with 6 of them being AAA. All the discount priced trades traded between 145dm and 155dm and the premium trade was at 162 over. These levels are unchanged from previously.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The 2 x AA trades traded around 212dm which are unchanged too.

The only Original single A trade, JUBIL 2014-14X CR, traded at 269dm which is quite tight even though it has a low Jnr OC cushion of 0.57%.

There are 13 x BBBs. The range of traded spreads is quite wide from 340dm to 460dm but most of this variation can be explained. At the tight end we have the low margin bonds (around 240bps) eg Arbour 3, Elm Park and Bosphorus 3 which is paying down. At the wide end are the 400bps margin bonds eg Dryden 69, Contego 7 and Dryden 74. A notable exception is Carlyle 2016-1 which has a margin of only 255bps but traded wide at 92.15 / 445dm. While its credit metrics are a little on the low side they do not particularly stand out.

The 6 x BB trades have traded between 660dm and 730dm which is about a 35bps tightening on the curve.

AAA CLO

USD CLO AAA

30 covers today – 4 x AAA, 3 x A, 14 x BBB, 8 x BB and 1 x B.  The AAAs trade 134dm-150dm (2020-2022 RP profiles) which is in line with trading this week, however there is an outlier trade at the wide end which is not in this range.  This is Ellington’s ECLO 2017-2A A 251dm / 1.93y WAL which has very poor metrics which has met a bid – WARF 5396, Sub80 assets 44.9, CCC 34.4, ADR 13.1, IDT/Jnr OC cushions both well into negative territory and WA collateral price 73.6.  This is a trait we have seen in Ellington managed transactions for a while.

Mezz/Equity CLO

USD CLO Mezz/Equity

The single-As trade 254dm-350dm (2018/2020 RP profiles), with the 2018 RP from Black Diamond BLACK 2013-1A BR 302dm / 1.4y WAL appearing wide to mid-late 200s recent context, this is explained by a vh ADR 2.6, high CCC 25, high WARF 3978, WA collateral price 88 despite the strong MVOC 191.7 given the transaction is post reinv / delevering.  The BBBs trade 350dm-544dm (2020-2025 RP profiles) in line with 330dm-610dm recent context in this cohort, with no material outliers to report upon, see PriceABS trade listing for full details/metrics.  The BBs trade in a relatively narrow dispersion 718dm-851dm (2022-2025 RP profiles) within a 500dm-900dm recent context, at the wide end is King St’s ROCKT 2019-1A E 851dm / 7.9y WAL – with a low MVOC 102.7 and CCC 9.1 as key drivers of the softer level, with other metrics in line.  The single-B trade is Sculptor’s OZLM 2015-13X E 1919dm / 5.3y WAL well wide to recent context in vh900s context, given the nature of the thin second loss tranche this bond has a MV shortfall with MVOC 98.8, Sub80 assets 10.8, ADR 1.6, IDT cushion -1.7 and a cuspy Jnr OC cushion 0.14.

AAA CLO

EUR AAA CLO

A busy day today with trades across the whole cap structure. There are 10 x AAA trades. The range in spreads is from 145dm to 156dm but the higher DMs are high margin bonds that have had their price above par capped. The only bond with a low Jnr OC cushion is GLG Euro 4 which has a 0.5% cushion. The MV OCs vary a lot, from 151% to 161%, but this doesn’t appear to impact trading levels.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 6 x AA trades. The Harvest X bond is paying down and attaches at 40% instead of the more normal 25%. As a result, of course, it traded tight at 164dm / 99.70. Goldentree 4 traded to call, approx. 255dm to call which at 100.26 is 273dm to mat. The other three longer bonds, Voya 1, Dryden 39 and Hayfin 1 all traded to mat at around 220dm. This is approx. a 35bps widening to the AA curve from the last time we saw AAs trade.

There are 3 x A trades. They have traded between 295dm and 335dm which is around a 30 to 50bps widening in the single A curve.

There are 6 x BBB. They have traded in a range from 400dm to 480dm. The tightest trade is GoldenTree 1 even though it has the lowest Jnr OC cushion at 0.64% (others are around 3%). Overall, depending on the point on the curve, we see the curve have widened by between 30 to 60bps.

The 2 x BB have traded around 735dm which is not a big move in spreads.

