USD CLO Mezz/Equity

Just 9 covers today for the first day post month end, with the holiday weekend looming the US LL Index is also largely flat (-1bp on the day).  One single-A trades DRSLF 2020-77A CR CVR 99.82 at 187dm / 8.5y WAL, our generic curve is 234dm with new issue L200s, the coupon on this bond is low +185bps and despite clean metrics there is limited callability so trades at a discount.  Also 1 x BBB VIBR 2019-11X C covers at a discount 99.81 at 388dm / 7.4y WAL, our generic curve is 364dm (new issue L300s), bond coupon is +385bps so callability is cuspy but metrics are clean, reasonably strong risk adjusted cashflows with EoRP 2024.  At BB, the dm trading range is 709dm-823dm with cash px dispersion 7pts.  RMRK 2019-3A D (Shenkman) covers near par 99.46 at 709dm / 7.7y WAL (coupon +700bps), our generic curve is 684dm and new issue LM600s so there is inherent callability especially with the clean metrics and strong MVOC 107.8.  OAKCL 2019-1A E (OakTree) covers 92.35 at 823dm / 7.4y WAL, coupon is +680bps but metrics are much weaker – MVOC is low at 104.6, ADR is 2.5, CCC is 7.6 and Jnr OC cushion is cuspy at 0.91.  4 x single-Bs trade 877dm-967dm, our generic curve is 960dm, MVOC on today’s trades are within 1.5pts (103.5-105) whilst metrics are clean.

USD CLO Mezz/Equity

7 x BB covers only today and quite a typical month end flow day, US LL Index is largely flat on the day and finishes +12bps on the month.  BB trade in a narrower dispersion today 677dm-793dm, our generic curve is 680dm and new issue 625bps-640bps.  Coupons on today’s trades are all below +700bps (590bps-690bps) so callability is relatively low on these bonds and as such these trade at discounts.  The outlier trade today is CRNPT 2018-7A E which covers at a steep discount 91.60 at 793dm / 6.9y WAL – MVOC is low at 104.9, ADR is high 2.1, Sub80 bucket is elevated 2.6, coupon is +630bps which is inside primary and our generic curve whilst the manager only has 3 deals under management (albeit reasonable metrics, only ADR is high at 1.5) so is inexperienced.  All of these influence the execution on this bond wider than competing bonds.

USD CLO AAA

26 trades today, US LL Index -3bp and some tightening in BBB/BB.  AAAs were a mixed bag, with 3 x 1st pays trading at their par ceiling and the same with 2nd pays with only FILPK 2018-1A A2 covers at a small discount 99.96 at 135dm / 6.8y WAL, coupon on this bond is considerably lower +134bps hence the poorer execution despite clean metrics.  Our generic curve is 114dm for 1st pay AAA.

USD CLO Mezz/Equity

At AA, our generic curve is 173dm with new issue in 165a context, bonds that have coupons > 170bps have inherent callability and hit their par ceiling from an execution point of view with other bonds with coupons as low as +140bps covering at discounts, eg. CEDF 2016-6A BRR CVR 99.30 at 150dm/7.9y WAL with clean metrics.  Single-As trade at their par ceilings, our generic curve is 235dm, new issue is slightly tighter 210-220bps context.  MDPK 2012-10A CR3 has a +210bps coupon whilst CVR is at par ceiling 100.076 at 208dm / 4.1y so trades with ‘callability’ but is also post reinvestment (as of Jan 2021) so has a shorter WAL which is likely to be influencing execution levels given the bond has some fundamental weakness (CCC 8.4, Jnr OC cushion 2.4, ADR 1%) versus benchmark bonds.  1 x BBB bond trades MDPK 2015-18A DR CVR 99.44 at 306dm / 5.6y WAL, coupon is +295bps and our generic curve is 365dm whilst new issue is in L300s context, the bond has average metrics from a fundamentals point of view.  At BB there are 7 trades of which 2 trade at par ceiling, these two bonds have higher coupons +695bps-745bps but are post-reinv so WALs are shorter, with our generic curve 677dm and new issue in LM600s context these bonds offer good risk adjusted cashflows and hence better execution levels.  With the remaining BB bonds with coupons <660bps the degree of discount is dictated by MVOC and balanced by credit performance, at the lower end of execution levels BSMC 2013-1A ER covers at 96.88 at 638dm / 4.1y WAL – MVOC is at the low end 104.55, ADR is high 2.3, Sub80 bucket is high 2.7, CCC is high 7.9 and Jnr OC cushion is low at 7.9 whilst the margin is low at +550bps and the bond is post-reinvestment so there is no ability to influence the performance of the portfolio via trading.

