USD CLO AAA

More than $55m of liquidity today across the stack, with tightening at single-A with US LL Index +2bps on the day.  At AAA bonds trade at their par ceiling (coupons > 110bps), SCI generic curve is 112dm. 

USD CLO Mezz/Equity

At single-A one bond trades at a discount STCR 2014-1RA C covers 98.914 at 221dm / 4.5y WAL – new issue talked at +202bps, the coupon on this bond +195bps whilst MVOC is low 117.5 and ADR high at 1.6 resulting in weaker execution.  Our generic curve is 218dm, with bonds with attached coupons > 200bps trading at their par ceilings.  At BBB our generic curve softens slightly to 347dm with a trading range of 305dm-431dm and a 5pt cash px dispersion.  JTWN 2016-9A C2R hits par ceiling 100.02 at 409dm / 4y WAL – this bond is post reinvestment and has a short wal with a strong MVOC 113 and clean metrics.  At the other end of the scale is MP3 2013-1A DR CVR 95.00 at 408dm / 5.5y WAL (EoRP Oct-22) – bond coupon is +305bps (< new issue +315bps), MVOC is lower 109.4 and Jnr OC cushion is cuspy 1.3 with Marble Point’s performance slightly weaker to peers.  At BB the trading range is 541dm-743dm and a 7pt cash px dispersion.  CIFC 2019-FALX E covers strongly 99.89 at 743dm/8.6y WAL (EoRP 2025) – bond coupon is high +741bps with the bond callable in October (new issue guidance is +640bps area).  Octagon’s OCT34 2017-1X E2 covers 93.95 at 675dm / 6y WAL (EoRP 2023) with a +550bps coupon which is inside new issue, ADR is also high 1.4 and Jnr OC cushion is cuspy 1.5 whilst Octagon’s performance metrics are slightly below peers.  SCI generic curve remains at 619dm.

USD CLO Mezz/Equity

28 covers today, US LL Index +4bp on the day and a tightening theme at AA, BBB and BB.  At the AA level, trading range is 141dm-157dm for  low coupon bonds below new issue context (+162a) with bonds trading at par or a very small discount to par.  Top execution is TFLAT 2017-1A B CVR 100.055 at 155dm (coupon at +156bps < new issue) which is market positive, with the bond callable in October this year.  At BBB the trading range is 247dm-499dm with our BBB curve tightening into 344dm.  Execution is poor for lower coupon bonds (<300bps) with these lagging in cash px terms 94.15-96.56 from the rest of the trades 98+, with new issue levels +310bps area the inherent callability is low and a key driver.  At the BB level the trading range is a narrower dispersion than seen recently 528dm-615dm and cash px dispersion of 3.5pts, our generic curve tightens to 619dm with new issue in +630bps context.  GRNPK 2018-1X E (Blackstone) trades at the lowest cash px 96.47 at 561dm / 6.5y WAL – coupon is low +495bps which is influencing the direction despite clean fundamental metrics and MVOC is steady at 106.8 with another 1.75y reinvestment period remaining.  One bond hits par ceiling, this is a short wal KVK 2013-1A ER (coupon +594bps) with reinvestment period ending in Jan 2020 and Jnr OC cushion healthy at 3.7 whilst MVOC is strong at 108.8 despite a high ADR 1.2 an high CCC 15.7 given the inability to manage credits.

USD CLO AAA

8 x covers today, US LL Index +2bp on the day.  AAA hit par ceiling with coupons all > 100bps, our curve tightens to 110dm.

USD CLO Mezz/Equity

2 x AA trades, both hit par ceiling (coupons +170-180bps) with our generic curve 162dm which is around new issue levels, so bonds have higher callability given post NC and still in reinvestment through 2023.  1 x single-A trade, ARES 2019-54 A covers at its par ceiling 100.303 at 280dm / 6.5y WAL, this bond has a high coupon +285 (vs our generic curve 223dm and new issue context +200bps) with strong fundamentals (MVOC 120, ADR 0.7, Sub80 0.9, Jnr OC cushion 3.7) so risk adjusted cashflows are strong and the bond has just passed its NC in July with a remaining 3y reinvestment period.

