USD CLO AAA

Just over 30 covers today as liquidity starts to pick up following the holiday weekend, there are trades across the capital stack, whilst US LLI +4bp on the day.  AAA hit their par ceiling with 2 bonds trading at a slight discount given a combination of low MVOC and credit deterioration, particularly the impact of loan price migration in the underlying to below 80 and the manager records (Vibrant and Nassau) below average.  We maintain our AAA generic curve at 117dm.

USD CLO Mezz/Equity

At the AA level our generic curve is 170dm, whilst BMMC 2019-1A A2A covers at it’s par ceiling given the coupon structure (+270bps), whilst OCT21 2014-1A A2R3 covers at a discount 99.70 at 146dm.  At single-A our generic curve is 223dm and there is one bond OCT21 2014-1A BR3 that lags the others with a CVR 99.36 at 185dm (EoRP 2024), notably the coupon is low +175bps and cushions a little weaker than peer bonds that trade at par ceilings.  At BBB the trading range is 281dm-410dm and our generic curve tightens into 360dm, MVOC and Jnr OC cushion levels have a pronounced effect on execution levels at this end of the spectrum, especially as MVOC dips below 110.  At BB the trading range is 10pts in cash px terms and dm range is 622dm-819dm given the plethora of profiles trading today.  Our generic curve remains at 666dm, ARES 2016-40A DR covers closest to par at 99.38 – strong MVOC 105.2, low ADR 0.6, Sub80 low 1.2 and bond coupon +635bps (EoRP October this year so shorter WAL).  At the other end of the trading range is SNDPT 2013-1A B2R CVR 89.78 at 755dm / 6.5y WAL – lower MVOC 104.5, ADR higher 1.05, bond coupon lower at +550bps and manager record (Sound Point) weaker to peers including Ares (above).

USD CLO AAA

11 trades today, all at the senior end with 10 x AAA 1st pay.  All AAA bonds trade as we have seen for some time now, at their par ceilings including bonds with coupons into the mid-90s.  US LLI continues it’s ascent with +2bp on the day and our generic AAA curve flat on the day at 117dm. 

USD CLO Mezz/Equity

One AA bond ALM 2016-18A A2R covers at par ceiling 163dm / 3.2y WAL, coupon is +165bps and our generic AA curve tightens slightly to 174dm.

EUR AAA CLO

There are 4 x AAA trades today. They have all traded between 120 and 122dm.

USD CLO AAA

As expected a quiet finish to month end with the Memorial Day weekend ahead.  Two AAA bonds trade at their par ceilings (coupon +115-125bps) with clean metrics all round.  We have shifted our generic secondary curve into 117dm for month end.  US LLI is +2bp on the day and +36bps on April month end. 

USD CLO AAA

30 trades today ahead of a slowdown due to Memorial weekend.  All mezz and US LLI was flat on the day, we see a little tightening effect on single-Bs.  At single-A our generic curve is 219dm whilst new issue is as tight as 180a for shorter refi and new issue in L200s context.  As such, bonds with coupons lower than 200bps struggle to hit par ceilings, whilst there is an outlier trade ZAIS8 2018-1A C CVR 96.41 at 262dm / 4.5y WAL – MVOC is low 115, ADR is extremely high 4%, Sub80 bucket is also high at 4.6%, CCCs are high at 8.9%.  At BBB there is a 5pt dispersion in cash px and dm range is 266dm-494dm whilst our generic curve is 365dm and new issue in L300s context.  Bonds with coupons <300bps struggle to hit their par ceiling and credit effect on those bonds with coupons >300bps impacts upon execution.  At the wide end is MCLO 2019-1A C CVR 95 at 494dm / 7y WAL where coupon is +407bps with an EoRP 2024 and the bond is callable – but ADR is high 2.3, Jnr OC cushion is weak at 1.6 whilst the manager’s record is particularly weak vs peers impacting upon execution price.  At BB the dm range for trades today is significant 545dm-811dm whist our generic curve widens very slightly to 663dm, new issue is in similar context perhaps slightly tighter 640-650a.  Bonds with a 6-handle coupon and good performance cover close to par whilst those bonds with minor deviance in MVOC <105 tend to trade at a more pronounced discount with the severity driven by ADR or Jnr OC cushion performance.  MDPK 2016-22A ER covers at it’s par ceiling (+670bps coupon) and has a 106 MVOC, low ADR 0.5 and strong Jnr OC cushion >4%.  A single-B there is a very short dated bond BABSN 2014-IA E which covers MH90s at 675dm which is more in line with BBs but the WAL is very short at 2.95y as the deal is delevering but despite that MVOC and Jnr OC cushions are strong.  There are 2 further trades in 90-L90s area 882dm-985dm and we tighten our generic curve into 943dm, with very little primary supply of this rating band there is good execution in the secondary market for 1-2m clips.