EUR AAA CLO

There are 2 x AAA trade today.  Both trades are around the 120dm area.

USD CLO AAA

A quieter day with 18 covers and US LL Index flat on the day with a little tightening in BBB.  AAA hit par ceiling with one exception MIDO 2018-8A A1R (MidOcean) CVR 99.88 at 109dm / 3.5y WAL, metrics look clean on the deal which was recently reset (April) but the manager record is weak and AAAs have softened around 4-5bps since this reset.  Our generic curve remains 113dm for AAA.

USD CLO Mezz/Equity

1 x AA trade MDPK 2014-12A B1R (CSAM) which is well past reinvestment end (2018) with the deal delevering so extremely short WAL CVR is 100.05 at 155dm / 0.5y WAL.  2 x BBB trades 289dm-324dm with cover prices at a slight discount to par, coupons 285bps/320bps which are cuspy for callability likelihood, our generic curve is 351dm with the Penta 6 marketing 310-320bps.  BB trade 677dm-727dm with a 5pt cash px dispersion, our generic curve is unchanged 674dm with Penta 6 reset marketing 625-640bps.  Both trades that have coupons > 675bps hit their par ceilings given callability whilst TIA 2016-1A ER covers 95.63 at 705dm / 6.7y WAL - low coupon +620bps, MVOC is at the lower end 105.8, ADR is elevated 1.2 whilst the manager record is good.  The fact that this bond does not have inherent callability at the moment and a longer WAL (EoRP 2023) push the bond to a 4-5pt discount to take account for the risk adjusted cashflows.  2 x single-B trades 810dm-1062dm, bonds with very different profiles - ELMW8 2021-1A F1 (Elmwood) 810dm / 9.7y WAL is a recent vintage with a coupon +800 and likely this was offered at a discount at new issue since single-Bs in March this year were in L900s range, the bond is clean and a strong MVOC 108 and EoRP 2026.  OZLM 2018-22A E (Sculptor) has a shorter WAL (EoRP Jan 2023) and CVR 83.31 at 1062dm / 7.93y WAL – MVOC is lower 103, ADR is elevated 1.6, Jnr OC cushion is cuspy at 1.7 whilst coupon structure is lower at +739bps and the bond currently rated Caa1 so subject to haircuts, the manager record is also weaker to its peers.

USD CLO AAA

25 covers today across AAA and BB only, US LLI retracing 5bp after 2 days of falls, whilst overall lower mezz widened out.  Our AAA generic shifts slightly to 113dm, all 1st pay trades are at par ceiling (including bonds with coupons as low as +90 with short WAL and +97-98bps with longer reinvestment) with SYMP 2015-16A AR at a small discount 99.97 at 116dm / 4y WAL – CCC is high 9.4 whilst other metrics including the manager performance in line.  There is one second pay NEUB 2018-29A A2 CVR 99.88 at 142dm / 7y WAL which trades in similar context to the batch of 2nd pays we saw towards the start of this month. 

