USD CLO Mezz/Equity

Two single-As trade today 246dm-250dm which is flat to the DM curve pre Christmas, US LLI is up 7bps from Christmas Eve.  Furthermore the 2 bonds CGMS 2015-1A CR2 and OZLM 2014-6A B1S (Carlyle and Sculptor) have healthy MVOCs 117.3-118.6 that override other relatively weaker metrics like ADR (1.2-1.4), CCC (11-13) and a cushion breach (IDT/Jnr OC) in the OZLM bond which isn't direct;y impacted given it's not deferrable, note howvever that CE is marginally improving on this bond given the AAAs are delevering due to the interest diversions to the senior tranches on this deal.

USD CLO Mezz/Equity

5 covers today, all mezz.  BBB trade 339dm-363dm (2021/2023 RP profiles) at the tighter end of trading this week 330dm-420dm with Neuberger’s NEUB 2016-22A DR 339dm / 6.6y WAL at the tight end – strong MVOC 109.3, low ADR 0.88, low WARF 2956, strong cushions and a strong WA collateral px 98.2.  Eaton Vance’s EATON 2014-1RA D covers 344dm / 6.7y WAL which is 5dm wider for the same 2023 EoRP profile bond but despite a higher MVOC 110.4 (vs 109.3 on NEUB) the ADR is higher 1.64, IDT/Jnr OC cushions are weaker whilst WA collateral px is 97.8 vs 98.2 on NEUB.  Note that both bonds are PIKable so the focus on cushions is particularly important at this end of the capital structure.  BB trade 369dm-402dm which is only narrowly wider to the BBB, note that both BB bonds today are original BBB rated and short dated (EoRP 11/20 & 04/21).  Original BB rated comps have traded 600dm-950dm and original BBB have traded 400dm-470dm since the middle of December as an illustration of the basis dependent upon where the bond sits in the waterfall irrespective of the rating.  The outlier trade today is PGIM’s DRSLF 2013-30A DR that breaks the 4-handle for an original BBB with cover 369dm / 5y WAL – this bond is now post reinvestment with reasonable metrics and carries a running coupon of +260bps which is 90bps tighter to the wider end of the range CIFC 2017-1A D +350bps which comes out of reinvestment in April 2021.

USD CLO AAA

28 covers today across the capital structure – 2 x AAA, 10 x AA, 4 x A, 12 x BBB.  AAA trade 127dm-135dm (both 1st pay) versus 110dm-140dm recent context with both bonds clean.  OZLM 2017-19A A1 127dm / 3.6y WAL at the tighter end from Sculptor (slightly weaker to benchmark manager) trading below par 99.83 whilst carrying an elevated ADR 1.8 / CCC 10.4 and PIPK 2019-4A A from Partners Group (which is a benchmark manager) with cleaner metrics trading above par 100.08 given 0 ADR and 0.75 Sub80 assets driving the strong MVOC 153.  With the PIPK bond is 1.5y WAL longer this largely accounts for the +8dm basis between the 2 bonds.

USD CLO Mezz/Equity

AA trade 162dm-206dm which is flat to a 160dm-230dm dispersion over the past week in same profiles, with manager performance, bond coupon and WARF the key levers to the tiering.  Single-A trade 230dm-262dm, once again flat to 220dm-260dm context over the past week and follow similar credit profiling path to the Double-As.  BBB trade in a relatively small dispersion 337dm-391dm at the tighter end of fairly wide trading horizon 290dm-500dm over the past week.  One outperforming bond is OAKC 2019-3A D (Oak Hill) 355dm / 7.8y WAL covers at 100.00 with excellent fundamentals across the board - +0.16 par build, strong MVOC 111.6, low ADR 0.68, ‘low’ WARF 3032, very strong cushions and an exceptionally high WA collateral px of 98.16 whilst managing to a low WAS 3.4 (only 3% cov-lites).

USD CLO AAA

A more tame end to a week of heavy liquidity, the final full trading week of 2020, with US LLI ticking up again another 24bps on the week.  Nineteen covers today – 1 x AAA, 1 x AA, 1 x A, 5 x BBB, 7 x BB, 3 x B.  The sole AAA trade is VENTR 2014-19A ARR (MJX) 128dm / 4.53y WAL (2024 EoRP) which, given the credit profile, is flat to similar bonds over the past few days – this bond has a reasonable MVOC 152.8 but ADR is high at 2.3, whilst ‘benefitting’ from potential deleverage from cuspy IDT/Jnr OC cushions, the WA collateral px is weaker to benchmark at 95.4 along with the WAS which is 409bps which some believe to be a barometer of credit risk, despite the WARF being under 3000 at 2935.

