USD CLO Mezz/Equity

Only 6 mezz covers to round off the week with 13m of liquidity, US LL Index -1bp on the week.  All trades hit par ceilings with the exception of a BB original rated (now B+) LCM 21A ER which covers 99.61 at 585dm / 4.6y WAL – this bond is post reinvestment and has a ‘low’ coupon of +575bps, has a MVOC 2pt lower to benchmark at 107, elevated ADR 1.3 and Sub80 bucket 2.4 whilst the manager LCM AM’s track record is weak to peers, especially in managing cushions which are key to lower mezz investors, so execution does lag on this bond which is from a delevering deal.  Our BB generic index is 672dm with new issue in M600s area.

USD CLO AAA

56 covers today across the stack with almost $150m of liquidity, spreads a touch softer across mezz but AAA remains unchanged, US LL Index is flat dod.  AAA bonds all trade at par ceilings.

USD CLO Mezz/Equity

At the AA level three of the four trades are MM CLOs which trade at par ceilings with the exception of MCMML 2018-1A B (coupon is <200bps at +175bps) CVR 99.75 at 182dm / 3.8y WAL – MVOC is at the lower end 147.8 with other metrics broadly in line.  At the BBB level there are 9 trades in a 2pt cash px dispersion and dm range 292dm-506dm with the majority of trades hitting par ceilings, there is one outlier trade VIBR 2016-4A DR CVR 98.55 at 458dm / 7.1y WAL – MVOC is low 109.8, ADR is high 1.6, Sub80 bucket is high 2.5 and Jnr OC cushion is at the lower end 2.2 whilst the higher coupon +433bps doesn’t compensate in terms of risk adjusted cashflows and hence execution is at a discount.  At the BB level there are 22 trades / 45m notional over a 12pt cash px dispersion and dm range 537dm-925dm, our BB index widens slightly to 683dm with new issue in M600s area.  NEUB 2019-31A ER covers at par ceiling at 647dm / 7.6y WAL (coupon +650bps and EoRP 2024) with a strong MVOC 107.8 despite an elevated ADR 1.2 there is strong cushion (Jnr OC cushion 4.1), low Sub80 0.3.  At the wide end is BLACK 2016-1A DR with CVR at 88.45 at 799dm / 6.4y WAL (EoRP 2023 / bond coupon +560bps) – MVOC is low 105.6, ADR 1.7 with the manager Black Diamond’s record is mixed with a higher default record than peers and in line with this transaction, whilst the bond coupon is well short of new issue levels.  4 x single-B trades 936dm-1156dm with a 10pt cash px dispersion, MDPK 2015-17A FR covers 91.06 at 936dm / 6.6y WAL and trades close to our B index (931dm) – MVOC is at the high end of single-Bs 104, Sub80 bucket is healthy 0.98, Jnr OC cushion 2.5 with a coupon +748bps.  At the wide end is ATCLO 2018-10A F CVR 81.31 at 1148dm / 7.9y WAL – MVOC is a pt back at 103, ADR is elevated 1.5 and Jnr OC cushion is cuspy at 1.3 whilst coupon is comparable to the CSAM bond at +772bps. 

EUR AAA CLO

It’s a massive day’s trading today with 51 EUR bonds in total. 24 of these are AAA. Just about all the trades are between 110dm and 120dm. Jubilee 2015-15 is an exception because it is amortising, it traded at 84dm.

USD CLO AAA

42 covers today, spreads relatively unchanged whilst US LL Index -2bp dod.  1 x AAA trade today which is a 2nd pay BABSN 2017-1A A2 covers at par ceiling 135dm / 6y WAL.

