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.

USD CLO AAA

26 covers today – 3 x AAA, 5 x AA, 6 x A, 10 x BBB, 2 x BB.  The AAAs trade in similar trait 130dm-148dm versus 113dm-150dm context in the same cohort this week, the 3 bonds today are clean, with a short dater BlueMountain’s BLUEM 2012-2A AR2 propping up the tight end 130dm / 1.99y WAL, other than CCCs running into mid-high teens % area on all AAAs today. 

USD CLO Mezz/Equity

The AAs trade 192dm-227dm (2022/2023 RP profiles) which is right in line with recent context 186dm-233dm in this cohort.  The single-As trade 228dm-326dm across a wide variety of RP profiles, once again in line with 240dm-320dm recent trading context.  At the wide end today is a rare and short 2017 RP profile bond from Bardin Hill HLA 2013-1A B 326dm / 0.86y WAL – high WARF 4138, high CCC 15.6, high ADR 6.1 whilst IDT/Jnr OC cushions are well into negative territory and WA collateral price is 63.3, the seniors on this deal are almost redeemed so this Class B is close to being fully redeemed so has a very short WAL.  The BBBs trade 394dm-745dm (2021-2024 RP profiles), once again in line with recent context 370dm-760dm, with Crescent Cap’s ATCLO 2014-1A DR2 at the wide end 745dm / 5.5y WAL but DNT (cash px 84.11), this has weaker metrics all around including 103.7 MVOC and 1.7 ADR along with negative IDT/Jnr OC cushions.  The BBs trade in a narrow dispersion 852dm-868dm (2022-2023 RP profiles) wide to 720dm-850dm recent context.  The bonds today are covered by MV (103.2-103.8), ADRs 0.9-1.2 whilst cushions are healthy with only the manager profiles slightly weaker to their peers as the only levers to the marginally softer levels today.

EUR AAA CLO

28 trades today with 6 of them being AAA. All the discount priced trades traded between 145dm and 155dm and the premium trade was at 162 over. These levels are unchanged from previously.

USD CLO AAA

30 covers today – 4 x AAA, 3 x A, 14 x BBB, 8 x BB and 1 x B.  The AAAs trade 134dm-150dm (2020-2022 RP profiles) which is in line with trading this week, however there is an outlier trade at the wide end which is not in this range.  This is Ellington’s ECLO 2017-2A A 251dm / 1.93y WAL which has very poor metrics which has met a bid – WARF 5396, Sub80 assets 44.9, CCC 34.4, ADR 13.1, IDT/Jnr OC cushions both well into negative territory and WA collateral price 73.6.  This is a trait we have seen in Ellington managed transactions for a while.

USD CLO Mezz/Equity

The single-As trade 254dm-350dm (2018/2020 RP profiles), with the 2018 RP from Black Diamond BLACK 2013-1A BR 302dm / 1.4y WAL appearing wide to mid-late 200s recent context, this is explained by a vh ADR 2.6, high CCC 25, high WARF 3978, WA collateral price 88 despite the strong MVOC 191.7 given the transaction is post reinv / delevering.  The BBBs trade 350dm-544dm (2020-2025 RP profiles) in line with 330dm-610dm recent context in this cohort, with no material outliers to report upon, see PriceABS trade listing for full details/metrics.  The BBs trade in a relatively narrow dispersion 718dm-851dm (2022-2025 RP profiles) within a 500dm-900dm recent context, at the wide end is King St’s ROCKT 2019-1A E 851dm / 7.9y WAL – with a low MVOC 102.7 and CCC 9.1 as key drivers of the softer level, with other metrics in line.  The single-B trade is Sculptor’s OZLM 2015-13X E 1919dm / 5.3y WAL well wide to recent context in vh900s context, given the nature of the thin second loss tranche this bond has a MV shortfall with MVOC 98.8, Sub80 assets 10.8, ADR 1.6, IDT cushion -1.7 and a cuspy Jnr OC cushion 0.14.

EUR AAA CLO

A busy day today with trades across the whole cap structure. There are 10 x AAA trades. The range in spreads is from 145dm to 156dm but the higher DMs are high margin bonds that have had their price above par capped. The only bond with a low Jnr OC cushion is GLG Euro 4 which has a 0.5% cushion. The MV OCs vary a lot, from 151% to 161%, but this doesn’t appear to impact trading levels.