USD CLO Mezz/Equity

The AA bond is SCOF 2015-2A B2R cover 185dm / 3.1y WAL (EoRP Jul-20), a rare profile which was last seen 10 days ago 167dm (LCM Asset Management).  There is credit weakness in this bond despite the MVOC being 2pts higher than the LCM bond (some of which due to asset price market evolution over the past 10 days), but the ADR is elevated 1.4, Sub80 assets is high at 9.5, WARf is high 3602, IDT and Jnr OC cushions are cuspy whilst WA collateral px is low at 94.3.  Single-A trade 245dm-247dm (EoRP 2022) which is tighter than the 250dm-300dm range seen over the course of this week in the same profiles.  The performance of Voya and Columbia single-As is relatively good with lower WARFs 2862 and 3006 respectively, with the elevated ADRs 1-2% having little of an impact the WA collateral px of both bonds are strong around 96.8 whilst both bonds carry equivalent coupons +235bps and close MVAP 13.6 v 15.  BBB trade 335dm-427dm with trading horizon 290dm-500dm this week in similar shorter dated profiles (2019-2022 EoRP).  All bonds are current despite being PIKable, eg. OZLM 2014-7RA DR (subordinate to the Baa3 rated CRR tranche that covers at the wide end today 423dm) and now B1 rated has been deferring interest for the past 3 quarters.  BB trade 634dm-866dm which is within recent 600dm-950dm context this week, at the wide end is DoubleLine’s PARL 2017-1A E 866dm / 5.3y WAL – cuspy MVOC 101.7, ADR >1% (1.2), cuspy IDT / Jnr OC cushions and WA collateral px 1-2pts below benchmarks (96.3).  Single-B trade in similar context to BB 673dm-870dm, with strong metrics all round, eg. MVOCs 103+, ADR range 0.9-1.4, strong cushions and WA collateral px 96.3-97.5.  At the wide end is Kramer Van Kirk’s KVK 2016-1A E 870dm / 5y WAL, which is the most subordinate debt tranche of this deal which has just refi’d on the more senior notes - AAA, AA and A tranches – not impacting this tranche materially.

USD CLO AAA

Yet another day of good liquidity with 42 covers.  AAA 1st pay 2.0 CLOs trade 99dm-141dm whilst a 3.0 1st pay AGL 2020-4A A covers 209dm / 2.4y WAL.  At the tight end is VOYA 2015-1A A1R which is the first trade since the pandemic inside 100dm – this bond is short dated (EoRP in 1m) with reasonable metrics and CE / MVOC expected to improve as this delevers (AAA +90bps so no path for refi/reset).  At the wide end of the 2.0 range is a very short dated bond from Marathon MCLO 2014-7A A1R 141dm / 0.9y WAL (EoRP Oct 2018) – this carries a high Sub80 11.3, high WARF 4075, high CCC 29 with the subs deferring interest and diverting to delever this note. 

USD CLO Mezz/Equity

One single-A bond ATCLO 2018-11A C covers 255dm / 6.2y WAL (EoRP 2023) which is in the middle of a 220dm-275dm trading range over the past 10 days in this profile.  BBB trade 291dm-493dm which is flat to recent context, at the wide end is Carlson’s CATLK 2015-2A DR 493dm / 5.4y WAL which has a lower MVOC than benchmark 107.3  v 110+, high ADR 1.8 and tripped IDT cushion -0.1 and a cuspy Jnr OC cushion from an inexperienced manager with a weak record.  This bond trades at the wides seen recently at BBB.  BB trade 407dm-842dm with BBs trading as wide as 950dm over the past week.  At the wide end is an outlier which is Sculptor’s OZLM 2014-6A DS 842dm / 6.8y WAL – this has a low MVOC 102.9, high CCC 13.9, normal WARF 3231 and now tripping Jnr OC and IDT tests so will be deferring interest soon.  The margin on the note is also high so reflects the point in the cycle this bond was priced and the credit risk in the bond and associated structural protection at that time which the manager Sculptor has had to work through the cycle.  2 x single-Bs trade 686dm-823dm which is in line with trading levels over this week, with neither bond yet deferring cashflow despite high ADRs 1.5+.

USD CLO AAA

Heavy liquidity again with > 50 covers.  18 x 2.0 1st pay AAA trade 106dm-142dm (all within the most liquid profile - EoRP 2023), with 110dm-150dm context over the past week.  4 bonds cover tighter to this range so there has been a tighter shift today, whilst manager tiering is a large influence in the distribution of dm’s within the 2023 EoRP profiles today, Angelo Gordon and DFG at the wide end and PGIM and Ares at the tighter end with some subtle differences in fundamentals – eg. CCC levels, cushions and ADR.

