USD CLO AAA

22 covers today, the vast majority IG – 2 x AAA, 6 x AA, 13 x A, 1 x BB with a little softening in this seniors.  There is a 1st and 2nd pay AAA today, the 1st pay JTWN 2019-14A A1 (Investcorp) covers 163dm / 5.5y WAL which trades wide to recent 140dm context, the US LLI softened 4pts / 18bps today versus Friday close and Investcorp is a benchmark manager with strong fundamentals on this bond.  The 2nd pay VENTR 2018-31A A2 (MJX) covers 215dm / 4.8y WAL versus late-100s dm context seen this month in 1st pay FRNs, albeit this manager has a weaker record vs peers and this bond has weaker fundamentals (MVOC 138.7, Sub80 7.0, ADR 1.1 and IDT cushion <2 at 1.5). 

USD CLO Mezz/Equity

The AAs trade 195dm-239dm across RP profiles in line with 180dm-240dm context over the past week, at the wide end is again an MJX bond VENTR 2017-26X B 239dm / 4.3y WAL which is 26dm wide to CSAM’s MDPK 2015-16A A2R (which also has weak fundamentals but a stronger manager) – weak MVOC 121.6, high ADR 1.9 and neg IDT cushion -0.4.  There are a large number of single-As trades today 251dm-352dm trading range across 2021-2024 RP profiles which have traded 245dm-300dm context over the past week.  At the wider end are 3 recently closed high coupon 3.0 CLOs with significant cushion and defensive portfolios that tier to a higher dm, as we have seen recently the gap between lower cash px / legacy CLO 2.0 and higher cash px / post-covid defensive 3.0.  The BB trade today is CIFC’s CIFC 2013-1A DR 932dm / 7.1y WAL (2022 RP profile) which trades in the middle of 720dm-1120dm context this month, there is mild weakness in this bond counteracted by the manager’s strengths – MVOC is just above par 101.6, CCC 10.7, ADR 1.1, IDT cushion is 1.1 and WA collateral price is 1-2pts lower than benchmark at 94.3.

EUR AAA CLO

There are 8 trades today with one of them being AAA. Bosphorus Euro 4 traded at 99.67 / 157dm. Yesterday Sound Point Euro 4 priced at 110bps over floored Euribor for the AAA as reported by Bloomberg.

USD CLO AAA

15 covers to end this week off – 3 x AAA, 4 x AA, 5 x A, 3 x BB, the week ends with US LLI up 13bps and retraces all of the dip seen last week.  The AAAs trade 146dm-168dm, with Marble Point’s MP4 2013-2A ARR at the wide end 168dm / 2.54y WAL – low MVOC 140.9, ADR 1.01 whilst IDT cushion is negative.

USD CLO Mezz/Equity

The AAs trade 189dm-212dm (2019-2022 RP profiles) tight to 200dm-240dm recent context, the credits today have weaker fundamentals but nonetheless trade tight to the respective curve.  The single-As trade in a wide dispersion 201dm-299dm (2019-2022 RP profiles) which is similar to recent trading context, at the tight end is Invesco’s RCTTE 2015-1A CR 201dm / 3.3y WAL with a strong MVOC 125.2, low Sub80, low ADR 0.7 and lots of cushion on Int Div tests.  However at the wide end is Bain’s BCC 2017-2A CR 299dm / 5.6y WAL – low MVOC 112.8, high Sub80 6.1, high ADR 2.35 and neg IDT cushion pushing this bond close to a 3-handle dm.  The BBs  trade 926dm-1186dm (2020/2021 RP profiles) which is wider than 700dm-1050dm context seen in these rare profiles this month, the reason being the IDT cushion is cuspy or negative in all of the BBs today and a MV shortfall on one of the bonds MP7 2015-1A ERR.

EUR AAA CLO

There are 3 x AAA trades. Harvest 11 with a margin of 92bps traded at 99.91 / 151dm. BBAM 1 (for RBC) and Arbour 8 with margins around 153bps traded at approx. 100.58 / 190dm.

