USD CLO AAA

Today despite being month end we saw some liquidity (17 trades) across the capital stack, US LLI finishing up the quarter +102bps on year end, flat to end of January but down 29bps on February month end.  AAA trades at the par ceiling with our generic curve unchanged for the past few days at 113dm. 

USD CLO Mezz/Equity

One x BBB trade BCC 2019-1X D (Bain Cap) cover 100.07, this bond has EoRP 2024 with NC passed in Jan this year, coupon is +385bps with our generic BBB curve 362dm and new issue in L300s this bond trades at the ceiling given its callability supported by clean metrics.  3 x BB trades cover at their par ceiling, inherently these 3 bonds have coupons >740bps whilst our generic DM curve is 683dm and new issue is L600s there is high callability in these bonds.  Conversely KKR 23 E covers LM95h with a coupon (+600bps) lower than our generic curve and primary.  This bond also has very high CCC 15.5 and an IDT cushion 1.78 lower than its peers, bond is callable but ‘out of the money’ for a potential reset.

USD CLO AAA

With quarter end looming it was no surprise that it was another day of lacklustre activity.  AAA bonds with coupon <115bps trade at a small discount 99.76-99.92 (99dm-121dm) whilst high coupon bonds (>135bps) trade at the par ceiling 135dm-141dm with minimal effect from credit factors on execution at this end of the capital stack as the coupon structure is the key variable.

USD CLO Mezz/Equity

1 x BBB trade SNDPT 2013-2RA D (Sound Point) with a ‘low’ coupon +295bps covers 95h at 404dm, as comps new issue in vl300s and our generic curve 362dm this bond has some credit challenges – ADR is high 1.6, CCC is high 10.1, Jnr OC cushion is cuspy at 1% so trades wide to our generic curve.  One BB trade ATCLO 2018-9A E (Crescent Cap) has a low BB coupon at +542bps, with new issue clearing levels +622bps and our generic curve 682dm this bond covers at a large discount 88h at 863dm / 4.4y WAL, again this trades wide to our curve given credit weakness – high ADR 2.04, MVOC is low 102.7, CCC 8.4, Jnr OC cushion is cuspy at 0.5.

EUR AAA CLO

There are 3 x AAA trades today. Man GLG 6 traded at 99.90 / 144dm. This is a 2020 deal and so is one of the GLG deals that is still clean. Cairn 8 traded at 100.03 / 138dm and Blackrock 10 at 100.40 / 155dm.

USD CLO AAA

Given month end is lurking there’s a quieter feel, 16 covers today across the capital stack.  With Ballyrock’s reset AAA pricing +106bps this shows a little tightening of the curve, bonds with coupons <105bps trade at a discount with an exception LCM 16A A2R (+118bps coupon) cover 99.925 at 120dm / 4.1y WAL – mixed manager record but also the MVOC of 153.5 is on the low side (vs LCM 26A A1 157.23 CVR 100.01).  There is a 2nd pay from CSAM MDPK 2018-31A A2A that covers 99.90 at 152dm which is a rarer trade but a good data point that trades at its ceiling.

USD CLO Mezz/Equity

One AA trade BURNH 2016-1A BR (Blackstone), a small clip that covers 99.91 at 152dm with a running coupon +150bps – as a comp Ballyrock’s AA priced +160bps with our generic secondary AA curve slightly tighter at 173dm.  No credit issues on this Blackstone bond.  Single-A trade 213dm-219dm today, both bonds at a discount with coupons +195-215bps with Ballyrock’s single-A pricing +205bps and our generic curve unchanged at 221dm.  BBB bonds all trade at par today, Ballyrock’s BBB pricing a touch wider than mid-March prints at +310bps with our generic curve 361dm all the executed bonds today have coupons >380bps so have a path to reset, whilst metrics are clean.  See PriceABS trade listing for details.

USD CLO AAA

A more modest day of liquidity following a heavy Wednesday, with 23 trades today, US S&P LLI is now flat to Friday close but lost all the gains seen on Monday (down 7bps).  Our AAA generic curve remains unchanged at 113dm and AAA trades (coupons >115bps) trade at their ceiling.  Trimarin’s CRMN 2014-1A A1AR (coupon +126bps) covers at a small discount 99.95 at 128dm since it has some weaker metrics – ADR 1.9, Jnr OC cushion 0.5.

