USD CLO AAA

29 covers today across the capital stack, US LLI fell 12bps on the day so the largest day on day drop since the end of January volatility.  AAA held up well as compared to yesterday with all bonds trading at a small premium to par with higher coupon 2.0 and 3.0 CLOs trading at the highest premium (100.42 / 100.48).  2.0 CLOs post NC and still in reinvestment with coupons < 125bps tend to trade closer to par with new issue AAAs in similar context for longer WALs.

USD CLO Mezz/Equity

AA trade in similar cash price context with only PGIM’s DRSLF 2015-37A BR CVR < par (99.95) given the lower coupon +140bps making this bond less appealing for a reset.  There are two shorter dated Single-As that trade 178dm-257dm (both at discounts to par), DRSLF 2013-30A CR (PGIM) covers 99.63 at 178dm / 4.8y (coupon +170bps) with new issue lm200s context this bond is unlikely to migrate too much further towards par.  Although the coupon on MCBSL 2015-1A CR (Monroe) is +257bps this covers mh99h given credit fundamentals are poor and balanced a little by the fact that the deal is delevering.  Both BBB trades today carry a coupon of +315bps but have different reinvestment profiles (one is passed and the other is 2025) with dm range 318dm-366dm.  Focusing on the 3.0 high coupon bond that is in reinvestment SYMP 2020-22A D covers close to par (99.77 / 318dm) with NC Jan 2022 and typical outperformance of 3.0 structures.  BB trade in a wide dispersion 579dm-825dm (new issue BBs in lm700s context) given a variety of margin profiles (530bps to 725bps).  At the wider end of the range is OZLMF 2013-4A D2R (Sculptor) that covers 94h (coupon +725bps) but has a weak MVOC 104.9, high ADR 1.3 and Jnr OC cushion is -0.3 with this bond PIKing.

EUR AAA CLO

There are 5 x AAA trades today. They are all 2020 vintage with high margins. All traded around 100.40 area and around 200dm. This is a widening in the AAA curve of 6 bps according to our calculations.

USD CLO AAA

A step up in activity today with just shy of 40 covers with a touch of softening filtering in, the S&P/LSTA US LLI is down 8bps since Monday close.  AAA has been trading above par consistently but there are 2 trades today at a small discount driven by some mild credit weakness and a slightly weaker manager record than benchmark.  For instance MP12 2018-1A A covers vh99h with a coupon of +101bps, high ADR 1.6, low IDT cushion 0.3 and Marble Point’s record is only a touch weaker to benchmark. 

USD CLO Mezz/Equity

The 2 x Double-A bonds trade softer with covers at a small discount too.  However this is driven by NAV as MVOC are lower (127.5-128.7) than recent comps which have traded around par with similar margins (+150-170bps).  BBB trade in a wide dispersion in dm terms 249dm-524dm given a spread of bond coupons from 250bps to 541bps.  MP18 2020-2A D2 which is a 3.0 bond and is pre NC has a high coupon 541bps and as a result of strong fundamentals it trades strongly at 100.914 CVR 524dm / 6.7y WAL.  Given other 2.0 BBBs that trade today have much lower coupons (2 or 3 handle) with weaker fundamentals this bond represents excellent value.  At the other end of the scale OZLMF 2013-4A CR covers at 97 (bond coupon +335bps) and has a weak MVOC 110.5, elevated ADR 1.3, Jnr OC cushion -0.3 with the tranche immediately subordinate PIKing.  BB also trade in a wide dispersion given the volume of trades today 539dm-912dm with 2 bonds trading above par, one of them being a 3.0 TRNTS 2020-14A E 101.23 CVR but the other a 2.0 NEUB 2017-16SA E that covers 100.03 at 539dm / 4.4y WAL (bond coupon +540bps), the latter bond has a very strong MVOC 107.2 as a result of delevering predominantly but also has strong cushions (IDT cushion 2.6) from a benchmark manager.  Two rare single-B trades 925dm-964dm (bond coupon range +812bps-820bps) and CVR prices 92-93, the last single-B trades we observed were back in mid-Feb and were in 875dm-1050dm context and with few new issues having single-B tranches (St Pauls IV reset that is due to price this week has a single-B tranche with IPTs l/m 800s).

EUR AAA CLO

There are 7 x AAA trades today. All except Fair Oaks 2 are in amortisation. We think AAA spreads have widened by 4 bps.