USD CLO AAA

A similar day of liquidity to yesterday, with 26 covers – 4 x AAA, 1 x AA, 8 x A, 8 x BBB, 5 x BB.  The AAAs trade 138dm-155dm, all bonds are clean whilst MJX’s VENTR 2018-32A A1 trades at the wide end 155dm / 4.4y WAL with a weaker MVOC (142 vs 149+ for benchmarks) and an elevated ADR 1.5 accounting for the wider trade.

USD CLO Mezz/Equity

The AA trade today is Investcorp’s JTWN 2015-7A A2R 204dm / 2.8y WAL which is post reinv and is tight to 230dm-250dm recent context in this profile, the perf metrics aren’t that clean on this bond with CCC 13.6, ADR 1.3, Sub80 8.9 and cuspy Jnr OC cushion whilst the manager’s performance is at benchmark levels so supports the dm albeit a short WAL.  The single-As trade 254dm-298dm (2022-2024 RP profiles) versus 235dm-335dm context over the past 10 days in these profiles, so today’s levels are flat to recent activity.  The BBBs trade 340dm-462dm which is firmer at the tight end of recent 370dm-520dm context, at the tight end is Blackrock’s MAGNE 2014-8A DR2 which is backed by a defensive portfolio (WARF 3092, ADR 0.5) and benefits from benchmark manager performance.  The BBs trade 709dm-867dm tight to 840dm-1100dm recent context, there is an outlier trade First Eagle’s LONGF 2013-1A ERR 1689dm / 5.3y WAL – MV shortfall 1.3%, Sub80 9.6, ADR 2.1, IDT/Jnr OC cushions both compromised and CCCs 14.4 pushing this bond well wide given the proximity to loss and int diversion.

USD CLO AAA

25 covers today – 13 x AAA, 4 x AA, 6 x A, 2 x BBB.  The AAAs trade in familiar context at the tight end 130dm but as wide as 193dm today.  Nassau Corp’s NCC 2018-IA A covers 193dm / 4.2y WAL but is laced with issues – low MVOC 140.2, high WARF 3514, high ADR 1.76, neg IDT cushion -0.25 with Jnr OC cushion not far off 0.75 and WA collateral price 90.94 which is 5pts off benchmarks, the manager’s performance is also weaker to peers.

USD CLO Mezz/Equity

The AAs trade 183dm-213dm (2022-2024 RP profiles) which is in line with 180dm-240dm context over the past week.  The bonds today are all clean from a fundamentals point of view.  The single-As trade 202dm-282dm tight to 260dm-400dm recent context, at the wide end is the recently (Aug) closed PGIM DRSLF 2020-86A C 282dm / 6.1y WAL which has a very defensive portfolio (WARF 2879, WAS 3.18) with a +280bps spread.  The BBBs trade 299dm-358dm, both from Palmer Sq, at the tight end is PSTAT 2018-2X C 299dm / 3.3y WAL which is a static deal hence the tighter dm given the deal is deleveraging, the other bond is PLMRS 2020-1A C 358dm / 5.04y WAL which is also short dated and has a 1y RP with plenty of cushion built in, low WARF 2713, high WA collateral price 98.03 and low CCC 1.9.  Comparable bonds trade 380dm-500dm with ‘weaker’ metrics.

USD CLO AAA

A much busier day today with 48 trades for notional > 125m across all rating bands, the US LLI has ticked up 13bps since Friday retracing the entire drop this month – 5 x AAA, 10 x AA, 14 x A, 7 x BBB, 11 x BB and 1 x B.  The 1st pay AAAs trade 139dm-177dm, with Angelo Gordon’s WOODS 2017-16A A at the wide end 177dm / 3.6y WAL – high WARF 3442, high CCC 17.6 and breached IDT test cushion pushing this wider.  There is a fixed rate 2nd pay bond from CSAM ATRM 14A A2BR but DNT at a yield of 2.34%.