USD CLO Mezz/Equity

Both single-A trades today cover at their par ceiling, profiles are high coupons 295bps-325bps (vs new issue +205bps and our generic secondary curve 213dm) along with strong cushions (Jnr OC 2.8-3.5) despite elevated ADRs 1.5-1.6 but WARFs are strong <3000.  BBB trade at par ceiling with one exception, new issue is +335 / our secondary generic curve is 362dm.  The exception is a low coupon bond +290bps ARES 2014-32RA C with low MVOC 109.7 and a lower Jnr OC cushion (1.1) cover is 97.9 at 330dm / 6y WAL.  The majority of BBB trades today that trade at the ceiling are 3.0 high coupons with defensive structures and pools.  BB bonds trade in a wide dm dispersion 633dm-917dm.  A strong 3.0 BB WOODS 2020-22A E (Angelo Gordon) covers 101.28, this bond has an extremely strong profile – high MVOC 110.8, 0 Sub80, low WARF 2715, low CCC 2%, strong Jnr Oc cushion 4.6 with 0 cov lites on top of strong cashflow with high coupon +882bps.  At the other end of the spectrum is a trade from MidOcean MIDO 2013-2A ER covers 87.17 at 917dm / 5.7y WAL – Jnr OC cushion is 0, MVOC is low 102.5, ADR is high 1.9, CCC is high 12.6 with the F tranche immediately below PIKing (however did cashflow at last IPD but has a shortfall).

USD CLO AAA

An extremely busy day with almost 60 covers across the capital stack.  All the AAA trade at par ceiling with some minor tiering due to lower relative bond coupons < 90bps but the effect on execution is minimal with covers on these bonds 99.90.  Our generic AAA secondary curve remains unchanged at 113dm with new issue talked in L110s.

USD CLO Mezz/Equity

Single-A bonds also trade at their par ceiling, our generic curve is 212dm with new issue also in L200s area.  One exception today is BLUEM 2018-1A C that has a low coupon +205bps , weak MVOC 117, high ADR 2.9. high CCC, cuspy Jnr OC cushion of 0.4 and a weaker manager profile shaking out with a cover of 98.51 at 232dm / 5.9y WAL.  Our BBB generic curve is 360dm with a trading range today 301dm-491dm from an array of credit and reinvestment profiles.  Also with new issue in +335area this has some effect on tiering on execution in secondary.  With only a few exceptions BBB bonds with coupons <300bps cover at a discount and those with coupons >400bps trade at their par ceiling.  VIBR 2018-8A C covers at the lowest price today 94.51 (coupon +285bps), credit is weak with MVOC is at the low end 109.7, ADR is high 1.5 and Jnr OC cushion is only 1% with a weaker manager record from Vibrant vs peers.  However a bond with a stronger profile NEUB 2018-27A D and similar ‘low coupon’ +260bps has better execution with 97.77 cover (301dm) but has a strong MVOC 112.3 and stronger Jnr OC cushion 3.2 whilst a benchmark manager.  BB trade 561dm-732dm today whilst our generic curve is 698dm (new issue 660area).  2 bonds with ‘high’ coupons >700bps trade at par ceiling with the remainder at a discount driven by credit factors along with MVOC to a lesser extent.  Lowest cover today is OCT22 2014-1A ERR which has a 105 MVOC, whilst other credit metrics are sound but interest diversion cushions are very cuspy (IDT cushion 0.07) whilst the bond has lower cashflow with the coupon +545bps.