USD CLO Mezz/Equity

A similar day of lucklustre liquidity today with S&P US LLI dipping 4bps on the day with all 6 trades are in mezz.  AA bonds have been trading around par and today is no different with higher coupon bonds better bid, AA bonds with coupons as low as +130bps trade around par and continue to support new issue levels into +140-150bps range even for longer (5y) reinvestment periods.  At the tight end of the dm range today is an upgraded AA to AAA bond AIMCO 2015-AA BR (AIMCO) which covers 100.02 with coupon +130bps but is delevering (hence CE improving) with good performance (ADR 0.24, IDT cushion 2.7).  At the BB level today execution is very much credit driven (as opposed to based upon margin structure) with a trading range of 598dm-716dm (coupon range +547bps-675bps).  GALL 2018-1A E (Gallatin Loan Management) covers at the highest level today in h90s context, MVOC is strong 107.8, ADR<1 (0.9), Sub80 low 0.5 and IDT cushion is strong 4% whilst the deal is delevering so the WAL is shorter.  For bonds still in reinvestment periods the execution range is 699dm-716dm (bond coupons higher +625bps-675bps) with credit generally weaker on these 3 trades that see execution from 98.78 / mh90s (See PriceABS trade listing for details).  New issue BBs on the other hand are being talked in mh600s in primary whilst we are seeing a generic secondary execution range 640dm-730dm as a comparison.

EUR AAA CLO

A busy day today. There are 8 x AAA trades today. 5 of them are very short – below 1.5yrs WAL. Fair Oaks 2 is a Class X and the others are all in amortisation. The AAA curve is unchanged.

USD CLO AAA

With month end just passing us it was a slower and cautious start to the month from a liquidity perspective, with 4 x AAA covers today.  There was a slight softening tone going into month end whilst US LLI has a small bounce from Friday’s month end close of +5bps.  AAA trade today in similar context (at par) with sequencing of cover prices lining up with bond coupons, ie. higher coupon bonds post NC cover higher given the closer proximity to refi/reset likelihood.  As a comparison new issue / refi AAAs just prior to month end were in +130bps (Par-Four) context for longer WALs EoRP 2026 and +100bps for shorter WAL (MJX) / EoRP 2022, note that both of these managers have weaker records versus their peers so benchmark execution would be tighter.  AAA Secondaries trade as tight as 75dm for short dated / low coupon WALs and 122dm as a generic level.

EUR AAA CLO

There are 7 x AAA trades today. The secondary AAA curve has widened by another 3bps on average. This is backed up by the New Issue pricing reported by Bloomberg. Golden Tree 5 and CGMSE 2016-2 priced at 82bps and 83bps respectively at the AAA level. The most recent New Issues at the end of last week were Arbour 4 and Jubilee 2018-21 which both priced at 79bps. In the group of secondary trades the two tightest spreads are for ALME 2 and Oak Hill 5 which priced at 119dm and 123dm respectively. ALME 2 is amortising and Oak Hill 5 has passed it RPE date and both are very short at approx. 1.7yrs WAL.

USD CLO AAA

Given month end is tomorrow it is not surprising that trading has slowed, there are 10 covers today whilst S&P US LLI dipped 2bps on the day.  Half of these trades are AAA and execution is around par with little tiering to note.

USD CLO Mezz/Equity

One single-A trade VIBR 2017-6A C covers at par, this bond is post NC with EoRP September this year and has a coupon of +260bps which is around 40-50bps premium to new issue, performance is weak/average on the deal (ADR a touch high 1.4, CCC at the bucket ceiling and IDT on the low end 0.7) so path to reset is clouded.  BBB trade at a light discount to par at 333dm-384dm (for bond coupon range 290bps-365bps) versus new issue execution in early 300s area.  JFIN 2014-1A D covers at the highest level today 99.52 / 384dm given bond coupon +365bps has a path to reset.  An interesting BBB trade is WITEH 2014-1A DR that covers near par 99.27, this deal is distressed (ADR 2.5, Sub80 13, CCC 21, Jnr OC cushion -5) but the WAL is short given the deal is delevering, the bond itself is not deferring but the single-B tranche which is 2 Classes beneath is PIKing but this DR tranche is current and with MVOC 122 this is why execution was strong.  One BB trade today AVERY 2013-3A E (downgraded to B-) that covers 98.88 with 545dm / 2.7y WAL.  The coupon is +500bps and with new issue 570-600bps there is limited path to a reset here especially with spotty performance (ADR 1.8, Sub80 6, WARF 3568) but MVOC is strong 112 but given the short WAL (EoRP 2018 / deal delevering / AAA repaid) execution reflects the short WAL.

EUR AAA CLO

There are 4 x AAA trades today. The Accunia bond traded wider than expected, even allowing for its high margin. On average the AAA curve tightened by 2bps. The traded range is between 100.01 and 100.08 with spreads to mat between 118dm and 146dm. Bloomberg reported that Hayfin 1 reset today with a AAA margin of 82bps. This is 1bps inside the Avoca 10 level (which was longer) and the same margin as Redding Ridge Euro 1 reset.

