USD CLO AAA

AAA bonds today trade at a discount to par given the volatility in markets, US LL Index -4bps dod.  Furthermore the coupons on the majority of bonds is <110 which is below new issue levels.  Our AAA index is 109dm. 

USD CLO Mezz/Equity

1 x AA trades HLA 2014-3A B1R with a +170bps coupon, which is post reinvestment / short wal and near new issue levels, covers at par ceiling 168dm / 0.6y WAL, our AA index is 178dm.  4 x single-A trades with bonds hitting par ceilings where coupons are well in excess of 250bps and post reinvesting bonds with short wals, our single-A index is 215dm.  Ignoring the 2 x post reinvesting BBB bonds there are 2 reinvesting bonds that trade with high coupons +370-410bps and trade at par ceilings, our BBB index is 338dm.  2 x BB trades in a 660dm-666dm range, shorter wal and higher coupons are better bid given the market volatility with GNRT 3A ER covering at 99.15 at 660dm / 4.9y WAL – this bond is post reinvestment and carries a +640bps coupon.  In contrast KKR 22A E covers at 96.76 at 666dm / 6.2y WAL – EoRP is 2023 with a lower coupon +600 whilst other credit metrics fairly comparable.  Our BB index is 695dm.

EUR AAA CLO

Just the one AAA cover today. OCP Euro 2019-3 traded at 106dm.

EUR AAA CLO

A quiet day in euros with one AAA cover. Elm Park traded at 107dm

EUR AAA CLO

Just the one AAA trade today. St Pauls 10 AAA traded at 99.95 / 102dm, in line with AAA levels. It has an MVOC of 162.64% and a Jnr OC cushion of 3.73%. Time to end of the NC Date is 0.36yrs.

USD CLO AAA

7 trades today, 4 x BSL AAA/mezz and 3 x AAA MM CLOs.  3 x MM CLO AAA trade 154dm-169dm which is flat to recent comps with the bonds trading very close or / at par.  Our AAA index is unchanged 111dm.

USD CLO Mezz/Equity

We note some widening at single-B with trading today 937dm-991dm for fairly routine single-B bonds which are not credit impaired from benchmark managers PGIM and Pinebridge, DRSLF 2017-49A F from PGIM covers at 91.5 at 937dm / 6.5y WAL and GALXY 2016-22A FRR from Pinebridge covers at 93.5 at 991dm / 9.5y WAL both with clean credit and MVOC 105.  We shift our single-B index wider to 926dm.

EUR AAA CLO

The 3 x AAA trades have traded around 110dm. CVC Cordatus 10 traded at 100.04 / 106dm which is noticeably tight.

USD CLO AAA

35 trades / $84m of liquidity, predominantly IG.  US LL Index continues to rebound +12bp dod whilst we observed some spread widening.  At AAA, 2 bonds hit their par ceilings, coupons +120bps, whilst a small clip of ZAIS7 2017-2A A covers at a discount 99.38 at 155dm / 2.4y WAL – high coupon +129bps but weak credit ADR 2.1, Sub80 4.4 and MVOC at the low end 149.7.  Our AAA index remains at 111dm.

USD CLO Mezz/Equity

At BBB there are 17 trades in a 298dm-431dm range with 4 trades hitting par ceiling, key characteristics of these are coupons well into +300s and MVOC >113.  However SNDPT 2017-2A D has a high coupon +360bps (still in reinvestment) but has a low MVOC 109.4, high ADR 1.4 and cuspy Jnr OC cushion 1.5 with cover 96.77 at 431dm / 5.2y WAL.  Our BBB index widens to 344dm.  There are 3 x BB trades 656dm-683dm with RRAM 2020-12A DR2 trading close to par with CVR 99.90 at 673dm / 9.2y WAL, coupon is +672bps and metrics are clean all round whilst bond coupon is strong versus prevailing new issue levels, our BB index shifts wider to 708dm.