USD CLO Mezz/Equity

BB bonds trade in a 5pt dispersion 777dm-1005dm driven particularly by MVOC.  The only bond to trade >90 cash px is SHACK 2015-7RA E CVR 91.56 at 787dm / 6.7y WAL – MVOC 105.1 with other metrics mixed (ADR high 1.5, CCC 5.9 and weaker manager record).  Our generic curve shifts wider to 674dm.  Widest trading from a dm standpoint is MCLO 2014-6A DR2 at CVR 87.13 1005dm / 4.2y WAL, highly distressed – MVOC 101.5, ADR 3.4, Sub80 8.7, CCC 19.2 and Jnr OC cushion -2 whilst the bond is PIKing but has paid interest at the last May IPD.

USD CLO AAA

41 covers today, so a much busier day all round with trades across the stack.  Our AAA generic curve remains 112dm with the majority of bonds hitting their par ceilings, one key exception being CIFC 2012-2RA A1 CVR 99.87 at 94dm / 1y WAL – this has a very low WAL given it is post reinvestment and a low coupon +80bps. 

USD CLO Mezz/Equity

AA bonds trade in a narrow dispersion 152dm-165dm today with a narrow cash px range (13c), our generic curve remains unchanged 165dm, DRSLF 2017-50A B (PGIM) the outperformer today CVR 100.037 at 164dm / 4.6y WAL – coupon +165bps and clean metrics from a benchmark manager (EoRP Oct 2022).  1 x single-A trade SYMP 2018-19A C CVR is 99.30 at 189dm / 5.4y WAL – clean metrics whilst a ‘lower’ coupon +175bps, our generic curve is 229dm (WAMCO Crown City III single-A new issue pricing +205bps).  3 x BBB bonds trade today, all ‘high coupon’ (370bps-420bps) higher than our generic curve 346dm and WAMCO’s recent new issue +330bps.  NEUB 2019-34A D CVR is 101.03 at 404dm (coupon +420bps) and clean metrics with a long reinvestment period out to 2025 meaning strong risk adjusted cashflows and good execution as a result.  At the BB level the trading range is 593dm-778dm and cash px range is 11pts, our generic curve tightens to 657dm with WAMCO’s recent new issue priced +675bps.  Bonds with coupons higher than this new issue level immediately hit their par ceiling with the exception of ALM 2020-1A D (+600bps coupon) from Apollo with CVR 100.15 at 597dm / 5.4y WAL, the term structure is a shorter WAL with EoRP in October this year and the bond is callable and likely to enter amortisation given the coupon whilst metrics are clean aside from the elevated ADR 2.25 but the manager record is strong.  At the wide end of the scale is SHACK 2013-4RA D (Alcentra) CVR 90.27 at 778dm / 6.7y WAL – MVOC is low 104.7, ADR is high 2.2, Jnr OC cushion is cuspy 1.2 whilst the manager’s record is weaker to its peers.  1 x single-B trade today ICG 2014-1X ER CVR 90.91 at 1085dm / 5.6y WAL, our generic curve is 955dm with little in the way of new issue comps.  The MVOC is cuspy 101.9, ADR is elevated 1.65 whilst the coupon is +865bps (EoRP is Jan 2022) so risk adjusted cashflows are back to our generic curve (the bond is rated Caa1).

EUR AAA CLO

The only AAA trade is Contego 2 which is in amortisation. It traded at 99.93 / 99dm.

USD CLO AAA

24 covers today to kickstart the week, mainly high grade.  US LLI -1bp on Friday close.  Our AAA generic curve is now 112dm, trades from today carry coupons > 100bp and predominantly hit their par ceilings, 4 bonds cover at de minimis discounts with Carlson Cap’s CATLK 2013-1A A1RR with the weakest execution CVR 99.90 at 123dm / 3.1y WAL (coupon +120bps) – with ADR elevated 1.2, MVOC aligned at 152 with the weaker manager performance contributing materially to the execution. 