USD CLO AAA

18 covers today, predominantly mezz.  3 x AAA trading around par with underlying bond coupons > +125bps with OAKC 2019-4A A1 (+133bps) best bid 100.30 (127dm) with NC in 5 months from now with a path to refi/reset quite possible as it stands.

USD CLO Mezz/Equity

BBB bonds trade near par with coupons > 340bps (vs new issue spreads 2-handle), as noted yesterday bonds with both lower relative coupons, MVOC and IDT cushions tend to trade at a small discount eg. VIBR 2017-6A D (Vibrant) +390bps spread covers 99.03 and has a 110.3 MVOC (3-5 pts off benchmark), high ADR 1.4, low IDT cushion 0.7.  Whilst at the other end of the scale a 3.0 BBB BSP 2020-21A D covers 101h (+435bps coupon) with MVOC 115.4, 0 ADR and strong cushions (NC Aug-21).  At BB end new issues are talked mid-late 500s so coupon is a driver of direction but performance is a bigger lever, bonds that trade with the highest discounts are constrained with lower relative coupons, lower MVOCs and performance issues, eg.  OAKCL 2019-1A E (OakTree) which has been downgraded to B+ covers 89h 855dm (MVOC 103.8, ADR 3%, IDT cushion is -0.4) whilst 3.0 BBs are bid at a significant premium HLSY 2020-3A E with a spread +834bps covers 102.1 798dm with a strong MVOC, 0 ADR and strong IDT cushion 4.2 and has a NS of May 2022 so risk adjusted cashflow is strong.  One x single-B bond today OCT21 2014-1A ERR 1009dm / 8.1y WAL, this bond has a coupon of +950bp and with scarce new issue in this rating category the performance and MVOC are key, performance on this second loss piece is relatively clean with MVOC 104, ADR 0.98, WARF 2939, IDT cushion 1.4 and the deal is past NC with EoRP 2024.

USD CLO AAA

Heavy liquidity with 63 covers.  AAA continues to be bid at it’s par ceiling with higher coupon bonds and 3.0s ‘in the money’ (+130bps+) for a refi/reset better bid, regardless of NC which are typically well within a year.

USD CLO Mezz/Equity

AA repeats AAA behaviour, with typically lower coupon and lower performing bonds bid at a small discount to par, eg.  TICP 2018-IIA A2 (TPG) covers 99.95 at 127dm (+125bps coupon) and ARCHS 2016-2A BR (First Eagle) cover 99.96 cover at 187dm despite a higher coupon +185bps but has weaker credit (ADR >1, Sub80 6.2, WARF 3676, CCC 14% and negative IDT cushion).  Working down the scale Single-A and BBB trade back in cash px terms to AA with the majority of bonds cover below par with higher coupon and high MVOC 2.0 bonds better bid.  BB trade in a wide dispersion 537dm-880dm, driven predominantly by fundamental performance with impact of ADR and Sub80 migration, furthermore weaker IDT cushions are typically correlated to weaker execution whilst of course MVOC also remains critical in the tiering of bonds at this level.  Therefore bonds that cover at a premium to par are either 3.0 high coupon or 2.0 higher coupon with strong MVOC and healthy cushions with low ADRs/Sub80 buckets.

EUR AAA CLO

There is 1 x AAA trade today. Oak Hill 6 traded at 99.91 / 127dm. For the secondary market this does not evidence much of a change in spreads, if anything a basis point or two wider. Bloomberg reported a stack of refi’s and resets in the New Issue market today. Looking at the resets, if anything the Primary market is a basis point tighter. Avoca 10 reset is notable for a longer than usual NC/RPE structure of 2/5 and this priced at 83bps margin.

USD CLO AAA

18 covers to start off the week, AAA-A.  1st pay AAA trade trade at their current ceiling of par (for margins+100bps-115bps) and there is a rare short dated 2nd pay trade at 100.125 from Voya IM (coupon +190bps) trading at 177dm / 0.94y WAL (despite weaker credit fundamentals – eg. CCC 19%, ADR 1.9, IDT cushion -2.1).

USD CLO Mezz/Equity

AA once again behave in similar context to AAAs by trading at their par ceiling with higher coupon (and short NC period remaining / coupon +195-220bps) being slightly better bid in m100h.  A similar story with single-A but lower margin bonds (+160-170bps) trading at a small discount to par, whilst a weaker single-A CANYC 2014-1A BR (from a MVOC point of view – 117.4  which is 3pts off benchmark) covers at a small discount too, note also that this bond has 84% current cov-lite exposure which appears to be driving MVOC lower along with a cuspy IDT cushion.

EUR AAA CLO

There is 1 x AAA trade today. Avoca 17 traded at 100.41 / 127dm. We see this as a tightening on the AAA curve of 6bps.