USD CLO Mezz/Equity

Double-A trade 200dm-254dm which is wide to late 100s recent context with high ADRs on the 2 outliers wide of 200dm along with weaker managers MidOcean/Marathon.  Single-A trade 220dm-301dm across 2018-2022 EoRP profile bonds flat to 220dm-300dm trading context over the past week, no material shifts here with MVOC the key influence in tiering.  BBB trade 307dm-535dm versus 290dm-500dm context over the past week, with 2 x 3.0 CLOs at the ‘wide end’, both trading above par (100.2-100.32) with high coupons (525 & 541), 3y reinvestment periods, strong MVOC (113) and defensive portfolios.  BB trade 593dm-869dm versus 400dm-800dm, with one outlier bond Medalist Partners’s JMP 2014-1RA E 869dm / 4.7y WAL with very tangible weaker fundamentals – lower MVOC 102, high ADR 2%, elevated Sub80 6.9, high WARF 3666, high WAS 406, high CCC 22 and neg IDT cushion / Jnr OC cushions.  Single-Bs trade 685dm-1080dm which is tight to a  800dm-1150dm trading range this week, whilst around 80dm firmer at the tight end to single-Bs seen this month.  Furthermore Pinebridge’s GALXY 2016-22A ER 685dm / 5.3y WAL is near equal tightest single-B trade post pandemic, we have seen levels as tight as this for downgraded BB tranches and as tight as 600dm and originally single-Bs as tight as 800dm.

USD CLO AAA

As expected a heavy day of trading with 66 covers right across the capital structure.  3 x 1st pay AAA trade flat 117dm-123dm, whilst a 4th AAA (2nd pay) WINDR 2018-1A A2 (First Eagle IM) naturally trades wider 153dm / 4.9y WAL.  This bond has reasonably good metrics suffers from an elevated CCC (11.9), lower MVOC 147.8 and a slightly weaker manager record.  This DM is in line with recent 2nd pay AAA trading context near the end of November 150dm-160dm, which had similar MVOCs.

USD CLO Mezz/Equity

AA trade 160dm-176dm which is at the tight end of a 160dm-230dm range over the past week in the same profiles (EoRP 2021-2023).  15 x single-A trade 218dm-298dm with context this month to date in the same profiles 210dm-380dm.  At the tight end is a clean bond from TPG TICP 2018-10A C 218dm / 5.9y WAL – MVOC 121, ADR 0.18, strong IDT cushion 2.5 despite an elevated CCC 13.8.  At the wide end is Seix’s MVW 2013-1A C1R 298dm / 5.7y WAL, this has a lower CCC (8.8) than the TPG bond but has a much higher ADR 2.3 and significantly lower (-9pt) MVOC 111.7 with a cuspy IDT cushion.  BBB trade 286dm-502dm (across an array of RP profiles) with Blackrock and GoldenTree both managing breach into 2-handle territory for high quality bonds, with comparable profiles trading 290dm-500dm over the past week today’s trading is fully reflective of themes this month.  Tiered to the ‘wide’ end is PGIM’s 3.0 CLO DRSLF 2020-77A D1 502dm / 6.3y WAL, which again has high quality metrics (strong MVOC 113, strong cushions, low WARF 2618, low CCC 3.2) but given the high coupon 514bps / high cash price dynamic 100.67 these 3.0 bonds tend to tier in this way.  BB trade in a wide dispersion 401dm-951dm which is in line with dispersion seen this month to date.  At the wide end is a significant outlier from Sound Point SNDPT 2013-2RA E which covers in mid-80s price context 951dm / 5y WAL – cuspy MVOC 100.8, high ADR 1.8, neg IDT cushion -0.3 (with a closely followed cuspy Jnr OC cushion +0.6).  Single-B trade 722dm-1294dm with month to date context 670dm-1150dm, with the outlier trade Apex’s JFIN 2015-1A E 1294dm / 4y WAL – there is a MV shortfall on this bond (MVOC 99.5), high Sub80 bucket 13.4, high ADR 2.6 and Jnr OC cushion is highly negative and as such this bond is deferring interest for the past 2Q but is met with a bid nonetheless.

EUR AAA CLO

Quite a busy day today with 21 trades in total. There are 12 x AAA trades. Unfortunately the colour received from the seller is not very granular with most bonds being reported as trading with 99h and a few with L100h. This makes it hard to draw any conclusions about spread moves.

USD CLO AAA

22 covers today, so the level of liquidity continues to taper off from the end of last week, with levels flat overall, with some high quality BBB names trading tighter to the curve.  However there are large lists in the market for tomorrow.  1 x AAA LOOM 2015-2A A1R covers 122dm / 1.4y WAL which is in the middle of 110dm-130dm context for 2020 RP profile bonds this month to date.

