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.

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.