USD CLO AAA

Busiest trading day of the week with just under 40 covers, the S&P US LLI saw its first daily drop of the month (-2bps).  AAA continue to trade around par with both PGIM and Pinebridge bonds with EoRP 2023 (post NC) trading 100.07 and 100.05 respectively (coupons +101 and +102bps). 

USD CLO Mezz/Equity

AA mirror AAA trading with all trades around par, bonds with 2022/2023 EoRP profiles and coupons +140bps-170bps trade accordingly.  Single-A also trade around par with two exceptions, firstly a higher coupon bond with clean metrics REG16 2019-2A C from Napier Park covers VH100h (higher than other covers in L100h).  Secondly CATLK 2018-5A C (Carlson Cap) covers 99h given some credit challenges (MVOC is low at 117.5, ADR is high at 2, Sub80 is high at 3.5 and cov-lite balance is high at 43% with a lower WA collateral px 96.9).  BBB trade in dm terms 280dm-475dm, bonds that trade at the highest discount have MVOC < 110, cuspy IDT cushions and from weaker managers (Sculptor, Sound Point and Bardin Hill).  BB trade in a very wide dispersion in terms of cash px (86-100.74) and dm (472dm-893dm).  Breaking this down, 2 bonds that trade at a premium to par have high coupons +713bps / +715bps, are still within NC (EoRP 2023/2024), have strong IDT cushions, low ADRs (<0.7) and low Sub80 (0.5) so cashflows are strong coming out of the pandemic.  At the other end of the scale are two bonds from Seix and MJX that cover at 86, these also have similar EoRP (2023/2024) but MVOC are at least 4pts lower (103.5) and credit is poor (ADR 2%, Sub80 3-5%, IDT cushions cuspy 0.4) whilst both managers have poor records versus peers.  At the tight end of the dm range is FLAT 2015-1X E (NY Life) that covers 99.93 at 472dm / 4y WAL (low coupon +470bps) and has strong performance (MVOC 110, ADR 0.5, Sub80 1.9 and IDT cushion 3.65).

EUR AAA CLO

There are 6 x AAA trades today. Three of the bonds are in amortisation – 2 Cork Street bonds and Dartry Park. These three have all traded between 100.00 and 100.05 and spreads between 114dm and 134dm. Adagio 8 is a 2019 vintage and has a margin of 93bps. It traded at 100.31 / 129dm. The last two AlbaCore 1 and Vendome are 2020 vintage, with margins around 170bps and traded around 100.65 and spreads around 190dm. We think the AAA curve has widened by 2bps based on these trades.

USD CLO AAA

Liquidity picked up today with 24 covers and 2 DNTs with disclosed color, US LLI up 7bps since Friday close, with Seniors and lower mezz trading exclusively today.  AAA continue to trade around their equilibrium for 2.0 bonds with coupons 102dm-126dm with a natural tendency for these cover prices to improve on higher coupon AAAs, for instance GSO’s GRIPP 2017-1A A covers 100.16 (+126 coupon) with LCM’s LCM 20A AR 100.06 (+104 coupon) given the path to refi is clearer on the GSO bond. 

USD CLO Mezz/Equity

BBB, for the large part trade at par or a small premium to par with a couple of exceptions.  Apex Credit’s APEXC 2019-1A C covers 98.33 at 439dm / 7y WAL (coupon +411bps) sharing a similar profile to an Oak Hill bond that today trades 1.5pts higher.  There is some credit weakness in the Apex bond (ADR is high at 1.5, IDT cushion is at the lower end 1.96) and the manager has a weaker profile to its peers with Oak Hill having a far superior record to date.  Voya’s VOYA 2016-1A CR covers at a significant discount 95.35 at 349dm but carries a lower coupon (+265bps), low MVOC 108.8, ADR>1, CCC 9.2, par build highly negative -1% and a cuspy IDT cushion 0.65 with the manager’s record weaker to its peers.  BB bonds with solid fundamentals continue to perform well, highlighted by 2 of the trades today trade at a small premium to par (MDPK 2016-21A DR and BATLN 2019-14A E) and very clean metrics.  TICP 2015-1A E covers at the largest discount to par 97.58 and this is due in particular to the fact that this deal has been downgraded to single-B, the coupon is lower than similar profiles (so compensation for loss risk is lower), MVOC is at the lower end 105.6, ADR >1, Sub80 assets higher at 3.5 and most importantly since this bond is PIKable the Junior OC test cushion is very cuspy at 0.45 (Class F tranche immediately beneath is currently PIKing).