USD CLO AAA

A busy day with 43 covers, US LL Index +1bp on the day and further tightening at BB and BBB to a lesser extent.  The story at AAA remains unchanged with bonds changing hands at par ceilings, with CIFC 2013-3RA A1 with a coupon +98bps also hitting this level.  Our generic AAA level remains at 112dm.

USD CLO Mezz/Equity

At AA our generic level is 155dm with new issue in 160bps context, trading range today is 150dm-167dm with bonds typically hitting par ceiling, TRNTS 2017-7A B covers at a discount 99.93 at 162dm / 4y WAL – ADR is high 1.4, MVOC is slightly low 127.9 (vs 128-130 benchmark) whilst the manager record is broadly in line with peers but Trinitas is inexperienced with 9 x CLOs ($4bn) under management.  Single-A bonds hit par ceilings today since the coupons on the trades high +225-280bps, with new issue +200bps context and our generic level of 213dm.  At BBB the trading range is 282dm-370dm, with shorter WAL (post reinv 2018/2019 typically) bonds hitting par ceilings, BABSN 2016-1A DR covers 99.86 at 308dm / 6y WAL with a +305bps coupon which is at new issue levels (tight to our secondary level 346dm) 2y left of reinvestment.  CGMS 2013-2A DR covers at the deepest discount 98.26 at 282dm / 4.5y WAL – the coupon is low +240bps and ADR is high at 1.2 whilst other metrics are clean with the bond post reinvestment.  BB bonds trade in a wide dispersion 421dm-704dm with a 6pt cash px range with all but 2 bonds post-reinvestment and a combination of MVOC, margin structure and ADR levels dictate execution, our generic level is 643dm with new issue in 610bps context.  At single-B our generic level is 942dm, there are 2 distressed trades today that trade 1104dm-1218dm with WINDR 2014-1A F at the wide end CVR 81h at 1218dm / 8.3y WAL – MVOC is cuspy 101.9, ADR is high 1.4, Jnr OC cushion is cuspy 1.4 and there is 2y left of reinvestment with a coupon of +853bps, risk adjusted cashflows are weaker.

USD CLO AAA

A quiet day with 7 covers, US LL Index flat day on day whilst BB continues to tighten.  3 x AAA bonds trade at par ceilings (coupons >100bps) with our generic curve tightening slightly to 112dm.

USD CLO Mezz/Equity

1 x single-A trade, MILOS 2017-1A CR (Invesco) covers at its par ceiling 100.074 at 188dm / 5y WAL, the coupon is +190bps which is at the tight end of new issue talk.  This bond is callable and has clean metrics.  At BB, the trading range is 573dm-609dm (bond coupons at 5-handle) with clean metrics – MVOC > 107, ADR < 0.5 and strong Jnr OC cushions from benchmark names.  Therefore execution is strong and we tighten in our BB curve to 653dm with new issue in +600bps context.

USD CLO AAA

US LL Index -2bp on the day, with $50m+ of flow today and some slight tightening at the BB level.  A very familiar theme at AAA with bonds trading at par ceiling, including bonds pre-NC and coupon as low at +110bps so market is pricing in some tightening given AAAs are now indicated in L110s and our generic level -1bp to 113dm. 