USD CLO AAA

This week starts with 40 covers, predominantly IG – 27 x AAA, 2 x AA, 7 x BBB and 4 x BB.  The AAAs trade in similar context to last week in a 113dm-163dm range, at the tight end is a very clean/short dated senior from Allstate Inv AIMCO 2015-AA AR 113dm / 1.46y WAL.  Conversely, at the wide end is Carlson Cap’s CATLK 2016-4A AR which is also a short dater cover 163dm / 2.8y WAL, although the MVOC is strong like the Allstate bond the metrics are not clean – ADR 1.65, IDT cushion is cuspy 0.3%, cov-lite exposure is high 43.5, Sub80 assets 9.4, neg par build -2.55 and WA collateral px is 91.5. 

USD CLO Mezz/Equity

The AAs trade in small clips in a 192dm-216dm range (2019/2023 RP profiles) which is firmly within the 175dm-230dm context seen last week in the same cohort.  The BBBs trade in a wide dispersion 465dm-769dm with crossover into BB dms, with a MM CLO from ArrowMark PEAKS 2017-2A DR 769dm / 7.2y WAL propping up the wide end as expected given the basis to BSL CLOs.  Recent trading context has been in 350dm-550dm context in stronger MVOCs than today’s lists.  For instance, at the wide end is Nassau’s NCC 2017-IA C 759dm / 5.9y WAL (2021 RP profile) – weaker MVOC 102.2, high Sub80 12.4, CCC 10.5, cuspy IDT cushion 0.23% and ADR 1.4 with WA collateral px barely over 90.  The BBs trade 664dm-848dm (2018/2020/2022 RP profiles) vs 750dm-1250dm context recently, with Octagon’s OCT25 2015-1A E2R pushing through the tight end 664dm / 5.15y WAL into weak ‘BBB’ dm territory – the MVOC is stronger 104.2, ADR <1 (0.94), cushions are sound, Sub80s are also sound 7.4, CCC is touch high but not out of line 13.2 but interestingly has a vh cov-lite balance of 77% which hasn't deterred from a weak dm.

EUR AAA CLO

Just 2 x AAA trades today. OZLME 1X AR and HARVT 12X AR traded at 142dm. This compares to the recent new issues BlackRock X and Fair Oaks III which priced at 120 over and 125 over respectively as reported by Bloomberg. Of course the new issue spreads are over floored Euribor whereas our secondary calculations are true DMs taking into account the negative Euribor.

USD CLO Mezz/Equity

11 covers yesterday – 1 x A, 3 x BBB, 5 x BB and 2 x Equity.  The single-A trade is York’s YCLO 2014-1A CRR cover 236dm / 5.93y WAL (2021 RP profile) trades at the tight end of a 240dm-320dm range in this cohort this week, all metrics are strong on this York bond.  The BBBs trade in a narrow dispersion 388dm-397dm (2021/2025 RP profiles) at the tight end of a 350dm-550dm range this week, once again BBB bonds today have strong metrics (see PriceABS trade listing).  The BBs trade 991dm-1234dm (2021-2024 RP profiles) versus 650dm-1050dm range in the same cohort this week.  The 3 bonds outside of this range (>1000dm) have MV shortfalls (98.3-99.85), elevated Sub80 assets (8-16%) and a weaker manager on the two widest bonds (MJX).  The 2 equity are from CIFC and American Money both trading in late 30s / 40 cash price context trading to NAV+2-3y CF, see PriceABS trade listing for full details.

USD CLO AAA

Yet another heavy day of liquidity with 63 covers – 20 x AAA, 6 x AA, 5 x A, 10 x BBB, 20 x BB and 2 x B.  The AAAs trade 113dm-172dm, with a similar theme at the tight end with a short 2019 RP profile FLAT 2015-1A AR from NY Life trading 113dm / 1.04y WAL.  At the wide end is Canyon Cap’s CANYC 2020-1A A 172dm / 2.14y WAL (EoRP next month), this deal closed at the peak of the pandemic with a high coupon +192bps with a short RP so trading above par with a path to refi given prevailing AAAs in early-mid 100s context, the deal remains having good metrics all round.

USD CLO Mezz/Equity

The AAs trade 173dm-233dm (2021-2025 RP profiles) in line with 175dm-250dm context in the same cohort yesterday, so no outliers to report upon.  The single-As trade 267dm-318dm (2019-2024 RP profiles) so once again well within the 240dm-330dm range seen this week in the same cohort.  The BBBs trade 326dm-580dm across numerous RP profiles which is largely in line with trading this week 330dm-550dm context, at the wide end is CSAM’s MDPK 2016-21A C2R 580dm / 7.9y WAL – weaker MVOC than peers 105.6 and high CCCs 15.9, else other metrics are in line.  The BBs trade 702dm-1060dm across numerous RP profiles and is almost perfectly in line with trading seen this week 720dm-1080dm.  The rarer single-Bs trade 1448dm-1525dm (2023 RP profiles), recent activity has been restricted to upgraded BBs now at single-B in 800dm-1200dm context so it is interesting to have these data points for the first time this month, the bonds both have a MV shortfall (98.5-99.2) and IDT / Jnr OC cushions are cuspy which is no surprise for second loss bonds at this point in the cycle but the ADRs are high on these bonds (1.8-2.2) so that has to be taken into context for the wider DMs.