EUR AAA CLO

There are 6 x AAA trades today. All the bonds have traded at a premium which is being limited by their callability. The spread to maturity range is, of course, high which is just a function of the margin on the bonds and therefore how much of an effect pulling the price back to par has. For the record the range of DM to maturity is 125dm to 212dm, though this doesn’t inform very much. We don’t think AAA spreads have moved, based on these trades. According to our spread curve and our algorithm Fair Oaks 2 has traded a little wider than we predicted. The deal metrics are fine so we presume, as a smaller manager, there is a manager premium associated with this name.

USD CLO AAA

Given President’s Day yesterday this week started off slower, with 8 covers today.  One x AAA CEDF 2016-5A A1R (Aegon) covers at 100.06 at 109dm / 3.8y WAL, this theme of migrating to par continues given the environment is ripe for refi/resets.  Although the margin on this bond (+110bps) does not present a clear path to refi since markets need to tighten more with AAAs currently hovering around this mark. 

USD CLO Mezz/Equity

One single-A trade OCTLF 2014-1A CRR (Octagon) covers also around par 100.066 with a coupon +220bps, which is very close to the prevailing single-A curve (vl 200s).  BB trade 624dm-811dm, we can give an example here of how fundamental performance alters the pattern of execution at this end of the capital stack, there are 2 similar profile BB rated (and original BB) bonds with bond coupons similar +660bps/+665bps and post NC (EoRP are 2021/2022).  The difference here being in performance with Brigade’s BATLN 2016-10A DR cover at par (100.09) 663dm / 5y WAL and has a strong MVOC 108.2, low ADR 0.6, strong IDT cushion 4.9 and low 2nds balance 0.5.  Contrastingly Sculptor’s OZLM 2017-19A D covers at a significant discount (92.05) for a similar profile but MVOC is almost 4pts weaker 104.5, ADR is high 1.8, IDT cushion is cuspy 0.3 and 2nd lien balance is high at 4.7%.

EUR AAA CLO

There are 2 x AAA trades today. St Paul’s 10 traded at 100.11 / 157dm because it is a 2019 vintage and callable now. Invesco 5 traded at 100.74 / 133dm because it is a 2021 vintage and not callable until April 2022. They both pay similar bond margins. The AAA curve looks unchanged.

EUR AAA CLO

There are 5 x AAA trades today. The spread range is from 118dm to 150dm. The 150dm trade is Ares 14 which of course is the high margin bond (112bps) and is 2020 vintage. One of the bonds, Penta 2, is in amortisation and traded at 122dm. Overall these 5 trades represent an average tightening of the AAA curve of 3bps for us. In the New Issue market Bloomberg reported that Aurium 7 and BlueMountain 2021-1 both priced at 83bps which is pretty much an unchanged level for AAAs.

USD CLO AAA

Plenty of liquidity today with 45 covers across the capital stack, furthermore the S&P US LLI continues to retrace January gains (+12bps this week).  AAA bonds trade at par, with 2.0 CLO exchanging hands at 77dm-145dm, whilst 3.0 trade 149dm-188dm, with the latter a Palmer Sq BSL CLO AAA with a high coupon +200bps covers at a premium to par at 100.265 at 188dm / 2.2y WAL – with these bonds rarer and carrying high coupons they are well bid especially with the defensive nature of the deals (MVOC 167, 0% Sub80, 4.2 IDT cushion).

USD CLO Mezz/Equity

AA 2.0 also trade at par as we have seen recently 156dm-170dm with strong performance on these bonds.  Single-A trade mostly at a small discount to par 177dm-189dm with an outlier 2.0bond from Oak Hill OAKC 2019-4A C with a high coupon +265bps covers 100.62 / 7y WAL NC Jul 2021 – performance is good (MVOC 121, 0 ADR, 0.7 Sub80, IDT cushion 4.2) but the high coupon for a 2.0 AA makes this a sought after bond to diversify portfolios.  BBB trade in cash price terms slightly back to single-A in chronological order 279dm-316dm which is around 5-7bps of tightening versus recent comps.  As we saw with single-A, high coupon BBB with robust performance are well bid, ACIS 2014-5A D (Highland Cap) with coupon +434bps covers at 100h at 419dm / 3.5y WAL, the MVOC is strong 124.3 given the deal is post-reinvestment and delevering with IDT cushion strong 2.5% despite the high WARF 4163.  BB trade 594dm-682dm in line with 570dm-770dm context this month to date for comparables.  PGIM’s DRSLF 2015-37A ER covers 95.67 at 594dm / 6.8y WAL with relatively weaker metrics accounting for the 4.3% discount to par – MVOC 105.6, ADR 1.0, IDT cushion close to 1% and a lower coupon to offset risk reward +515bps.  One single-B (original B) trade today ELMW3 2019-3A F (Elmwood AM) covers near par 99.61 at 875dm / 8.8y WAL – the MVOC is strong 106.9, ADR is low 0.2, Sub80 is low 0.4, WARF is healthy 3042, CCCs are within TH 4.4 and IDT cushion is strong 3.7 and there is a high coupon +869bps making this a very well bid second loss bond.