USD CLO Mezz/Equity

The AAs trade 192dm-238dm across 2021-2025 RP profiles with context this month to date 180dm-270dm, with lower NAVs, higher ADR and cuspy IDT cushions continuing to drive bonds wider at this rating level – eg. Sound Point’s SNDPT 2014-2RA B trades at the wide end 238dm / 6.1y WAL – 120.1 MVOC (vs mh 120s comps), 1.9 ADR and -0.68 IDT cushion.  The single-As trade 249dm-293dm across 2021-2024 RP profiles which are at the tighter end of 240dm-340dm context this month.  The BBBs trade 355dm-519dm which is in line with context seen this month, at the wide end though is yet another outlier – Pretium’s CRNPT 2018-5X D 519dm / 4.8y WAL – vh ADR 3.01, neg IDT cushion, low WA collateral px 92.2, low MVOC 105.2 and CCC 13.4 pushing this bond to the wides.  The BBs trade 756dm-1234dm which are again in line with context seen this month which is a high dispersion (740dm-1200dm).  At the wide end (1200area) are bonds that have MV shortfalls and ADRs in excess of 1% and breached IDT cushions – see PriceABS trade listing for details.  The rare single-B trade is a welcome data point for this end of the capital stack, GoldenTree’s GLM 2019-4A F covers 1056dm / 7.8y WAL which is inside of some BBs that have full MV coverage, this bond has a low Sub80 1.54, good WARF 3055, ADR 1.22, WA collateral price 96.2 and IDT cushion is 1.22 so all in all good metrics.

USD CLO AAA

A quiet end to the week with 6 covers – 4 x AAA and 2 x BBB.  The USLLI retracing 2bps of the 14bps drop we saw on Thursday.  The AAAs trade yet again in a familiar tone 132dm-162dm, with Five Arrow’s OCTR 2019-7A A1 at the wide end 162dm / 3.1y WAL with a weak MVOC 145.1 and high ADR 2.5 pushing this bond wider.

USD CLO Mezz/Equity

The BBBs trade 367dm-413dm (2024/2025 RP profiles) firmly within a 350dm-460dm context this month to date.

USD CLO AAA

Liquidity was similar to yesterday with 36 covers – 16 x AAA, 3 x AA, 5 x A, 7 x BBB and 5 x BB.  The 1st pay AAAs trade flat 132dm-153dm, whilst there are 2 x 2nd pay AAAs (1 x FRN and 1 x Fixed).  Firstly there is Voya’s VOYA 2017-4A A2 (FRN) that covers 172dm / 4.3y WAL which is a good data point for a rare profile which is c. 10dm-20dm off 1st pay wides which seems in line.  There is a fixed rate 2nd pay AAA as mentioned, this is CBAM’s CBAM 2017-1A A2R that yields 2.53% / 4.77y WAL – this bond has widened as covered 2.11% a week back, with no additional reporting since and MVOC flat this is evidence of widening on this rare fixed rate profile. 

USD CLO Mezz/Equity

The AAs trade 189dm-225dm (2018-2021 RP profiles) broadly in line with 190dm-250dm context over the past few weeks in these shorter dated profiles, no weakening per se.  The single-As trade 311dm-413dm (2020/2024 RP profiles) which are wide to 270dm-300dm recent context, much of this to do with the fact that today’s bonds have credit issues with ADR’s as high as 3.7% and significantly compromised IDT/Jnr OC cushions at the wide end so the weaking can be attributed to credit rather than market softening at this rating level.  The BBBs trade 402dm-512dm across 2020-2024 RP profiles broadly flat to 350dm-500dm recent context, at the wide end MVOC weakness drives trading levels with recent MVOCs at this rating level 107+ whilst Sound Point’s SNDPT 2013-1A B1R trades 512dm / 6.5y WAL with MVOC of 105.6.  BBs today trade 844dm-947dm across 2023/2024 RP profiles which sit within 740dm-960dm recent context, once again cuspier MVOCs driving BBs closer to 1000dm with LCM and Pretium managed BBs running cuspy MVOCs in 101.5 context and cover today 940dm-950dm with fundamental credit metrics reasonable.