EUR AAA CLO

There are 2 x AAA trades today. Vendome 2020-1, which has been reset for value 20 July 2021, traded at 100.28 because of its high margin of 186bps. Purple Finance 2 traded at 100.13 / 136dm.

USD CLO AAA

More than 40 covers today across the capital stack.  US LLI is largely flat on the day (+1bp) and we tightened our curves slightly across all ratings.  AAA 1st pays hit their par ceilings and do so for bonds with coupons as low at +96bps (BCC 2018-1A A1) as we have also seen this week.  Furthermore we have another 2nd pay datapoint CANYC 2014-1A A1BR covers at a discount 99.76 at 121dm given it’s particularly low coupon +117bps.  We have tightened our curve to 120dm.

USD CLO Mezz/Equity

AA trade 125dm-180dm and we tighten our generic curve by 2dm to 173dm, margin structure drives execution with a low coupon +118bps on HLM 7A-2015 BR resulting in weaker execution given less implied callability at 99.78 at 125dm.  Our single-A curve also tightens 2dm to 219dm, one outlier today (converges away from par) is VENTR 2018-31A C1 CVR 98.95 at 216dm (coupon +195bps) with the manager’s record weaker to peers and some negative migration in credit / MVOC.  Our generic BBB curve tightens to 366dm whilst in new issue APIDOS CLO XXVII Refi BBBs are talked inside 300bps at 280a, OFSBS 2018-1A D covers 95.56 at 403dm / 6.2y WAL (EoRP 2023 / coupon +320bps) with the discount driven by a weaker MVOC 109.2 and a weaker Jnr OC cushion to peers 2.2% whilst the manager OFS is inexperienced with a record much weaker than peers.  BB trade as usual with significant tiering with a trading range of 577dm-774dm whilst we tighten our curve into 660dm today whilst CARVAL CLO IV BBs are talked 620-635bps.  Credit performance and MVOC drive tiering with WOODS 2017-16A E at lowest cover of the day 95.21 at 746dm / 6y WAL – MVOC is low at 104.8, ADR is elevated 1.2, CCC is above threshold 7.6 whilst the manager Angelo, Gordon’s default record much worse than peers.

USD CLO AAA

Close to 70 covers today across all rating bands with US LLI continuing its ascent (+4bps on the day) and we observed some tightening across BBB and BB.  All AAA bonds hit their par ceilings with coupons as low as +95 with EoRP into 2023 and post NC, so market is expectant of further tightening.  Our generic dm curve is 121dm with Canyon Cap’s new issue pricing AAAs at 118bps end of last week.

USD CLO Mezz/Equity

One AA bond doesn’t hit the par ceiling, OCT17 2013-1A BR2 CVR 99.83 at 144dm / 4.7y WAL – the margin is ‘low’ at +140bps, MVOC is at the lower end 127, CCC are elevated 6.2%, ADR is elevated 1.1 in comparison to another Octagon bond OCT48 2020-3A B (coupon +185, MVOC 131, ADR 0, CCC 3.2) CVR at 100.31 at 179dm.  Note our generic curve is 175dm with a Northwoods reset small AA strip being marketed at 140a context.  A similar theme for single-A with 3 bonds executing at small discounts to par, the coupons on these specific bonds are at the lower end 175-185bps and MVOCs dipping below the 120 mark, our generic curve is 222dm for single-A with new issue being marketed 210a context.  At BBB also a similar story, 6 bonds hit their par ceilings and these all have coupons >375bps with MVOC >112%, whilst a number of bonds with margins of 250-295bps (& lower MVOC 110-112) cover at a slight discount to par, our generic dm curve does tighten to 367dm whilst new issue is marketed in L300s context to put this into perspective.  As we have seen for a while, BB’s trade with significant tiering with cash px dispersion of >13pts and dm range 592dm-889dm today.  3 bonds hit their ceilings, 2 of which have high coupons >700 (vs our tighter generic curve 664dm).  For the remainder of bonds the coupons are either cuspy for a reset or are well below new issue levels and tiering is driven by MVOC and multiple credit factors, for instance SNDPT 2013-2RA E (coupon +600bps) CVR px is 88.64 at 889dm / 5y WAL (EoRP has just passed in April) and the MVOC is 102.6, ADR is high at 1.5, CCC is high at 10% and Jnr OC cushion is cuspy at 0.97.

