USD CLO AAA

A more active day with 33 trades and > 130m of liquidity, spreads and the US LL Index are both flat on the day.  AAA trades are all 1st pay and hit par ceilings with our AAA index 107dm.

USD CLO Mezz/Equity

7 x AA trades, all lower coupon clean bonds (+135-145bps) and trade at a small discount to par given new issue is in +170bps guidance context, our AA index is 160dm.  23 x BB trades in a 614dm-699dm narrow trading dispersion whilst a 5pt price basis from a cash price perspective.  Bonds that hit par ceilings have coupons >690bps and low ADRs and strong MVOC 109+ whilst still in reinvestment, the prevailing new issue guidance is around +645bps with our BB index 679dm.  At the other end of the scale is TCW 2021-1A E (March 2021 close) that has a low coupon +582bps and CVR 94.9 at 658dm / 9.6y WAL, despite strong metrics the coupon drives execution.

USD CLO AAA

25 trades to open up the week, mostly high grade securities.  US LL Index -3bp dod and +7bp wow.  8 x 1st pay AAAs all hit their par ceiling with AAA index now 108dm.  2nd pay AAAs trade in a 127dm-138dm range with all trades at a small discount to par given coupons are ‘relatively’ low for 2nd pays +113-125bps range with small basis to AA.

USD CLO Mezz/Equity

One AA trade WINDR 2015-2A BR covers at a discount (low coupon +125bps and well past reinv end - 2019) at 126dm / 1.6y WAL, our AA index is 160dm.  CATLK 2013-1A BR single-A covers at a discount 99.19 at 248dm / 4.7y WAL (coupon +230bps), whilst new issue is +215bps context there are credit issues with this bond – ADR is high 1.3, CCC is high 7.9 and Jnr OC cushion is low 1.6.  TICP 2017-9A D from Sixth St (BBB) has a coupon +290bps and covers at a discount 99.96 at 291dm / 5y WAL, metrics are clean on the bond whilst new issue is +330bps guidance / our BBB index 321dm so execution falls short of par.  At BB, a shorter dated bond TRMPK 2015-1A ERR covers at par ceiling (EoRP 2020) given strong cushions and healthy MVOC 108.9 and clean metrics (ADR 0.6 / Sub80 0.5), 2 x clean bonds in reinvestment trade in a 603dm-655dm range whilst our BB index is 683dm. 

USD CLO AAA

US LL Index +2bp dod whilst only 3 x second pay MM CLO AAA trades today.  The higher coupon (180/250bps) bonds hit their par ceilings, MCMML 2020-1A A is a Middle Market 2nd pay bond too so has an especially high coupon of +250bps coupon and covers at 100.31 at 241dm / 3.6y WAL (MVOC 188 and 0 ADR).  One trade is at a discount today MCFCL 2018-1A A1 which has a lower coupon +137bps (which is in line more with BSL CLO 2nd pays) and covers 99.89 at 142dm / 2.4y WAL, metrics are clean so the coupon drives the execution price.

EUR AAA CLO

Just the 3 x AAA trades today. Avoca 11 and Penta 3 are both in amortisation. The spread range is from 103dm to 112dm. All 3 bonds have been callable for a couple of years but, as stated, two of them are paying down.

USD CLO AAA

US LL Index +2bp on the day, spreads stable today with 16 trades.  9 x AAA trades with 3 x 2nd pays which all trade at a small discount to par, at 133dm-148dm, whilst 1st pays with coupons as low as +93bps and still in reinvestment period do execute at their par ceilings.  Our AAA index is 110dm whilst new issue is as wide as +118-121 bps guidance.

USD CLO Mezz/Equity

7 x BBs trade in a 6pt cash px dispersion and dm range 583dm-731dm with our BB index is 663dm, trades that hit their par ceiling are CRMN 2016-1A D and DRSLF 2014-36A ER2 which both have coupons > 660bps and have both entered post reinvestment periods recently as in this year.  At the wide end of trading activity is HAYFN 2018-9A ER which covers at 94 at 731dm / 6.1y WAL, ADR is elevated at 1.1, coupon is lower +615bps and cov-lite exposure is 40%.