USD CLO Mezz/Equity

1 x single-A trade ALINE 2018-1A C which covers at par ceiling, bond coupon is +190bps with new issue in +210bps guidance there is a tightening theme in terms of execution levels, albeit this bond has strong performance (MVOC 122, ADR 0.6 and Jnr OC cushion 3.2) from a benchmark manager Invesco.  BBB new issue levels are +315bps area, a tighter tone today in secondary with bonds with coupons < 300bps and still in reinvestment hitting par ceilings, eg. TICP 2017-9A D from Sixth St (bond coupon +290bps) covers at par at 288dm / 5.1y WAL – granted this bond has strong metrics - MVOC 113.8, low ADR 0.4, low Sub80 bucket 0.5 and strong cushions.  Away from this bond, trades that are at a discount typically carry coupons <300bps with the exception of TIA 2016-1A DR (coupon +350bps) which covers at 99.66 at 357dm / 5.6y WAL – MVOC is at the low end 110.5, ADR is elevated 1.2, WARF 3054 whilst the manager has a weaker default record vs peers.  24 x BB trades in a 12pt cash px dispersion and dm range 562dm-888dm, 2 bonds within their reinvestment period (2024-2025) hit par ceilings, NEUB 2019-35A E and OAKC 2019-4A E with bond coupons +700 / +610bps respectively, the MVOC are strong on these circa 108, ADR is low and Jnr OC cushions very strong 5-5.5.  Our BB index is 680dm with new issue guidance +650bps area.  One single-B trade OCT22 2014-1A FRR CVR 87.75 at 1015dm / 7.6y WAL, our single-B index is 915dm, bond coupon is +775bps whilst metrics are weak on this bond MVOC 103.3, ADR 1, Sub80 2 and Jnr OC cushion weak at 1.6 whilst the manager Octagon’s record is a shade weaker to benchmark.

EUR AAA CLO

Just the one AAA trade today. Hayfin Emerald 7 traded at 100.06 / 113dm.

USD CLO Mezz/Equity

22 covers today following the pause with the holiday weekend, mainly lower mezz with little movement in spreads whilst US LL Index -2bp dod.  BBB bonds trade 261dm-476dm with a 5pt cash px dispersion, our BBB index is 333dm with new issue in +315bps guide area.  5 x BBB trades hit par ceilings CPARK 2015-2A DR and TRMPK 2015-1A DRR are both post-reinvestment and have strong MVOCs (117-119.5) with low ADRs and very strong Jnr OC cushions and as such trade at a small premium despite coupons <300bps.  With regards to bonds within reinvestment there are 3 bonds that hit par and they have strong MVOCs 112-113, low ADRs <0.75 with strong cushions along with coupons > 300bps.  For instance WELF 2017-2A C covers at 100 at 340dm / 4.8y WAL – MVOC 111.6, ADR 0.7, high CCC 8.2 and despite a mediocre Jnr OC cushion the higher coupon +340bps this does manage to cover at 100.00.  At the wide end is OCTR 2014-5A DRR despite the higher coupon +345bps covers at 95 at 445dm / 5.8y WAL - weaker MVOC 109.8, elevated ADR 1.6, Jnr OC cushion 2.1 whilst the manager Five Arrow’s track record is weaker than it’s peers (eg. WA ADR 1.6 across it’s CLOs).  Two x BB trades, one is from a delevering deal from Galltin GALL 2017-1A E CVR 99.83 at 546dm / 3.3y WAL with a strong MVOC 108.2 and strong Jnr OC cushion 5% hence the strong execution level despite the lower coupon +540bps.  The other trade is more archetype of existing secondary levels (our BB index is 678dm), Anchorage’s ANCHC 2015-6A ER covers at 98.65 at 665dm / 5.6y WAL – MVOC is 106.8, ADR 0.6, CCC 6.8, Jnr OC cushion is 2.5 with a strong deal NAV and coupon +635bps which is not far off new issue whilst the manager’s record is close to / a touch shy of benchmark.

USD CLO AAA

20 covers today, spreads unchanged and US LL Index +2bp on the day.  AAA bonds continue to hit par ceilings and our AAA generic index is unchanged at 105dm, for example BSP’s BSP 2015-8A A1AR with a +110bp coupon covers 100.09 at 107dm / 3.1y WAL (EoRP 2023) with clean metrics, this bond is a fair reflection of market levels for an archetype AAA.

USD CLO Mezz/Equity

At single-A there are 3 trades, coupons on the bonds are 230bps-245bps with new issue +210bps guide / our generic secondary index 213dm, although the coupons are ‘callable’ with the exception of MP10 2017-1A C which has a NC in 3 months the elevated ADR levels (up to 1.6) and weaker Jnr OC cushions (1.5-1.9) push these to a small discount and trade 231dm-251dm.  At the BB level there are 5 trades with an 8pt cash px dispersion and dm range 600dm-854dm, new issue guide is +650bp guidance and our generic secondary index is 646dm, the outlier trade is VENTR 2017-27A E that covers at 90h (coupon +635bps / EoRP 2022) at 854dm / 5.6y WAL – MVOC is low 104.5, ADR is elevated 1.3 and MJX’s manager record is weak to peers pushing execution wide to benchmark levels.  At single-B the bonds are typically from deals that are delevering or soon to be delevering and trade 710dm-937dm with our generic index 880dm, at the wide end is GoldenTree’s GOLD9 2014-9A FR2 which has a coupon of +764bps / EoRP of end Oct 2021 and covers at 93.12 at 937dm / 5.1y WAL – MVOC is low 103 whilst Jnr OC cushion is at the lower end 2.2 and Annualised par build -0.5, so risk adjusted cashflows versus new issue high coupon are low hence the weaker execution.