The only single B trade is NWDSE 2019-19X F (Angelo Gordon) which traded at 1066dm. This is wider than recent single Bs we have seen but one trade doesn’t indicate the whole curve has moved. The deal looks in good shape but Angelo Gordon is not such a big manager in Europe.

AAA CLO

USD CLO AAA

This week starts with 40 covers, predominantly IG – 27 x AAA, 2 x AA, 7 x BBB and 4 x BB.  The AAAs trade in similar context to last week in a 113dm-163dm range, at the tight end is a very clean/short dated senior from Allstate Inv AIMCO 2015-AA AR 113dm / 1.46y WAL.  Conversely, at the wide end is Carlson Cap’s CATLK 2016-4A AR which is also a short dater cover 163dm / 2.8y WAL, although the MVOC is strong like the Allstate bond the metrics are not clean – ADR 1.65, IDT cushion is cuspy 0.3%, cov-lite exposure is high 43.5, Sub80 assets 9.4, neg par build -2.55 and WA collateral px is 91.5. 

Mezz/Equity CLO

USD CLO Mezz/Equity

The AAs trade in small clips in a 192dm-216dm range (2019/2023 RP profiles) which is firmly within the 175dm-230dm context seen last week in the same cohort.  The BBBs trade in a wide dispersion 465dm-769dm with crossover into BB dms, with a MM CLO from ArrowMark PEAKS 2017-2A DR 769dm / 7.2y WAL propping up the wide end as expected given the basis to BSL CLOs.  Recent trading context has been in 350dm-550dm context in stronger MVOCs than today’s lists.  For instance, at the wide end is Nassau’s NCC 2017-IA C 759dm / 5.9y WAL (2021 RP profile) – weaker MVOC 102.2, high Sub80 12.4, CCC 10.5, cuspy IDT cushion 0.23% and ADR 1.4 with WA collateral px barely over 90.  The BBs trade 664dm-848dm (2018/2020/2022 RP profiles) vs 750dm-1250dm context recently, with Octagon’s OCT25 2015-1A E2R pushing through the tight end 664dm / 5.15y WAL into weak ‘BBB’ dm territory – the MVOC is stronger 104.2, ADR <1 (0.94), cushions are sound, Sub80s are also sound 7.4, CCC is touch high but not out of line 13.2 but interestingly has a vh cov-lite balance of 77% which hasn't deterred from a weak dm.

AAA CLO

EUR AAA CLO

Just 2 x AAA trades today. OZLME 1X AR and HARVT 12X AR traded at 142dm. This compares to the recent new issues BlackRock X and Fair Oaks III which priced at 120 over and 125 over respectively as reported by Bloomberg. Of course the new issue spreads are over floored Euribor whereas our secondary calculations are true DMs taking into account the negative Euribor.

Mezz/Equity CLO

USD CLO Mezz/Equity

11 covers yesterday – 1 x A, 3 x BBB, 5 x BB and 2 x Equity.  The single-A trade is York’s YCLO 2014-1A CRR cover 236dm / 5.93y WAL (2021 RP profile) trades at the tight end of a 240dm-320dm range in this cohort this week, all metrics are strong on this York bond.  The BBBs trade in a narrow dispersion 388dm-397dm (2021/2025 RP profiles) at the tight end of a 350dm-550dm range this week, once again BBB bonds today have strong metrics (see PriceABS trade listing).  The BBs trade 991dm-1234dm (2021-2024 RP profiles) versus 650dm-1050dm range in the same cohort this week.  The 3 bonds outside of this range (>1000dm) have MV shortfalls (98.3-99.85), elevated Sub80 assets (8-16%) and a weaker manager on the two widest bonds (MJX).  The 2 equity are from CIFC and American Money both trading in late 30s / 40 cash price context trading to NAV+2-3y CF, see PriceABS trade listing for full details.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 17 trades today. 8 of them are single A and one of these is an unusual GBP denominated CLO. The EUR bonds traded in a range from 265dm to 310dm. The GBP bond was at 324dm. These are unchanged trading levels.

There are 2 x BBB. Both of them are Harvest bonds and they traded at 390dm and 440dm.

The 5 x BB have traded between 740dm and 780dm except for Aurium 5 (Spire Partners) which traded at 685dm. The two widest trades are from Chenavari and Carlyle and their slightly weaker MV OC and Jnr OC cushions do justify a modest widening.