USD CLO Mezz/Equity

A heavier day of liquidity with 31 covers, all mezz once again.  AA trade at their par ceiling, Assured IM’s BlueMountain Fuji US CLO II A2 carries a lower coupon (+160bps) and covers at a small discount 99.95 at 161dm / 4.6y WAL.  Our generic curve for AA is flat at 173dm which is roughly a 30bp premium to new issue +145-150bps.  With regards to BBB, our generic secondary curve is 363dm with new issue +290bps.  Trading levels are around par for those bonds that carry coupons close to our secondary levels (>350bps).  Furthermore with similar EoRP profiles on those BBB trades <par it is an imperfect combination of MVOC, ADR, manager profiles and cushions that drive the tiering.  For BB our generic curve is 698dm with new issue closeby at +650bps coupon.  All the BB trades today have coupons <650dm so trade at various degrees of discount to par, with SHACK 2018-12A E (Alcentra) having a +590bps coupon whilst performance metrics are adequate but not poor, the manager’s record is weaker to its peers – this trades at the steepest discount to par today at 92.54 at 727dm / 7y WAL.

USD CLO Mezz/Equity

A quieter start to the week with 13 covers all mezz whilst US LLI retraced 7bp today (of the 25bps decline since month end).  One AA trade HLM 4A-2014 A2R (low coupon +150bps) covers at a discount 99.64 at 157dm / 5.2y WAL.  Our AA generic curve is 173dm whilst Sixth St new issue priced +145bps on Friday as a comp showing the differential between new issue and secondary flows.  The Sixth St new issue BBBs pricing +290bps (DM unknown) and our generic DM curve widening 5dm to 364dm, with MVOC the key influence on tiering, at the wide end is BLUEM 2013-1A CR (coupon +415bps) with CVR 98.55 at 448dm / 4.8y WAL – this has a very low MVOC 109, high ADR 1.7, high Sub80 4.4, high CCC 9.0, tripped Jnr OC cushion -0.7 (DR tranche immediately subordinate is PIKing).  2 x BB trades with coupons (+625-640bps) around new issue levels (Sixth St BBB +650bps) so it’s not a surprise these trade at a discount.  A 3.0 CLO OAKC 2020-5A E (+625bps coupon) covers at a discount 98.5 at 648dm / 8.9y WAL (NC Jan 2022) with strong metrics all round.  GILBT 2017-1A E (GSO) covers higher in cash px terms 99.04 at 658dm / 6.7y WAL (similar coupon +640bps) with NC passed and EoRP October 2022, metrics are not as strong eg. MVOC 106.8 but given this bond is callable (despite a cuspy bond coupon) this has more optionality and better execution.

EUR AAA CLO

Just 1 x AAA trade today. St Paul’s 4 traded at 100.05 / 134dm. According to Bloomberg Blackrock 2 reset at 79bps over floored Libor. Both data points indicate a tightening in the AAA curve of 1bp.

USD CLO AAA

15 covers, all IG today, US LLI down 4bp on the day (down 16bps wow).  AAA trades carried bond coupons >110bps and hence all traded around their par ceiling in a 112dm-123dm range.  We maintain our generic AAA curve at 113dm.

USD CLO Mezz/Equity

AA also traded at its ceiling, with Sixth St new issue pricing +145bps CIFC 2013-1A A2R which has a coupon around our secondary curve +175bps covers at 100.03 at 174dm.  Furthermore 3.0 remain well bid CRNPT 2020-9A B (coupon +269bps) covers 100.20 at 264dm with NC in 3 months.  Single-A trades at par ceiling with the exception of a low coupon 2.0 STWRT 2015-1A CR (+180bps coupon) that covers 99.52 at 190dm which is tighter to our generic secondary curve 216dm, this bond has good performance (ADR 0.6, Sub80 0.7, IDT cushion 1.6) so trades slightly inside.  BBB all trade at the ceiling 312dm-385dm versus our generic secondary curve of 359dm with bond coupon range +315-385bps, CIFC 2019-3X C best bid 100.27 (high coupon +370bps) and has great performance metrics from a benchmark manager.