USD CLO Mezz/Equity

10 x AA bonds trade in similar fashion to AAA in cash px terms with dm range 150dm-179dm, our generic curve has widened slightly to 165dm, with WAMCO’s recent BSL CLO AA pricing at +172bps bonds with coupons below 170bps trade at a slightly discount with FLAT 2017-1A BR (NY Life) which reset in Feb near the tights seeing weakest execution CVR 99.80 at 150dm / 4.5y WAL with a +145bps coupon.  Single-A trades also hit par ceilings (WAMCO’s single-A pricing +205bps) with only APID 2018-18A C trading at a discount 99.91 at 222dm / 5.9y WAL – ADR elevated at 1.8 and Jnr OC cushion cuspy at 1.67 despite the high coupon +220bps, our generic curve is 230dm at this rating level.  1 x BBB trade MILOS 2017-1A DR (Invesco) CVR 99.51 at 285dm / 5.7y WAL, our generic curve has shifted wider to 342dm (WAMCO new issue +330bps) with coupon +275bps so callability is unlikely but metrics are strong on this bond (ADR 0.6, MVOC 112.3, Jnr OC cushion 3.6) along with a good manager record.

USD CLO AAA

Just under 50 trades today across the capital stack, US LLI drops for the third consecutive day (-3bp on the day) whilst spreads overall are flat with some volatility in SubIG.  AAA trades all hit their par ceilings with only one exception which is PGIM’s DRSLF 2019-75A AR2 CVR 99.86 at 106dm, this bond carries a low coupon +104bps given it has reset back in April when new issues were tighter, with a long reinvestment period (5y), the deal does carry also an elevated ADR at 1.2 and high CCC 8.3 with all other metrics clean which has the effect of setting this bond back.  Our generic secondary AAA curve remains unchanged at 113dm.

USD CLO Mezz/Equity

AA bonds trade 157dm-175dm today with half the bonds hitting their par ceilings, our generic curve remains at 162dm.  At the wide end is CIFC 2014-1A BR2 CVR 99.25 (low coupon +140bps) at 157dm / 4.7y WAL – ADR is elevated 1.2 and MVOC is at the low end 125.9.  Single-A trade 190dm-282dm with none of the bonds hitting par, our generic curve is 231dm with the best execution being on VENTR 2013-15A CR2 CVR 99.90 (high coupon +280bps) at 282dm / 6.4y WAL.  BBB trade 239dm-404dm with a 4.5pt cash px dispersion, our generic curve is 338dm with new issue in similar context, a short WAL bond from Blackstone DORPK 2015-1A DR has best execution with CVR at par ceiling 239dm / 3.9y WAL, despite the deal being delivered the fundamentals are strong all round whilst the low coupon +240bps doesn’t impact upon execution too much.  3 x BB trades 589dm-850dm with an 8pt cash px dispersion, our secondary curve is 666dm.  At the wide end is HLA 2017-1A D from Bardin Hill CVR 90.8 at 850dm / 5.7y WAL, despite a high coupon +640bps the fundamentals are weak (ADR 1.5, Sub80 3.5 and Jnr OC cushion 1.7) but the manager’s weak record pulls this back significantly from par.  Two rare single-B trades today 890dm-947dm met with good execution whilst we tighten our secondary curve to 918dm, BLUEM 2018-3A F from Assured IM covers 92.15 at 947dm / 8y WAL with an MVOC 103.8 but has an elevated ADR 1.9, high CCC 12.6 and a cuspy Jnr OC cushion 1.7 whilst coupon is 801bp, execution is thus wide to our generic single-B curve.

USD CLO AAA

25 trades today, US LLI fell for the second day in a row (-3bp) whilst spreads were a little softer for mezz.  The large majority of AAA hit par ceilings, with 4 / 19 bonds executing at a small discount driven by a number of factors including manager style, coupon structure and MVOC levels, whilst bonds with coupons north of 120bps meeting with best execution levels.  We keep our generic secondary curve at 113dm.