There are 2 x B. Contego 4 (Five Arrows) traded at 890dm. Aurium 1 traded at 1060dm. Their performance metrics are very similar. Spire Partners was the tightest trade at the BB level and here it is the wider trade. Just goes to show that different market practitioners have different opinions.

AAA CLO

USD CLO AAA

Yet another heavy day of liquidity with 63 covers – 20 x AAA, 6 x AA, 5 x A, 10 x BBB, 20 x BB and 2 x B.  The AAAs trade 113dm-172dm, with a similar theme at the tight end with a short 2019 RP profile FLAT 2015-1A AR from NY Life trading 113dm / 1.04y WAL.  At the wide end is Canyon Cap’s CANYC 2020-1A A 172dm / 2.14y WAL (EoRP next month), this deal closed at the peak of the pandemic with a high coupon +192bps with a short RP so trading above par with a path to refi given prevailing AAAs in early-mid 100s context, the deal remains having good metrics all round.

Mezz/Equity CLO

USD CLO Mezz/Equity

The AAs trade 173dm-233dm (2021-2025 RP profiles) in line with 175dm-250dm context in the same cohort yesterday, so no outliers to report upon.  The single-As trade 267dm-318dm (2019-2024 RP profiles) so once again well within the 240dm-330dm range seen this week in the same cohort.  The BBBs trade 326dm-580dm across numerous RP profiles which is largely in line with trading this week 330dm-550dm context, at the wide end is CSAM’s MDPK 2016-21A C2R 580dm / 7.9y WAL – weaker MVOC than peers 105.6 and high CCCs 15.9, else other metrics are in line.  The BBs trade 702dm-1060dm across numerous RP profiles and is almost perfectly in line with trading seen this week 720dm-1080dm.  The rarer single-Bs trade 1448dm-1525dm (2023 RP profiles), recent activity has been restricted to upgraded BBs now at single-B in 800dm-1200dm context so it is interesting to have these data points for the first time this month, the bonds both have a MV shortfall (98.5-99.2) and IDT / Jnr OC cushions are cuspy which is no surprise for second loss bonds at this point in the cycle but the ADRs are high on these bonds (1.8-2.2) so that has to be taken into context for the wider DMs.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 19 trades in all today. There are 5 Orig AAs, one of which, SORPK 1X AA2R, has been upgraded to AAA. The range for spreads is wide from 160dm to 290dm. At the tight end is Sorrento Park which can be explained by the fact that the deal is delevering, the MV AP and MV DP of this tranche are much higher than a regular AA and it is short at 2.4yr WAL. At the wide end is PRVD 4A B but this has a high margin at 265bps. It has therefore priced to call ie a 0.85yr (100.85) and the 290dm is the spread re-expressed as a spread to maturity. SNDPE 1A B1 traded at 241dm/100.01 but this also priced to call given its margin of 200bps.

The 3 x A have traded around 250dm. This is about 15bps wider than our single A curve.

For the 2 x BBB SORPK 1X CR has traded at 100.15 / 296dm / 3.75yr and the deal is paying down. ANCHE 2A D1 has traded at 99.57 / 399dm / 6.47yr as a regular BBB.

There are 9 x BB trades. The majority have traded in a range from 690dm to 810dm except for AVOCA 13X ER which traded at 630dm which could be partly explained by its low margin. Overall we see this as about a 20bps widening in the middle of the curve and 40bps wider at the long end.

AAA CLO

USD CLO AAA

Another heavy day of liquidity with 50 covers – 22 x AAA, 9 x AA, 3 x A, 3 x BBB and 13 x BB.  The AAAs trade in very similar behaviour to this week in a 118dm-153dm range (2021-2025 RP profiles), with bonds trading typically to the WAL time series and we observe no material outliers today and refer you to the PriceABS trade listing. 