USD CLO AAA

A busier day with 45 covers – 22 x AAA, 9 x AA, 8 x A, 2 x BBB, 4 x BB.  Overall AAAs trade flat, mezz in places tighten with weaker bonds continue to trade wide to the curve.  The AAAs trade in a familiar fashion 134dm-167dm, with MJX’s VENTR 2013-15A A1R2 and Marble Point’s MP14 2018-2A A1 propping up the wide end 166dm/167dm, both these credits have weaker MVOCs (MP14 especially so 139.9), highly negative par builds -1.9/-3.2, ADRs >2% and cuspy IDT/Jnr OC cushions.

USD CLO Mezz/Equity

The AAs trade 179dm-246dm, with the largest cluster being 2023 RP profiles that trade tighter 179dm-202dm than recent context in early-mid-200s context, bonds are typically clean and MVOCs consistent around 123-125 for this cohort.  Two 2019 RP profile bonds trade 228dm-246dm at the wide end of the AAs, this is a rare profile and well wide of very late 100s context towards the end of September.  The single-As trade 235dm-322dm across 2020-2024 RP profiles versus 260dm-320dm context this month to date in the same profiles.  The outlier is at the tight end with Blackrock’s MAGNE 2014-8A CR2 235dm / 5.3y WAL which notoriously trades tight to comps – strong cushions in place, high WA collateral price (95.5), CCC < 10%, ADR 0.5 and a strong MVOC 116.3.  The BBBs trade 355dm-498dm, CIFC 2013-4A DRR covers 355dm / 6.9y WAL (2023 RP profile) at the tight end tighter than 430dm area context seen this month.  As for the wider end MidOcean’s MIDO 2016-6A DR covers 498dm / 5.2y WAL (2021 RP profile) which is wide to 380dm-400dm context seen this month to date in this profile, the MVOC is weaker (106.9) than those observed (109-112) whilst key cushions are cuspy with WARF elevated to 3494 (vs 3100-3300 for tighter trading bonds).  The BBs trade 1033dm-1115dm (2020-2022 RP profiles) through the wides of recent context 830dm-1000dm, the MVOCs on today’s bonds are cuspy with a shortfall on VOYA 2015-1X DR 99.4, whilst ADRs > 1.2, IDT/Jnr OC cushions are very cuspy and WARF on TPG’s TICP 2018-IA D high at 3422, this bond trades at the wide end 1115dm / 5.3y WAL and has a vh ADR (2.84).

USD CLO AAA

A quiet start to the week with Columbus Day yesterday (no trades) and nine covers today – 3 x AAA, 1 x AA, 1 x A, 4 x BB.  The US LLI continued to tick up since last Friday’s trading (+0.06%) and dm’s are overall stable.  The AAAs trade 137dm-164dm which are broadly in line with last week.  At the wide end is Trinitas’s TRNTS 2016-5A AR 164dm / 2.05y WAL, this has a weaker MVOC 144.6, neg par build -2.06, high ADR 1.78 and compromised Jnr OC/IDT cushions.

USD CLO Mezz/Equity

The AA trade is AGL’s AGL 2020-5A B 267dm / 4.84y WAL (2022 RP profile), this is well wide to 190dm-200dm recent context in this profile since this is a recently closed 3.0 CLO with high cushions and very defensive portfolio, as mentioned recently these 3.0’s are tiered given this and the high coupon at issue +278bps.  The single-A trade is Voya’s VOYA 2017-2A B 260dm / 5.6y WAL (2022 RP profile) which is tight to recent context in mid-280s with metrics broadly in line with recent bonds in this profile.  The BBs trade 772dm-858dm which is in a narrower dispersion than 740dm-960dm context seen since month end, with metrics on the 4 bonds clean, see PriceABS trade listing for details.

EUR AAA CLO

There are 12 debt trades today. 4 of them are AAA. They have traded between 141dm and 155dm. The 141dm trade is BlueMountain 2016-1 and it has traded about 12bps tighter than the others because it has a low margin at 79bps and so has more to benefit if it gets refi’d / reset. AAAs have tightened around 5bps.