EUR AAA CLO

Just the 3 x AAA trades today. All three traded around par and 110dm. All three have similar margins at around 72bps and become callable in 6 months to 1 year.

USD CLO AAA

30 covers today with >$105m of liquidity, US LL Index +5bp with spreads largely unchanged.  At AAA a small clip of a 3.0 MM CLO CERB 2021-3A A (coupon +156bps / EoRP 2025) covers at par ceiling 155dm / 5.4y WAL.  AAA index remains at 105dm.

USD CLO Mezz/Equity

1 x AA trade ARES 2020-55A BR covers at a premium 100.34 at 165dm / 7.9y WAL, this bond has a +170bps coupon and EoRP 2026 with clean 3.0 metrics.  AA new issue +165-170 so this bond has good risk adjusted returns.  At single-A there are 6 trades, new issue guide is +210bps with bonds with coupons >200bps hitting par ceilings whilst GLM 2017-1A CR2 (+180bps coupon) and KAYNE 2021-10A C trade at a small discount (+175bps coupon) both with clean metrics.  Our single-A index is 212dm.  At BBB there are 8 trades with new issue guide +315bps and bonds with coupons >300bps hitting par ceiling with the exception of SHACK 2014-5RA D (+315bps coupon) which has an elevated ADR 1.03, higher Sub80 bucket 2% and a lower Jnr OC cushion (2.6) than benchmark (4+).  Our BBB secondary index is largely unchanged at 323dm.  4 x BB trades 729dm-856dm with all bonds trading at a discount to par, new issue guide is +650bps with all bonds carrying coupons <+700bps and high ADRs (1-3%), cuspy Jnr OC cushions along with higher CCC buckets (4-7.5%) and MVOC driving tiering further.  Our secondary index is 644dm.  3 x single-B trades 974dm-1165dm, the 3 bonds have credit issues hence the wider dm’s and low execution levels – this cluster has CCC buckets (7-10), high ADR 1.3-2.4 and low Jnr OC cushions (<2%) with Alcentra’s SHACK 2013-3A FR at the wide end CVR 85 at 1165dm / 5.7y WAL (MVOC 102.5) with +802bps coupon.  Our single-B secondary index is 930dm with new issue guidance in similar context where offered.

USD CLO AAA

50 covers today with >200m of liquidity across the stack, US LL Index -3bp.  At AAA all trades are at par ceilings including the likes of VOYA 2018-1A A1 which has an EoRP of 2023 with a coupon of +95.  Our secondary generic index is 105dm.

USD CLO Mezz/Equity

At AA trades also hit par ceiling with the exception of GALXY 2015-19A A2RR which covers at a small discount 99.99 at 140dm / 4.4y WAL, the coupon on this bond is +140bps with new issue guidance wider at 165-170bps, metrics are clean.  At single-A two 3.0 recent vintage bonds with identical coupons +190bps trade at a small discount 99.91 at 191dm / 8.4y WAL since new issue is now guided in +210bps area which is aligned with our generic secondary index.  At BBB, our index is 324dm with new issue guidance +310bps area, 3 x 3.0 bonds with coupons <300bps trade at a small discount to par.  At BB, our index is 642dm (new issue guide is +650bps area) with a number of distressed bonds trading today in the 80s.  At the firmer end of the scale CIFC 2020-4A E covers at 100.78 at 673dm / 9.4y WAL, this bond has EoRP 2026, a strong MVOC 109.2 and clean metrics given it’s a 3.0 and carries a +685bps coupon, hence strong risk adjusted cashflows.  There are 3 x distressed Zais bonds that trade in the 80s in a 951dm-1045dm range whilst the bonds have an ADR range 2.5-3.6, Sub80 bucket 2.7-5.1 and bloated CCC buckets 7.5-8.8 whilst ZAIS8 2018-1A E and ZAIS9 2018-2A E are PIKing.  At single-B, there are two trades in a 624dm-816dm range, both bonds have reasonable performance (eg. MVOC 104.2-107.5) and are delevering with strong cushions hence the strong execution.