USD CLO Mezz/Equity

13 covers today, all low mezz/equity including 2 highly distressed bonds.  BB trading range is 573dm-815dm with BLUEM 2013-1A DR high coupon +750bps with most favourable execution px of 98.06 at 801dm / 4.63y WAL, the ADR is high 1.8, WARF is high 3440 and Jnr OC cushion is cuspy at 1% otherwise this bond would have traded near par given the strong cashflow.  At the other end is LCM 26A E (lower coupon +530bps) CVR 91.79 at 691dm / 6.5y WAL with a similar MVOC and better performance metrics all round, but risk adjusted cashflow is lower given the coupon and hence impacts upon execution.  We have our generic BB curve at 668dm and this bond is close to that but the margin is well below new issue context (in mid 600s context) so callability likelihood is low.  One single-B trade LCM 14A FR (EoRP 2023 and coupon +761bps) CVR 81.11 at 1118dm / 8.5y WAL – MVOC is cuspy 101.9 and Jnr OC cushion is also cuspy 1.2%.  This is wide to our generic curve 959dm given the weaker key metrics and the manager’s profile has been weaker in terms of managing to key tests like Jnr OC cushion despite managing to a good default record.  In terms of the 'distressed' bonds that trade today, HLA 2013-2A D is original BBB (now B1 rated), EoRP 2017 with the deal highly delevered (the D tranche is 2nd pay as it stands) and MVOC is 100.4 with the tranche still current (E tranche below is PIKing), this is a legacy position with the tail of collateral in run off and trades at cover of 85.03 at 1788dm / 1.2y WAL.  HLA 2014-2A D is original BB (now Caa3) 'highly distressed' with EoRP 2018 and deal delevering as well with the D tranche sitting in the middle of a 6 tranche remaining structure, the bond has a PIK balance with 4Q with deferred interest but has paid its coupon on the April IPD, the MVOC is 81.91 on this Bardin Hill CLO which covers at a px of 24.54 which translates into a 5000dm+ bond with an equity type profile.

EUR AAA CLO

Just 1 x AAA trade today. Invesco 1 traded at 99.95 / 107dm.

USD CLO AAA

Plenty of trading today with >35 covers across the stack with levels softening a touch across senior and some mezz.  The US LLI in contrast climbed 8bps on the day.  All 1st pay AAAs trade at par ceilings and we have shifted our generic curve slightly wider to 121dm, not also the wider primary print from Canyon Cap at 118bps / AAA with a long EoRP 2026.  There was a rare 2nd pay BLUEM 2017-3A A2 that covers at a discount 99.66 at 121dm / 6.6y WAL which is the tightest 2nd pay trade seen this year in dm terms but given the margin is very low (+115bps) this is more or less in line with a comparable Aegon AM managed bond CEDF 2018-7A A2 last month that covers 124dm / 6.3y (margin +113bps). 

USD CLO Mezz/Equity

Single-A bonds hit par ceilings again, with one exception AWPT 2014-2A CR (ArrowMark) CVR 99.98 at 221dm / 5y WAL with MVOC (117.8) lagging the YCLO 2014-1A CRR comparable bond that trades 100.05 (MVOC 121.9), all other factors are fairly comparable.  Our generic curve does shift wider to 221dm.  At the BBB level, trading activity has been firm and our generic curve is 375dm, Canyon Cap’s new issue prices 305bps this week.  Weaker MVOC on WINDR 2018-2A D and CANYC 2014-1A CR back up their execution prices which are discounts to par, all other metrics are in line with both managers fairly in line with their peers from a historical perspective.  At the BB end, there is a 7pt dispersion in cover prices across a 2pt dispersion in MVOC so credit factors and manager profiles have a significant say in tiering.  To showcase this there are two x bonds with similar reinvestment profiles, at the tight end is CIFC’s CIFC 2018-3A E (coupon +550bps) CVR 98.51 at 577dm / 6.8y WAL – MVOC is strong 106.7, ADR is low 0.3, Sub80 is low 0.7, CCC is in line 5.7, Jnr OC cushion is strong 4.5% whilst CIFC is a benchmark manager.  At the other end of the scale is First Eagle’s WINDR 2014-2A ER (coupon +575bps) CVR 91.75 at 739dm / 6.5y WAL – MVOC is weaker 104.4, ADR is higher 1.03% and Jnr OC cushion is half of the CIFC bond at 2.1% and First Eagle’s manager record is weaker than average from an ADR point of view which is highly relevant at this end of the capital structure.  Our generic curve has widened to 671dm.