EUR AAA CLO

 We’ve got 11 x AAA trades today. Three of these are fixed rate: Armada 2, Anchorage 1 & Hayfin Emerald 1. They all traded just above par. Fixed rate bonds have much less liquidity and so their effective DM (although they most likely traded to a yield) is very high being in the low 200s. The other 8 trades were in the 127dm to 152dm range. This is a widening of 5bps on the day.

USD CLO AAA

A busy day of flow with 57 covers across IG and SubIG.  2.0 AAA continue to trade at a small premium to par given the optionality in a refi/reset scenario and the same with 3.0 AAA with higher coupons and 1y NC’s due at some point this year.  There is a second pay AAA today from Ares ARES 2014-31RA A2 that covers 99.99 in 8m size at 130dm / 4.6y WAL which slots in naturally in at the wide end of 2.0 AAA dm’s today. 

USD CLO Mezz/Equity

AA bonds, which are all post NC trade 131dm-193dm with an upgraded single-A cover 210dm from Marble Point.  The lower coupon AAs (+115bps/+150bps) trade at a discount with performance on the respective KKR/Wellfleet bonds slightly worse from a credit point of view but with the lower coupons not compensating enough for the additional risk these trade at 99.5 and 99.6.  Two single-A bonds exchanged hands today and cover 225dm-251dm with both covers at a discount, Seix’s MVEW 2017-1A CR covers 99.21 at 251dm / 5.3y WAL and has a weak MVOC 117, high ADR 1.6 and a cuspy IDT 1% with a running coupon +235bps which is at cohort.  BBB trade in a wide dispersion 270dm-424dm given the variety of performance and profiles on bonds.  The MVOC on bonds that trade at a premium to par is on average 1 point higher whilst other factors like ADR and Sub80 exposures are on the whole lower.  OZLM 2014-8A CRR trades at the highest discount 97.635 at 363dm / 5.5y WAL and has a lower than average coupon +315bps with mediocre performance (MVOC 111, ADR 1.2 and IDT cushion negative -0.56 and a cuspy Jnr OC cushion).  BB (orig BB) trade 581dm-783dm with the safeguards of strong MVOCs driving the dm distribution.  A MidOcean managed bond covers 96h and despite a reasonably strong MVOC the drag on cash price is driven by the higher ADR (1.1) and weaker performance overall of the manager.  A CVC managed bond covers at 95.83 with manager performance around benchmark levels but the low MVOC 104.5 and lower IDT cushion pull this to a steeper discount.  Two original single-B rated bonds trade today in a 944dm-1031dm range with cover prices driven largely by MVOC distribution, higher WARF and cuspy IDT cushions, in these cases the MVOC are 102-103 and cash prices are in mh80s-90 area.

EUR AAA CLO

 There are 6 x AAA trades today. Tymon Park is a fixed rate and the deal is amortising. It traded at 100.05. Leaving this trade aside the other 5 had a trading range of 122dm to 148dm. The tight end trade is Armada 2 which in spite of its low margin of 76bps traded at a 100.17 / 122dm. The widest trade is Providus 3, which has the highest margin at 112bps and traded at 100.42 / 148dm. We think the secondary AAA curve has tightened by 4bps. Bloomberg reported that Oak Hill 8 priced at the very tight level of 84bps. After CVC Cordatus 4 reset at 83bps on 5 Feb there were two subsequent new issues that came at 87 and 88bps and now Oak Hill 8 is back at 84bps.

USD CLO AAA

A consecutive day of mute liquidity as the S&P US LLI also flattens out this week following a week of retracing gains.  AAA bonds continue to trade around par with margins +96bps to +125bps from an array of managers.  From a credit point of view none of these bonds has signs of weakness, whilst Octagon’s OCT18 2018-18A A1A which trades 100.07 94dm has a NC next month with AAA coupon +96bps so unlikely short term candidate for refi/reset but pricing has shifted nonetheless with the current market dynamic.

USD CLO Mezz/Equity

AA bonds also continue to trade around par, bonds from CIFC and 40/86 Advisors which have clean metrics (MVOC 128.50-129.50 and strong cushions) with dm context 158dm-162dm.  BB (original BB) trade at discounts to par in 620dm-700dm range with lower MVOC and lower coupons driving the severity of discount, for instance Carlyle’s CGMS 2018-2A D covers 93h with a relatively lower coupon +525bps equating to 635dm / 7.22y WAL.  CVC’s APID 2017-27A D covers 97.02 with a higher coupon +640bps at cover 97.02 698dm / 6y WAL whilst CVC’s overall manager performance is closer to benchmark of the 2 managers.

