USD CLO AAA

44 trades today with $275m of liquidity across the stack, US LL Index -1bp dod.  The bulk of the supply is from AAA trades with $182m of trades with manager choice once again influencing execution levels with around 14 trades trading at a discount to par with reasonable performance.  Our AAA index shifts slightly tighter to 110dm.

USD CLO Mezz/Equity

4 x AA trades in a 155dm-174dm range with our AA index at the tight end of this 158dm, MVOC and Jnr OC cushions influencing tiering here all things considered.  2 x single-A trades in a 195dm-196dm range with our A index flat dod at 207dm, coupons are lower on the two trades (+170-175bps) and cover prices are at a discount to par.  2 x BBB trades 380dm-388dm (our BBB index 340dm), high coupon bonds +360-395bps with CFIP 2013-1A DR (high coupon +395bps, manager CFI partners) covers at par ceiling at 388dm / 4y WAL with MV and credit metrics overall clean.  8 x BB trades in a 675dm-824dm range, with our BB index 690dm there is some dispersion in execution levels with no trades at par ceilings.  Weakest execution is OFSBS 2017-1A E CVR 90.25 at 808dm / 4.75y WAL – low MVOC 103.7, elevated Sub80 bucket 2.8, cuspy Jnr OC cushion 1.6 whilst the bond is post reinvestment and managed by OFS which is an inexperienced manager.

EUR AAA CLO

A very busy day for EUR CLOs today. There are 8 x AAA trades. Even though AAAs have been issued at +92 some deals are being marketed wider eg the reset of Oak Hill 3 at 94-96 and this is reflected in secondary levels today. AAAs are wider by up to 4bps, although at some of these levels the bonds DNT’d.

USD AAA CLO

30 trades today with just under $150m liquidity, US LL Index +8bps dod and spreads broadly flat on the day.  A large list of AAAs with a dispersion of prices and dms, dm range is 93dm-126dm and just under half the bonds trade at a small discount to par.  The overriding theme for the bonds that trade at a discount today is manager profile given the bond/deal metrics are not materially out of place, the managers include new/debut managers (eg. Birch Grove Capital LP) and those managers with weaker profiles to peers (eg. Sculptor), whilst Nassau’s NCC 2018-IA A has the poorest execution level 99.76 at 122dm / 3.2y WAL despite a short wal (EoRP 2023) and +115bps coupon the MVOC is low at 147, ADR is high 1.5, Sub80 high 3.6 and Jnr OC cushion cuspy 1.9.  Our AAA index is 111dm.

USD CLO Mezz/Equity

2 x low coupon AAs trade at a discount to par, coupons are +137-140bps and dm range is 150dm-151dm with our AA index 161dm.  In similar vain a low coupon and post reinv / short wal single-A BABSN 2013-IA CR +150bps margin covers at a discount 99.52 at 168dm / 2.7y WAL, our single-A index is wider at 207dm (longer wal).  3 x BBBs trade, low coupon and post reinvestment (strong MVOC 111 area) so execution 225dm-287dm is inside our index 340dm.  4 x BB trade in a 699dm-830dm range, bond coupon range is high +700bps-795bps with 2 bonds hitting par ceilings as expected.  VENTR 2021-41A E has weaker execution with cover at 96h at 830dm / 8.8y WAL, this has a longer wal (EoRP 2026) and high coupon +771bps but the weaker manager profile appears to pull execution back.  Our BB index is 688dm.  One x single-B trade VOYA 2017-3A ER which has a longer wal (EoRP 2026) and bond coupon +870bps, average performance overall, slightly weaker manager profile vs peers but strong Jnr OC cushion and covers at 95.05 at 955dm / 9.3y WAL which is close to our single-B index 944dm.

USD CLO AAA

10 trades today with $70m of liquidity, US LL Index finished +10bp wow whilst spreads overall softened slightly across the liability stack.  At AAA all bonds hit their par ceilings where bond coupons are as low as +100bps, our AAA index is 111dm.