USD CLO Mezz/Equity

1 x AA HAYFN 2018-9A BR covers at par ceiling (coupon +180bps) which is close to new issue levels and wider to our generic secondary curve of 162dm, performance is clean and Hayfin has a good manager record.  1 x BBB OFSBS 2018-1A D covers MH90s and has a coupon +320bps with reasonably good performance.  Our generic secondary curve is 338dm with new issue talked in a wide dispersion 280bp-350bp, so callability is questionable on this bond.  2 x BB bonds that trade 498dm-604dm with our generic secondary curve 664dm, coupons on today’s trades are 460bps-545bps so there is limited callability and since both bonds are short WAL (post reinvestment) they trade inside our generic curve as the respective deals delever with performance on the lower coupon (+460bps) SYMP 2014-14A E bond good (MVOC 107.1, strong Jnr OC cushion 4.2 offsetting the higher ADR 1.25 and Sub80 3% with cover price VH90s at 498dm / 2.9y WAL.

USD CLO AAA

25 debt covers today, across high grade and junior mezz, US LLI -3bp on the day with some mild softening at BB.  At the AAA level we are starting to see more bonds not hitting their par ceilings with around half of the 17 x AAA trades executing at a small discount.  The coupons on bonds hitting their par ceiling are north of 100bps with most of those bonds clearing at a discount from weaker managers with the exception of HAYFN 2018-8A A which covers 99.95 at 114dm / 3.8y WAL (coupon +112bps) with the only ‘weak’ metric its MVOC 151.6.  But this is the first day in some time we have seen a large percentage of AAAs not hitting their par ceilings, albeit very small discounts with VIBR 2018-8A A1A cover at the largest discount 99.85 (coupon +114bps).  Our generic AAA curve remains unchanged at 113dm.

USD CLO Mezz/Equity

1 x AA trade MDPK 2013-11A BR2 with a low coupon (+145bps) covers 99.83 at 150dm / 3.7y WAL, our generic curve is 160dm with new issue in similar context explaining the lower callability and execution below par, metrics are also average on this bond.  7 x BB trades with a 11.5pt cash px dispersion with dm range also wide 568dm-883dm.  Our generic curve is 667dm with new issue guidance 625-700bps.  WINDR 2016-1A ER covers near par 99.5 at 568dm / 4.4y WAL (coupon +555bps) but the WAL (EoRP was mid 2020) and performance (MVOC 107, ADR 0.6, Jnr OC cushion 4.6) drive execution given the coupon is still south of new issue.  At the other end of the range is MP3 2013-1A ER that covers 88.00 at 883dm / 6.2y WAL (EoRP late 2022) carrying a +646bps coupon, however the MVOC is low 103.5 and Jnr OC cushion low 1.2 but it’s the manager’s weak performance record that is setting it apart on a number of key metrics.

EUR AAA CLO

There are 3 x AAAs today. Penta 2 and Halcyon 2014 are in amortisation. All three bonds have traded between 127dm and 141dm.

USD CLO Mezz / Equity

US LLI was flat on the day and we saw limited liquidity with 1 x AA trade.  NEUB 2021-41A B covers 99.89 at 157dm / 8y WAL at our generic secondary level of 160dm.  This bond has a long 5y reinvestment period since it is a recent 2021 vintage with strong metrics (MVOC 131.5, 0 ADR, Jnr OC cushion 5.45%) and trades near reoffer (coupon +155bps).

EUR AAA CLO

There are 4 x AAAs today. The older vintage bonds, with lower margins, have traded around 130dm. AlbaCore 1, 2020 vintage, with a high margin of 153bps traded at 195dm. Overall AAA spreads are unchanged.