USD CLO Mezz/Equity

At single-A, bonds trade at par ceilings (high coupons +275-295bps) which is consistent given our generic level 212dm and new issue talk +190-200bps.  At BBB the trading range is 291dm-454dm with one bond hitting par ceiling GALL 2018-1A D1 (Gallatin) with coupon +310bps cover 100.052 at 308dm / 3.3y WAL, this bond is post reinvestment (Jan-2020) and with our generic BBB level 352dm / new issue +290-300bps talk the deal likely to continue to delever, metrics are strong MVOC 115.9, ADR 0.8 and Jnr OC cushion 5.4.  At the other end of the scale is MP12 2018-1A D (Marble Point) which carries a similar coupon +300bps but a longer reinvestment end (2023) but covers 94.79 at 396dm / 6.3y WAL – MVOC is weaker 109.3, ADR is weaker 1.3 and Jnr OC cushion is tighter at 1.3.  At the BB level we see a tightly dispersed trading range of 560dm-696dm with a 2.7pt cash price dispersion.  At the tight end is WINDR 2016-1A ER (First Eagle), this bond is post-reinvestment end (mid 2020) with a +5555bps coupon and covers 99.81 at 560dm – strong MVOC 107.8, low ADR 0.6, high Sub80 2.6 and high CCC 10.2 and strong Jnr OC cushion 4.7.  At the lower end in cash px terms is another bond post-reinvestment end (Apr-21) AMMC 2015-16X ER with a coupon +606bps and CVR 97.1 at 678dm / 4.8y WAL – MVOC is low 104.98, ADR is elevated 1.2, Sub80 is low 0.7 but Jnr OC cushion is cuspy at 1.1.  Risk adjusted cashflows are therefore worse given our generic BB level of 662dm and new issue indicated at +600bps area.

USD CLO AAA

4 x AAA trades to open up the month, all clear at par ceilings (coupons >100bps) with all bonds callable and within reinvestment periods.  Our generic AAA level is unchanged at 114dm.  US LL Index is +2bp on Friday month end close.

EUR AAA CLO

There are 6 x AAA trades today. They have traded around L130s dm. The widest trade is Man GLG 6 at 139dm, although this is one of the later and cleaner GLG shelves. We believe this deal has a cleansing notice out. All the other bonds that traded are clean and unremarkable.

USD CLO AAA

11 covers today, senior and low mezz/equity.  US LL Index -2bps on the day and spreads broadly flat, with a little softening at BB.  Both AAA trades hit par ceilings (coupons > 100bps), our generic curve for AAA remains unchanged at 114dm.

USD CLO Mezz/Equity

BB trade 651dm-948dm, our generic curve (671dm) shifts closer to new issue levels (675-700bps) with tiering driven keenly by default and loan price migration on the underlying, WOODS 2018-11BA E (EoRP 2023 / coupon +580bps) covers 90.17 at 782dm / 6.3y WAL, MVOC of 105 is in line with tighter prints but the ADR is high at 1.85 and Sub80 bucket is high at 3.3 whilst the manager’s (Angelo, Gordon & Co.) performance is in line with peers aside from it’s weaker default record.  At the other end of the scale is a comparable bond with similar reinvestment end APID 2017-28A D (coupon +550bps) covers at 95.06 at 651dm / 6.1y WAL – MVOC 105, ADR 1.2 and Sub80 2.5) with the manager CVC’s default record more in line with peers.  4 x single-B trades in a wide dispersion 854dm-1457dm, whilst our generic curve is 919dm.  The outlier trade is SNDPT 2013-2RA F which is now Caa2 rated and covers 74.68 at 1457dm / 5.4y WAL, the bond is post reinvestment (EoRP Apr-21) and MVOC is cuspy 100.75, ADR is elevated 1.5, Jnr OC cushion is cuspy <1% whilst the manager’s (Sound Point) ability to build par and Jnr OC cushions lag its peers, but the bond is not PIKing.