USD CLO AAA

Just shy of 40 trades today with >$100m of liquidity, US LL Index +1bp.  1 x BSL CLO AAA trade today VENTR 2018-34A A with a coupon +123bps hits par ceilingat 121dm / 3.9y WAL with clean metrics. 

USD CLO Mezz/Equity

At the single-A level there are 11 trades, new issue guide is 210dm with all bonds of coupons > 200bps hitting par ceilings with one exception, MDPK 2018-28A C covers at par ceiling with a coupon +185bps but has a strong MVOC 122.2, clean metrics and strong manager track record.  25 x BBB trades today with a 5pt dispersion from par ceiling and trading range is 281dm-429dm, new issue guidance is +315bps (secondary generic index is 323dm).  A number of bonds hit par ceiling with common traits including coupons >300bps, strong MVOC 112+, WARF <3000 and ADRs generally <1% (see PriceABS trade listing).

USD CLO AAA

Just one trade today whilst US LL Index +3bp on the day, a recent vintage (July 2021 close - pre-1st trustee report) 3.0 MM CLO AAA from Antares Cap ANTR 2021-1A A1 with a high coupon +153bps trades up CVR 100.23 at 148dm / 4.9y WAL (NC 2023 / EoRP 2025).

USD CLO AAA

First trading day of the month saw 18 trades and US LL Index -7bp on the day.  1 x AAA trade MAGNE 2020-26A A1R in good size 9m trades at it’s par ceiling at 106dm / 6.7y WAL, this is a 3.0 bond with clean metrics from a benchmark manager Blackrock. 

USD CLO Mezz/Equity

1 x AA CIFC 2012-2RA A2 with a coupon +125bps trades at a small discount 99.98 with new issue talked up to 40bps wider but the deal is delevering so the wal is short with dm / wal 126dm / 2.6y WAL.  Most of the liquidity today is in single-A with 12 trades, with the majority of trades either at their par ceiling or very close to it, the generic secondary index is 201dm with new issue talked +205bps whilst the vast majority of bonds carrying coupons <200bps and meeting good execution levels mentioned.  1 x BBB trade OZLMF 2013-4A CR (EoRP 2022 / margin +335bps) covers at a discount 98.75 at 361dm / 5.4y WAL, with the generic secondary index standing at 328dm and new issue +310bps the execution level is driven by weaker performance – ADR elevated 1.2, Jnr OC cushion is cuspy 0.5 and Sculptor’s manager record is weaker to peers.  3 x BB trades in a 2.5pt dispersion and range 613dm-754dm with a mix of long / short EoRP.  Our generic secondary index is 634dm whilst APEXC 2020-1X E1 with a margin +756bps / EoRP 2023 hits its par ceiling in terms of execution, this is a 3.0 bond with clean metrics (MVOC 110.8, 0 ADR, 5.1 Jnr OC cushion) and a high coupon.  On the other hand OZLM 2015-14A DRR with also a high margin +701bps but longer EoRP 2026 covers at 97.52 at 738dm / 9.9y WAL – ADR elevated 1.1, MVOC lower 107.7 and manager track record weak.

EUR AAA CLO

Toro 6 traded at 100.04 / 125dm. It is not callable and priced to maturity.

USD CLO AAA

32 trades today which is month end across all rating levels, US LL Index +1bp dod with mild tightening at senior mezz.  Only 2 x AAA trades today which hit par ceilings and trade either side of our secondary generic index level 103dm.