USD CLO Mezz/Equity

A quiet end to the week with only 11 trades (all mezz/equity) whilst US LLI was largely flat on the day.  AA bonds trade with coupons 140bp-150bp at a small discount to par including a rare 2021 vintage TALPK 2021-1A B (Blackstone) that covers 99.75 at 154dm / 8y WAL (+150bp coupon) whilst our generic curve is 158dm with new issue in similar context.  Single-A’s trade at a discount to par ceiling in a 168dm-185dm range (lower coupons 165bp-185bp and clean bonds) with our generic curve 231dm and new issue in H100s-200area.  At the BBB level trading range from a dm point of view is 343dm-423dm (coupon structures 3-handle) with our generic curve 337dm and new issue 300a, GWOLF 2019-1A CR which is a refi hits par ceiling (coupon +365bps) with 0 ADR and a long reinvestment period out to 2026.  At the wide end today is OAKCL 2019-1A D (OakTree) CVR 97.5 at 423dm / 7y WAL with a high coupon +380bps (EoRP 2024) but fundamentals are weak (ADR 2.6 and Jnr OC cushion cuspy 0.5) impacting execution.  1 x BB trade today LCM 22A DR CVR 95.25 at 654dm (coupon +550bps) which is pretty close to our generic curve 663dm for BB.  The bond is relatively clean, but a slightly elevated ADR 1.2 and a weaker manager record vs peers impacting only slightly upon execution along with the limited callability likelihood.

USD CLO AAA

A bumper day with more than 50 trades, US LLI +3bp on the day and most rating levels tightened.  Our AAA 1st pay generic curve remains at 114dm with bonds trading at par ceilings, one modest exception today is Shenkman’s RMRK 2018-1A A1 CVR 99.985 – credit factors are weaker on this bond with ADR high at 2%, Sub80 >2% and Jnr OC cushion cuspy at 1.2%.

USD CLO Mezz/Equity

AA also trade at par ceilings with coupons as low as +130bps, our generic curve shifts tighter to 161dm, one outlier trade KKR 13 B1R which has a very low coupon for a AA +115bps covers at a small discount 99.86 at 120dm, credit performance is clean.  At single-A two bonds hit par ceilings, both very different – firstly MP18 2020-2A C is a 3.0 with high coupon +296bps and clean performance (callable in Sept) and GALXY 2018-29A C is a shorter dated bond (EoRP 2018) but given the deal is delevering MVOC is strong as well as key cushions, note coupon is low at +168bps which is inside our generic curve of 225dm.  BBB trade in a wide dispersion, 10pt cash px and 243dm-534dm.  A number of BBB trades trade at par ceilings with coupons typically well north of +300bps with a couple of short dated exceptions that have built up good buffer in terms of MVOC and key cushions (See PriceABS trade listing for full details).  At BB the dispersion is even larger, 12pts on cash px and dm range is 548dm-819dm with a range of profiles exchanging hands.  Three bonds that hit par ceilings all have coupons > 700bps with our generic curve 660dm and new issue in similar context.  A range of factors and combinations of variables including but not limited to MVOC, ADR, Jnr OC cushion levels and manager performance play a major part in the tiering.  At the wide end is STCR 2018-1A E (Steele Creek IM) CVR 88.41 at 805dm / 6.7y WAL – MVOC is low 104, ADR is high 1.5, CCC is high 11.7, Jnr OC cushion is at the low end 1.97 and the manager’s performance is weaker to its peers.  4 x single-B trades today, dm range is 910dm-1007dm and our generic curve shifts 7dm tighter to 925dm with the positive execution levels today.  CSAM’s MDPK 2014-13A FR covers 95 at 910dm / 5.7y WAL – MVOC is 104.1 which is at the low end of BBs, ADR is < 1%, CCCs are high but Jnr OC cushion is strong at 3% whilst the manager is benchmark.  See PriceABS trade listing for full details.

EUR AAA CLO

There are 7 x AAAs today. Again there are 2 fixed rate bonds, with the same coupon as yesterday, which today traded around 170 over swaps which yesterday was 165 over. For the floaters the AAA sector looks to have softened a few basis points. They traded between 123dm and 146dm.