USD CLO AAA

A quieter end to the week with four covers – 2 x AAA and 2 x AA, whilst the US LLI ticked up 0.44% wow.  A 1st pay AAA AGL 2020-7A A1 covers 175dm / 4.5y WAL, this is a recent vintage (last month close) high coupon bond with a more defensive portfolio (WARF 2681, WA Collateral px 98.55 and MVOC 164) which trades above par 100.21 (spread +180bps) and as we have seen recently these types of bonds are tiered from legacy CLOs with less covid-friendly portfolios.  There is a rare 2nd pay AAA fixed rate bond from CBAM (CBAM 2017-1A A2R) that covers at a 2.11% yield / 4.85y WAL. 

USD CLO Mezz/Equity

The AAs trade 193dm-204dm (2022/2025 RP profiles) which have traded 170dm-200dm over the past 2/3 weeks.  Octagon’s OCT29 2016-1A BR trades through recent wides at 204dm / 7.4y WAL, this is longer dated (2025 RP profile) and only has a weaker ADR 1.26 with other metrics broadly in line.

EUR AAA CLO

Just the one AAA trade today. Dryden 44 traded at 149dm. It has a short 2.08yr WAL because the deal has just started paying down. AAA spreads are unchanged.

USD CLO AAA

We saw 33 trades across the capital stack today with a fair amount of activity in mezz – 14 x AAA, 2 x AA, 6 x A, 2 x BBB, 8 x BB, 1 x B.  The AAAs trade 129dm-157dm across 2020-2024 RP profiles, with bonds with lower MVOCs along with elevated ADRs and cuspy IDT/Jnr OC tests migrating to the wide end.

USD CLO Mezz/Equity

The AAs trade 225dm-245dm (2023/2024 RP profiles) which is wide to 215area context for this cohort around the end of September, ANCHC 2020-15A B1 at 245dm / 5.9y WAL is at the wide end with clean metrics but only the manager’s (Anchorage) performance weaker to its peers.  The single-As trade 263dm-318dm across 2022-2024 RP profiles which are in line with recent context, Trimarin’s CRMN 2018-1X C 318dm / 6.4y WAL is at the wide end with a weaker MVOC 114.5 and high ADR 1.5 as key weaknesses.  The BBBs trade 354dm-373dm (2025 RP profiles) tighter to 370dm-460dm recent context, both bonds are recent vintages (2020) and naturally have low CCCs, low Sub80s and extra cushions.  The BBs trade 727dm-984dm which is in line with recent context, at the wide end is Symphony’s SYMPH 2016-18X E 984dm / 5.7y WAL – this has a high ADR 1.63 and cuspy MVOC 100.6 along with a higher CCC 12.3 and lower WA collateral px 94.2.  The single-B trade is AMM’s AMMC 2012-11A FR2 1347dm / 7.7y WAL which is through the wides at this rating level since month end (widest was AWPT 2013-1A D2R2 1277dm / 8.5y WAL), this bond is not covered by MV (MVOC 99.7), high CCC 10, ADR elevated 1.1, IDT cushion cuspy 0.65.

USD CLO AAA

16 covers today – 13 x AAA, 2 x A and 1 x BBB.  The AAAs traded flat to recent context but also in a narrower dispersion 132dm-148dm with bonds having cleaner metrics from stronger managers.  The US S&P Lev Loan 100 Index ticked up 0.31% since month end retracing some of the softening seen just before the end of Sep.  For instance the CCC range was 4-15% with these stats seen much higher recently, MVOCs are strong with a 147-167 range, WARFs are <3400.  WA collateral prices were 93.4-97.3 which is strong and WAS 3.3-3.7 with no elevated levels.  See trade listing in PriceABS.