USD CLO Mezz/Equity

Our generic secondary index for AA tightens slightly to 152dm, with new issue talked at +165bps with VOYA 2016-4A B1R (+155bps coupon) well bid at par ceiling 150dm / 2.9y WAL with the deal delevering with EoRP back in January.  SNDPT 2013-1A A2R covers at a discount 99.94 at 146dm / 4.4y WAL (coupon +145bps) given the 20bps disparity with new issue (EoRP 2023).  Single-A trades all hit par ceilings (generic secondary index 211dm / new issue +205bps), with the exception of 2 delevering bonds MP8 2015-2A CRR (EoRP 2026) has a high coupon +230bps with clean metrics and strong cushions with cover 100.07 at 229dm / 8.2y WAL.  At BBB, one bond doesn’t hit par ceiling VIBR 2017-6A D covers 99.51 at 401dm / 5.1y WAL, our generic secondary index is 333dm with new issue +310bps whilst the bond does have a high coupon +390bps but ADR is elevated 1.3 and Jnr OC cushion is low at 2% whilst the manager has a weak record vs peers.  At BB there are 17 trades with a 9pt cash px dispersion and dm range 600dm-851dm, our generic secondary index is 627dm with new issue +650bps with 2 bonds that trade at a premium to par with coupons +725-855bps and close to NC.  The remainder of BBs tiered by MVOC with execution severity compounded by bonds with lower Jnr OC cushions and high ADRs.  3 x rare single-B trades, the bonds all have credit weakness (ADRs 1.1+) with cuspy MVOCs 102-103 and weak Jnr OC cushions rated CCC+ current and cover in mid 80s in cash px terms with dm ranging from 1097dm-1165dm but are certainly not indicative of benchmark single-B levels.

USD CLO AAA

24 covers today, spreads generally stable and US LLI +3bp on the day.  $46m of AAA liquidity with our secondary generic at 103dm as trades continue to achieve their par ceilings including bonds with coupons < 100bps and at least 2y reinvestment remaining, which remains a positive theme.

USD CLO Mezz/Equity

One single-A trade SNDPT 2013-3RA C (EoRP 2023) which covers at a small discount 99.27 at 241dm / 4.9y WAL, our generic secondary index is 213dm with new issue talked +205bps and with the coupon on this bond +225bps the bond trades at a discount given some fundamental weakness – ADR is elevated 1.1, Jnr OC cushion is cuspy at 1.2 whilst Sound Point’s manager record is slightly back to peers.  13 x BBB trades with a 2.5pt cash px dispersion and dm range 275dm-469dm.  BLUEM 2019-24A D2R which reset in May (to EoRP 2026) has a high coupon +475bps and clean metrics does cover at a premium 100.41 at 469dm / 8.7y WAL.  Our generic secondary index for BBB is 335dm with new issue in +310bps area.  A lower MVOC of  110.5 has an impact upon execution (CVR 98.65) SNDPT 2018-3A C which has a coupon > 300bps at +330bps, whilst CGMS 2017-3A C has a low MVOC 109.3 but also a cuspy Jnr OC cushion 1% and covers back to this at a cash px of 98 at 382dm / 5.4y WAL.  Just 2 x BB trades today with dm range 658dm-706dm whilst our BB secondary generic index is at 623dm and new issue guide is +650bps.  Coupons on today’s trades are +650-670bps so have limited callability so execution is below par, furthermore WINDR 2013-2A E1R covers more than a point back to MDPK 2015-17A ER (similar MVOC/margins) but driven by a very high ADR at 1.6.

EUR AAA CLO

The 2 x AAA trades today both traded at 121dm. Both are callable. Willow Park is close to its RPE date and has a short 2.4yr WAL to maturity.

USD CLO AAA

30+ covers today across the stack, US LL Index +1bp on the day and spreads largely flat and a very similar theme for AAA bonds which all trade at par ceilings.

USD CLO Mezz/Equity

AA bonds also hit their par ceilings, new issue guidance is +165bp area with a 2021 vintage CEDF 2021-14A B coupon +160bps trading at a premium to par at 158dm / 5.9y WAL, market is well bid.  1 x BBB trade HLA 2014-2A C which is post reinvestment with a coupon of +350bps and covers at 97.3 at a very high dm 510dm / 1.8y WAL, this bond has credit issues – ADR is high 4.3, Sub80 is 36%, CCC 31% and Jnr OC test breached with the tranche still current but the D tranche immediately below PIKing.  15 x BB trades with an 8pt swing in prices and dm range 543dm-810dm, our generic secondary tightens slightly to 623dm with new issue in similar context 625-650bps.  3 x BBs hit par ceilings, all of them have EoRP in 2024 and recently passed NC, clean metrics and coupon structures are north of 690bps.  At the other end of the scale is OCTR 2014-5A ERR from Five Arrows, an inexperienced manager, has weaker metrics – MVOC is low 104.3, Jnr OC cushion 2.1 and ADR is elevated 1.6 despite the +650bps coupon and EoRP in 2023 this trades significantly back to benchmark bonds.