Mezz/Equity CLO

USD CLO Mezz/Equity

The AAs trade 174dm-250dm also in similar RP profiles to the AAAs (2021-2025) versus 180dm-200dm context this week in same cohort.  Palmer Sq’s PLMRS 2018-2A A2 trades inside 180dm at 174dm / 6.2y WAL – strong MVOC 126, Sub80 5.9, low WARF 3012, reasonable ADR 0.83 along with healthy IDT and Jnr OC cushions.  Tripping through at the wide end is Par-Four’s TRAL 2013-1A BR 250dm / 4.4y WAL – weak MVOC 118.5, high Sub80 10.8, high CCC 13.1, ADR 1.1 and IDT/Jnr OC cushions are both negative.  The single-As trade in a narrow dispersion and tighter 236dm-248dm across 2021-2023 RP profiles vs 250dm-280dm context over the past 10 days, the bonds today have strong MVOCs (115-118) whilst RRAM 2018-4 A B at the wider end has weaker metrics incl 1.86 ADR and lower cushions than the York and GSO single-As.  The BBBs trade 443dm-555dm (2021/2023 RP profiles) vs 340dm-500dm trading context this week in this cohort.  At the wide end is Saratogo’s SARAT 2013-1A DR2 555dm / 5.2y WAL, no notable weak metrics aside from ADR 1.05 but the deal is clean but managed by a very inexperienced manager.  The BBs trade 785dm-1082dm across 2018-2024 RP profiles versus 650dm-1050dm context this week in this cohort.  Crescent Cap’s ATCLO 2016-7A ER trades 1082dm / 7.4 WAL through the wides of this week, the MVOC is covering 100.7 but Sub80 is 8.5, ADR 1.4, high cov-lite exposure 41.2 and IDT / Jnr OC cushions are very cuspy whilst the deal has -1.6 neg par build.

AAA CLO

EUR AAA CLO

A busy day today with 31 bonds & 3 equity in total. There are 5 x AAA. Three of them have traded around 140dm and two of them around 155dm. The two wider trades are for specific reasons. One of them is the Halcyon 2 deal by Bardin Hill. It has a low Jnr OC cushion at 0.67% and also we see Bardin Hill as a manager who trade wider than their peer group. The other bond to trade wider is Aqueduct 4 by HPS. This has a higher margin at 111bps and its price was limited by its Price to Call at 100.08.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 8 x AA. They have traded between 201dm and 225dm. The managers trading at the wide end are Man Group (and GLGE 3  has a low Jnr OC cushion as well), Chenavari and BNP (which has a high margin).

The only single A, ACCUN 4A C, traded at 303dm.

There are 5 x BBB. They have mostly traded between 350dm and 390dm except for SPAUL 2X DRRR which traded at 433dm. It is not entirely evident to us why the ICG bond traded wider. It does have a lower MVOC and Jnr OC cushion than the other trades but they still seem to us to be within acceptable limits. It also has a higher margin at 360bps but since the traded price is 98.50 we thought there was still room for it to trade closer to par.

There are 6 x BB trades. There is quite a dispersion is spreads from 645dm to 820dm. All the deals are performing well and much in line with each other. All the prices are at a discount to par so margins are not a driving factor. At the tight end is the BlackRock bond. At the wide end, unusually, is the Bain bond which is wider even than the Brigade Capital bond.

There are 6 x B trades. Most of them have traded between 960dm and 1020dm but the outlier is GLGE 4X F which traded at 1270dm. It does have a low MV OC at 98.10% and a low Jnr OC cushion at 0.31%.

The 3 equity trades have traded between M30s to M40s in price and in yield between around 0% to 24%. NAVs have ranged from -10 to +23. A few points to take note of: the Barings deal has a Jnr OC cushion that is breached and the Bardin Hill deal has a high CCC bucket.

AAA CLO

USD CLO AAA

52 covers today – 29 x AAA, 1 x AA, 2 x A, 11 x BBB and 9 x BB.  The AAAs trade 105dm-202dm across all RP profiles, at the tight end are short dated 2019 RP profiles that trade 105dm-117dm (1.0-1.5y WALs) with the pull of high Sub80 and ADR balances along with volatile WA collateral prices concentrating AAA bonds at the wide end today (see PriceABS trade listing). 

Mezz/Equity CLO

USD CLO Mezz/Equity

The AA is Alcentra’s SHACK 2014-5RA B that covers 197dm / 5.7y WAL (2023 RP profile) in the middle of 185dm-205dm context in the same cohort this month to date.  The single-As trade 278dm-334dm (2019 RP profiles) versus 230dm-300dm recent context, hence the outlier is WhiteHorse’s WITEH 2015-10A CR 334dm / 3.1y WAL – has a high WARF 3935, high CCC 26, high ADR 3.1 and IDT cushion and Jnr OC cushions are both firmly in negative territory.  The BBBs trade 336dm-463dm across a range of RP profiles, versus 340dm-550dm recent trading context, with no material outliers to report.  The BBs trade 721dm-1200dm versus 640dm-1140dm recent trading context, with Benefit St’s BSP 2014-IVA DR As the outlier trade 1200dm / 5.1y WAL – MV shortfall 99.85, high ADR 1.14, cuspy IDT / Jnr OC cushions 0.03 / 0.53 respectively.