USD CLO Mezz/Equity

The single-As trade 263dm-293dm in a narrower dispersion versus more recent context 270dm-360dm, there were only two trades today.  The bonds are also clean from a fundamentals point of view with Sculptor’s OZLM 2019-23A C cover 293dm / 6.9y WAL, manager performance has been in line with it’s peers on most metrics but lags on IDT cushion which is in fact strong on this deal at 2.71%.  The BBB trade is Voya’s VOYA 2018-2A D 432dm / 7.1y WAL (2023 RP profile) which trades in the middle of a fairly wide recent trading horizon of 370dm-550dm.  The Voya bond has good MV coverage MVOC 107, Sub80 6.4, WARF <3000, CCCs 12.5, ADR slightly elevated 1.4 whilst key cushions (IDT/Jnr OC) are a little on the low side 1-1.45 respectively.

USD CLO AAA

A very busy day with 45 covers – 33 x AAA, 1 x A, 2 x BBB, 8 x BB and 1 x B.  The AAAs trade 131dm-163dm across all RP profiles.  At the wide end is Trimarin’s CRMN 2014-2A A1R 163dm / 0.99y WAL – this deal has passed EoRP (2018 RP profile) and is deleveraging, but has a residual ADR of 2.2, low diversity 51, high Sub80 assets 16.9 and a low WA collateral price 89.72 with Jnr OC/IDT cushions compromised, the bond has the buffer of a high MVOC 286% given it’s deleveraging.

USD CLO Mezz/Equity

The single-A trade today is PGIM’s DRSLF 2013-30A CR 267dm / 5.2y WAL (end 2020 RP profile), this is in line with recent context 255dm-290dm in this cohort.  The BBBs trade 371dm-400dm (2021/2025 RP profiles) which is at the tighter end of recent 380dm-460dm context, today’s bonds have clean metrics.  The BBs trade 769dm-958dm across 2021/2023/2024 RP profiles which is right in line with trading since month end seen in 760dm-960dm context.

EUR AAA CLO

There are 24 trades today. Looking at the 5 x AAA trades first. Adagio 4 traded at 99.82 / 133dm which is quite tight but the deal has started paying down and the AAA is only 1.4yrs WAL. Of the other 4 AAA trades Anchorage 1 traded at 141dm and the others were around 158dm. The Anchorage trade does seem a little on the tight side although it does have a good MVOC and a healthy Jnr OC cushion.

USD CLO Mezz/Equity

A quiet day with 3 x DNTs on BBs, but nonetheless we ran the DMs at the available published cash prices.  The indication range is 1172dm-1175dm (2019-2021 RP profiles).  With the weaker indications comes weaker metrics, firstly MVOCs are a little cuspy (100.7-102) whilst fundamentals are on the weak side – par build negative all round, CCCs 12-25 range, ADRs 1.5-2.2 range, IDT and Jnr OC cushions breached.  A trade listing is available in PriceABS.

USD CLO AAA

Nine covers today, all AAA trading 134dm-198dm (2021-2023 RP profiles) with similar profiles trading 134dm-170dm since month end.  There is, therefore, once outlier trade AIG’s AIGIM 2020-1A A 198dm / 2.45y WAL.  This is an outlier trade, not from a credit perspective though.  This is a recently executed transaction (end May 2020) which has a high coupon +205bps and trades above par (100.17) in line with tightening since May and the fact that there is path to a refi/reset given NC is only in April 2021 and WACC is close to 280bps.  Furthermore given this is a post-vol transaction the portfolio is defensive – WAS is low 334bps, CCCs low 5.15, low retail exposure 0.85% but this leaves a lower diversity 60 given the relative exclusion of certain sectors like retail, also Sub80 balance is 0.53% and WA collateral price is high 98.2 as expected so the portfolio has a defensive 3.0 feel to it and post-vol CLOs like this do have pronounced tiering.

USD CLO AAA

With month end out of the way, activity picked up with 31 covers, mostly in line with recent context – 13 x AAA, 5 x BBB and 13 x BB.  The AAAs trade 134dm-167dm (2021-2025 RP profiles) flat to recent trading activity.