USD CLO AAA

7 covers today, US LL Index +5bp on Friday close with spreads largely unchanged.  AAA bonds hit their par ceilings, including a short dated PineBridge bond GALXY 2017-23A AR (EoRP April 2021) with a low coupon +87 CVR 100.19 at 92dm / 2.4y WAL with clean metrics (ADR 0.5, Sub80 0.2, Jnr OC cushion 3.1) whilst the deal delevers.

USD CLO Mezz/Equity

AA bonds also hit par ceilings, coupon structures are +140-150bps, our generic secondary is 153dm with new issue guidance wider at +165bps area, implying a tightening tone with the execution levels on lower coupon AAs.  TALPK 2021-1A B is a recent high quality 3.0 and covers 100.09 at 148dm / 7.7y WAL – 0 ADR, 0.4 Sub80, 6.4 Jnr OC cushion.

EUR AAA CLO

There are 4 x AAA trades today. The cover prices disclosed are only given in a range so it is hard to be exact about the spreads they traded at. It looks Bastille 2020-3 traded around 134dm while the others are in the M110s spread range.

EUR AAA CLO

There is just the one AAA trade today. Aurium 6 traded at 99.76 / 115dm.

USD CLO AAA

19 covers today, US LL Index +2bp whilst BBBs softened.  AAA / AA bonds hit par ceilings across the board.

USD CLO Mezz/Equity

7 x BBB trades 390dm-489dm range with spreads having a softer feel, new issue is talked in L300s (our generic secondary 328dm) but despite most of today’s bonds pre-NC there is limited positive impact upon execution with little creep to par at this end of the capital structure, note that today’s trades are inherently weaker fundamentally with average Jnr OC cushion only 1.5% and ADRs generally elevated so not a reflection on archetype BBB.  BB trade 804dm-837dm today, VENTR 2019-36A E has an EoRP of 2024 and coupon +692bps covers at a large discount 93.81 at 804dm / 7.7y WAL – ADR is elevated 1.2, CCC is high 6.3, MVOC is at the low end 104.4 and the manager MJX has weaker creds to peers whilst NC is 4m away with little inherent callability given the weakness.  One rare single-B trade today AMMC 2014-15A FRR covers at 91.38 at 1072dm / 7.9y WAL, bond coupon is 919bps whilst Jnr OC cushion is weak at 1.3% / MVOC 103.5 but ADR 1.1 and CCC 3.1 don’t appear to be elevated whilst the bond is current on it’s coupon.

USD CLO AAA

41 covers today, US LL Index +2bp with some mild spread softening at BBB.  AAA bonds hit par ceilings, whilst a second pay TICP 2019-14A A1B (Sixth St) also hits it’s par ceiling at 170dm / 7.7y WAL / clean metrics / +170bps coupon.

USD CLO Mezz/Equity

3 x AA trades at par ceilings, margin structures +140-155bps and trading 139dm-154dm with our generic secondary tightening slightly to 153dm.  10 x BBB trade 304dm-426dm with our generic secondary widening to 316dm, bonds with coupons < 300bps with poorest execution inside a cash px of 95, with the exception of BSP 2015-8A CR which covers at 96 at 351dm / 5.2y WAL (coupon +275bps) with good performance (ADR 0.7, Jnr Oc cushion 2.6) and a shorter WAL (EoRP Jan 2023).  16 x BB trades with almost a 10pt cash px dispersion and dm range 586dm-761dm, 4 bonds hit par ceilings having coupons > 680bps, our generic secondary is 624dm with new issue in similar context.  At the wide end is LCM 14A ER CVR 91 at 715dm / 6.7y WAL (coupon +550bps), EoRP Jul-23, MVOC is low 104.4 and Jnr OC cushion is cuspy 1%whilst CGMS 2014-2RA D also covers at 91 and has a low coupon +535bps dm at 703dm / 6.5y WAL – also a low MVOC 104.7 but high ADR 2.3 and also a cuspy Jnr OC cushion 1.3%.

EUR AAA CLO

There are 6 x AAA trades today. One of them is fixed rate, the Dryden 48 2016 A2R bond, which traded at 100.13. Toro 4 (FKA Toro 1) is in amortisation and traded at 136dm. Madison Park 14 has a high margin and traded at 148dm. The other three trades were between 115dm and 119dm.