USD CLO AAA

26 covers today, dominated by mezz again whilst US LLI softens 7bp on the day.  All 3 x AAA trades cover near par with CGMS 2014-1A A1R2 the weakest execution of the day with 99.9 cover since this is low coupon +97bps and trades at 100dm – new issue in early 100s for longer WAL and m90s for 3y WAL whilst our AAA generic curve is 113dm (flat to yesterday)

USD CLO Mezz/Equity

AA trade similar to AAA, at a small discount given the softer feel today.  With new issue in 145-150bps IPT and our generic curve 173dm (+2 dod).  VOYA 2015-1A A2R trades furthest from par at 99.69 cover (+125bps coupon) equivalent to 135dm / 3.4y WAL.  A number of single-A trades today  clustered around +190bps coupon, with credit performance driving tiering above and below par.  BSP 2013-IIA BR2 has the weakest execution 99.27 at 204dm and has a weak MVOC 115, elevated ADR 1.6, high CCC 10.3 and cuspy IDT cushion 0.4.  NEUB 2017-24A CR covers 100.06 and has a strong MVOC 120.6, lower ADR 0.9, lower CCC 5.1 and strong IDT cushion 2.6 and a stronger manager record vs peers.  BBB new issue IPTs are +295area with our generic secondary curve 360dm, COOK 2018-1A D covers weakest today 97.69 (coupon +260bps) driven by a weak MVOC 111.  BB have widened 6bps on the day to 681dm with new issues talked in +635area.  Today’s trades have coupons <650bps and as such don’t get close to their ceiling, at the wide end is Man’s GLGU 2018-2A DR that covers 95.15 at 729dm / 4.6y WAL, this has a low MVOC 103.8, cuspy IDT cushion 0.5 and a high ADR 1.7 whilst the manager has a weak record.  Single-B trade 929dm-1079dm with tiering driven predominantly by MVOC, with OZLM 2018-20A E at the wide end 1079dm / 7.4y WAL – low MVOC 103, high ADR 1.4 and cuspy IDT cushion 0.6 with a cover of 84.88.

EUR AAA CLO

There are 3 x AAA trades today. All of them are from amortising deals. Arbour 4 is a fixed rate bond and traded at 100.02 / S+176bps. The other two traded around 100.04 and around 135dm.

USD CLO AAA

Heavy mezz supply today with US LLI dropping 9bps on the day.  Just one AAA trade today, HLM 3I-2014 A1R (HPS) trades at it’s ceiling 100.035 117dm / 3y WAL (+118bps coupon) with new issue talked in early 110s and this trading at generic secondary levels which we observe at 115dm.

USD CLO Mezz/Equity

AA behave in similar vain to AAA (trading at ceiling) with only HLM 3I-2014 A2R cover at a slight discount 99.96 (+170bps coupon) 171dm – with new issue talked 145bps-150bps and our generic curve 165dm this is only slightly wide to that and market prices in likelihood of refi/reset.  Single-A new issue are talked +185bps-190bps with our generic secondary curve wide to this 231dm, the low coupon on GALXY 2017-24A C +170bps means execution is weaker with a cover 99.27 at 184dm, with higher coupon HLM 3I-2014 BR with +240bps coupon and cover 99.9 at 242dm / 5.1y WAL, this bond has clean metrics with only IDT cushion a little cuspy at 0.8.  Heavy BBB supply today, new issue talked +295bps area with our secondary generic curve 363dm, with bonds typically carrying a coupon below +300bps trading below par with the severity of discount based off credit performance.  Some exceptions to this rule including another HPS bond HLM 3I-2014 CR (+360bps coupon) with cover 97.5 at 410dm / 5.5y WAL – MVOC is weak 109.2 and IDT cushion is cuspy 0.8 with a weaker manager record vs peers.  At BB the new issue market is more opaque given bonds do execute at a discount, our generic curve is 675dm with new issue talked in lm600s context.  BBs that trade at their ceiling have a coupon > 690bps and are 3.0 structures with 2.0s typically trading at a discount with the severity of this driven by MVOC and interest diversion proximity with coupon level an influence.  See PriceABS trade listing for details.

USD CLO AAA

A quieter day today with 12 covers and 1 disclosed DNT, all IG – AAA and BBB with US LLI continuing to tick up (+1bp dod) and AAA broadly flat.  With AAA new issue in vl110s context bonds with highest coupons are best bid, KKR 30A A1 (+150bps coupon) covers 100.34 142dm / 4.2y WAL which puts into perspective the value versus 3y AAA refi/reset paper in m90s context in new issue.  Bonds post reinvestment and delevering continue to see execution around par ceiling whilst weaker bonds with cuspy coupons like VENTR 2017-28A A2 trade at a small discount (CVR 99.94) – high ADR 1.9, high Sub80 4.4 and cuspy IDT cushion 0.5 from a weaker manager MJX.