USD CLO Mezz/Equity

2 x BBBs trade 308dm-312dm (2022 RP profiles) which trade firmer to the tight end of this profile this month 330dm.  Both the Blackrock MAGNE 2014-8A DR2 and GSO GILBT 2017-1A D bonds have very clean metrics (MVOC 110-111), ADR 0.1-0.5, low Sub80 2.7-3.6 and strong cushions from benchmark managers.  There are 12 x BBs that trade 601dm-754dm which is in the middle of 540dm-950dm recent context in the same cohort.  At the tight end is CSAM’s MDPK 2014-12A E 601dm / 3.2y WAL – strong MVOC 106, elevated ADR 1.5 and Sub80 11 but since the EoRP was 2018 the bond has been picking up CE whilst keeping cushions healthy and WA collateral px not migrating to below 90 (94.5).  Also given the portfolio is static investors can take a firm view on the portfolio as opposed to the manager’s ability to trade in the middle of a pandemic.  The 7 x single-Bs trade 747dm-1142dm with trading context this month to date 710dm-1100dm.  The outlier today is Sculptor’s OZLM 2018-20A E 1142dm / 7.3y WAL – this has a cuspy MVOC 101, high ADR 1.5, cuspy IDT cushion 0.2 and WA collateral price is lower to comparable bonds at 95.8 (vs. 96.5-97.5 benchmark).

USD CLO AAA

With a week of heavy liquidity, there were ‘only’ 28 trades today with the majority senior – 22 x AAA, 4 x BB, 1 x B and 1 x CCC, US LLI has ticked up 16bps on the week with dm’s firm across the board for high quality credits.  2.0 AAA trade in familiar tone 108dm-148dm whilst high coupon 3.0s trade 187dm-189dm which is wide to comps seen recently 150dm-185dm.  The reason being the 2 managers Pretium and WAMCO are inexperienced CLO managers (8 CLOs between them) with weak records across their programmes, so their 1st pay AAAs have tiered accordingly, despite strong fundamental metrics.  At the wide end of the 2.0s is a small clip of Barings’s BABSN 2017-1A A2 148dm / 3.9y WAL – this carries a high coupon +135bps, high CCC 11.4, low MVOC 145.7 but most importantly the transaction has 84% cov-lites so trends wider.

USD CLO Mezz/Equity

BB trade 671dm-735dm which is flat to 600dm-850dm context post month end, at the wide end is Columbia’s CECLO 2015-24A DR 735dm / 4.6y WAL – the MVOC on this bond is lower than comp trades in 700dm context (103-104 MVOC) whilst other metrics are very comparable.  The single-B trade is CECLO 2018-27A D 810dm / 4.8y WAL which is wide to mid-700s dm context for similar 2020 EoRP profiles – the ADR is very high 2.5, CCCs are high at 10.4 whilst other metrics broadly in line.  The ADR is the key influence in bonds at this level of the capital structure (along with MV coverage) given the proximity to loss.

USD CLO AAA

A third consecutive day of significant liquidity with 48 covers with focus again on lower mezz – 8 x AAA, 6 x AA, 4 x A, 10 x BBB, 16 x BB, 4 x B.  AAA trade in a narrow dispersion 116dm-131dm (2.0 CLO) and fairly flat to trading levels this week. 

USD CLO Mezz/Equity

AA trade 157dm-202dm which once again is flat to recent 160dm-210dm context.  A familiar bond at the tight end MAGNE 2015-12A BRRA from Blackrock covers 157dm / 6.2y WAL, strong MVOC 127.5, low ADR 0.6, low Sub80 bucket 2.6, strong IDT cushion 5.3 and a high WA collateral px 97.49 from a benchmark manager.  Single-A trade 239dm-280dm (2020-2022 RP) which is largely flat to 230dm-270dm trading context in similar profiles this week, with Guggenheim’s SBF 2016-2A B at the wide end 280dm / 4.95y WAL with reasonable metrics overall (only IDT cushion cuspy 0.15) and a manager record only marginally weaker to its peers.  BBB trade 289dm-477dm which means this is the first time a BBB security has traded 2-handle since the pandemic set in, granted this is a bond from a defensive benchmark manager Blackrock MAGNE 2012-7A CR2 289dm / 5.2y WAL – low ADR 0.5, low Sub80 3.7, cushions strong and a high WA collateral px 97.7.  BB trade 568dm-925dm which is comfortably in the trading zone seen this week in similar cohorts.  The key outlier today is Steele Creek’s STCR 2018-2A E 925dm / 7y WAL (2023 RP profile) which compares to 650dm-970dm context in this profile this week highlighting some of the tiering we are seeing just within this liquid 2023 RP profile.  The bond itself covers 150dm wide to another 2023 RP profile WELF 2017-3A D. So digging deeper into the basis….Steele Creek has been more active buying bonds at a discount typically around 87 cash price which is 5pts lower than Wellfleet, it has also lost a lot more par on sales activity than Wellfleet, avg credit risk sale px is around 79 which is around 13pts lower than Wellfleet whilst Steele Creek’s BB MVOCs are around 70bps lower than Wellfleet across their respective shelves.  Single-B trades 736dm-1111dm which compares to 770dm-1100dm seen in equivalent profiles this week where there has been more liquidity than usual.  At the tight end is ARES 2017-43A E 736dm / 6.3y WAL which has a strong MVOC 103.5 which is 1.5pts higher than VOYA 2018-2A F which trades 1001dm whilst other metrics fairly comparable aside from a higher WARF 3451 (Ares) vs 2933 (Voya) but this is counteracted by a lower ADR 0.75 (Ares) v 1.3 (Voya).