USD CLO Mezz/Equity

More than 30 covers today, all mezz/equity.  US LL Index -6bp on the day with a long list of mezz on offer ahead of month end.  At single-A the trading range is 187dm-350dm, our generic curve 200dm whilst new issue is in L200s context.  One single-A does not hit its par ceiling, CRNPT 2018-4A C covers at 99.05 at 209dm / 5.3y WAL – the coupon is low at +190bps which appears to be the main lever for the execution level for this bond that has 2y reinvestment left and reasonable fundamentals aside from ADR which is high at 1.5, but the manager Pretium does have a higher default record but manages other key metrics to a good level like Jnr OC cushion and par build.  At BBB the trading range is 287dm-589dm with par ceilings hit on certain well performing bonds with ADRs < 1% and coupons > 300bps, as we have seen lately.  For the rest, tiering is driven partly by MVOC but ADR levels which are in a high 1.5-3.5% range.  At the wide end is ZAIS9 2018-2A D CVR 89.00 at 561dm / 5.8y WAL – MVOC is low 109, ADR is high 2.7, Sub80 is high 4.3, CCC 8.3 and Jnr OC cushion 1.2 (coupon +345bps, EoRP 2023).  At BB the trading range is wide at 596dm-1130dm, bonds that trade at par ceilings have coupons > 600bps and low ADRs (near zero) and strong Jnr OC cushions (>3%).  Tiering is driven similar to BBB bonds by MVOC, ADR and manager performance for bonds that trade below par (see PriceABS trade listing for full details).  Our generic level for BB is 664dm with new issue in 675-700bps context.  1 x single-B trade today VENTR 2018-33A F cover 86.17 at 1053dm / 8.6y WAL (+800bps coupon), this trades wide to our curve 923dm – MVOC is low 102.8, ADR is high 1.6, Jnr OC cushion 1.8 whilst the manager MJX’s record is weak to peers.

USD CLO AAA

16 covers today, across the stack, US LL Index softens 4bps on the day whilst CLO liabilities are broadly flat on the day.  AAA bonds that trade today cover at par ceilings, firstly CAVU 2019-1A A2 is a 2nd pay AAA with a coupon of +190bps and clean metrics (ADR 0.6, Sub80 0, Jnr OC cushion 4.6) and has a high coupon +190bps so risk adjusted cashflows are strong.  GALL 2018-1A A is a very short dated AAA bond which is now 18 months post reinvestment and covers at 101dm / 0.5y WAL.  Our AAA generic level remains 114dm.

USD CLO Mezz/Equity

1 x AA bond ZAIS8 2018-1A B cover is 98.21 at 202dm / 3.3y WAL, this bond is post reinvestment and has a coupon of +145bps which is tight to new issue and our generic secondary curve 152dm so there is limited callability but more striking are the weak fundamentals (ADR 3.8, Sub80 4.8, CCC 9.4) which all impact upon execution.  9 x single-As trade in a 184dm-291dm range, bonds with coupons > 230bps hit their par ceilings (our generic level is 196dm, new issue in L200s context) given inherent callability.  With the remaining bonds <200bps coupon driven by MVOC tiering predominantly with another distressed Zais bond (same deal as above AA) ZAIS8 2018-1A C covering at the highest discount 97.35 at 241dm / 4.3y WAL with poor metrics as above and MVOC 116.7, at the low end.  2 x BBB trades, firstly GLGU 2018-2A CR covers near par 99.22 at 369dm / 4y WAL, the coupon is +348bps with our generic curve 330dm and new issue 315-330bps context there is some callability in this bond (post NC) which ends it’s reinvestment period in Oct-21, although fundamentals have pushed this to a discount rather than hitting its par ceiling with MVOC 110, ADR 1.8 and Jnr OC cushion cuspy at 1%.  The other BBB trade is HAYFN 2018-9A DR which covers 97 at 377dm / 5.6y WAL, this carries a lower coupon +316bps and some elevated key metrics (ADR 1.1, Sub80 4%) and a low MVOC 111.5 despite the fact that Hayfin is a benchmark manager.  At BB there are two trades, a 2021 vintage 3.0 CLO SYMP 2021-25A E covers 100.03 at 649dm / 9.9y WAL, the coupon is relatively high +650bps (our generic curve 667dm, new issue 675-700bps context) so with the NC is 2023 there is expectation of tightening and inherent callability in this bond which has exemplorary fundamentals as would expect of a 3.0 (ADR 0, Sub80 0, CCC 1.4, Jnr OC cushion 5.5) whilst MVOC is strong at 108.5.  PAIA 2019-1A D is the other BB trade, this covers 98.63 at 709dm / 7.4y WAL with a high coupon +685bps (post NC, EoRP 2024) but fundamentals are weak with ADR 1.7, Sub80 2.2, CCC 6.1 and a cuspy Jnr OC 1.9 whilst the manager’s record is slightly weaker to its peers.