AAA CLO

EUR AAA CLO

There are 4 x AAA today. They have all traded between 141dm and 145dm, at small discounts to par. We see this as a flattening of the curve with the short end widening by around 10bps.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 3 x AA. The high margin bond, SPAUL 2X BRRR, traded at 220dm. The other two AAs, with much lower margins, traded around 195dm even though one of them, SPAUL 3RX B1R, is in a much weaker position than the others. It has a Jnr OC cushion which is breached at 0.09% and a low MV OC at 127.46%.

There are 10 x BBB trades. The lower margin bonds have traded in H300s spread. The higher margin bonds in LM400s spread.

The 2 x BB traded around 680dm, which is about 30 to 40bps tighter.

The 2 x B traded at 1050dm and 980dm. The wider bond is the Carlyle bond and it has weaker metrics than the GSO bond.

AAA CLO

USD CLO AAA

51 covers today – 29 x AAA, 7 x AA, 1 x A, 4 x BBB and 10 x BB, with levels on the whole flat to recent context.  The AAAs trade 112dm-174dm across 2020-2025 RP profiles, in line with 110dm-180dm context this month.  At the tight end is a short dater TPCLO 2013-1A A1SR from GSO 112dm / 2.5y WAL – 0.8 ADR, strong MVOC 151.3, low Sub80 6.45 and key cushions healthy with WA Collateral Price >94 at 94.17.  See PriceABS for full trade listing.

Mezz/Equity CLO

USD CLO Mezz/Equity

The AAs trade 172dm-203dm, which again is in flat to trading this month in the same cohort.  The ‘outlier’ is Marble Point’s MP3 2013-1A BR 203dm / 5.2y WAL – weaker MVOC 121.4, elevated Sub80 8.8, IDT cushion is -0.45% and Jnr OC cushion is cuspy 0.55%.  The single-A bond is CANYC 2014-2A CR 279dm / 5.4y WAL (2021 RP profile) which trades towards the tighter end of 255dm-320dm context this month, the IDT cushion is -0.91% and CCCs 11.8 but away from that metrics are sound.  The BBBs trade 385dm-511dm (2020/2021 RP profiles) and once again the levels today are firmly in line with those seen this month (360dm-570dm context), with a 1.52 ADR on MJX’s VENTR 2016-24A D1R As the key lever to it’s 511dm / 4.9y WAL trade today, along with a cuspy IDT cushion and WA Collateral price is closer to 90 than 95 (91.6).  The BBs trade 644dm-1058dm, again today’s levels are flat to recent context (600dm-1150dm).

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

5 bonds and 4 equity today. We’ll start with the BBB trade. BABSE 2018-1X D traded at 462dm. This is a little wider than our generic BBB curve but this deal has a low Jnr OC cushion at 0.37% and also the MVOC of the bond is on the low side at 108.72%.

There are 3 x BB. All three are quite similar in their credit performance. The Contego bond traded at 650dm. Then there are two Dryden bonds, one at 680dm and the other at 710dm. Even though there is some dispersion in these levels we see this as a 25bps tightening in our BB curve.

The single B, BABSE 2018-1X F, traded at 1206dm. This is wide for a single B but its MVOC is low at 98.73% and its Jnr OC cushion is only 0.37%.

Looking at the 4 x equity the lowest priced trade is GLGE 2X SUB which traded at 24.16 / 2.53%. Its NAV is -3.6. It has a number of defaulted assets in the pool such as CMCRAV, Lecta, Dummen Orange and SGB SMIT. SPAUL 7X SUBR traded at 38.50 / 4.1%. Its NAV is 9.60. PURP 1X SUB traded at 44.00 / 5.5%. AVOCA 14X SUB traded at 63.50 / 3.9%. Its NAV is 25.70.

AAA CLO

USD CLO AAA

18 covers today round off the week – 5 x AAA, 3 x AA, 3 x BBB and 7 x BB.  The 1st pay AAAs trade tighter 111dm-125dm across 2020-2023 RP profiles, versus 120dm-150dm context in this cohort since month end.  At the tight end is a static CLO from Palmer Sq PSTAT 2021-1A A1 that trades naturally tight given the short WAL 111dm / 1.85y WAL, whilst CVC’s APID 2013-15A A1RR covers 118dm / 4.13y WAL (2023 RP profile) – strong MVOC 155.4, low WARF 2879, high div 91 and cushions/concentrations are healthy. 