EUR AAA CLO

At last we have a busy day in EUR CLOs. There are 6 x AAA trades. All the trades except for Black Diamond 2017-2 have traded up, between 1 and 5bps tighter. By contrast Black Diamond 2017-2 appears to have attracted a manager spread premium even after allowing for the high margin on the bond.

USD CLO AAA

US LL Index +14bp on the week.  Just one trade today SNDPT 2018-1A A which has a +100bps coupon, covers at par ceiling at 99dm / 3.3y WAL, EoRP is 2023 and is post NC with metrics relatively clean.  Our AAA index is 112dm.

USD CLO AAA

15 covers today, senior spreads flat with some mild softening on lower mezz, US LL Index -1bp on the day.  3 x 1st pay AAAs hit par ceilings and our AAA index 109dm remains unchanged.

USD CLO Mezz/Equity

1 x BBB trade MP11 2017-2A D with a low coupon +280bps covers at a large discount 93 at 428dm / 5y WAL, which is wide to our index 332dm (new issue +325bps area guidance) since fundamentals are weak – ADR 1.2, Jnr OC cushion is cuspy 1.1, MVOC is at the lower end 108.7 and the manager (Marble Point) record is weak to peers.  8 x BB trades with a 6pt cash px dispersion from par and dm range 651dm-789dm with our BB index 669dm (new issue +640bps area). TCW 2019-2A E trades at a premium to par 100.13 at 738dm / 7.6y WAL – high coupon +740bps, strong MVOC 108.2, low ADR 0.5 and strong Jnr OC cushion 4.9.  Tiering is thereafter driven by coupon structure and MVOC, AWPT 2016-5A ER covers 94.05 at 754dm / 6.6y WAL (coupon +635bps, MVOC 105.6).  3 x single-B trades in a dm range 858dm-894dm with cover prices at a discount, tiering is driven in a similar way to BB bonds (margin and MVOC) but also sensitivity to ADR and Jnr OC cushion given these bonds can PIK.  There are 2 x PGIM bonds with a similar EoRP but coupons are +715bps and +827bps whilst the lower coupon bond DRSLF 2018-64A F does also struggle with a higher ADR 1.3 (v 0.9) and a lower Jnr OC cushion 3% (vs 4.7%) and this translate to > 6pts difference in execution price.  Our single-B index is 840dm.

USD CLO AAA

30 covers today, US LL Index -3bp on the day.  A 2nd pay AAA BLUEM 2017-3A A2 EoRP 2023 covers at a small discount 99.79 at 118dm / 6.5y WAL.  AAA index 109dm.

USD CLO Mezz/Equity

2 x AAs trade at a discount, coupons on both are < 150bps with new issue +165bps area and our AA index 160dm, other metrics are in line.  At single-A new issue guidance is +205bps area and bonds with coupons < 200bps tend to trade at a small discount given inherent callability likelihood.  HLA 2017-2A B from Bardin Hill has EoRP 2022 / post NC with a +210bps coupon but covers at a small discount 99.86 at 214dm / 4y WAL, predominantly due to the manager’s weaker record.  At BB spreads flat on the day with a trading range of 553dm-726dm and our BB index 662dm (new issue +640bps area).  See PriceABS trade listing for details.

USD CLO AAA

17 covers today, spreads stable and US LL Index +1bp dod.  6 x AAA trades all hit par ceilings.  AAA index 109dm.

USD CLO Mezz/Equity

6 x BB trades, 7pt cash px dispersion and 644dm-808dm range, BB index 661dm (new issue +640bps).  ROCKT 2021-2A E, a recent vintage, covers near par at 99.68 at 644dm / 9.9y WAL with EoRP 2026 and +640bps coupon and a strong MVOC 107.6 / clean metrics associated with recent vintages.  At the other end of the spectrum is ATCLO 2016-7A ER which covers at 92.65 at 787dm / 6.7y WAL with a similar coupon +640bps and a shorter wal (EoRP 2023), MVOC is weaker 105, ADR is elevated 1.2, 5% CCC, Jnr OC cushion is cuspy 1.2 and the manager Crescent Capital’s record is weaker to peers.