USD CLO AAA

More than 30 covers today, across the stack, US LLI +2bp on the day and we see overall some mild softening in seniors and lower mezz.  AAA trades dominated by 2nd pays (we had 2 yesterday), which all hit their par ceilings and trade in a 139dm-164dm range, the metrics of all of these bonds are relatively clean with Sub80 buckets < 1.7%.  Our generic AAA curve remains at 114dm.

USD CLO Mezz/Equity

One x AA trade OZLM 2015-12A A2R CVR at par ceiling at 156dm / 2.4y WAL, the metrics on this bond are weaker but the margin structure of the bond (+160bps) means there is some inherent callability and small pick up to 2nd pay AAA.  Our generic AA curve is 165dm.  2 x BBB trades, coupon structures are 300-325bps which are cuspy for resets given new issue is in similar context (L300s) and our generic secondary curve lags this slightly at 336dm.  The bonds also suffer from some weaker performance, BLACK 2016-1A CR (Black Diamond) has an elevated ADR 1.8, Sub80 bucket >2%, CCC bucket > 7.5% (8%) and Black Diamond’s overall performance in terms of ADR is almost double the market average at 2.1%.  At BB, cash px dispersion is 10pts and dm range is 582dm-801dm with significant tiering driven by a combination of variables.  For instance, bonds with lower coupon structures (<550bps) and weaker MVOCs with elevated credit impairments like ADR and cuspy cushions do suffer from an execution point of view - CGMS 2014-2RA D CVR 91.37 at 699dm / 6.8y WAL – MVOC is at the low end 104.5, ADR is high 2.5, Sub80 2%, Jnr OC cushion is 1.5.

EUR AAA CLO

There are 6 x AAAs today. Oak Hill 4 and Harvest 18 are fixed rate bonds and traded around par / 165a over swaps. Of the others Arbour 8 has an outstanding cleansing notice and so traded closer to par at 100.15 / 175dm. The other three traded around 100.40 / 160dm.

USD CLO AAA

>30 covers today across the stack, US LLI +4bp and slight softening across IG.  All 1st pay AAA hit par ceilings, notably coupons > 100bps with our generic curve 114dm.  3 x 2nd pay AAAs cover at a slight discount to par and trade in a 128dm-136dm range, these are great data points as are quite rare and in good sized clips of 3m each. 

USD CLO Mezz/Equity

1 x AA CRNPT 2020-9A B covers at par ceiling 100.04 268dm / 3.7y WAL (coupon +269bps), metrics are extremely clean on this 3.0 high coupon bond which is callable in 10 days time.  1 x single-A trade SRANC 2014-3A CR covers at a discount 98.29at 273dm / 4.9y WAL (bond coupon +235bps / EoRP 2022 / callable) – issue here is that the deal is a little impaired from a credit point of view, ADR is high at 2%, Sub80 bucket is high at 5.6% and Jnr OC cushion is lower at 1.8% whilst the manager Canaras is inexperienced with a weaker record to peers.  5 x clean BBB bonds cover at small discounts to par, bond coupons +295-345bps, new issue in L300s and our generic curve is 334dm so the bonds have some limited callability with the MVOC strong >111.  BB trading delta is 6pts and dm range is 614dm-768dm, our generic curve is 657dm.  MVOC drives tiering today with bond relatively clean and trading around our generic curve, with Shenkman’s JEFFM 2015-1A ER at the wide end 93.55 CVR at 768dm / 7y WAL – ADR is high 1.7 and Jnr OC cushion is cuspy 1.2.  2 x rare single-B trades today, dm range is 975dm-1065dm (bond coupon range +820-865bps), APID 2015-22A ER trades firmer 94.01 at 975dm / 8.2y WAL – metrics are clean all round (MVOC 103.5 / ADR 0.8 / Jnr OC cushion 3.04).  SHACK 2017-11A F from Alcentra, on the other hand, covers 88.21 at 1065dm / 7y WAL – slightly weaker metrics all round to the CVC bond (MVOC 102.9, ADR 1.1, Jnr OC cushion 2.1) whilst manager records are fairly similar to CVC.  Our generic BB curve is 932dm.