USD CLO Mezz/Equity

A large handful of BB trades today with a wider trading range, particularly due to a list of weaker credits (ADRs range from 1-2%, MVOC at the low end 104-105 and Jnr OC cushions <3%) and bond margins > +600bps.  At the softer end of execution today is VOYA 2015-3X DR (Voya) covers 89.5 at 843dm / 6.3y WAL which has EoRP 2023 – ADR is elevated 1.1, Sub80 elevated 2.6, MVOC low 104.1 and Jnr OC cushion is cuspy 1.6 whilst the manager profile is weaker to peers.  Our BB index finishes the week at 689dm.

EUR AAA CLO

The two AAA trades are at 167dm and 183dm and reflect the bp or two tightening that is shown in the +92 level of the New Issue market over the last few days. Additionally BlackRock 4 DNT’d but best bid was 100h. We presume it must have been L100h.

EUR AAA CLO

Just the one AAA, Dryden 44 2015, traded at 109dm.

USD CLO AAA

With today as month end liquidity was a little tighter than Friday with 19 trades and $144m exchanging hands, US LL Index -5bp dod whilst we saw a mild softening in some mezz.  AAA bonds continue to outperform and hit their par ceilings, a good example of this is OZLM 2017-21A A1 (Sculptor) that covers 100.02 at 114dm / 2.9y WAL (bond coupon +115bps, MVOC 153, WARF 2715) and at this level the bond coupon is the key driver of direction with other factors secondary to tiering.

USD CLO Mezz/Equity

10 x single-A trades today in a 194dm-235dm range wrapped around our single-A index 209dm, MVOC is a key driver of tiering with 4 bonds that hit their par ceilings with MVOC well in excess of 120%, ELMW8 2021-1A C1 covers at it’s par ceiling at 194dm / 7.6y WAL (coupon +195bps) and has excellent performance (MVOC121.8, ADR 0, Sub80 0.2, CCC 4.1 and Jnr OC cushion 5.1y WAL) with a longer wal given EoRP 2026.  3 x BB trades today, with execution levels just shy of par and dm range 682dm-704dm wider to our BB index inside these levels at 678dm.  BCC 2019-1A ER is a clean bond with coupon >700bps, benchmark manager Bain Cap and execution level 704dm / 9.1y WAL.

USD CLO Mezz/Equity

5 trades to end the week with loan prices softer whilst CLO spreads have held, US LL Index -44bps wow.  3 x BBB trades with one trading nearest our BBB index 334dm, OHALF 2013-1A DR2 covers near par at 99.99 at 305dm / 5.8y WAL - margin +305bps and metrics are clean with strong MVOC 112.7.  2 other trades are wide of our index given the high coupons +425 / +452bps with ZAIS 2019-13A D1 trading particularly wider at 604dm / 6.3y WAL (CVR 92.32) given weaker manager record, MVOC 110.5, high ADR 2.9, high Sub80 3.7 abd low Jnr OC cushion 1.9.  1 x BB trade CANYC 2021-2A E CVR 98.05 at 701dm / 9.1y WAL which is wide of our BB index 672dm - bond coupon +670bps, MVOC 107.7 below peers, weaker manager profile and despite clean metrics on this bond.

EUR AAA CLO

The 2 x AAAs, Toro 5 and ALME 3, traded at 109dm and 106dm respectively.

USD CLO AAA

An extremely active day with just under $300m of liquidity across 60+ trades across the capital structure, with US LL Index -5bp dod and a tightening tone on BB CLO spreads.  At AAA level there are 6 trades with 2 x 2nd pays which trade 132dm-164dm with OCT36 2018-1A A2 trading at a small discount given the lower coupon (+120bps) and lower MVOC 146.  Our 1st pay AAA index remains unchanged at 108dm.

USD CLO Mezz/Equity

2 x single-As trade in a 206dm-223dm range which is wide to our single-A index 203dm, the 2 trades don’t have strong metrics eg. Jnr OC cushions in 2.3-2.35 region with the higher coupon (+220bps) Assured bond BLUEM 2016-3A CR with an elevated ADR 1.3.  24 x BBB trades in a wide dispersion 290dm-557dm with our BBB index 336dm.  There are a number of outlier trades for credit reasons, whilst two long wal bonds hit their par ceilings, with key characteristics strong Jnr OC cushion (circa 5%) and MVOC >112 with bond coupons around +300bps.  In terms of outliers TELOS 2013-4A DR covers at a 6pt discount to par at 486dm / 4.3y WAL – MVOC is very low 107.5, ADR is elevated 1.1, Sub80 is high 3.1 and Jnr OC cushion cuspy 1.3 whilst the manager Telos AM has a weaker profile to peers.  11 x BB trades with the vast majority trading around our BB index value 678dm.  There are 2 outliers, MP18 2020-2A ER has a high coupon +770bps and as such trades 798dm / 9.6y WAL (clean credit/MV metrics) whilst the second bond trades wide the index due to credit reasons - MVW 2014-1A E covers at 86.21 at 1233dm / 2.3y WAL (post reinv) with MVOC low 103, ADR high 2.7, Sub80 bucket 11%, CCC high 8.7 and Jnr OC cushion 0.4.