EUR AAA CLO

There are 8 x AAA trades today. All bar one (Voya 1 A) traded at a significant premium and therefore were priced to call date, because they are 2020 vintage deals with high margins. Voya 1 A traded at 99.95 / 135dm.

USD CLO AAA

A second consecutive day of heavy flow with 58 covers with levels generally flat to most recent context across the board – 7 x AAA, 8 x AA, 7 x A, 20 x BBB, 13 x BB, 3 x B.  AAA trade 111dm-166dm, with 2 x 3.0 CLOs propping up the ‘wide’ end 160dm-166dm, both with conventional 3y EoRP profiles.  The 2.0 CLOs are flat to recent trading with clean metrics.

USD CLO Mezz/Equity

AA trade 163dm-215dm which is flat to recent trading context, once again 2 x 3.0 CLOs prop up the wide end 212dm-215dm with the 2.0s trading 163dm-189dm.  Single-A trade 249dm-275dm which is in the middle of 210dm-380dm context this month to date, with generally clean metrics and MVOCs within 2pts of each line item.  BBBs trade 336dm-494dm which once again is flat to 310dm-560dm recent context, all the bonds are 2.0 CLOs with MJX’s VENTR 2016-24A D2 494dm / 4.7y WAL at the wide end – slim MVOC 107.2, high ADR 1.6, cuspy IDT cushion 0.2 and a lower WA collateral px 95.11.  BB trade 422dm-968dm, once again this is flat to 410dm-1000dm context since month end, with all bonds 2.0 CLOs.  At the wide end is Sound Point’s SNDPT 2017-4A D 968dm / 6.4y WAL – low MVOC 102.6 and weaker manager metrics contributing significantly to the wider dm since the other metrics look clean.  Single-Bs trade 730dm-912dm, again bang in line with 730dm-1000dm context post month end, all the bonds are relatively clean with MVOCs above par despite elevated ADRs 1.2-1.8 for these second loss bonds.

USD CLO AAA

Heavy liquidity today, 66 covers with significant trading in low mezz – 3 x AAA, 8 x AA, 4 x A, 21 x BBB, 19 x BB, 11 x B.  With one traditional 2.0 AAA cover CGMS 2014-3RA A1A 115dm / 4.1y WAL in flat to recent tights.  Two 3.0 CLOs trade in a 147dm-184dm range, firstly Blackrock’s MAGNE 2020-27A A1 covers 147dm / 4.2y WAL which notoriously trades tight given the manager’s strength and defensive play (coupon +155bps).  At the other end of the curve is AGL’s AGL 2020-6A A1 184dm / 4.3y WAL, again a defensive play but coupon is wider +195. 

USD CLO Mezz/Equity

AA trade 170dm-230dm which is right in line with trading activity since month end, with no effective outliers.  Single-A trade 246dm-382dm versus 230dm-300dm context since month end, the stand out outlier is Partners Group’s PIPK 2020-6A C 382dm / 5.3y WAL, this tiers as a 3.0 CLO (coupon +404bps) and not for credit reasons whilst trades above par cover 101.02.  The bond carries a strong MVOC 125.2, high cushions (IDT 5.1), high WA collateral px 99.02 and low WARF 2642.  BBB trade in a very wide dispersion 338dm-806dm versus 320dm-430dm context post month end, so in line at the tight end.  There are two significant outliers, firstly HPS’s STRTA 2018-1A D 562dm / 6.2y WAL – high 2nd lien concentration 10.6% pushes up the WARF to 4033, low diversity 41, high CCC 24.4 and a very high ADR 4.1.  Secondly a 3.0 CLO from Zais ZAIS 2020-16A D2 806dm / 6.7y WAL (+649bps coupon), with the absence of investor reporting yet on this bond the only metric available is WARF which is high at 3200 for this vintage (+400 higher than benchmarks) and this has to a large extent been reflected in the high new issue coupons 219dm-249dm for multiple AAA tranches.  BB trade 412dm-865dm versus 450dm-1000dm context since month end, at the tight end is one bond TRNTS 2018-9A D (Trinitas) 412dm / 7.7y WAL – strong MVOC 110.3 for a 2.0 CLO is the key driver here, with MVOCs typically at this elevated level for 3.0 CLOs like AGL 2020-5A E that trades wider 651dm / 5.9y WAL with a comparable MVOC 110.6.  Today saw the highest flow in Single-Bs in a single day since covid with 11 covers that trade 749dm-1108dm versus 715dm-1000dm context since month end.  Through the wide end is BLUEM 2018-3A F 1108dm / 7.5y WAL – cuspy MVOC 101.3, high ADR 2.1, cuspy IDT cushion 0.2, furthermore at this end of the range is Apex’s JFIN 2014-1A E 1076dm / 3.1y WAL, although a stronger MVOC 104.9 the ADR is vh 3.4, Sub80 is vh 18.8, CCC is vh 30.5 and WA collateral px is vlow 87 and Jnr OC cushion is negative -2.99, this bond is PIKable and is carrying a deferred amount of interest.