USD Mezz/Equity

A quiet end to the week with $24m of mezz liquidity, whilst US LL Index continues to firm +11bp dod.  A small clip of CLRCK 2015-1A BR trades at a discount 99.64 at 169dm / 3.9y WAL, this has a ‘low’ coupon +160bps (vs new issue mid-160s) so has limited callability associated, Jnr OC cushion is also at the low end 1.9.  Our AA index is 172dm.  7 x BBs trade 682dm-767dm with a number of bonds hitting par ceilings since said coupons are north of +700bps, AIGIM 2019-2A ER covers at a discount 97.5 at 682dm / 8y WAL, coupon is low +640bps and MVOC is at the low end 107.8 despite clean credit metrics.

USD AAA CLO

$81m of liquidity today across 29 trades, with spreads flat on the day and US LL Index -4bps dod.  AAA bonds that are in reinvestment are slowly beginning to hit their par ceilings again, OCT33 2017-1A A1 with a +119bps coupon and EoRP 2023 hits its par ceiling at 100.01 at 119dm / 3.1y WAL.  Our AAA index is unchanged at 111dm. 

USD Mezz/Equity CLO

1 x AA trade BETHP 2021-1A B which is a 3.0 CLO +160bps coupon / EoRP 2026 and covers 99.67 at 164dm / 8y WAL which is close to our AA index at 172dm.  Also just 1 x single-A trade EATON 2020-2A C which is also a 3.0 with a high coupon +260bps and hits par ceiling at 259dm / 5.2y WAL, new issue in early 200s and our A index 211dm this bond that callability built in given it’s also post NC.  At BBB there are 7 trades with 2 hitting par, APID 2015-21A CRis a short wal bond post reinvestment with a strong MVOC given the deal is delevering and covers at 100.00 at 245dm / 3.9y WAL.  Blackstone’s CATSK 2017-1A C covers at 100.08 with a high coupon +370bps and converts to 368dm / 4.95y WAL – this bond is in reinvestment (EoRP 2022) and has clean metrics including 111.9 MVOC.  Our BBB index is 333dm.  12 x BB trades in a 590dm-826dm range with a 6pt cash px dispersion in trading.  Our BB index is 681dm with BCC 2019-4A E hitting par ceiling from Bain Cap – EoRP 2025, high coupon +748bps (new issue guidance in low-mid 600s) and strong MVOC 108.  At the other end of execution is CGMS 2015-3A DR (coupon +520bps / post reinv, generally weaker metrics) covers at 94.15 at 692dm / 4y WAL which falls slightly wide to our index.  At single-B KKR 13 FR covers 94.50 at 869dm / 3.9y WAL, this bond has a +700bps coupon, good MVOC 105.5, low ADR 0.6 but a little migration on the underlying collateral with Sub80 bucket 2.3% and CCC at 8.3% but Jnr OC cushion is strong 4.9 and this close to our single-B index 882dm.

EUR AAA CLO

The 3 x AAA trades have all traded around 115dm which is about 2bps wider than our model predicted.

USD CLO AAA

$320m of liquidity today across 36 trades with some big tickets changing hands.  US LLI bounced back +5bps dod.  At AAA our index shifts slightly tighter on the day to 111dm.  GOCAP 2019-42A A2 is a MM CLO 2nd pay with a high coupon +200bps and covers near par at 202dm / 5.2y WAL whilst we saw 2 other 2nd pay BSL CLO AAAs trade with FCBSL 2020-1A A2 covering at par given the relatively high coupon +190bps in relative terms versus the Golub MM CLO 2nd pay.  Bonds continue to trade at a discount with the exception of GSM 2021-IIIA A1 which has a high coupon +132bps / 1st pay AAA that covers 100.16 at 129dm / 6y WAL.

USD CLO Mezz/Equity

A number of AAs trade at par ceilings, these bonds have high coupons +185bps-230bps with new issue guided in 160-170bps pre-vol.  Our AA index is 172dm.  At BBB there are 5 trades in a 355dm-441dm range with our BBB index at the tight end of this range 332dm, a couple of higher coupon bonds (365bps-394bps) trade at a small discount to par whilst bonds with coupons <340bps trade at a 5pt+ discount to par with new issue in the early-mid 300s area.  At BB there are 8 trades today in a 697dm-803dm range whilst our BB index ticks wider to 682dm, 3 bonds hit par ceilings, these have coupons > 700bps & MVOC > 110, whilst 2 additional bonds that also have 7-handle coupons trade at a discount to par given weaker MVOCs (as low as 108) and higher ADR / CCC migration (See PriceABS listing for details).