USD CLO AAA

9 trades today, US LL Index flat to Friday close and week on week, whilst -11bps month to date.  Our AAA generic curve has widened slightly to 114dm.  A lower coupon AAA MIDO 2014-3A A3A2 covers 99.90 at 100dm / 3.2y WAL – metrics are weaker with ADR 1.3, Sub80 2.2, CCC 6.6 and Jnr OC cushion cuspy 0.5 whilst the margin is sub-100bps at +97bps. 

USD CLO Mezz/Equity

There are 7 x BBB trades today in a 298dm-410dm range, our generic curve is 328dm which is right on new issue talk 320-330bps.  Solid performing BBBs with coupons > 300bps cover at their par ceilings, eg. SLVER 2014-1A DR which is callable and covers 100.06 at 334dm / 4.8y WAL – ADR 0.5, Sub80 0, MVOC 111.9 and Jnr OC cushion 2.5.  Whilst a bond with a similar EoRP (this year) AWPT 2014-2A DR with a comparable coupon of +320bps covers 98.36 at 356dm / 5y WAL – MVOC is 110.1, ADR is 1.1, Sub80 is 2.1 and Jnr OC cushion is 2.2 whilst ArrowMark’s manager record, especially from a default perspective is far worse than the manager of the SLVER bond, 40/86 Advisors.

USD CLO Mezz/Equity

1 x single-B and 1 x Equity trade today.  The single-B trade is ELMW8 2021-1A F2 (Elmwood) which is a Q1 2021 vintage 3.0 CLO with a high coupon +800bps and trades near par CVR 99.51 at 808dm / 9.6y WAL, with 4.5y reinvestment left with clean metrics (MVOC 107.6, ADR 0, Sub80 0, Jnr OC cushion 5%). so risk adjusted cashflows are strong.

EUR AAA CLO

There are 2 x AAA trades today. They traded around H120s dm. Both have been callable for a long time.

USD CLO AAA

A quiet end to the week with US LL Index flat on the day and only 8 trades today.  AAAs hit their par ceilings (coupon structures 100-120bps) with our AAA generic level 108dm with new issue in +110bps talk.

USD CLO Mezz/Equity

AA trades also hit their par ceilings with new issue +160bps talk, SYMP 2020-22A B covers 100.193 at 167dm / 6.9y WAL (coupon +170bps) and clean 3.0 metrics.  A shorter dated bond GALXY 2018-29A B covers 100.06 at 137dm / 2.1y WAL, this bond although not delevering itself is delevering at the deal level so credit enhancement is improving as the deal is post reinvestment with a very short WAL and very clean fundamental metrics which is rare in post-reinv deals, thus execution is strong.  Our AA generic level is 160dm.  3 x single-A trades with a 3.0 CLO CIFC 2020-2A C trading at its par ceiling (high coupon +270bps) with new issue in +200bps context and our generic level 190dm.  The 2 other single-A trades carry coupons slightly below new issue +180-185bps and reasonably clean metrics, the coupon structure influencing execution levels which are only just shy of par (see PriceABS trade listing for details).

USD CLO AAA

More than 30 trades today across the stack, US LL Index -2bp on the day with spreads remaining firm.  Our AAA generic curve is 111dm with all trades hitting par ceilings today with the exception of RCTTE 2015-1A ARR (Invesco) CVR 99.95 at 109dm / 6.5y WAL which is a reset from March this year (AAA coupon +108bps) with a longer WAL and NC Jan 2023 appearing to be key levers in the execution level given metrics are fairly clean all round and the manager record is strong. 