USD CLO Mezz/Equity

5 x mezz debt covers today and 6 x equity.  The US LLI index jumped 5bp on the day and we saw some small tightening effect in BBB and BB.  BBB bonds all hit their par ceilings and trade 238dm-266dm, the 3 bonds that trade all have short WALs (EoRP 2019/2020) with coupons below prevailing new issue and strong MVOCs (117-121) given the level of delevering effect in the respective high quality deals (cushions and credit strong) from Blackstone and First Eagle.  These are quite different from some recent comps where the inability to trade the underlying has led to a negative credit shift in the underlying – please see PriceABS trade listing for full details.  At the BB end we also have high quality bonds that trade nearer to par, CEDF 2014-4A ER (EoRP Jul-21) which has a shorter WAL 5.3y covers at par and has a coupon +636bps with strong credit (ADR 0.9, Jnr OC cushion 3.8, Sub80 0.9) and MV metrics (MVOC 106) with prevailing new issue close to the coupon on this bond and our generic secondary curve at 655dm.  OCT39 2018-3A E covers at 98.96 at 594dm / 7y WAL (EoRP 2023), coupon +575bps and credit and MV metrics are strong hence the margin structure and longer WAL impact upon execution price.

USD CLO AAA

18 covers today across the stack with all AAA bonds hitting their respective par ceilings, with bond coupons >100bps.

USD CLO Mezz/Equity

One x AA bond KVK 2016-1A BR hits it par ceiling (coupon +200bps) with new issue tighter 150-170 context / our generic secondary 175dm and the bond callable.  2 x single-A bonds also hit par, coupon range is 220-225bps and new issue in H100s context and our generic secondary level 214dm.  Three BBBs hit their par ceiling, with the margin structure driving this for two of these (coupons 370-390bps) and short WAL 2.4y driving it for the other WSTC 2014-2A CR.  With new issue in H200s-300a context the higher coupon bonds have a high call likelihood, CIFC 2019-6A D has a high coupon +395bps with NC end of 2021 with excellent performance to date and as such risk adjusted cashflows are strong with a CVR 100.89 at 381dm / 7.8y WAL (EoRP 2025).  A large dispersion in execution at BB today, at one end of the spectrum is JFIN 2013-1A DR (Apex) CVR 98.00 at784dm / 5.2y WAL (EoRP 2022), coupon is high at 737bps and all metrics clean aside from a high ADR 3.3 but the MVOC makes up for it at 109.  At the other end is JTWN 2014-5X E (Investcorp) with CVR at 89 at 910dm / 3.2y WAL.  This deal is delevering since past its 2019 EoRP and metrics are suffering due to the inability to trade the underlying – MVOC is cuspy 102, ADR is 2, Sub80 is 3.7 and Jnr OC cushion is -1.3 whilst the bond is not PIKing itself the immediately subordinate note is PIKing along with Equity.  Our generic secondary curve widens slightly to 656dm.

EUR AAA CLO

There are 4 x AAA trades today. They have traded in L100s dm. Black Diamond 2015-1 is in amortisation and is only a 1yr WAL and traded at 111dm.

USD CLO AAA

A more active day with 40 covers across all rating levels.  AAA bonds hit par ceiling with CSAM’s MDPK 2016-20A A2R slightly shy of par at 99.99 – this bond is a 2nd pay AAA and notably the CCC level is elevated on this deal at 10.5% whilst other metrics are strong.  Our generic AAA curve remains at 116dm.