USD CLO Mezz/Equity

BBB secondary generic range has been in 345dm-400dm context recently with new issues in +290s context, we have observed a 2-5bps widening in BBBs over the past couple of days.  Trading range today 418dm-472dm is dominated by weaker names / weaker performing bonds - VENTR 2013-15A DR2 covers at the wide end of recent context 472dm / 7.3y WAL (CVR 95.15) despite a high coupon +392bps, but this deal has a high ADR 2.3, high Sub80 5.8, cuspy Jnr OC cushion 0.1 (WA collateral px v low 95.7) and a weaker manager profile.

EUR AAA CLO

There are 6 x AAA trades today. CVC Cordatus 17 priced at the height of the pandemic driven widening at 195bps margin. All the others have margins between 65bps and 93bps. CVC Cordatus 17 traded at 227dm. The others were between 112dm and 128dm. This is a tightening on the AAA curve of 4bps.

USD CLO Mezz/Equity

Just shy of 50 covers today whilst a continued positive tone on leveraged loans (US LLI +2bps) allowed for an all mezz execution day.  AA trades are both 2021 vintage with coupons +175-185bps and execution a shade under par in cash px terms 99.56 on both.  Single-As are talked +185-190bps in new issue, execution today reflects this which bonds that trade at their ceiling carrying coupons > 200bps with the exception of TRNTS 2017-7A C (+220bps) which covers 98.79 245dm / 5.2y WAL – MVOC at the low end 118.7, elevated ADR 1.5, high CCC 10.9 and a tighter IDT cushion 1.5% than benchmark bonds whilst the manager’s record is slightly weaker to peers.  BBB new issue is talked in 290bps-295bps area whilst secondary context has been 350dm-400dm, with credit influencing execution today, ZAIS7 2017-2A D covers 88 at 622dm / 5.8y WAL, this is higher coupon +375bps but is downgraded to Ba1, low MVOC 107, high ADR 2.5, high Sub80 5.2, CCC 8.5, IDT cushion on the cusp 0.2 and manager record weak to peers.  At the other end of the scale is CGMS 2019-4A C (Carlyle) which has a +400bps coupon and covers 100.65 390dm / 8y WAL – 0.1 ADR, 0.55 Sub80, 4.1 CCC, IDT cushion 4.5.  With BB bonds talked in early 600s context in primary with some bonds offered at a small discount this lines up a little more with secondary context which has been 650dm-720dm.  Execution today is through these wides 721dm-786dm with bonds trading at a significant discount (up to 9pts).  The 2 bonds that carry coupons +560bps-620bps which are tight to new issue and cover in 91.3-91.4 context (725dm-786dm) despite good credit quality illustrating the basis that new issue refi/resets are causing.

USD CLO AAA

A quieter end to the week with 14 trades, all IG.  US LLI up 4bps on the week but remain 20bps down on YTD highs.  AAA hover around par, in some cases a slight discount to par with a coupon array +90bps to 108bps cuspy to lower WAL refi/resets in mid-90s context and longer WALs (6y) in 105bps-115bps context.  The exception being CFIP 2014-1A AR (CFI Partners) that carries a +132bps coupon and sound performance on the deal but with an inexperienced manager (4 CLOs under management) this did not meet with premium execution. 

USD CLO Mezz/Equity

AA new issues are in 140bps-145bps context, HPS’s HLM 7A-2015 BR covers at a discount 99.45 134dm / 3.5y WAL given the low coupon +118bps along with the fact that this has an elevated ADR 1.3 and a poor manager record.  Furthermore the basis between a 2.0 and a 3.0 AA with similar coupons (+165/+170bps) is evident with 60c differential in execution, with the defensiveness of the structure and portfolio between an Elmwood 3.0 cover 100.27 (MVOC 131, ADR 0.2, Sub80 0.35, IDT cushion 4.1) and a Marble Point 2.0 cover 99.635 (MVOC 127, ADR 0.8, Sub80 3.29, IDT cushion 0.1).  Single-A new issues are in 175-190bps context, with 2.0 bonds with coupons 200bps+ cover close to par for long and short WALs, which clearly have different profiles (in reinvestment period versus delevering 2-3y past EoRP).  One BBB trade, Highland Capital’s ACIC 2015-6A D (coupon +377bps) which is post reinvestment with sound metrics for a bond that has been through the pandemic cycle without the ability to trade (IDT cushion 2.75, MVOC 123 and WA Collateral px 97), the cover is 100.05 at 375dm / 2.9y which offers attractive value versus new issues in vh 200s context for longer WALs.