USD CLO Mezz/Equity

AA bonds trade 162dm-178dm today which is wrapped around our generic AAA curve 171dm.  The Single-A trades today are a mix of high and low coupons and trade near par.  CFIP 2018-1A C hits the par ceiling 100.095 at 243dm / 5.3y WAL – strong MVOC, low ADR, low Sub80 and strong cushions with a high coupon +245bps and the bond is callable.  At BBB, WAL is the key driver of tiering with bonds post reinvestment with strong MVOC/Jnr OC cushions closest to par, trading range is 273dm-419dm with our generic curve 323dm.  At BB, trading range is 546dm-679dm with our generic curve tightening to 672dm, all of the bonds are in reinvestment phase with clean metrics with tiering is driven by coupon structure particularly, eg. GLM 2021-9A E covers 95.58 at 546dm / 7.9y WAL with a low coupon +475bps and NC Jan 2022 with clean metrics.  Single-B bonds trade 928dm-998dm, bond coupons are 765bps-826bps and bonds impaired with ADRs 1.5+ and BLUEM 2014-2A FR2 has a CCC bucket of 10% whilst both bonds have cuspy Jnr OC cushions, especially the Assured bond 0.9%, whilst MVOCs are hovering around 103%.

USD CLO AAA

19 covers today, US LL Index -1bp on the day and a continued tightening theme at BBB and below.  2 x AAA bonds hit their par ceilings including MAGNE 2020-26A A which is callable (NC April 2021) with a high coupon +175bps and clean metrics.  Our generic AAA level remains at 110dm.

USD CLO Mezz/Equity

2 x AA trade with 1 hitting the par ceiling AIMCO 2019-10A B CVR 100.03 at 179dm / 5.9y WAL – coupon +180bps and clean metrics (NC April 21).  On the other hand CEDF 2018-7A B covers 99.98 at 140dm / 4.6y WAL which is post NC but coupon is lower +140bps.  With new issue talk 175-180bps and our generic AAA 172dm this bond clears below par as less callability than the Allstate bond, but given the execution level is very close to par the market is pricing in some tightening.  1 x single-A HLSY 2020-2A C CVR 100.88 at 333dm / 4.8y WAL (coupon +353bps) – this bond hits par ceiling given the high coupon and clean metrics with the bond callable in Jan next year the risk adjusted cashflows are strong.  12 x BBB trade today with 2 trading at a premium to par, the coupons on these are >300bps as seen recently, along with MVOCs >110 and clean metrics.  The remainder of BBBs have coupons < 300 and trade at a discount with the severity of discount driven by MVOC, ADR and Jnr OC cushion dispersions, at the wide end is LCM 14A DR CVR 96.75 at 333dm / 6.4y WAL – MVOC 110, ADR 0.8, Jnr OC cushion 1% and LCM’s performance lagging its peers.  Our generic BBB curve tightens into 329dm.  1 x BB trade today OAKC 2020-5A E hits par ceiling at 624dm / 8.9y WAL – coupon is +625bps and metrics are good with the bond callable in Jan-22, our generic curve is 683dm with new issue in 675-700bps context so the market is pricing in some tightening given the execution level of this bond.  The single-A trade today is ALLEG 2015-1A F which covers at 95h at 716dm / 3.8y WAL, this bond is post reinvestment and delevering, coupon is low +580bps with metrics as follows: MVOC 105, ADR 0.8, CCC 11.7 and Jnr OC cushion 5.2% so with the exception of CCC the metrics are sound for a bond that has no active management capabilities.

USD CLO AAA

First trading seen since end of last week, with 30 covers today across the stack including Equity, the US LL Index is +6bps since end of last week, we have seen some tightening at AAA, single-A and single-B since then.  2 x AAAs don’t hit their par ceilings, firstly MDPK 2018-30A A covers 99.96 at 77dm / 2y WAL primarily due to its low coupon +75bps but also ADR is elevated at 1% as us CCC 12.8% (benchmark manager).  Secondly BCRK 2015-1A AR covers 99.91 at 105dm / 3.6y WAL – this carries a +102bps coupon but we have observed bonds regularly hitting their par ceilings with this coupon structure, cushions are a little on the weaker end but fundamentals look clean, it’s primarily driven by the manager record (weaker to peers) and the fact that it’s an inexperienced manager (4 x CLOs AUM).  Our generic AAA curve is 110dm.