USD CLO AAA

13 covers today, all IG.  AAA bonds that are all post NC all trade around par as we have seen recently, at the wide end today is Sound Point’s SNDPT 2013-3RA A that covers at the lowest cash px 100.02 115dm / 3.8y WAL and has a weaker MVOC 146.6 along with cuspy IDT cushion 0.02 with slightly weaker than average manager metrics. 

USD CLO Mezz/Equity

AA bonds behave in similar fashion to AAAs with the pull to par given the reset friendly environment.  Sculptor’s OZLM 2014-6A A2AS covers at 100.00 despite a breached IDT cushion and a high 2nd lien balance of 3.8%.  Apollo and AXA IM’s AA bonds also trade at a small premium to par with comparable / slightly improved metrics.  BBB trade on the whole at par with the exception of Alcentra’s SHACK 2016-9X D that covers at 99h and 386dm / 4.7y WAL – the MVOC is weak 111.2, ADR is elevated 1%, Sub80 is higher 2.5, WARF is higher 3234, CCC is higher 7.4, IDT cushion is cuspy 0.7 and cov-lite exposure is high at 20%.  The combination of these metrics and the manager’s weaker track record culminate in weaker trade execution.

EUR AAA CLO

 A large number of AAA trades today – 15 in total. Four of the bonds are from 2020 or 2019 vintages. They are Providus 4, Montmartre, Deer Park and Henley 1. These four traded with spreads between 155dm and 194dm and the bonds have margins between 114bps and 159bps. All the other bonds traded between 101dm and 147dm. The 101dm trade is Jubilee 2014-14 which is amortising and is only 1yr WAL, which means if you take this bond out of the range it becomes 116dm to 147dm. We think the AAA curve has tightened by around 6bps. Today Bloomberg reported 2 New Issues. Palmer Square 2021-1, their inaugural issue, priced at 87bps over floored Libor and Dryden 44 2015 reset at 88bps – both for the AAA and both for 1.5/4yr structures.

USD CLO AAA

14 covers to round off the week, with positive momentum off some weakness going into January month end, with S&P US LLI ticking up 19bps on the week retracing most of the losses.  AAA bonds traded at around par, both bonds almost identical in profile and trading at 100.03 and 100.03 which works out to 124dm (+125bps coupon), given these bonds are post NC this seems a reasonable ceiling. 

USD CLO Mezz/Equity

Two different profile single-As trade today with a similar WAL.  The first one is a 2.0 CLO, Sculptor’s OZLM 2017-21A B covers 98.89 213dm / 5.3y WAL (2023 EoRP) with MVOC 120.66, Sub80 2.5, CCC 8.5 and IDT cushion 0.7 with a lower margin +190bps.  The second one is a 3.0 CLO from OakTree OAKCL 2020-1A C (2021 EoRP) which overs mh100h 320dm / 5y WAL with respective metrics MVOC 123.02, Sub80 0, CCC 1.8 and higher IDT cushion 4.1 with a higher coupon +335bps, a defensive bond with a higher coupon better bid.  2.0 BBB trade at a small discount to par 294dm-307dm (post NC) with these bonds migrating towards their reset ceiling levels.  BB bonds with coupon of under +600bps trade at a 3-4pc discount to par whilst a GoldenTree bond GOLD9 2014-9A ER2 covers at the most significant discount at 96h with it’s MVOC up to 2pts lower than benchmark 104.7 and a cuspy IDT cushion 1% along with a lower coupon (+566bps) than those bonds that trade closer to par with coupons well in excess of 600bps.

USD CLO AAA

A very heavy day of liquidity with more than 50 trades.  Only 2 x AAA trades today and they have a tightening tone and trade above par (covers 100.35/100.36) 123dm-126dm with very clean metrics on both bonds, whilst coupons on both bonds are +130bps/+133bps with NC July this year, so investors are pricing this as if there is a clear pathway to refi/reset in Q3. 

