EUR AAA CLO

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

USD CLO AAA

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

USD CLO Mezz/Equity

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

USD CLO Mezz/Equity

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

USD CLO AAA

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

USD CLO Mezz/Equity

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

USD CLO AAA

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

USD CLO Mezz/Equity

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

USD CLO Mezz/Equity

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

EUR AAA CLO

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

USD CLO AAA

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

USD CLO Mezz/Equity

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

USD CLO AAA

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

USD CLO Mezz/Equity

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

USD CLO AAA

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

USD CLO Mezz/Equity

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

USD CLO AAA

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

USD CLO Mezz/Equity

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

USD CLO AAA

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

USD CLO Mezz/Equity

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

USD CLO AAA

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

USD CLO Mezz/Equity

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

EUR AAA CLO

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

USD CLO AAA

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

USD CLO Mezz/Equity

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

EUR AAA CLO

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

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.