USD CLO Mezz/Equity

At AA, OCTR 2019-7A BR covers below par 99.70 at 168dm / 4y WAL – MVOC is at the lower end 126.95, ADR is high 1.6, Jnr OC cushion is weaker 2.2 and the manager is inexperienced with a weaker track record to peers over the course of 3 US CLOs.  At single-A there has been good execution with trading range 182dm-196dm for coupon structures +180-190bps with little tiering and cash px dispersion of 20c.  Our generic single-A curve tightens to 193dm.  12 x BBB trades today in a 270dm-470dm range and cash px dispersion narrow at 2.5pts.  2 bonds hit par ceilings from AXA and Napier Park, these have strong MVOCs (113-114) and coupons > 300bps.  At the wide end is Wellfleet’s WELF 2017-3A C CVR 97.89 at 319dm / 5.3y WAL – coupon is <300bps (+275bps), CCC is high 9.3, Jnr OC cushion is at the lower end 2.4 whilst MVOC is also at the low-mid end 111.4 and the manager record slightly lagging its peers.  Our generic BBB curve tightens into 334dm.  At BB trading range is 620dm-799dm (4 x trades) with a 4pt cash px dispersion so quite a bit of tiering.  At the wide end is VENTR 2016-24A E CVR 95.00 at 799dm / 4.8y WAL – this bond is post reinvestment and thus performance does lag with MVOC low 103.7, ADR high at 1.4 and Jnr OC cushion cuspy 1.65.  Our generic BB curve is fairly flat at 684dm.  At single-B, cash px dispersion is 2pts with dm range 834dm-1012dm, our generic curve tightens to 940dm.  Risk adjusted cashflows vital at this end of the stack, with Octagon’s OCT21 2014-1A ERR CVR 96.77 at 1012dm / 7.7y WAL – here the coupon is high +950bps with average performance (MVOC 104.3, ADR 0.9, CCC 6.2, Jnr OC cushion 2) whilst CSAM’s MDPK 2017-25A E covers 2pts lower at 94.62 with performance not too dissimilar in aggregate, a higher MVOC 105.8, lower ADR 0.5, higher CCC 10.8, better Jnr OC cushion 3.33 but the coupon is >200bps lower at +725bps which has an influence on execution level.

USD CLO AAA

Another slow day today with 10 covers, US LL Index fell -6bps, first significant fall since month end and we saw some tightening at single-A with some large ticket trades.  At AAA, there is one ‘outlier’ which didn’t hit its par ceiling OZLM 2018-22A A1 (Sculptor) covers 99.98 at 108dm / 3.4y WAL – ADR is elevated 1.6, CCC is elevated 6.4 and Jnr OC cushion is cuspy at 1.7.

USD CLO Mezz/Equity

At AA, 2 trades are below par, with MVOCs lagging below 132 with BLACK 2016-1A A2AR (Black Diamond) at the wide end with MVOC of 126, high ADR 1.8, high CCC 8% and Jnr OC cushion at the low end 2.17% despite a +175bps coupon.  Our generic curve remains at 172dm with new issue 175-180bps talk.  At the single-A level there is good bid today with a trading range of 194dm-195dm with EoRP 2023 in good sizes (14m aggregate) and coupon structure 180bps-190bps, managers are CVC and Octagon.  With new issue talked in L200s and out generic curve shifts tighter to 219dm.  BB trade 623dm-768dm with a 3.0 bond SYMP 2020-22A E (+623bps coupon structure) cover at par 623dm / 8.9y WAL – MVOC is strong 109.3, ADR is low 0.17, 0 Sub80, cushions are strong and the manager Symphony’s record better than peers.  At the other end of the range is ATCLO 2019-15X E CVR 99.21 at 768dm / 7.9y WAL – the MVOC is lower 106.3 and Crescent Capital’s manager record weak which both impact upon execution since other metrics are reasonably clean.  Our generic BB curve remains 680dm with new issue 675-700bps context.