USD CLO AAA

$130m+ of liquidity as of the last day of the month which is the most for any single day this month.  With a softer tone in the markets this has reflected on CLO spreads as well with all ratings experiencing some widening going into month end.  US LL Index -14bps dod and -47bps mom.  With the softer trend over the past 2 days trading for AAA as bonds cover below par, there is one bond that hits par ceiling GSM 2020-IA A1 which has a high coupon +137bps and clean metrics covers 100.02 at 136dm whilst bonds with coupons into the +120s covering at a small discount to par as the market prices in some uncertainty over deals calling and inherent callability.  Our AAA index is 112dm. 

USD CLO Mezz/Equity

At AA bonds trade at a discount to par and in a 170dm-183dm range with our AA index widening to 166dm, CGMS 2015-4A A2R which has a +180bps coupon still covers at a discount 99.86 at 183dm / 5.7y WAL despite new issue talked in the mid-160s pre-Omicron volatility.  At single-A, REG16 2019-2A C covers at its par ceiling given the high coupon +270bps (bond is post NC).  Other single-As with coupons as high as +210bps (GTLNF 2013-1A CR) covers at a discount to par at 212dm / 5.2y WAL despite very strong metrics.  Our single-A index is 211dm.  At BBB there is one bond that is still in reinvestment and hits par ceiling, OCP 2016-11X CR covers 100.06 at 363dm / 5y WAL, the coupon is high +365bps (MVOC healthy at 112) and metrics are clean whilst the shorter WAL is attractive in this environment.  At the wide end is ZAIS7 2017-2A D which covers at 90.14 at 623dm / 4.7y WAL (downgraded to Ba1), MVOC is low 109, ADR is high 2.14, CCC 6.9 and 4% Sub80 bucket explains the weakness in credit.  Our BBB index is 330dm.  At BB the trading range is 623dm-891dm whilst our BB index is 676dm.

EUR AAA CLO

There are 3 x AAA trades, between 120 and 145dm. All performing well with MV OC around 163% and Jnr OC cushions around 4%.

USD CLO AAA

Post Thanksgiving holiday supply is limited with 6 trades today with a softer tone all round given the uncertain market conditions around the Omicron strain.  AAA bonds with coupons > 100bps trade today at a discount which we have not seen for a while aside from credit impaired bonds.  Our AAA index widens to 109dm (+4dm).

USD CLO Mezz/Equity

4 x BB bonds trade 686dm-773dm with OAKCL 2019-3A ER cover 94.79 given the high ADR 1.84% whilst our BB index widens to 667dm (+9dm).  Best execution is BATLN 2015-8A D1R2 CVR 99.5 at 686dm / 5.5y WAL (coupon +675bps), with credit metrics overall not out of line on this bond it appears the shorter end of the curve (EoRP 2022) is more appealing given the aforementioned market conditions versus the longer WALs 7-7.5y) on the remaining trades today.

EUR AAA CLO

Just the 2 x AAA trades today, after Thanksgiving. Both traded around 117dm which are unchanged levels. Both have a Non Call End Date over 2 years ago.

USD CLO AAA

US LL Index continues to soften (-6bp dod) whilst liquidity has been thin in CLOs with the traditional tapering off given Thanksgiving in 2 days.  2 x AAA trades today, both are MM CLOs with coupons +150-160bps cover at a small discount to par and trade 155dm-160dm, OR 2020-3A A1L was the last AAA 1st pay MM CLO to hit par ceiling 2 weeks back and this carried a coupon of +180bps, Guggenheim MM CLO 2021-4 is marketing now which will provide good intelligence on par AAA pricing for MM CLOs.  

USD CLO Mezz/Equity

TRYSL 2021-1A E which is a BSL CLO BB tranche covers at 96.13 at 811dm / 7.3y WAL, this is a 3.0 from new manager Sancus Capital with a 2024 EoRP and high coupon +738bps coupon, our BB index is 658dm with new issue +640bps context.