EUR AAA CLO

6 AAAs have traded today, all between 104 and 109dm. We have adjusted our AAA curve a couple of bps tighter which fits in with the reset of CGMSE 2015-2 at 94bps yesterday.

USD CLO AAA

More than 40 trades today with in excess of $160m exchanging hands across the capital structure, US LL Index flat dod.  At AAA the dm range is 92dm-132dm with our AAA index unchanged at 108dm as the majority of trades hit their par ceilings, the outlier is ARES 2021-59A A which covers at a discount 99.95 at 104dm / 6.2y WAL – coupon is low at +103bps whilst metrics are clean with MVOC at the lower end of the range vs comps at 155.9 driving execution. 

USD CLO Mezz/Equity

There is one BBB trade MIDO 2014-3A DR which is slightly distressed and covers at 91h at a high dm 523dm / 5.1y WAL (EoRP 2023) – ADR elevated 1.24, Sub80 high 3% and Jnr OC cushion cuspy at 1% whilst manager profile a touch weaker to benchmark.  13 x BB trades in a 595dm-892dm range whilst our index tightens to 685dm.  MCLO 2018-11A D is an outlier trade with CVR 85 at 892dm / 5.8y WAL – MVOC at low end 104, ADR high 2.2, Sub80 high 2.6 and Jnr OC cushion very cuspy at 0.6 pushing this to weaker execution.  At the other end of the scale is GWOLF 2020-3RA DR CVR 99 at 700dm / 8.1y WAL which is a touch back to our index (coupon +692dm / EoRP 2025) whilst metrics are mixed – MVOC 108.6, ADR is elevated 1.7, Sub80 slightly high 2.1 but Jnr OC cushion is strong 4.8 emphasising the importance of strong credit metrics in terms of ADR/Sub80 to execution price which otherwise would have been closer to par and inside our index.

EUR AAA CLO

The two AAAs that traded today were around 114dm. This is an unchanged AAA level.

USD CLO AAA

Just shy of 40 trades today with $170m liquidity, CLO spreads remain firm at the mezz level whilst US LL Index -11bp dod.  1 x AAA trade DRSLF 2019-75A AR2 from PGIM (EoRP 2026, coupon +104bps) covers at par ceiling at 103dm / 5.9y WAL with only ADR at 1.12 and CCC at 7.4 the standout credit negatives.  AAA index remains 108dm.

USD CLO Mezz/Equity

5 x single-A trades with our index tightening slightly to 202dm, one trade hits par ceiling PIPK 2018-1A C (EoRP 2023, coupon +210bps, Partners Group) with reasonably clean metrics with the shorter wal preference as well improving execution.  7 x BBBs trading 259dm-422dm as our index shifting tighter to 333dm.  2 post-reinv bonds trade at their par ceilings with tiering amongst those in reinvestment driven by margins < 300bps, credit factors (ADR, CCC, Sub80 buckets), cushions and MVOC scaling.  DEN12 2016-1A DR has poorest execution with CVR 95.05 (EoRP 2023 / coupon +275bps) – MVOC is at the lower end 110.4, CCC elevated 7.1 and more acutely the Jnr OC cushion is cuspy at 1.4%.  At the BB level there was significant liquidity with 23 trades, more than $60m of liquidity and trading range 541dm-789dm whilst our BB index tightens to 693dm.  4 trades in reinvestment stage hit par ceilings, key characteristics are strong coupons (>+650bps), strong MVOC (>108), low/negligible ADR/CCC, strong Jnr OC cushions (>5%) and strong manager profiles (eg. Assured, CIFC).