USD CLO Mezz/Equity

1 x AA trade TRNTS 2018-9A B1 which hits par ceiling at 194dm / 5.8y WAL – this is callable given NC is in the past and coupon is +195bps with new issue in 150-170bps context.  1 x single-A trade too and it also hits the par ceiling, SEVEN 2016-1A BR 199dm with coupon +200bps, new issue is in 200bps context (our generic secondary curve is 214dm) but since this deal is delevering it is the shorter WAL and good risk adjusted cashflow that is pulling this to par.  At BBB the new issue market is in H200s-300bps context, there are a number of 3.0 bonds today with high coupons (>400bps) and strong credit profiles that have high callability and hit par ceilings.  For the remainder of trades the migration of certain credit parameters eg. predominantly ADR and Sub80 buckets along with MVOC and manager profile drive tiering, at the wide end for instance is ZAIS7 2017-2A D CVR 88.2 at 647dm with a lower than average MVOC 107.3, high ADR 2.4, high Sub80 assets 5% and a weak manager profile.  At BB there is a 12 point spread in cash price terms amongst execution today.  DRSLF 2014-36A ER2 covers at par, with a high coupon +688bps and reasonable metrics the strength of the manager profile has a large part to play here, MVOC is healthy at 105.2 whilst the bond is callable from June.  At the other end of the scale is ATCLO 2018-12A E (Crescent Cap) that covers at 88 which translates to 817dm / 7y WAL, here the margin on the bond is low +595, MVOC is low at 103.8, Jnr OC cushion is low 1.8 and other metrics not far back from the PGIM bond, however the manager record is weak and callability is low.  Our generic secondary curve for BB is now 650dm.  3 x originally rated single-Bs trade today which are valuable data points, cash prices are in early 90s and dm range is narrow 915dm-925dm whilst our single-B curve remains flat at 939dm.  The bonds that trade today have clean metrics with ADRs 0.5-1%, Sub80s at good levels 1.6-2.6 and Jnr OC cushions of >1.9% with coupons 727-764bps so risk adjusted cashflow is strong for bonds now rated CCC.

EUR AAA CLO

There are 8 x AAA trades today. AAAs look like they have widened by around 5 to 6 bps.

USD CLO AAA

Trading activity today was concentrated at both ends of the capital stack, with seniors and low mezz.  AAA bonds all hit par ceilings with our generic secondary curve unchanged at 116dm.

USD CLO Mezz/Equity

4 x BBs trade in a tight range today from a dm perspective 647dm-707dm, MVOCs on these bonds are all in the 104 region with tiering driven by manager profile but also ADR levels.  For instance VOYA 2016-4A E2 trades at the highest cover 98.79 at 696dm and has a low ADR 0.5 and good cashflow from a ‘higher coupon’ +665bps, whilst TICP 2018-3R E covers lower 96.65 at 678dm whilst the ADR is 4x higher 2.2 and cashflow is lower +590bps so risk adjusted return is weaker overall, our generic secondary curve for BBB remains flat at 371dm.  1 x single-B trade today, MVEW 2019-1A F (Seix) CVR is 97.1 at 944dm which is right at our generic secondary level of 939dm, credit performance on the deal is clean, manager performance is slightly weaker to peers and MVOC is healthy at 104.5 with strong cashflow with a margin +870bps.  This feels like an archetype single-B bond despite the current rating of Caa1, Jnr OC cushion is strong at 3% so little prospect of interest diversion with equity yield strong.

USD CLO Mezz/Equity

A quiet end to the week with US LLI +7bp on the day.  Our IG generic curves have widened a little on the week, AAA 116dm, AA 173dm, A 217dm with SubIG reasonably flat WoW. Just two trades today, both are ‘higher’ margin BBBs (310/355bps) that trade at their par ceilings, new issue BBBs in H200s-300a context and generic secondary levels firm as mentioned.  AIMCO 2019-10A D is callable with high margin +355bps (NC April 2021) and credit performance very clean, ARES 2015-2A DR also has very clean metrics but NC is Jan-2022 but covers 100.07 at 309dm (EoRP 2025) as more evidence that the market is pricing in stability at this rating level through the end of the year.

USD CLO AAA

Heavy lower mezz supply today into a 5bp rebound in US LLI on the day with tone relatively mixed and tiering significant.  4 x AAA trades all hitting their par ceilings, CIFC 2020-1A A1 at 100.26 163dm is highly callable with NC just passed and with a AAA coupon of +170bps and excellent performance mainly given the 3.0 nature of the deal.  Our AAA generic curve is 112dm.