USD CLO Mezz/Equity

The BBBs trade 373dm-481dm, once again flat to recent context, the bonds are clean with MVOCs around 110%, ADRs less than or equal to 1, healthy IDT/Jnr OC cushions and low Sub80 buckets <4.5.  The BBs trade 757dm-955dm across 2021-2024 RP profiles which is fairly comparable to 720dm-910dm context over the past 10 days.  There is one outlier trade ArrowMark’s AWPT 2013-1A D2R2 1277dm / 8.5y WAL – the MVOC is cuspy 100.5, neg par build -1.56 and IDT/Jnr OC cushions on the low end 0.63/1.6 respectively, whilst WA collateral price is the lowest of all BBs to trade today 94.59 and WAS (a guide to credit risk) is the highest of all BBs today.

EUR AAA CLO

A huge mezz list traded yesterday. In total across all ratings 82 debt tranches traded, which is the heaviest day for EUR we can ever remember. We’ll start with the 5 x AAA. All but Madison Park 14 traded in a range from 142dm to 156dm. For these bonds this is a slight tightening in the curve of around 7bps. Madison Park 14 traded at 99.50 / 171dm because of its high margin at 112bps.

USD CLO AAA

With month end today a lighter day of flows, with 15 covers, all IG – 1 x AAA, 6 x AA, 5 x A, 3 x BBB.  The AAA trade today is Sculptor’s OZLM 2014-7RA A1R (2021 RP profile) that covers 166dm / 5.54y WAL, this profile has traded in a wide dispersion this week 120dm-190dm.  This bond, despite being short dated has some fundamental weakness at the deal level with CCCs 15%, ADR 1.14 and IDT / Jnr OC cushions both compromised whilst the MVOC is much lower than comparable AAA bonds which are almost 10pts higher.

USD CLO Mezz/Equity

The AAs trade 189dm-218dm across 2021-2024 RP profiles which is flat to comparables over the past week, with again bonds with weaker MVOCs the key lever for tiering at this mezz rating level.  The single-As trade 287dm-357dm across 2020-2023 RP profiles, versus 240dm-320dm context over the second half of September, through the wide end is Pretium's CRNPT 2020-9A C 357dm / 5.6y WAL, this is a recently closed high coupon (360bps) transaction with a more defensive portfolio (eg. WAS 3.4, WA collateral px 98, CCC 2.1) and structure (1y RP, MV attach 17.45% which >1pt higher to peers).  The BBBs trade 371dm-454dm (2019/2021 RP profiles) which are flat to recent context, with Partner’s PIPK 2020-6A D at the wide end 454dm / 5.1y WAL, this is a recently closed transaction with a high coupon (460bps) on this tranche and a much higher attachment point 15.25% and if the WAS is a guide to credit risk then it’s a defensive portfolio since the level is 320bps.

USD CLO AAA

A quieter day today, with 12 trades – 4 x AAA, 2 x BBB, 6 x BB.  The AAAs trade 138dm-149dm across 2021/2023/2025 RP profiles versus 120dm-160dm context yesterday, so largely flat to recent context, whilst this week has seen a 25bps softening in the ULLI leveraged loan index (+12bps MTD), whilst new issue spreads for 3y RP +130bps area, with a pick up for secondary with more aggressive portfolios than defensive primary portfolios.

USD CLO Mezz/Equity

BBBs today trade 373dm-377dm (2019 RP profile), this is a rarer WAL profile with trading context towards the middle of this month in 350dm-410dm context in this profile, so today’s bonds are flat to that, despite the fact that the bonds have weaker fundamental performance (ADRs 1.2-2.6) with cuspy cushions and WARF at the wide end just north of 4000, MVOCs are strong 118-119.  The BBs trade in a wide dispersion 720dm-1290dm versus last 7 day context 736dm-868dm, the BBs wide of this context have cuspier MVOC’s (100-104) versus 110.4 for AGL’s AGL 2020-5A E that covers at the tight end 720dm / 6.04y WAL.  BBs north of 1000dm report ADRs of 2%+, cuspy IDT/Jnr OC cushions and WA collateral px of 93-94 vs 95-98 for bonds that trade sub 1000dm.  See PriceABS for trade listing and details.