USD CLO AAA

A relatively quieter day with 16m of trading across 8 trades, US LL Index -1bp on the day.  AAA bonds hit their par ceiling (coupon structures >100bps), we keep our generic curve unchanged at 114dm.

USD CLO Mezz/Equity

At the AA level there are 4 trades with 3 hitting their par ceilings (coupon structures +165-175bps) with one trade SHACK 2013-4RA A2A clearing at a discount.  Our generic curve 172dm and new issue in 180bps area context, this bond has a ‘lower’ coupon +160bps, MVOC is in line 126.6, but ADR is high 2.2, Jnr OC cushion is cuspy 1.2 and the manager Alcentra’s record is weaker to peers.  1 x BBB trade from a benchmark name MAGNE 2015-15A DR (Blackrock) CVR 99.94 at 276dm / 6.4y WAL with performance on this shelf excellent as usual with all metrics clean, the bond has a lower coupon +275bps than our generic curve 355dm (new issue in LM300s) but this name does trade more expensive.  1 x BB trade, a 3m clip of a recent vintage static CLO PSTAT 2021-1A D which covers 100.84 at 580dm / 4.9y WAL, performance is clean and with the static nature of the deal this bond will be highly sought after with excellent risk adjusted cashflows at 580dm / 4.9y WAL.

EUR AAA CLO

Just 2 x AAA trades today. They traded around 130dm. Both are callable.

USD CLO AAA

Further to the holiday weekend pause there is a characteristic small flurry of flow today with IG and SubIG trades, whilst the US LL Index +3bps on the day (+6bp on June month end).  2 x AAA 1st pay trades, both low coupon (+88-92bps) and do cover at their par ceilings given their short WALs <1y (both deals delevering significantly), whilst our generic AAA dm remains 114dm. 

USD CLO Mezz/Equity

At single-A OCP 2014-6A BR covers 100.06 at 214dm / 5.1y WAL (EoRP 2022 / coupon +215bps).  Our generic single-A curve is 242dm with new issue talked +215bps-235bps so this bond has impressive execution given its callability, the performance is mixed with a high ADR 1.5 with other metrics reasonably clean and Onex’s manager record good.  The BBB trade today is PSTAT 2020-1A C which covers above par 100.13 at 246dm / 3.9y WAL – this is a seasoned static CLO from Palmer Square and as such trades well inside our generic reinvesting BSL CLO dm of 356dm.  7 x BB trades today in a 653dm-755dm range and 4pt cash px dispersion and our generic BB level is 684dm.  At the tight end of this range is CFIP 2017-1A E (CFI Partners) CVR 98.52 at 653dm / 5.4y WAL (+620bps coupon)- clean deal fundamentals, good manager record and a strong MVOC 107.3 contribute to the execution level here.  WELF 2018-1A E covers at 94.63 at the same dm 653dm / 6.6y WAL but has weaker metrics with MVOC 106.9 (vs 107.3), ADR 0.24 (vs 0.77), CCC 7.2 (vs 3.3), Jnr OC cushion 3.8 (vs 4.3), margin is lower +550bps (vs +620bps) and the manager record is weaker to CFI which is better than benchmark.  So for a 1y longer WAL, lower risk adjusted cashflows with some marginal credit weakness and manager tiering this bond trades 4pts back to a benchmark bond which really does put into perspective the fine lines of tiering at this rating level.

EUR AAA CLO

We got our first EUR BWIC trades today in a while. There are 6 x AAA trades today.  The trading range is from 122dm to 182dm. All the bonds are performing well with MVOCs around 162% and Jnr OC cushions of around 4.5%.