EUR AAA CLO

A busy day yesterday. There are 3 x AAA trades which traded between 136dm and 146dm. These 3 trades are an average of 3bps wider.

USD CLO AAA

A relatively busy start to the week with 28 covers with dm's generally flat to recent tights (US LLI ticked up 8bps on Friday close) – 12 x AAA, 6 x A, 6 x BBB, 4 x BB.  AAAs are all 1st pay and 23m trades in a familiar tone 104dm-136dm, with a very short dated PineBridge bond GALXY 2018-29A A at the tight end 104dm / 1.4y WAL, despite being out of reinvestment period for 2 years the performance has been good (ADR 0.49, Sub80 3.8, MVOC 175.1, cushions strong).  At the wide end is a Sound Point bond SNDPT 2013-3RA A 136dm / 4y WAL which has some weaker fundamentals – ADR 1.4, IDT cushion is -0.05 and MVOC is at the low end 143.2. 

USD CLO Mezz/Equity

Single-As trade in familiar range 228dm-270dm to that seen recently so little to report in way of outliers at this level, especially with this cluster of bonds within 1 point of MVOCs.  BBB trade 357dm-446dm versus 315dm-410dm recent context, with the 2022 RP profile outliers trading 445dm-446dm from LCM and Voya, these manager’s have only slightly weaker credentials to their peers but suffer in these bonds from cuspy IDT cushions and slightly weaker MVOCs (106-107 vs 107-110 for stronger bond profiles).  All other metrics are generally in line.  BB trade 825dm-978dm vs 600dm-1000dm context since month end.  At the wide end is Marathon’s MCLO 2019-1A D 978dm / 8.2y WAL, despite a ‘healthy’ MVOC 102.2 the CCC bucket is high 12.3, ADR is high 2.8, IDT cushion is cuspy 0.3 and the manager’s record is far weaker than peers pushing the dm on this bond to the wide end.

EUR AAA CLO

Just the one AAA trade yesterday. ANCHE 1X A2 traded at 100.05 which is priced to call.

USD CLO AAA

29 covers today – 12 x AAA, 4 x A, 4 x BBB, 8 x BB, 1 x B.  AAA trade 107dm-137dm similar to recent context, with an ‘outlier’ 3.0 CLO from DoubleLine Cap PARL 2020-1A A1 173dm / 4.3y WAL covers above par at 100.39 (new issue coupon +183bps).

USD CLO Mezz/Equity

Single-A trade 193dm-307dm with pre (2.0) and post (3.0) covid tiering clearly evident here with 2.0 trading 193dm-208dm and 3.0s trading 290dm-307dm (both trades 100.33), with the 2.0s trading tighter than recent 200dm-230dm context mainly due to a short dated WAL on Allianz GI’s WSTC 2014-2A BR 193dm / 1.9y WAL.  BBB trade 316dm-420dm versus 350dm-430dm recent context, one bond is the outlier here at the tight end NEUB 2018-27A D 316dm / 6.5y WAL with fairly strong metrics from a benchmark manager.  Furthermore a short dated TCW bond FIG 2014-1A DR 364dm / 3.2y WAL (2019 RP profile) trades flat to Octagon’s OCT44 2019-1A D 362dm / 8y WAL (2024 RP profile) with the TCW bond having the benefit of deleveraging but suffering from a credit standpoint (CCC 19%, IDT cushion -1.4, diversity 46 and par build -1.66) which highlights the importance of reinvestment periods.  BB trade 609dm-1134dm vs 600dm-950dm context since month end, the key outlier thus at the wide end is Marathon’s MCLO 2017-10A D 1134dm / 5.4y WAL (2021 RP profile) – the MVOC is sub par 99.6, CCC is high 12.2, ADR is high 2.5, IDT cushion is negative -2.1 and a very high cov-lite concentration of 76% perhaps going a long way to distort the fundamentals on this bond.  A single-B from GoldenTree AM GLM 2019-6A F covers 907dm / 8.5y WAL from a rare 2025 RP profile which is flat to a recent comp CGMS 2012-4A ERR 907dm / 8y WAL (2024 RP profile), the performance on the GLM bond is good with MVOC 103.5, low Sub80 0.25, CCC low 4.8, ADR ow 0.48 and WA collateral px strong 98.1.

USD CLO AAA

Trading across the stack with 32 covers with another heavy stream of liquidity in BB rated bonds – 6 x AAA, 6 x A, 9 x BBB, 11 x BB.  AAA trade 109dm-129dm (2023 RP profiles) which is tighter than recent context.  Over the past 3 weeks this profile has traded as tight as 116dm but today there are 4 bonds that breach this level, with the 2 that do not hampered by lower MVOC and credit issues.  For instance, at the tight end of the range is ARES 2018-47A A1 109dm / 3.9y WAL – very high and impressive MVOC 164.6 and all credit fundamentals clean.