USD CLO AAA

30 covers today – 27 x AAA and 3 x AA.  The AAAs trade 121dm-194dm across numerous RP profiles.  At the tight end of today’s range Blackrock’s MAGNE 2012-7A A1R2 covers 121dm / 2.44y WAL, this is comparable to 116dm-121dm context for this high quality manager over the past few weeks.  At the wide end of today’s range is an outlier trade JMP 2017-1A AR (Medalist Partners) cover 194dm / 2.54y WAL with very weak metrics – neg par build -2.55, Sub80 assets 11.8, ADR 1.75 and IDT/Jnr OC cushions both negative from an inexperienced manager with metrics weaker to its peers.

USD CLO Mezz/Equity

The AAs trade 188dm-199dm (2021/2023 RP profiles) which is slightly tighter to a 192dm-227dm range last week for this cohort and at the tight end of a 174dm-250dm dispersion this month to date.  The 3 bonds today have strong MVOCs 124-126.5 and clean metrics, with TCI Cap’s TSYMP 2016-1A BR at the wide end 199dm / 4.6y WAL with a slightly elevated Sub80 8.5, WARF 3401 (vs 3000a for tighter bonds) and WA Collateral price of 93.7 (vs 96area for tighter bonds), the manager has a good record despite being inexperienced.

USD CLO Mezz/Equity

6 covers today, all mezz with c. 120bps widening at the BB end – 2 x AA, 1 x BBB, 3 x BB.  The AAs trade 195dm-197dm (2021 RP profiles) which are at the tighter end of 185dm-250dm context in the same cohort, some metrics for Mariner’s ELM 2014-1A BRR (197dm / 3.9y WAL) weak – neg par build -2.4, IDT/Jnr OC cushions cuspy whilst cov-lites at 50% but the WA collateral price is strong 95.5 and low Sub80 0.69 / WARF 2874.

The BBB today is Monroe’s Cap’s MCBSL 2015-1X DR covers like a BB bond 928dm / 3.42y WAL which is heavily impaired and rated Baa3, the MVOC is not in shortfall yet 107.25 but other metrics point to very weak fundamental performance – ADR 2.5, Jnr OC cushion -5.9, WARF 4676, Sub80 20.1 and WA Collateral price is sub 90 (88.01).  The BBs trade 854dm-979dm (2022/2023 RP profiles) wide to 720dm-870dm recent context, there is a c.120bps weakening tone at this level of the capital structure since the bonds today are clean from a fundamentals point of view and all covered by MV.

USD CLO AAA

5 covers today – 3 x AAA, 1 x BBB, 1 x BB.  The AAAs trade 137dm-158dm slightly softer to yesterday’s 130dm-150dm context in the same RP profiles (2020/2022/2023).  The bonds today are relatively clean with the exception of LCM’s LCM 20A AR at the wide end 158dm / 1.9y WAL – slightly weaker MVOC 147.5 and only cuspy IDT/Jnr OC cushions, but WA collateral price is strong 94.4.

USD CLO Mezz/Equity

The BBB is Oak Hill’s OAKC 2019-3A D covers 391dm / 8y WAL (2024 RP profile) which is firm to recent 395dm-440dm context in the same RP profile, the metrics are strong on this bond – MVOC 109.6, Sub80 2.5, ADR 0.4, IDT/Jnr OC cushions strong and WA collateral price >96.  The BB is Voya’s VOYA 2020-1A E 781dm / 6.9y WAL (2023 RP profile) firmly in a 720dm-850dm recent context in the same cohort, excluding those fallen angel BBs.  The metrics are strong on this recently closed Voya bond – MVOC 107.8, Sub 80 1.5 and low CCC 0.33.

EUR AAA CLO

30 trades in all with half of them AAA. The spread range is from 145dm to 165dm. In regard of the price range, apart from Hayfin Emerald 2 which traded at 100.19 for the rest of the trades the price range is 99.20 to 99.95. All the bonds look clean and the average Junior OC cushion for this cohort of trades is 4%. We see this as a 10bps widening through the middle of the curve.