EUR AAA CLO

The two AAAs that traded today were around 116dm. This is an unchanged AAA level.

USD CLO AAA

US LL Index fell 11bps dod with very few trades (seven) perhaps as a result of the softer tone with CLO liability spreads resilient as we saw 2 x SOFR referenced new issues price from AGL and Palmer Sq, some much needed price discovery here (AAAs priced +132-133bps / BBB +305-310bps) .  1 x AAA trade RAD 2020-7A A1 which is a 3.0 with high coupon +120bps / EoRP 2025 and covers at its par ceiling at 118dm / 4.8y WAL, this deal has clean metrics with a 157.8 MVOC.

USD CLO Mezz/Equity

1 x BB NEUB 2019-35A E covers near its par ceiling VH99s given high coupon +700bps, EoRP 2025 and strong MVOC 107.7 with sound credit metrics from a benchmark manager Neuberger, this trades near our index of 698dm.  1 x single-B trade also from Neuberger NEUB 2017-16SA FR with a +829bps coupon and long reinvestment period (2026), ADR is elevated at 1.5 and MVOC 104.9 is in the middle percentile - cover is 96h at 887dm / 9.4y WAL which is inside our B index 937dm.

USD CLO AAA

17 trades today, predominantly AAA and Equity, US LL Index +9bp wow and +2bp dod with $54m liquidity today.  AAA bonds continue the trend of trading at par ceilings with positive tiering driven by high coupon / long EoRP 3.0 bonds with clean credit, eg. GSM 2021-IIIA A1 covers 100.22 at 128dm / 5.9y WAL – coupon +132bps, EoRP 2026, Jnr Oc cushion 5.1, ADR & Sub80 buckets both zero.  Our AAA index is 108dm.

USD CLO Mezz/Equity

1 x BB trade today, TRNTS 2021-17A E CVR 97.75 at 738dm / 9.6y WAL, this bond has a +703bps coupon, EoRP 2026 and clean credit metrics from a relatively inexperienced manager Trinitas (8 x CLOs under management) perhaps preventing better execution and wide of our BB index 698dm.

USD CLO Mezz/Equity

Just under 30 trades today with $70m of notional exchanging hands at predominantly the mezz level, spreads remain flat overall whilst US LL Index +2bp dod.  2 x single-A trades which are inside our index level 207dm (and new issue in +210bps context) given the lower coupon structures (+175bps) these trade at a small discount to par, with GALXY 2015-20A CR better bid at 99.73 at 181dm / 4.8y WAL (stronger metrics – MVOC 123.8, ADR 0.3, Jnr OC cushion 4.8).  3 x BBB trades with a typically high quality bond from a Blackrock managed deal MAGNE 2015-15A DR covers at par ceiling at 274dm / 5.8y WAL, despite the lower coupon +275bps this hits its par ceiling given the exceptional performance of the deal and manager.  Our BBB index is 340dm.  $42m of BBs trade across 18 bonds in a 572dm-880dm range, our BB index is 695dm.  Notably the 3 trades that have the longest wals (EoRP 2025-2026) hit their par ceilings for a variety of reasons – coupon >600bps, strong MVOC >107.5, CCC well below 7.5% TH, low ADR/Sub80 bucket and high Jnr OC cushions <5%.  At the other end of the execution spectrum is ATCLO 2019-13A E CVR 91.61 at 880dm / 6.1y WAL – MVOC is low 103.7, ADR high 1.6, Sub80 high 2.5 and Jnr OC cushion low at 1.4 whilst coupon is reasonable at +695bps.  2 x single-B trades 817dm-931dm with performance reasonable on both bonds with 7-handle margins and MVOC 104.2-105.9, our single-B index is 933dm.

USD CLO AAA

61 covers today with circa $200m of liquidity, US LL Index +9bp dod whilst spreads remain firm across rating bands.  All AAA bonds (12 trades $51m) are hitting their par ceilings including bonds in reinvestment with coupons < 100bps.  Our AAA index is 110dm.