Mezz/Equity CLO

USD CLO Mezz/Equity

The AAs also trade tighter 173dm-182dm in a 2022 RP profile which has traded 190dm-200dm this month to date.  As we have seen regularly Blackrock bonds trade tight given the clean nature of deals, MAGNE 2014-8A BR2 is no different cover 173dm / 5.2y WAL.  The BBBs trade 338dm-396dm across 2022/2023/2025 RP profiles which have traded 340dm-640dm this week so today’s trading is at the tight end of the range.  PGIM’s DRSLF 2018-64X D covers 338dm / 7.2y WAL – MVOC 108, Sub80 5.3, ADR touch high 1.3 and IDT cushion 2.1 not as high as peers but nonetheless the manager’s track record is slightly better to its peers.  The BBs trade 720dm-1028dm across 2020-2024 RP profiles which is flat to 750dm-1150dm context seen this month in this cohort (see PriceABS trade listing for more details).

AAA CLO

EUR AAA CLO

We have 5 x AAA trades today. Four of them are pre-COVID issues with margins around 80bps and one of them, AQUE 2020-5X A, is a Sep 2020 deal with a 145bps margin. The first four traded with DMs around 143dm. Aqueduct, the HPS bond, traded at 100.73 which is 174dm when calculated to maturity – but really the price of the bond was limited by its call risk and it is first callable in 1.12yrs.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The one AA trade, HARVT 12X B1R, traded at 99.04 / 202dm which is 9bps wider than the interpolated point on our curve.

Both single A trades have high margins (270bps) and have traded at small premiums (around 100.20). This means their DMs run to maturity are quite high at around 304dm.

The 3 x BBBs have traded around 425dm. They are all clean deals.

AAA CLO

USD CLO AAA

Today was the busiest day post summer with 69 covers – 17 x AAA, 9 x AA, 8 x A, 18 x BBB, 16 x BB, 1 x B.  The 1st pay AAAs trade 119dm-151dm across RP profiles, at the tight end is Aegon’s CEDF 2018-7A A1 119dm / 3.9y WAL – strong MVOC 158.7, low WARF 2857 and all other metrics clean.  At the wide end is First Eagle’s WINDR 2013-1A A1R 151dm / 3.5y WAL – weaker MVOC 141.6, higher WARF 3535, high ADR 1.82 and IDT cushion and Jnr OC cushions both neg.  The 2 x 2nd pay AAAs trade 174dm-184dm, denoted as ‘2nd pay’ with full details on PriceABS.

Mezz/Equity CLO

USD CLO Mezz/Equity

The AAs trade 184dm-263dm across numerous RP profiles versus 190dm-205dm context since month end.  Wide of 200dm the impact of credit drift is clear with Sub80 into the high 20s, WARFs into 4-handle and IDT/Jnr OC cushions in negative territory along with impaired ADR levels.  For instance at the wide end is Zais’s ZAIS2 2014-2A A2R 263dm / 0.9y WAL (well past EoRP 2018) with Sub80 29.3, WARF 4166, CCC 15, ADR 4.3 and Jnr OC cushion -7.4%.  The single-As trade 229dm-272dm across numerous RP profiles tight to 260dm-330dm range month to date, at the tight end is CSAM’s MDPK 2014-15A B1R 229dm / 2.7y WAL which is a 2019 RP profile so shorter dated and carries a strong MVOC 130, WARF/CCC/ADR are high but counteracted by the short dated nature and strong IDT/Jnr OC cushions.  The BBBs trade 341dm-487dm across 2020-2024 RP profiles, slightly tighter to 360dm-570dm context month to date in the same cohort, at the tight end is Blackrock’s MAGNE 2014-8A DR2 341dm / 6.4y WAL – with Blackrock’s transactions usually strong fundamentally with less inherent risk this is no different MVOC 108, lower WARF 3113, low ADR 0.54 and cushions strong.  The BBs trade 689dm-1184dm across RP profiles versus 600dm-1000dm context this month to date, the outliers north of 1000dm today all carry MVOC shortfalls up to 1pt, ADRs as high as 2.3 and IDT/Jnr OC cushions in negative territory (see PriceABS for details).  The single-B trade today is GoldenTree’s GLM 2019-6A F 1059dm / 8.7y WAL, with no single-B trades this month looking back to the end of August trading was in 800dm-1200dm context so this trade sits in the middle of the range.  The MVOC is strong 102.1, CCCs are low 6.02, ADR is low 0.6, IDT/Jnr OC cushions are strong but cov-lite balance is >30% at 32.2 however the WA collateral px is high at 97.4.