EUR AAA CLO

The AAA trade today is the recent single tranche refi of CGMSE 2017-3 which traded at 100.07 / 117dm

USD CLO AAA

16 trades to kick off the week, whilst US LLI ticks up another +5bp on Friday close, we see tightening across the stack week on week.  All AAAs continue to hit their ceilings today and our generic curve is now 113dm.

USD CLO Mezz/Equity

3 x BB trades, including a rare 2021 vintage CANYC 2021-1A E CVR 99.50 at 648dm / 10y WAL, away from this two other clean bonds trade 593dm-597dm (coupons +568bps) with strong cushions and MVOC >106 from benchmark managers Blackrock and Barings.  Our generic BB curve tightens into 656dm.

EUR AAA CLO

4 x AAA trades today. They have traded between 115dm and 137dm which is around 5 bps wider than our curve and is in line with the widening seen in the primary market. All four bonds will become callable soon.

USD CLO Mezz/Equity

Just 3 mezz BB trades today, US LLI finishing up the week +4bp on the day and our generic BB curve shifting tighter to 665dm.  Trading range today is 514dm-611dm for very clean bonds with coupon structures < +530bps, whilst new issue is in similar context to our generic curve.  MVOC levels tier execution levels from a cash px point of view along with the strength of certain diversion tests like Jnr OC cushion.  STWRT 2015-1A ER trades softer at CVR 95.69 at 611dm (+528bps coupon) – MVOC is at the lower end of the trades 105.5, Jnr OC cushion is 2.4 which again is at the lower end of the trades today but still healthy.  Execution is almost 2pts back in cash px terms to a similar profile bond NEUB 2018-27A E (CVR 97.45 / coupon +520bps and same EoRP 2023) which has a MVOC of 106.9 and Jnr OC cushion 3.3.

USD CLO AAA

45 covers today, predominantly mezz.  US LLI was largely flat on the day and AAA levels flat too as bonds continue to hit their par ceilings.

USD CLO Mezz/Equity

For mezz, we see a little tightening today.  AA bonds trade around par as bonds with coupons < 160bps trading at a slight discount given less inherent callability.  Our generic AA curve is 169dm and new issue in similar context.  At single-A our generic curve is 221dm (new issue L200s area) with good execution today as bonds with coupons <200bps (165bp-175bp) trade at or a slight discount to par which is potentially a sign the market is pricing in further tightening at this rating.  23 x BBB trades, with a 4pt spread in cash px and dm range 273dm-511dm, new issue is talked L300s and our generic BBB curve is 356dm.  Bonds with coupons > 400bps trade at their par ceilings whilst the remainder of bonds are tiered according to multiple factors including credit, loan pricing and manager performance.  At the wide end is MCLO 2013-5A CR, an original BBB and now B+ rated CVR 96.06 at 376dm / 4.3y WAL, this deal is delevering and performance has been impacted due to the inability to switch credits – ADR is high 2.8, Sub80 is high 7.7, CCC is high 20.6, Jnr OC cushion is negative and the bond is PIKing.  At BB there is a 7pt spread in cash px and dm range is 557dm-833dm, our generic curve is 669dm with an array of credit factors and loan pricing influencing execution.  Weakest execution is OAKCL 2019-1A E CVR 91.75 at 833dm / 7.5y WAL – ADR is high 2.6, MVOC is at the low end 104.1 and Jnr OC cushion low at 0.5.  2 x single-B trades today, dm range is 915dm-968dm which is around our generic curve of 930dm.  Bond coupons on today’s trades are 760bps-825bps so well inside market levels, whilst the bonds themselves have clean metrics.

EUR AAA CLO

Just 4 x AAA trades today. They have traded between 122dm and 154dm which is around 1 to 2 bps tighter than our curve. All four bonds will either become callable soon or recently became callable.

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.