EUR AAA CLO

Only 1 AAA trade today. Armada 2 traded at 100.01 / 125dm.

USD CLO AAA

More than 40 executed trades today so heaviest liquidity since last week, with US LLI retracing 7bps since Friday close with a more positive feel today.  AAA trade at their ceiling with Halsey Point’s 3.0 HLSY 2020-2A A1 best bid 100.61 167dm / 3.3y WAL (high coupon +186bps / strong metrics and cushions). 

USD CLO Mezz/Equity

At the AA level bonds with a coupon of +160bps-170bps are on the cusp of execution around par given new issue has ground in to mid 100s this week (Elmwood II reset talked +140-150bps).  With new issue single-As talked now in the high 100s execution in secondary is weaker for those bonds with coupons < 200bps, NEUB 2018-27A C for instance (+170bps coupon / strong metrics MVOC 121, Jnr OC cusion 3.2) covers 99.68 converted to 176dm / 5.4y WAL.  ARES 2019-52A C (+268bps coupon) which is also a 2.0 covers 100.13 at 266dm / 6.5y WAL with similar metrics.  With new issue now talked in +300bps context this has only limited impact upon execution with credit factors more pivotal, especially IDT cushions and MVOC, Crestline’s DEN14 2016-1A DR covers weakest at 94.8 (split BBB/Ba1) 421dm / 7.1y WAL (coupon +335bps) with MVOC at the low end 110, WARF elevated 3359, CCC high 8.9 and IDT cushion negative -0.25.  On the other hand BCC 2019-1X D (Bain Cap) covers 100.14 (high coupon +385bps) with better performance MVOC 112.2, CCC 7.5, IDT cushion 2%.  One BB today, a 3.0 from AGL AGL 2020-6X E covers above par 101a 729dm / 6.6y WAL (high coupon +748bps / strong MVOC 111 / IDT cushion 4% and 0 ADR and 0 Sub80) with new issues talked in early 600s this bond offers value even at a small premium to par.

EUR AAA CLO

There are 3 x AAA trades today. ALME 2 is in amortisation and traded at 124dm. Avoca 21 has a lower margin of 89bps and traded at 122dm. Rockford Tower 2018-1 has a margin of 103bps and traded at 145dm.

USD CLO AAA

35 Covers across the cap stack today.  AAA trade around their ceiling level of par with the exception of OZLM 2015-11A A1R (Sculptor) that covers 99.92 (+125bps coupon) 128dm / 3.3y WAL – ADR is high 1.7 and Jnr OC cushion is cuspy 0.8 whilst the manager record is weak to peers. 

USD CLO Mezz/Equity 

AA bonds behave the same as AAA with two exceptions that cover at a small discount, both of these bonds are from weaker managers, whilst MVOC are at the low end (126-127 vs 127-129 benchmark).  Single-A bonds trade at the ceiling with a higher coupon 3.0 OAKC 2020-6A C better bid 100.48 (+275bps coupon) with NC next month.  BBB trade at a discount with dm range 282dm-462dm, Blackrock bonds continue to trade tight (99.58) given the conservative pools/structures MAGNE 2015-15A DR covers 99.58 282dm / 6.7y WAL (bond coupon +275bps / NC passed).  At the other end of the scale Carlyle’s CGMS 2014-1A DR covers 94.38 (similar coupon +260bps / NC passed) but MVOC is 2.7pts below the Blackrock bond, ADR is > 1pt higher, Sub80 is 1.5pts higher and IDT cushion is cuspy 0.7 whilst the manager record is weaker.  Clean BB bonds like Napier’s REG12 2019-1X E (109 MVOC, 0.3 ADR, 0.5 Sub80, 4 IDT cushion) trade at their ceiling 100.34 cover in this case with the coupon +685bps with BB new issue slightly inside this.  MORGN 2018-2X E is ‘out of the money’ from a reset point of view and from an inexperienced manager – covers at 92.52 698dm / 6.8y WAL.  There is significant of tiering of bonds at the level (almost 8pts in today’s execution) in the capital structure for small shifts in dynamic/credit.