USD CLO Mezz/Equity

At AA our index is 166dm with 12 trades in a 155dm-196dm range with the few bonds that that hit par ceilings differentiated by strong MVOC (130+) and lower trending ADR and Sub80 bucket migration.  At single-A there are 18 trades in a wide dispersion 170dm-297dm (our index 208dm) with the majority hitting par ceilings given strong MVOC metrics and coupons typically >200bps for those still in reinvestment phase.  Weakest trade in terms of cash px execution is TREST 2017-1A B1R CVR 99.45 at 186dm / 5.6y WAL, metrics look clean but given the tight margin (+175bps), longer wal (EoRP 2024) and inexperienced manager Pacific AM (3 x CLOs under management) execution suffers slightly.  At BBB there are 6 trades in a 264dm-442dm range and all hit par ceilings with bond margins comfortably greater than 300bps, our BBB index is 341dm.  At BB there are 8 trades / $22m in a 530dm-864dm range, our BB index is 694dm whilst the 3 bonds that hit their par ceilings are post reinvestment with short wal.  3 trades still in reinvestment (EoRP this year) are tiered by MVOC and asset price migration (Sub80 buckets).

EUR AAA CLO

There are 4 AAA covers today. BlackRock 1 traded tighter than the others at 97dm. The other three were around 112dm. Dryden 39 2015 is amortising and BlackRock 1 is also very short as it is nearly at the RPE date. Both of these have 2 year WALs whereas Jubilee 2021-25 and Rockford Tower 2021-2 are 5.7yr WALs. The AAAs look to be about 3 to 4 bps tighter than our curve suggests and this is backed up by the new issue market where AAAs from the Carlyle 2015-2 reset are talked at 92-94bps (floored) which is around 2-3bps tighter than where AAAs priced at the end of last year. Barings 2015-1 AAA reset at +98 last night but apparently the deal was failing many tests (see CLO Markets EU Deal Alert).

USD CLO AAA

40 trades today, $215m of liquidity, spreads remain firm and US LL Index +6bp dod.  At AAA bonds are now regularly hitting their par ceilings with 12 trades today, this includes MP11 2017-2A A which is a weaker profile bond (margin +118bps, EoRP 2023) with an elevated ADR 1.1, Sub80 bucket 1.3, cuspy Jnr OC cushion 1.1% and despite a weaker manager record still covers 100.06 at 116dm / 2.9y WAL.  Our AAA index is 107dm.

USD CLO Mezz/Equity

19 x AA trades with a wide trading range 125dm-209dm, the majority of bonds hit their par ceilings, 4 trades at a discount with MVOC < 130 combined with lower coupon structures (<+180bps) despite good credit metrics.  Best execution, as expected, comes from short wal static deals with two Palmer Square CLOs including PSTAT 2020-2A A2 which covers 100.09 at 150dm / 1.8y WAL.  ELMW2 2019-2A BR has best execution for bonds still in reinvestment with a CVR 100.04 at 164dm / 7.4y WAL (EoRP 2026, margin +165bps) which is close to our index level.  Our AA index is 167dm.  8 x BB trades with a trading range 626dm-919dm with a 4pt cash px dispersion if we exclude an outlier trade.   This outlier trade is SNDPT 2015-1RA E which is distressed (high ADR 1.7, low MVOC 102.8, high Sub80 2.3, high CCC 10.6 and cuspy Jnr OC cushion 0.7) CVR 89.45 at 919dm / 5.3y WAL which is well wide of our BB index 683dm, majority of trades today trade at or tight to the index.

USD CLO AAA

80m of liquidity today, US LL Index +4bp dod whilst CLO spreads remain firm.  4 x 2nd pay AAA trades today at the senior end, trading range 122dm-149dm.  BABSN 2018-2A A1B and OCP 2017-14A A1B are both firm trades given they carry ‘lower’ 2nd pay coupons 122bps-125bps and these bonds hit their par ceilings given clean credit (ADR 0.2-0.6, WARF 2800-2900, CCC 4-5%) with both still in reinvestment.