USD CLO Mezz/Equity

Just one trade today, CYGPK 2020-1A DR a BBB covers at par ceiling 305dm / 8.8y WAL, bond coupon +310bps with long wal (EoRP 2026)with new issue in +325bp guidance, so market is pricing in some tightening for clean bonds like this.  Our BBB index remains at 340dm.

USD CLO AAA

With month end today there is limited liquidity and all high grade with 8 covers / $75m of liquidity, US LL Index -1bp dod and -1bp on Sep month end.  4 x AAA trades hit their par ceilings, the profiles are all post reinvestment with low coupons (+80-82bps) short wals.  AAA index is 109dm.

USD CLO Mezz/Equity

4 x AA trades also hit their par ceilings, with coupons +165-170bps and execution dm range 160dm-165dm, new is in similar context (+165bps area guidance) and our AA index 161dm.

EUR AAA CLO

There are 6 x AAA trades today. One of them, Contego 4, is amortising and it traded at 95dm. The others traded between 104dm and 124dm depending mostly on their margin and their chances of a refi/reset.

USD CLO AAA

50 covers today across the liability stack.  AAAs trade at par ceilings including a 2nd pay MDPK 2015-18A A2R at 134dm / 6.2y WAL with a +135bps coupon.  Our AAA index is 110dm.

USD CLO Mezz/Equity

AA and A bonds trade at par ceilings with the exception of a single-A rated ALLEG 2018-1A C CVR 99.83 at 193dm / 5.3y WAL – coupon is +190bps / clean metrics, new issue is +205bps guidance so less inherent callability.  At BBB WINDR 2013-1A CR covers at par ceiling at 364dm / 5.3y WAL – coupon is high +365bps whilst metrics are fairly average with ADR high at 1.9.  New issue is talked +312bps area so with the NC less than 2 months away this bond has some inherent callability.  Our BBB index is 332dm.  At BB the trading range is 564dm-824dm with a 10pt cash px dispersion, our BB index is 657dm, with the bonds hitting par ceilings carrying coupons > +600bps, strong MVOC and low ADRs along with strong Jnr OC cushions.

USD CLO AAA

Just under 50 covers today across the stack, spreads overall fairly stable with US LL Index -1bp dod.  6 x AAA trades hit their par ceilings, including bonds with coupons into the mid-90s area within reinvestment.  Our AAA index is 109dm.

USD CLO Mezz/Equity

4 x single-A trades hit their ceilings too, with GWOLF 2015-1A BR seeing execution at 199dm / 4.6y WAL (coupon +200bps, EoRP 2023), our single-A index is 230dm with new issue in 200bps area guidance.  15 x BBB trades 259dm-455dm with 19m of liquidity and the majority of trades at their par ceilings with typically higher coupons (>300bps) driving execution to this level, bonds with coupons below 300bps trade at a discount with also LCM 25A D CVR 97.21 at 408dm (high coupon +345bps) but MVOC is low 108.8, Jnr OC cushion is cuspy at 1.05 and ADR is slightly elevated.  At BB there are 16 trades in a 528dm-755dm range and 8p cash px dispersion, one trade SPEAK 2019-1A E hits par ceiling – profile here is EoRP 2024, high coupon +689bps, strong MVOC 108 and clean metrics.  At the other end of the scale is LCM 17X ER CVR 92.3 at 755dm / 6.6y WAL (EoRP 2023) but coupon is lower +600bps, MVOC is weak 104.6 and Jnr OC cushion is low 1.5 whilst LCM’s manager record is weak to peers.