USD CLO Mezz/Equity

12 mezz / equity covers today, with a 10-line list DNT.  US LL Index -9bp on the day with rate hikes starting to be priced in (mid-2022) given the inflationary environment coinciding with Powell’s confirmation of the head of the Fed for another tenure.  There is little in the way of spread movement in CLOs felt yet.  2 x Single-As trade 206dm-209dm (coupons +205bps) with bonds trading at a small discount to par but near our single-A index of 206dm which in turn is in line with new issue guidance.  1 x BBB trade, WITEH 2015-10A DR which is short dated post-reinvestment (EoRP 2019) bond and covers at par ceiling at 293dm / 2.2y WAL – our BBB index is 322dm.  BBs trading today (for bonds in reinvestment phase) 587dm-770dm with our BB index 657dm, with AIGIM 2018-1A ER trading closest to par given the coupon structure (+660bps) and overall clean credit metrics and a strong MVOC 107.5.

EUR AAA CLO

There are 8 x AAA trades today. All bar Mackay Shields 2 traded between 100 and 110dm. Mackay Shields 2 traded at 182dm because of its very high 155bps margin. 3 of the deals are amortising, BNPP Euro 2017, CVC Cordatus 5 and Mackay Shields 2. The only one of the bonds with weak credit metrics is Jubilee 2016-17 but as a AAA it didn’t make much difference and it still traded at 107dm.

USD CLO Mezz/Equity

12 x BBB trades only today to round off the week, US LL Index -4bp on the day and -13bp wow.  BBB trade 270dm-414dm today with our BBB index now 323dm (flat wow).  Those trades that hit par ceiling have coupons >300bps with the exception of MAGNE 2016-18A DR which is post reinvestment (Aug 2021) with a +270bps coupon and a clean portfolio and strong NAV as characteristic of Blackrock CLOs so does trend towards par.

EUR AAA CLO

The 2 x AAA trades are at 105dm and 111dm. This could potentially be a bp or two wider than our curve.

USD CLO Mezz/Equity

26 covers today, all mezz, US LL Index -6bps dod which reflects overall market sentiment today with inflationary pressures coupled with weak economic growth concerns.  2 x single-A trades which trade either side of our single-A index at 204dm, with new issue context +215bps area ALLEG 2018-3A C from Axa IM covers at par ceiling (coupon +220bps) whilst NEUB 2017-26A C covers at a discount given it’s lower coupon +175bps at 180dm.  Both bonds have clean metrics.  24 x BB trades today 607dm-739dm range, our BB index is 674dm whilst new issue guidance is +645bps area.  As we have seen bonds with coupons >690bps are tending to hit their par ceilings given the inherent callability with SIXST 2020-16A E and BCC 2020-5A E both having these characteristics along with strong 3.0 metrics.  Other BBs are tiered by coupon, MVOC and ADR levels, BCC 2016-2A E (Bain) has a high coupon +704bps and is post-NC and post reinvestment but covers at a discount 98.76 at 739dm / 4.2y WAL – ADR is high 1.4, CCC is high 7.2 and Jnr OC cushion is cuspy at 1.5% whilst MVOC is trending at the lower end of BB levels 105.2.

EUR AAA CLO

There are a lot of trades to look at today. Starting with the 2 x AAA they have both traded around 107dm. Both bonds are coming to the end of their NC date and both traded at small discounts.

USD CLO AAA

32 trades today with $145m of liquidity across the capital stack, US LL Index -1bp dod.  AAA trades, which carry coupons as low as +96bps within reinvestment period all hit their par ceilings.  Our AAA index is 106dm.