USD CLO Mezz/Equity

16 x BBB trade in a 261dm-447dm range, new issue is in H200s/300bp context and bonds with coupon > 300bp with strong MVOC >110 cover at par ceilings.  With the remainder of trades there is significant tiering effect driven by MVOC and credit effects mixed with some manager tiering.  CGMS 2013-4A DRR trades lowest in cash px terms 93.5 at 389dm, driven by the effect of the ‘lower’ coupon +265bp coupon but also MVOC is low 108, ADR is high 1.6 whilst Carlyle’s record is a touch lower than its peers.  Our generic secondary curve is 369dm.  At the BB end, we tightened our generic curve slightly to 644dm (similar to new issue context), we observed 9 trades in a 522dm-734dm range.  2 bonds that hit their par ceiling both have coupons > 670bps so have inherent callability despite NC periods 2-8 months away, this is a positive tone for the market in the short-medium term.  For the remaining bonds, margin structure has less impact and instead credit and manager profiles are key drivers, WELF 2017-2X D covers at weakest level 97.4 cash px 734dm / 5.5y WAL – low MVOC 105, high CCC 9.4 and Jnr OC cushion is at the lower end 1.9 with Wellfleet’s performance lagging peers slightly.

USD CLO AAA

We observed 30 trades today and US LLI retreat 2bps on the day with some mild softening across mezz.  One AAA trade OZLM 2018-18A A CVR at par ceiling 99.99 (coupon +102bps) at 102dm / 3.7y WAL – metrics are clean from this CLO from Sculptor.  Our generic secondary curve is 111dm for AAA.

USD CLO Mezz/Equity

AA bonds also hit their ceiling (coupon structures +240-250bps) with new issue in 160bps context and our generic secondary curve 173dm.  At single-A all bonds hit their par ceiling aside from ICG 2014-3A B1RR (ICG) that covers 99.75 at 190dm / 5.5y WAL (EoRP 2023).  It is indeed the coupon of the bond (+185bps) that has driven execution with new issue in 200bps context and our secondary curve 214dm, this bond does not share the same callability likelihood as other bonds that trade today at par ceilings carrying coupons of 215bps+.  At the BBB level two bonds are closest to their par ceilings, coupon structures are +300-360bps on these with new issue in late200s/300bps context they are callable.  The remaining 4 x BBB trades are at larger discounts to par whilst these have coupons <300bps.  OCT35 2018-1A C trades 98.45 289dm / 6y WAL which is the most significant discount to par (+260bps coupon) with ADR high at 1.5, CCC high at 9.5.  Our generic secondary curve is 367dm.  At the BB level our generic curve softens slightly to 647dm whilst credit and MVOC play a major part in execution, NEUB 2017-26A E covers 99.28 604dm / 6.3y WAL (coupon +590bps) with MVOC 107.3 and low ADR 0.8 and very strong Jnr OC cushion 4.2.  Conversely SNDPT 2017-2A E covers 89.52 at 837dm / 6y WAL (EoRP 2022) with a similar coupon +610bps – MVOC is cuspy at 103, ADR is high 1.6 and Jnr OC cushion is low at 1.4.

USD CLO AAA

24 covers today across the capital stack, whilst US LLI lost 5bp on the day.  AAA bonds hit ceiling levels with 3.0 bonds (2020 vintage) trading 100.30 and highly callable (NC last month).

USD CLO Mezz/Equity

AA trades also hit their ceiling, with a ‘tight’ OCT14 2012-1A A2RR (+150bps coupon) CVR 100.05 at 149dm (EoRP 2022) with new issue in 150-170bp context, our generic secondary curve is 171dm.  Two single-A trades today, with one trading at a discount, LCM 26A C covers 99.06 at 199dm / 5.3y WAL – coupon is +180bps with new issue 180-200bps context and our secondary curve slightly wider to this at 208dm.  The metrics on this bond are a little weaker whilstthe coupon (as mentioned) is cuspy for reset, hence suffered – MVOC 116.3, ADR is 1%, Jnr OC cushion is low 1.6 and LCM’s manager record is weaker to peers.  At BBB, new issue is in late 200s-300a context whilst our secondary curve is wider at 371dm reflecting the disparity between primary and secondary at this mezz rating grade. 

TIA 2017-2X D covers weakest 94.76 given the margin structure (+260bps coupon), inexperienced manager (4 x CLOs under management) with slightly below performance metrics, MVOC is lagging at 108.5 and Sub80 asset bucket is high at 3.3%.  Trading range today is 298dm-405dm with the wide end of this range a 3.0 bond FCO 2020-13X D which is highly callable with a coupon of +405bps.  At BB, trading range today is 599dm-768dm, whilst our generic secondary curve widens slightly to 645dm.  MVOC drives tiering with coupon structure having less of an influence, at the wide end is JEFFM 2015-1A ER CVR 93.52 at 768dm / 7y WAL – MVOC is low at 104.5, ADR is elevated 1.7, Sub80 also elevated 2.8 and Jnr OC cushion is cuspy at 0.97 with little in the way of call likelihood given the margin is +645bps, credit weakness and Shenkman’s weak manager record.