USD CLO Mezz/Equity

Single-A trade 230dm-285dm which are flat to recent context, with Carlson’s CATLK 2018-5A C 285dm / 5.7y WAL at the wide end driven here particularly by its weaker MVOC 114.5 but equally the ADR is very high at 1.81.  BBB trade 310dm-408dm across RP profiles which is firmer at the tight end versus 360dm-490dm context over the past 10 days.  However this is clouded by the fact that there is a static CLO from Palmer Sq at the tight end PSTAT 2020-1A C 310dm / 4.5y WAL and a very short dated Bain Cap credit AVERY 2014-5A DR 343dm / 3.2y WAL (EoRP 2018) with all other BBBs conforming to recent context and trade 365dm-408dm.  BB trade 605dm-953dm with similar context since month end 620dm-950dm, so a little firmer.  However on closer inspection at the tight end is another static CLO bond from Palmer Sq PSTAT 2020-2A D 609dm / 4.7y WAL, but at the tight end there is an impressive bond from Napier Park REGT6 2016-1A ER 605dm / 4.9y WAL, although shorter dated (EoRP Jul 2020) has a strong MVOC 105, low ADR 0.55, good cushions IDT 2.4, clean fundamentals and the manager’s performance record is better than peers.

EUR AAA CLO

There are 15 trades today with 7 of them being AAA. All the trades are close to par and range from 135dm to 141dm. This is an unchanged spread level.

USD CLO AAA

A heavy day of liquidity with 52 covers across the capital structure – 17 x AAA, 3 x AA, 3 x A, 7 x BBB, 21 x BB, 1 x B.  AAAs are all 1st pay and trade 111dm-152dm which is in line with recent tights, with MVOCs stronger given the underlying rally.  At the tight end there are, as seen typically, shorter dated bonds (2020,2021 EoRPs) that trade sub 120dm, with longer WALs (2021-2023 EoRPs) trading in the middle ground 121dm-142dm.  There is an outlier trade from Deutsche AM FLAGS 2014-8A ARR 152dm / 0.54y WAL (EoRP was 2019), this bond is deleveraging and hence has a high MVOC (251.9) but has weak credit metrics given it’s inability to trade out of the market volatility seen this year (Sub80 13.3, CCC 18.7, ADR 2.9, IDT cushion -7.4, WA Collateral px 92.02).

USD CLO Mezz/Equity

AA trade 187dm-210dm (2022-2023 RP profiles), we have not seen 2022 RP profiles for a while but the 2023 RP profile bonds trade 196dm-210dm which is at the wider end of more recent 165dm-215dm context, the MVOCs on these bonds are a shade lower but more importantly there is credit weakness at the wide end with DFG’s VIBR 2015-3A A2RR ADR 1.8, IDT cushion is -0.9 and WA collateral px is a shade under 95.  However this bond does not trade wide to recent context despite the credit issues.  Single-A trade 235dm-290dm in line with recent context.  BBB trade 346dm-463dm which again are in line with recent 350dm-500dm context, with MVOC driving tiering and to a lesser extent higher ADRs.  BB trade 624dm-953dm which are within the 600dm-1000dm recent horizon for BB dm’s.  Clearly cuspier MVOCs drive bonds wider at this rating level along with ADRs that are excess of 2% given their proximity to loss.  For instance First Eagle’s WINDR 2014-3KRA E trades at the wide end 953dm / 7.5y WAL – MVOC 101.2, ADR 3.7, WA collateral px 93.5 and a cuspy IDT cushion +0.18%.  There is a rare single-B trade CVCs APID 2013-15A FRR 1145dm / 7.4y WAL, this is an originally single-B rated bond and trades flat to recent comps, note there is tiering at this this level with downgraded BB original single-B bonds have traded tighter recently (700dm-1000dm).  The CVC bond has a cuspy MVOC 100.5 and reasonable credit metrics and as such is able to trade in line with recent data points with higher MVOCs given the more upbeat market environment.

EUR AAA CLO

A busy day today with 27 trades spread across the capital structure. There are 3 x AAA which have traded in a range from 121dm to 141dm. Overall this is about 8bps tighter on the AAA curve for us. The tightest trade is from Jubilee 2015-XVI. Our valuation algorithm had predicted a wider spread for this bond since it has a low Jnr OC cushion at 0.25% but it appears that is not a significant factor for the buyer. If this test gets tripped it will just shorten the AAA without the AAA taking any losses of course. These AAA levels in secondary compare with New Issue pricing for Jubilee 2020-24 as reported by Bloomberg yesterday at 107bps over floored Euribor. The pricing for yesterday’s new issue confirms the tighter pricing of Carlyle 2020-2 approx 1 week earlier.