USD CLO AAA

19 covers today with around $50m of liquidity, US LL Index rebounds +6bp on the day whilst spreads are flat overall.  At AAA there are some rare Middle Market CLO trades, which a similar theme of execution at par ceiling, whilst there is a more impaired deal FCO 2015-6A that has a 1st and 2nd pay AAA trade, the ADR is high 2.3, Sub80 is also high at 5.9% trading at a small discount at 140dm and 164dm respectively. 

USD CLO Mezz/Equity

At the BBB level there is a 7pt dispersion at 282dm-500dm, with new issue in +305bps context with our generic secondary 298dm.  At the tight end KAYNE 2020-7A D which is a 3.0 covers at its par ceiling (coupon +295bps) with clean metrics and 4y reinvestment period remaining.  At the wide end is MCLO 2018-12A C which covers at 93 at 500dm / 5.4y WAL – the ADR is elevated 1.6 and Jnr OC cushion is cuspy 0.5, risk adjusted cashflows are weak.  2 x BB trades 663dm-697dm with trades at a small discount to par, new issue guidance for benchmark BBs is +625bps with our generic secondary at the same level.  Despite coupons on the two trades > new issue (644bps-685bps) with the long reinvestment periods (out to 2024/2025) investors are less likely to bid for this at par given the volatility at the BB level in taking a 3-4y view.

USD CLO Mezz/Equity

12 covers today, all low mezz, US LLI softened 6bp on the day.  4 x BBB trades all hit par ceilings (bond margin structures > 300bps) whilst new issue context is L300s and our generic secondary level is 296dm, GWOLF 2020-3RA CR (coupon +335bps) trades slightly back (CVR 100.05) to TICP 2017-7A DR (coupon +320bps) at 100.1 given the Greywolf bond has an elevated ADR at 1.9%.  8 x BBs trade in a 5pt cash px dispersion and 564dm-733dm with margin structure the key lever for execution, with new issue context 625bps (CSAM’s MADISON PARK FUNDING XXXIX BB pricing yesterday +625bps.  Bonds with coupons above new issue context hit par ceilings with tiering thereafter driven by the margin structure predominantly, TIA 2017-2A E (coupon +590bps) covers at the lowest price 95.05 at 691dm / 6.2y WAL with the MVOC 2pts lower at 105 than benchmark bonds in 107 context whilst the Jnr OC cushion is also lower than benchmark bonds at only 2.2%.

USD CLO AAA

25 covers today, all IG with $21m of liquidity, US LL Index +18bps week on week with spreads largely firm to flat on the same period.  All the 21 x 1st pay AAAs hit their par ceilings, including bonds with coupons <100bps, our generic AAA level is 100dm.

USD CLO Mezz/Equity

3 x AA trades today, new issue talk in 160s context (our generic secondary 156dm) and the 3 covers are at par ceilings (coupons > +165bps), eg. ANCHC 2013-1A A2R CVR 100.044 at 164dm / 4.1y WAL (EoRP end 2022) with a +165bps coupon and clean metrics.  1 x BBB trade VOYA 2018-1A C (EoRP 2023) covers at a discount 98.19 at 293dm / 6.2y WAL, with new issue in L300s context / generic secondary 295dm the margin structure of this bond +260bps drives the execution to a discount given limited callability despite the clean metrics on the deal / bond, whilst the manager does have weaker metrics as compared to benchmark so a secondary driver on execution.

USD CLO AAA

14 covers today with almost $70 m of liquidity, US LL Index +3bp.  All AAA trades hit par ceiling with bond coupons as low as +95bps.

USD CLO Mezz/Equity

1 x AA trade ANTR 2018-1A B (Antares) covers at a small discount 99.71 at 172dm / 4.7y WAL, new issue in M160s context (bond margin at new issue levels +165bps) whilst Sub80 bucket is high at 4.5%.  BBB trades hit par ceiling with coupons <300bps, new issue +315bps context and our generic secondary level 305dm.  2 x BB trades both at a discount and trade in a narrow dispersion 737dm-743dm given margin structures 701/715bps, new issue in 650-700bps context whilst our secondary generic is 631dm, both trades carry elevated ADRs >1%, higher CCCs circa 6% whilst Jnr OC cushion on OCT14 2012-1A DR is cuspy at 1.5% and a low MVOC 104.5.

EUR AAA CLO

Only 1 x AAA trade today. Madison Park 8 traded at 100.05 / 132dm.