USD CLO AAA

Another heavy day of liquidity with 50 covers – 22 x AAA, 9 x AA, 3 x A, 3 x BBB and 13 x BB.  The AAAs trade in very similar behaviour to this week in a 118dm-153dm range (2021-2025 RP profiles), with bonds trading typically to the WAL time series and we observe no material outliers today and refer you to the PriceABS trade listing. 

USD CLO Mezz/Equity

The AAs trade 174dm-250dm also in similar RP profiles to the AAAs (2021-2025) versus 180dm-200dm context this week in same cohort.  Palmer Sq’s PLMRS 2018-2A A2 trades inside 180dm at 174dm / 6.2y WAL – strong MVOC 126, Sub80 5.9, low WARF 3012, reasonable ADR 0.83 along with healthy IDT and Jnr OC cushions.  Tripping through at the wide end is Par-Four’s TRAL 2013-1A BR 250dm / 4.4y WAL – weak MVOC 118.5, high Sub80 10.8, high CCC 13.1, ADR 1.1 and IDT/Jnr OC cushions are both negative.  The single-As trade in a narrow dispersion and tighter 236dm-248dm across 2021-2023 RP profiles vs 250dm-280dm context over the past 10 days, the bonds today have strong MVOCs (115-118) whilst RRAM 2018-4 A B at the wider end has weaker metrics incl 1.86 ADR and lower cushions than the York and GSO single-As.  The BBBs trade 443dm-555dm (2021/2023 RP profiles) vs 340dm-500dm trading context this week in this cohort.  At the wide end is Saratogo’s SARAT 2013-1A DR2 555dm / 5.2y WAL, no notable weak metrics aside from ADR 1.05 but the deal is clean but managed by a very inexperienced manager.  The BBs trade 785dm-1082dm across 2018-2024 RP profiles versus 650dm-1050dm context this week in this cohort.  Crescent Cap’s ATCLO 2016-7A ER trades 1082dm / 7.4 WAL through the wides of this week, the MVOC is covering 100.7 but Sub80 is 8.5, ADR 1.4, high cov-lite exposure 41.2 and IDT / Jnr OC cushions are very cuspy whilst the deal has -1.6 neg par build.

EUR AAA CLO

A busy day today with 31 bonds & 3 equity in total. There are 5 x AAA. Three of them have traded around 140dm and two of them around 155dm. The two wider trades are for specific reasons. One of them is the Halcyon 2 deal by Bardin Hill. It has a low Jnr OC cushion at 0.67% and also we see Bardin Hill as a manager who trade wider than their peer group. The other bond to trade wider is Aqueduct 4 by HPS. This has a higher margin at 111bps and its price was limited by its Price to Call at 100.08.

USD CLO AAA

52 covers today – 29 x AAA, 1 x AA, 2 x A, 11 x BBB and 9 x BB.  The AAAs trade 105dm-202dm across all RP profiles, at the tight end are short dated 2019 RP profiles that trade 105dm-117dm (1.0-1.5y WALs) with the pull of high Sub80 and ADR balances along with volatile WA collateral prices concentrating AAA bonds at the wide end today (see PriceABS trade listing). 

USD CLO Mezz/Equity

The AA is Alcentra’s SHACK 2014-5RA B that covers 197dm / 5.7y WAL (2023 RP profile) in the middle of 185dm-205dm context in the same cohort this month to date.  The single-As trade 278dm-334dm (2019 RP profiles) versus 230dm-300dm recent context, hence the outlier is WhiteHorse’s WITEH 2015-10A CR 334dm / 3.1y WAL – has a high WARF 3935, high CCC 26, high ADR 3.1 and IDT cushion and Jnr OC cushions are both firmly in negative territory.  The BBBs trade 336dm-463dm across a range of RP profiles, versus 340dm-550dm recent trading context, with no material outliers to report.  The BBs trade 721dm-1200dm versus 640dm-1140dm recent trading context, with Benefit St’s BSP 2014-IVA DR As the outlier trade 1200dm / 5.1y WAL – MV shortfall 99.85, high ADR 1.14, cuspy IDT / Jnr OC cushions 0.03 / 0.53 respectively.

EUR AAA CLO

There are 4 x AAA today. They have all traded between 141dm and 145dm, at small discounts to par. We see this as a flattening of the curve with the short end widening by around 10bps.