USD CLO Mezz/Equity

14 mezz trades, US LL Index -1bp.  BBB trading is 279dm-380dm, our BBB index is 330dm while new issue is +312bp area guidance.  There is distinctive tiering between sub-300bp coupon bonds (trading at a discount) and > 300bps coupon bonds which trade at or around par ceiling.  BLUEM 2017-3A D covers 97.89 at 282dm / 5.6y WAL, coupon +240bps and ADR elevated 1.2 and Jnr OC at 3.4 which is back to benchmark levels at 4+.  At BB there are 9 trades in a 2pt cash px dispersion and dm range 610dm-721dm.  WINDR 2019-2A E has positive execution at par ceiling, EoRP 2024, coupon is high +725bps and metrics are clean with dm 721dm / 7.6y WAL so this bond has strong risk adjusted cashflows.

USD CLO Mezz/Equity

9 x small debt trades today, all mezz, spreads flat on the day whilst US LL Index -1bp dod.  At the BBB level there are 2 trades at a discount MAGNE 2012-7A CR2 and HLM 12A-18 C with both carrying lower MVOCs (111) vs benchmark (113+) whilst ADR and Jnr OC cushions drive tiering and the severity of the discount.  At the BB level VENTR 2020-39A E covers at a discount 98.89 at 782dm / 8.6y WAL, this is a 3.0 bond with a coupon of +763bps with clean metrics (MVOC 108.5) however MJX’s manager record is weak to peers, our BB index is 668dm with new issue +640bp guidance whilst this bond has a long wal given the EoRP is 2025.

USD CLO AAA

26 covers today, $23m of liquidity and US LL Index continues tightens +3bps.  At AAA all trades hit par ceiling including a 2nd pay LCM 19A BR at 173dm / 2.3y WAL and numerous lower coupon bonds (as low as +80bps) which are post reinvestment.  Our AAA index is 107dm.

USD CLO Mezz/Equity

1 x AA trade small clip of CERB 2021-3A B that has c coupon pf +185bps covers near par 99.99 at 185dm whilst at single-A there is also one trade ANCHC 2020-15A CR that covers at par ceiling 223dm / 8.4y WAL (coupon +225bps / clean metrics) very close to our index level 231dm.  At BBB 2 trades hit par ceilings with coupons >325bps, MVOC 113-117 and EoRP 2023/2024 whilst three bonds trade at a discount with coupons <270bps and lower MVOC 110-112, APID 2013-12A DR covers at 96.70 at 324dm / 5.8y WAL, this has a low coupon +260bps, MVOC 109.9 and Jnr OC cushion 2.3 (vs 5%+ for benchmark).  Our BBB index is 331dm.  At BB, one trade hits par ceiling BLUEM 2016-2A DR with a high coupon +779bps at 775dm / 8y WAL with CCC high at 9.7 but other metrics clean.  The trading range for the remaining trades is 654dm-826dm with our BB index 667dm so there are some heavily discounted bonds that trade today, at the wide end is LCM 18X ER with CVR 91.88 at 763dm / 6.3y WAL, this bond has a low coupon +595bps, low MVOC 104.7 and low Jnr OC cushion 1.45 and LCM’s manager record is weak to peers.

USD CLO Mezz/Equity

32 trades today, all low mezz/equity, spreads once again steady with US LL Index flat dod.  11 x BBB trades, 23m of liquidity with a 4.5pt cash px dispersion with dm range 280dm-400dm, our BBB index is 331dm with new issue in +310bps guidance context.  APID 2012-11A DR3 a 3.0 CLO covers at a significant premium 101.17 at 358dm / 8.6y WAL due to a high coupon +375bps (EoRP 2026) and strong risk adjusted cashflows from a benchmark manager CVC.  At the other end of the scale is WINDR 2014-1A DRR CVR 96.77 at a similar dm 361dm / 6.1y WAL but coupon is lower +300bps, Jnr OC cushion is low 1.9, ADR is elevated 1.3, Sub80 1.1, Par build -0.6, MVOC 110.3 (vs APID 2012 112.6) whilst First Eagle is inexperienced with a higher default record vs peers.  8 x BB trades with 30m of liquidity with a 2.5pt cash px dispersion with a dm range 512dm-740dm, our BB index is 668dm with new issue +640bps context.  BLUEM 2013-1A DR covers at par ceiling – high coupon +750bps, strong MVOC 107.7 despite a high ADR 1.9.