USD CLO Mezz/Equity

At the AA level there are 5 trades in a 134dm-175dm range, MAGNE 2019-23A B (Blackrock – top tier manager) a high coupon +175bps covers at par ceiling with new issue in +170bps context and our AA index 158dm which is in the middle of today’s trading range.  At single-A there are also 5 trades in a 196dm-230dm range, new issue guidance is +215bps and our AA index is 205dm.  Best execution is WELF 2019-XA BR (high coupon +220bps) at 99.67 at 225dm / 6.8y WAL with clean metrics / EoRP 2025.  9 x BBB trades in a 292dm-370dm range (new issue +330bps / BBB index 321dm) with 2 trades with coupons > 300bps hitting par ceilings, whilst 2 trades CEDF 2013-1A D1RR and EATON 2018-1A D both with similar coupon structures (>300bps) trade at a small discount given elevated ADRs (0.9% context), lower MVOCs (112 area) and slightly higher asset migration to Sub80 prices.  1 x BB trade today MDPK 2018-32A ER (coupon +620bps) covers at a discount 99.19 at 634dm / 7.3y WAL, new issue guidance is +645bps area and our BB index is 679dm whilst this bond has clean metrics and a benchmark manager CSAM it is the margin that limits the execution price.  5 x rarer single-B trades 825dm-939dm range, our single-B index is 885dm with tiering today from a cash px point of view is driven mainly by margin structure given the bonds are relatively clean in terms of fundamentals.

USD CLO AAA

A more active day with 33 trades and > 130m of liquidity, spreads and the US LL Index are both flat on the day.  AAA trades are all 1st pay and hit par ceilings with our AAA index 107dm.

USD CLO Mezz/Equity

7 x AA trades, all lower coupon clean bonds (+135-145bps) and trade at a small discount to par given new issue is in +170bps guidance context, our AA index is 160dm.  23 x BB trades in a 614dm-699dm narrow trading dispersion whilst a 5pt price basis from a cash price perspective.  Bonds that hit par ceilings have coupons >690bps and low ADRs and strong MVOC 109+ whilst still in reinvestment, the prevailing new issue guidance is around +645bps with our BB index 679dm.  At the other end of the scale is TCW 2021-1A E (March 2021 close) that has a low coupon +582bps and CVR 94.9 at 658dm / 9.6y WAL, despite strong metrics the coupon drives execution.

USD CLO AAA

25 trades to open up the week, mostly high grade securities.  US LL Index -3bp dod and +7bp wow.  8 x 1st pay AAAs all hit their par ceiling with AAA index now 108dm.  2nd pay AAAs trade in a 127dm-138dm range with all trades at a small discount to par given coupons are ‘relatively’ low for 2nd pays +113-125bps range with small basis to AA.

USD CLO Mezz/Equity

One AA trade WINDR 2015-2A BR covers at a discount (low coupon +125bps and well past reinv end - 2019) at 126dm / 1.6y WAL, our AA index is 160dm.  CATLK 2013-1A BR single-A covers at a discount 99.19 at 248dm / 4.7y WAL (coupon +230bps), whilst new issue is +215bps context there are credit issues with this bond – ADR is high 1.3, CCC is high 7.9 and Jnr OC cushion is low 1.6.  TICP 2017-9A D from Sixth St (BBB) has a coupon +290bps and covers at a discount 99.96 at 291dm / 5y WAL, metrics are clean on the bond whilst new issue is +330bps guidance / our BBB index 321dm so execution falls short of par.  At BB, a shorter dated bond TRMPK 2015-1A ERR covers at par ceiling (EoRP 2020) given strong cushions and healthy MVOC 108.9 and clean metrics (ADR 0.6 / Sub80 0.5), 2 x clean bonds in reinvestment trade in a 603dm-655dm range whilst our BB index is 683dm. 

USD CLO AAA

US LL Index +2bp dod whilst only 3 x second pay MM CLO AAA trades today.  The higher coupon (180/250bps) bonds hit their par ceilings, MCMML 2020-1A A is a Middle Market 2nd pay bond too so has an especially high coupon of +250bps coupon and covers at 100.31 at 241dm / 3.6y WAL (MVOC 188 and 0 ADR).  One trade is at a discount today MCFCL 2018-1A A1 which has a lower coupon +137bps (which is in line more with BSL CLO 2nd pays) and covers 99.89 at 142dm / 2.4y WAL, metrics are clean so the coupon drives the execution price.

EUR AAA CLO

Just the 3 x AAA trades today. Avoca 11 and Penta 3 are both in amortisation. The spread range is from 103dm to 112dm. All 3 bonds have been callable for a couple of years but, as stated, two of them are paying down.