EUR AAA CLO

There are 2 x AAA trades today. They have traded around 100.30 area / 120dm area. This looks like a tightening in the AAA secondary curve of around 4bps.

USD CLO AAA

US LLI continues its climb (+6bps on Friday close) with only a handful of trades today, all AAA.  Our AAA generic curve remains unchanged at 109dm.  Trades all hit their ceiling with the premium driven by the margin structure of the bond, ICG 2019-1A A1A has a ‘high margin’ and strong cashflow +138bps to NC (July 2021) and covers at 100.41 at 130dm / 5.2y WAL.  At the other end of the scale is TRNTS 2016-5A ARR (lower margin +103bps) with CVR 100.02 at 102dm with the bond post NC and delevering so has a shorter WAL 1.6y (EoRP 2020) which is the key driver of the duration and execution price, given limited window to call this bond before it pays down in full.

USD CLO AAA

A quiet end to the week with 8 trades, predominantly senior with US LLI continuing its ascent +3bp on the day.  AAA hit par ceilings all around, even coupons as low as +98bps (SPEAK 2015-1A AR2 CVR 100.10 at 93dm from Orix).  Our AAA generic curve is 109dm.

USD CLO Mezz/Equity

AA trade identically to AAA and also hit their ceilings, with new issue 150-160bps context and our generic secondary curve 171dm.  TICP 2017-9A B with coupon +160bps covers at 100.06 (159dm / 4.8y WAL) with the bond callable and the margin suggests it is cuspy for a reset, implying the market expects to tighten, the bond has clean metrics all round with a mixed manager record (good average default rate but key cushions are weak to peers).  At BB our generic curve is 641dm which is around 7dm tighter from month end (new issue in similar context), with one trade today OZLM 2015-12A D (Sculptor) cover near par 99h – deal is post EoRP so bond has a shorter WAL 4.3y but is not ‘callable’ given the margin structure, ADR is high 1.5, Sub80 are healthy 1.7, CCC high at 9.8% and Jnr OC cushion is strong 2.3% whilst MVOC is 106.8.  Market expects a tightening effect given the disparity between new issue and margin structure of this bond is that is to be inferred.

USD CLO AAA

A lot of liquidity today, mainly IG but across the stack with just shy of 70 trades, US LLI +5bp on the day.  AAA all hit their par ceilings, with one small exception, STCR 2018-1A A covers 99.92, bond coupon is on the lower end +101bps (103dm), also metrics are at the weaker end (MVOC 147, ADR 1.5, CCC 8.7 and Jnr OC cushion 1.7) whilst the manager’s record is also at the weaker end of its peer group.  Our generic secondary curve remains at 109dm.

USD CLO Mezz/Equity

AA trade in similar cash price context to AAA with one exception DRSLF 2015-41A BR cover 99.42 – bond coupon is at the low end +130bps (so less inherent callability) and MVOC is also at the lower end 127.2 whilst other metrics are clean.  Our generic secondary curve widens slightly to 174dm with new issue 150-155bps context.  High coupon 3.0 CLO AAs (240-250bps) trade at highest cover prices 100.22-100.32 (234dm-246dm) given callability and high risk adjusted returns (see trade listing for full details).  Single-A are also similar in trading execution context, with one trade outlier BLUEM 2018-3A C cover 99.8 (bond coupon 220bps), MVOC is at the lower end 117.8, ADR is elevated 2% and Jnr OC cushion is cuspy 1.6 whilst the manager Assured IM’s record is a little weak to its peers in key metrics.  Our generic curve is 209dm with new issue in late 100s context.  At BBB our generic curve widens slightly to 364dm, 2 bonds trade at par ceilings where bond coupons are tight or in line with new issue (255-280bps).  Notably, at the wide end is MCLO 2017-10A C (Marathon) with CVR 93.76 at 506dm (end of 2021 EoRP and callable) – MVOC is low at 107.3. ADR is elevated 2.3, Sub80 is high 3.2 and Jnr OC cushion is cuspy 0.4.  BB trading range today is in a very wide dispersion 512dm-854dm with significant tiering.  BLACK 2014-1A D (Black Diamond) covers at its par ceiling , this is a very short WAL 3y (EoRP was 2018) and MVOC is high at 121.5 and Jnr OC cushion is strong 17.8% more than compensating for all other credit metrics being weak.  At the wide end is VENTR 2017-26A E CVR 92h at 854dm (EoRP 2022) with a high coupon +680bps and is callable, but metrics are weak - MVOC low 103, ADR is elevated 1.8, Sub80 is high 4.6 and the manager’s record is weak the market does not anticipate this bond to be callable all things considered.  Our generic secondary curve is 638dm.  A handful of Single-Bs trade today with the dispersion 922dm-951dm with our generic curve widening slightly to 935dm.  There is one outlier ‘distressed’ trade today, SNDPT 2013-2RA F covers 75.67 at 1407dm / 5.5y WAL (Sound Point) – MVOC is cuspy 100.4, ADR is elevated 1.6, CCC are high 9.8, Jnr OC cushion is low 1% but bond is current.