AAA CLO

EUR AAA CLO

An active day today throughout the capital structure. Looking at the 4 x AAA first, the two higher margin bonds (by PineBridge and CSAM and around 113bps stated margin) have traded around 157dm. The two lower margin bonds (Ares and Onex – around 96bps stated margin) have traded around 142dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 5 x AA trades today. They have all traded around par and we are back to pre-covid trading patterns in which the Discount Margins correlate well with stated margins. On average we see a widening to the AA curve we had of around 10bps. The traded range is from 205dm for the lowest margin bond to 221dm for the highest margin bond.

The 2 x BBB traded around 407dm. The tighter level (Bain BBB) actually has the weaker credit metrics but it has a lower stated margin.

The one BB, JUBIL 2014-11X ER, traded at 860dm. Even allowing for its weak MVOC (101.13%) and its breached Jnr OC cushion (-0.34%) it has still traded around 100bps wider than our BB curve.

There are 6 x B trades. There is a wide dispersion in spread levels from 870dm at the tight end for the Harvest 14  to 1100dm at the wide end for Madison Park 7. On average we see the single B curve has having widened by around 90bps from the last trades we saw.

There are 4 x equity trades. We see a range in yields from -4% to +6.8%. This probably just highlights the different methodologies and assumptions used in the market. Prices ranged from 30 to 71.

AAA CLO

USD CLO AAA

16 covers today – 3 x AAA, 1 x AA, 5 x A, 7 x BBB.  The AAAs trade in similar context to yesterday 120dm-133dm for 2021/2023 RP profiles which have traded 125dm-160dm context since month end.  The 3 AAAs today have clean metrics with only MVOC on ALLEG 2018-1A A (Axa) a touch low at 142.3 accounting for the dm at the wide end 133dm / 4.4y WAL.

Mezz/Equity CLO

USD CLO Mezz/Equity

The AA is Sculptor’s OZLMF 2013-4A A2R 199dm / 5.45y WAL (2022 RP profile), a touch wide to 190dm-195dm context this month to date (ADR 1.22 is high and IDT/Jnr OC cushions compromised).  The single-As trade 264dm-312dm across 2022/2023 RP profiles wide to 230dm-280dm context over the past 2 weeks, MVOCs at the wide end drift close to 111 whilst >114 at the tight end, furthermore the ADRs on today’s bonds are all >1% with Crescent Capital’s ATCLO 2016-7A CR the outlier at 312dm / 6.6y WAL (ADR 1.4, IDT cushion -0.24, 41.2 cov-lite and only a 0.26% Jnr OC cushion).  The BBBs trade 339dm-499dm for 2018, 2024/2025 RP profiles tight to 430dm-550dm context over the past 2 weeks, the bonds today are relatively clean as per below remarks.  At the tight end is a short dater GSO’s BOWPK 2014-1A D1R (2018 RP profile) 339dm / 3.8y WAL, whilst Crescent Cap’s ATCLO 2019-15A D props up the wide end 499dm / 8.1y WAL – with the weaker metrics a low MVOC 106.7 and high cov-lite 41% with other metrics clean.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 6 x BBB, 10 x BB & 2 x B trades today. The BBBs have traded in a range from 360dm to 420dm. The two tightest trades at 360dm and 380dm are PENTA 2015-2X DRNE and TIKEH 2015-1X DRE which are also the two with the lowest Jnr OC cushions – both quite close to breaching. However on the other hand they are also the two shortest WALs.

There are 10 x BB. Their trading range is from 650dm to 740dm but with one outlier. PURP 2X E managed by Natixis AM traded at 790dm. MVOCs range from around 103.2% to 106% and Jnr OC cushions are mostly between 2% and 4% although JUBIL 2014-14X E has only 0.6%.

The 2 x Bs traded around 860dm. They are both pretty clean deals with MVOCs around 102%.