USD CLO Mezz/Equity

7 covers today with spreads again relatively unchanged, US LL Index also flat on the day.  2 mezz trades that didn’t hit their par ceilings include firstly FCBSL 2017-2A B1 (AA rated) with a +170bps coupon / EoRP 2022 and covers at a small discount 99.77 at 176dm / 3.8y WAL – ADR is high at 1.4 and CCC is also high at 9.8 pulling execution to a small discount.  ROCKT 2017-3A D (BB rated) has a lower coupon +265bps (vs new issue +310bps guidance / secondary BBB index 329dm) whilst other metrics are clean.

USD CLO AAA

40 covers today across the stack, spreads remain stable and US LL Index +1bp dod.  AAA trades all hit their par ceilings including SYMP 2018-19A A which has a coupon of +96bps and EoRP 2023 with clean performance metrics.  Our AAA index is 106dm. 

USD CLO Mezz/Equity

1 x AA trade VIBR 2018-8A A2 CVR 99.72 at 154dm / 4.3y WAL with EoRP 2023 and a bond coupon +147bps whilst new issue is in +165bps guidance context so there’s limited callability, furthermore the ADR is elevated 1.4 and Jnr OC cushion is low at 1.3.  At the single-A level there are multiple trades today, with those bonds hitting par ceiling typically with coupons > 200bps, strong MVOC >120, lower ADR and strong Jnr OC cushions.  VOYA 2016-1A BR trades at the wide end at CVR 99.05 at 201dm / 4.8y WAL – low MVOC 116.5, high CCC 7.2, low Jnr OC cushion 1.8 whilst coupon is low at +180bps.  All but one of the 10 x BBB trades hits par ceiling, GWOLF 2018-1A C covers at a small discount at 299dm / 5.9y WAL, predominantly due to it’s lower coupon (ie. <300bps) at +295bps, high CCC 7.8, high WARF 3099 and the high ADR 1.7 which is also in line with the manager’s overall experience level.  Our BBB index is 329dm with new issue in L300s context.  At the BB level there are 5 trades with 3 trading at par ceilings, our BB index is 672dm with new issue guidance +640area.  CIFC 2018-4A D trades at a small discount at 605dm / 6.6y WAL (EoRP 2023), coupon is low +590bps and WARF high 3000 with other metrics in line.

USD CLO AAA

20 covers today with $75m of liquidity and spreads stable, US LL Index -1bp on the day.  AAA trades hit their par ceiling, all 1st pay with coupons >100bps and in reinvestment.  Our AAA index is 107dm.

USD CLO Mezz/Equity

At single-A there are 7 trades with a 3.0 ELM11 2021-4A C (Elmwood) hitting par ceiling, this has the highest coupon of all the trades today +195bps with characteristic clean metrics.  At BBB there are 2 trades, MVW 2014-1A DRR which is well past reinvestment end and delevering covers at par ceiling 355dm / 2.5y WAL whilst GUGG4 2016-1A CR from Guggenheim (EoRP 2023) with a +335bps coupon covers 98.85at 357dm / 6.1y WAL, new issue +315bp guidance but Jnr OC cushion is cuspy at 1.7 / bond coupon +335bps whilst our BBB index is at 329dm.  At BB there are 5 trades with the majority hitting par ceilings (all in reinvestment), coupons on these bonds are > 680bps, MVOC are strong > 108, clean metrics and strong Jnr OC cushions, new issue guidance is +650bps and our BB index is 672dm with trading range today 682dm-710dm.  OZLM 2018-20A D trades at the wide end CVR 93.65 at 709dm / 6.4y WAL – MVOC is at the low end 105.5, ADR is elevated 1.4 and Jnr OC cushion is cuspy at 1.6 with a low bond coupon of +580bps meaning risk adjusted cashflows are weak hence the execution level.