USD CLO AAA

Twenty covers today, the vast majority are mezz whilst US LLI continues to rebound +8bp on the day.  One AAA trade today CIFC 2018-3A A (coupon +110bps) covers at par ceiling 100.055 109dm which is right on our generic AAA secondary curve.

USD CLO Mezz/Equity

3 x BBB trades trade in a 354dm-434dm range, our generic curve is 361dm with new issue grinding tighter from the late 200s we have seen recently.  With this said, VENTR 2016-25A D2 has a high coupon +421bps and is callable (post NC) and trades close to par as a result 99.44 at 434dm / 4.8y WAL – metrics are average with Jnr OC cushion slightly weak 1.6, ADR 1.8, sub80 bucket elevated at 4.9 but CCCs are within the threshold at 5.7.  At the BB level our generic curve tightens to 636dm (which again is around new issue context), trading range today is 558dm-699dm with a significant amount of tiering given the array of profiles, performance and managers.  Bonds with stronger MVOCs drive execution levels with coupon structures in a low dispersion 540bps-632bps today.  At the tight end is ALM 2016-18A DR (post EoRP – Jan 2021) and the shorter WAL driving direction to an extent, covers 99.68 at 558dm / 4.8y WAL with a strong MVOC 108 (likely to improve as deal delevers if not reset) despite ‘lower’ coupon +550bps (ADR 1.5 and Sub80 is low 0.5, CCC 6.1 and Jnr OC cushion is healthy 2.6) whilst the manager has a good record versus peers.  At the wider end is TRNTS 2018-8A E (similar coupon +590bps) CVR 94.26 699dm / 6.8y WAL – here the WAL is longer (EoRP 2023), MVOC is >2pts lower 105.9, CCC is higher 7.7 and manager profile is equal to peers.

EUR AAA CLO

There are 5 x AAA trades today. All traded L100h which is around 120dm. It doesn’t look like the AAA curve has changed.

USD CLO Mezz/Equity

20 covers today, all mezz with the majority Sub-IG, note that US LLI dived 7bps on the day and as a result we saw some mild weakening in mezz dm’s.  At the AA and A levels there was less of an impact with bonds trading at their par ceilings, with new issue continuing to show a tightening feel (+150bp and +190bp context for AA & A respectively) even RRAM 2018-3A BR2 single-A (with coupon +180bps slightly inside new issue) trades at it’s par ceiling, market pricing in future tightening effect as mentioned yesterday.  BBB new issue talk now a shade tighter at +270-280bps but SNDPT 2013-1A B1R and NCC 2018-IA D both trade at a significant discount despite bond coupons in line with new issue (+270-300bps) and post NC, furthermore SNDPT 2015-1RA D1 which has a high coupon +375bps and NC is later this year trades at a discount (96.33) at 455dm.  Our generic BBB curve widens slightly to 360dm given the inherent callability likelihood is lower at this end of the stack despite coupon structures in line with new issue (and unlike AA/A), market is not pricing in callability likelihood on BBBs through end of year even at premium coupons to new issue, as mentioned.  At BB, our generic secondary curve shifts +2dm to 643dm, new issue remains in similar context, the effect of higher coupons have less of an impact at this end of the curve since credit factors and manager experience have far more influence.  Trading range today is 607dm-784dm, with APEXC 2019-2A E at the wide end 95.15 CVR at 984dm / 8.1y WAL – this also has a longer WAL (EoRP 2024), key credit factors / MVOC are aligned with comps but the manager’s (Apex) record is weaker than its peers with default rates almost double the peer group.