USD CLO Mezz/Equity

2 x AA trades 170dm-184dm, ZAIS8 2018-1A B is low coupon +145bps, post-reinvestment, high CCC 9.8% and very high ADR 3.4% and covers at a discount 99.325 at 170dm / 2.8y WAL which is close to our AA index 169dm.  BLACK 2016-1A A2AR from Black Diamond trades wide to our index (CVR 99.61) at 184dm / 4.4y WAL – high ADR 1.6, low MVOC 127.6, high CCC 7.5 combined with a weaker manager profile in terms of default record.  At single-A there are 6 trades and trading range 185dm-223dm (our single-A index 205dm) with bonds carrying coupons > +200bps hitting their par ceilings.  29 x BBB trades in a 252dm-415dm range with almost $36m notional exchanging hands, our BBB index is 336dm.  Tiering between those bonds that trade at par ceilings and those at a discount is driven by a combination of factors including coupon (typically >+300bps), strong MVOC (>112, note avg MVOC for bonds that trade at par ceilings is 115 v 112.5 for those at a discount), ADR <1% and strong Jnr OC cushions (>3%), for instance the bonds that trade at par ceilings have an average Jnr OC cushion of 5.75% vs 3.6% for those that trade at a discount.  6 x BB trades in a 595dm-758dm range stripping out the static CLOs, whilst our BB index is 685dm.  ELMW1 2019-1A ER is the standout trade at 100.79 at 758dm / 8.65y WAL (high coupon +771bps / EoRP 2025) and clean metrics (ADR 0.3, Sub80 0, CCC 4.8, Jnr OC cushion 4.6 and MVOC 109.2).

USD CLO AAA

14 trades to kick off the week, US LL Index +22bp week on week.  12 x AAA trades which include a number of sub +100bps coupon static CLO bonds which trade at par ceilings, whilst there are 3 x sub +100bps coupon AAAs within reinvestment that trade at a small discount to par.  WELF 2018-1A A has a coupon of +110bps / EoRP 2023 from Wellfleet, with strong MVOC 151 and clean credit and covers at par ceiling at 107dm / 3.3y WAL in good size 25m.  Our AAA index shifts to 106dm.

USD CLO Mezz/Equity

OCP 2020-8RA A2 is a AA rated bond with EoRP 2024, low coupon +155bps and clean metrics with CVR at a small discount 99.87 at 158dm / 5.1y WAL which is tight to our AA index 168dm / new issue in +170bps area.  1 x BBB trade HLM 12A-18 C (EoRP 2023 / low coupon +275bps) with average metric quality and cover price is as such a small discount 99.19 at 291dm / 5.9y WAL, our BBB index is 340dm with new issue in L300s.

USD CLO AAA

More than 165m of liquidity exchanging hands today, US LL Index bounces back +7bp dod with 19 CLO trades.  Our AAA index remains at 110dm with reinvesting AAA bonds with coupons >100bps hitting their par ceilings, a 2nd pay ATRM 15A A2R with coupon +145bps covers at a discount 99.45 at 154dm / 6.8y WAL.

USD CLO Mezz/Equity

At AA there are 5 trades, one trade hits par ceiling VENTR 2020-40A B1 which is a high coupon bond +210bps trades 209dm / 5y WAL, whilst other trades with a coupon spread of +135bps-180bps trade at a discount to par 99.02-99.38.  Our AA index is 174dm with new issue +170bps.  At single-A only LUCAL 2020-1A C hits par ceiling, coupon > 200bps at +220bps with clean credit metrics, the remaining 2 trades have  +195-200bps coupons and trade at a discount with WINDR 2021-2A C a long wal (EoRP 2026) cover 98.78 at 212dm / 8.2y WAL, our single-A index is 215dm (new issue +210bps).  At BBB only one trade hits par ceiling BCC 2020-5A D which has a high coupon +355bps with CVR 100.07 at 354dm / 6.4y WAL, our BBB index is 339dm with new issue in L300s area.  Just one BB trade today MP15 2019-1A E CVR 95h at 764dm / 7.7y WAL, this bond has clean metrics with coupon +683bps (new issue +660bps and our BB index 692dm).

USD CLO AAA

7 trades today, US LL Index -5bp wow.  5 x AAA trades with coupons < 100bps trade at a discount to par.  Our AAA index is 110dm.

USD CLO Mezz/Equity

CECLO 2014-21A CR2 (BBB) with a +320bps coupon / EoRP 2022 covers 96.60 at 394dm / 5.2y WAL, our BBB index is 341dm with new issue in L300s.  MAGNE 2016-18A ER (BB) which is post-reinvest / low coupon +525bps covers 97.32 at 591dm / 4.7y WAL, our BB index is 692dm and new issue guide is +660bps area.