USD CLO AAA

More than 20 covers today with the most liquidity seen in more than a week – 2 x AAA, 4 x AA, 3 x A, 4 x BBB and 9 x BB.  AAA trade 133dm-140dm (2023 RP profiles) wide to 115dm-130dm recent context, reason being the bonds have credit issues with Sculptor’s OZLM 2017-21A A1 140dm / 3.7y WAL at the wide end (high CCC 13.3, high ADR 1.9, cuspy IDT cushion 0.4 and slightly lower WA collateral px 95).

USD CLO Mezz/Equity

AA trade 165dm-226dm with recent context in early 200s context this represents a fair amount of tightening in line with the rally in the underlying.  At the tight end the bonds’ MVOCs are strong (>130) and despite CCC migration (to 17%) and high ADR (1.5) Apollo’s RRAM 2018-3A A2R2 covers 165dm / 5.5y WAL.  Single-A trade 224dm-309dm in line with recent 200dm-280dm context, the outlier trade is Palmer Square’s PSTAT 2020-3A B 309dm / 4.5y WAL which is a 3.0 CLO high coupon bond +330bps static CLO issue so in line with tiering we have seen in 3.0s (not for credit reasons).  BBB trade tighter 320dm-439dm vs late 300s recent context, there is an outlier trade Deutsche AMs FLAGS 2014-8A DR 439dm / 3.7y WAL – very high CCC 18.7, high WARF 3686, low MVOC 109.98, high Sub80 13.3, high ADR 2.9, IDT cushion compromised -7.4 (with Jnr OC cushion also negative).  BB trade 724dm-1054dm which is broadly in line with recent context so there has been no signs of tightening.  However the bonds that trade today are weaker in credit overall and given these trade in line with recent benchmarks this is supportive of broader market tightening.

USD CLO Mezz/Equity

Following a few days of lull with the Thanksgiving holidays and now straight into month end, we saw the market open slowly today with 2 covers, both single-A rated.   The bonds trade 208dm-258dm (2020/2022 RP profiles) which are tighter than recent context 260dm-300dm.  With the rally in the underlying this is reflected in stronger MV metrics (MVOC circa 117 on the bonds vs recent 113-116), WA collateral px higher in 96 context (vs recent 94-95) and lower Sub80 priced asset buckets 3.2-4.4 (vs 7.5-10 on recent comps).  Octagon’s OCT23 2015-1A CR covers 208dm / 4.2y WAL with clean metrics all round, please see PriceABS trade listing for full details.

EUR AAA CLO

BWIC trading having restarted after the Thanksgiving break, we have 7 trades today. Only one is AAA. Dryden 51 traded at 99.83 / 147dm. Its only one AAA trade but this level is about 10 – 15bps wider than our curve.

USD CLO AAA

29 covers today – 9 x AAA, 10 x A, 2 x BBB and 8 x BB, US LLI is up 46bps since Friday close and this is reflected in a continued firm tone.  AAA are all 1st pay and trade 101dm-131dm which is flat to recent tights, the bonds are all clean fundamentally with strong MV coverage.  At the tight end are notoriously short dated WAL benchmark bonds (circa 2y) from CVC APID 2015-21A A1R 101dm and CSAM MDPK 2015-19A A1R2 108dm.

USD CLO Mezz/Equity

Single-As trade 223dm-311dm with recent context 200dm-260dm, whilst bonds at the wide end (3-handle) trade at levels seen in the first half of this month pre rally.  However digging deeper into the bonds there are credit factors to account for with two outlier bonds that prop up the wide end 310dm-311dm.  MJX’s VENTR 2017-26A C 310dm / 4.98y WAL and Carlson’s CATLK 2013-1A BR 311dm / 5.7y WAL both have much weaker MV coverage (113 vs 115+ for peers), carry high ADRs 1.2-1.95, negative IDT cushions and hence cuspy Jnr OC whilst the MJX bond has a WAS greater than 4% 4.06 despite a 2876 WARF.  BBB trade in a narrow dispersion 407dm-412dm which is in the middle of a fairly wide spread of trading context seen this month in similar cohort 340dm-500dm, both bonds share similar strong fundamental profiles with the only exception being the Neuberger bond NEUB 2019-34A D that carries a 1.64 ADR but reinforced by a strong MVOC 111.5, low Sub80 bucket 1.5, low WARF 2824, low CCC 5.9 and strong cushions with a 97.95 WA collateral px.  BB trade 699dm-850dm with trading horizon for similar cohort 600dm-1000dm.  At the wide end is an ‘outlier’ which is Sculptor’s OZLM 2018-20A D 850dm / 7y WAL – low MVOC v peer group 102.6, high CCC 11.9, high ADR 1.54, cuspy IDT cushion 0.22 and a relatively low WA collateral px 95.12 with the manager’s record weak to peers.

EUR AAA CLO

A very heavy day’s trading with 46 EUR trades in total. 5 of them are AAA. Castle Park traded at 96dm but it is a hugely delevered deal. The other 4 traded between 140dm and 153dm. These are unchanged AAA levels.