USD CLO Mezz/Equity

AA bonds trade slightly back to AAA in cash px terms but at a small premium to par, with three exceptions today that trade below par.  These 3 bonds (from TPG, Seix and Sculptor) have weaker credit fundamentals that are preventing them from trading above par (elevated ADRs as high as 2.7 on TPG, high Sub80 buckets 2.8 on TPG) with the cuspy/breached IDT cushions a lead indicator of stress.  The TPG has a reasonable record as a manager but this bond TICP 2018-IIA A2 is tripping Jnr OC test, furthermore Seix and Sculptor have weaker manager records.  Single-A trade 180dm-250dm with higher coupon bonds better bid over par (given the likelihood of respective deal resetting) with MVOC and IDT cushions also influencers on this dynamic.  There is an outlier trade from Apex Credit JFIN 2014-2A C covers at a discount 99.76 at 335dm / 2.5y WAL, this is an upgraded original BBB bond from a deal that is deleveraging (EoRP 2018) but has tripped its Junior OC test with immediately subordinate tranche PIKing, furthermore CCCs are high at 19%, Sub80 and ADRs running high at 13.4 and 2.3% respectively but counteracted by the fact that the MVOC is high since the deal is delevering.  BBB (all original BBB) trade 281dm-389dm with higher coupon bonds trading closer to / at par with the exception of bonds with lower MVOCs (<112), EGCLO 2018-1A D (Tall Tree) covers 98.46 at 358dm / 4.4y WAL predominantly due to a lower MVOC 110.9 but the fact that this bond is deferring interest (only 1 Qtr but is now current) due to a tripped Jnr OC test (-0.3).  Taking a closer look at the liquid 2023 RP profile this has tightened to comps by around 30dm with these bonds migrating to par.  BB (original BB) trade 600dm-884dm which is flat to recent context across a number of RP profiles.  MVOC and Int diversion tests continue to drive pricing at this rating along with other credit factors like ADR, Sub80 and CCC but to a lesser extent.  For instance at the wide end today is a bond from a weaker manager MJX VENTR 2017-28AA E cover h80s at 884dm / 5.6y WAL with a low MVOC 104.2, high ADR 104.2, high ADR 1.95, high Sub80 3.8 and a cuspy IDT cushion 0.5.  There is one x Single-B (original B) trade from Eaton Vance EATON 2014-1RA F that covers 93.51 at 964dm / 8.1y WAL which trades at the wide end of recent context 890dm-970dm for comparables, this is not due to market softening but instead due to fundamental weakness (ADR is high 1.6, Sub80 is high 2.2 whilst IDT cushion is lower than benchmark 1.5) and MVOC is low at 103.6, the equity on this deal is paying distributions and there is no PIK on this F tranche so the bond is very much current.

EUR AAA CLO

There are 4 x AAA trades today. Providus 2 is a 2018 vintage bond with a margin of 101bps. It traded at 100.13 / 148dm. The other three are all 2020 deals, with margins around 160bps. They all traded around 100.55 / 194dm. All four bonds are performing well. The secondary spread curve has widened by 8bps for us. Today Bloomberg reported that Anchorage 2021-4 was upsized and printed its AAA 4bps wider than Avoca 22, at 87bps over floored Libor.

USD CLO AAA

19 covers today with the majority high grade.  AAA, all 1st pay and 2.0 all cover at a minimum of par with the S&P US LLI retracing by 7bps some of the losses seen earlier this week by 7bps.  Performance delta between AAA bonds making less distinction on covers today given the market migration towards par given the pathway many deals have towards refi/reset.

USD CLO Mezz/Equity

AA trade in almost identical fashion to AAA with bonds in fact trading slightly above par with a dm range today 163dm-184dm.  BBB cover at a discount to par and trade in a 380dm-385dm range, with both bonds (Alcentra/Sculptor) having either a cuspy/breached IDT cushion which is a major influencer of bid prices at this end of the capital structure given the proximity to deferring, furthermore the Sub80 balances on two bonds today (around 2.8%) is around slightly above normal (circa 15bps) for bonds that have traded at a discount over the past couple of weeks, whilst the ADR levels on these bonds (1.05/1.09) are trending weaker and in the ball park where bonds at a discount trade.  One BB bond today trades (original BB) TRNTS 2020-12A E (Trinitas) covers a shade over par at 735dm / 9.4y WAL, this is a 3.0 bond with NC in a year from now and very defensive metrics all round (ADR 0.3, Sub80 0.3, MVOC 110, IDTC 4.3) with a high coupon +740bps.  One single-B bond trades today (original B) BABSN 2017-1A F (Barings) which covers 91.5 at 908dm / 6y WAL, this 2022 RP profile carries a higher coupon than other recent comparables from this profile (+600-690bps) which have traded in a 650dm-900dm range.  The metrics overall on this bond are strong with reset likelihood cuspy on this deal (AAA +118 and post NC) so investors are pricing this to a longer WAL.

EUR AAA CLO

There are 3 x AAA trades today – two floaters and one fixed rate. The two floaters, Adagio 4 and Aurium 2, are both deals in amortisation and traded at 119dm for short WALs of around 1.6yrs. These came out to prices of around 100.07. The fixed rate is Barings 2018-2 which traded at 100.00 which comes out to 214dm. As well as being a fixed rate with the reduced liquidity this implies it also has a low Jnr OC cushion of 0.28%.