USD CLO AAA

26 covers today, predominantly mezz.  AAA trades today 108dm-111dm for bonds with coupons +108bps-113bps which is aligned with new issue AAA pricing, bonds trade at around par.

USD CLO Mezz/Equity

2.0 AA trade in similar context to AAA (at a small premium to par) 148dm-169dm.  BBB trade in a narrower dispersion 345dm-439dm with trades carrying bond coupons +260bps-348bps, with all bonds trading at a discount to par with little basis in MVOC amongst the line up.  With new issue in vh200s context bonds with coupons > +300bps are better bid, along with a very short FLAGS 2014-8A DR with EoRP 2019, delevering and as such high MVOC 115.5 better bid despite CCC 21, Jnr OC cushion -4.2% and tranche beneath PIKing.  At the wide end is BLACK 2016-1A CR that covers 92.80 (coupon +300bps) 430dm / 6.3y WAL – ADR is high 1.7, CCC is high 10.3 and Jnr OC cushion is cuspy 1.1 whilst the manager has a weaker profile to peers.  BB bonds trade in a characteristically wide dispersion 625dm-934dm with new issue in the mid-600s context the array of bonds that carry coupons close to this or lower trade at a significant discount to par.  MORGN 2019-4A E is well bid in h90s context 742dm / 5.8y WAL (coupon +700bps) with strong metrics all round, bond is callable in July but is already migrating towards par given the market environment.  2 x single-B trades today with covers in the 80s cash price and 1000dm context (coupons in high 700s context) whilst new issue is spotty for single-Bs and issued at discounts there is not much visibility into the pathway for resetting for second loss single-B bonds, so the focus on these bonds is clearly on the credit quality, MVOC and proximity to interest diversion (see PriceABS trade listing for full details).

USD CLO AAA

21 covers to open the week, all IG and US LLI closing almost flat to Friday close the market seems to be stabilising after the small blip after month end.  Higher coupon AAA continue to be better bid regardless of NC given the low spread environment.  New issue AAA are in the vl100s context, 2.0 CLOs with lower bond coupons cover above par - APID 2013-15A A1RR (+101bps coupon) covers 100.04 at 100dm / 3.6y WAL.  Furthermore 3.0 AAA with coupons > 185bps cover 100.37 – 100.44 in a 175dm-191dm range, with exemplary performance.

USD CLO Mezz/Equity

Lower coupon AAs trade at a slight discount (+130bps-150bps) with new issue spreads hovering around this range making these bonds cuspy for a refi/reset.  On the other hand OCT20 2019-4A B (Octagon) which has passed NC in Feb with a +190bps coupon covers 100.23 186dm / 6.3y WAL given this is ‘in the money’ for a potential reset.  With new issue spreads for single-A in the vh100s-200bps area single-As with coupons < 215bps cover below par, whilst DRSLF 2013-28A A3LR (passed NC) with +215bps offers attractive value with CVR 100.03 despite average performance, which would otherwise have traded at a higher premium given the potential for reset.  BBB new issue is now in vh200s context and as such execution on bonds today that carry coupons +265bps / +305bps is weaker given these bonds are a little out of the money for a reset after factoring in transaction costs etc.  ARES 2017-45A D is cuspy (+305bps coupon) with a weaker MVOC 111.4 and IDT cushion only 1.7 this covers 99.93 / 306dm.

EUR AAA CLO

Just 2 x AAA trades today, both Barings deals. They have both traded around 140dm which is a few bps tighter than seen recently.

USD CLO Mezz/Equity

Just a few covers to wrap up the week where US LLI stabilised last 2 days of the week after a WOW fall of 16bps.  1.9m of AGL 2020-6A B1 which is a 3.0 AA tranche covers 100.44 (high coupon +240bps) 564dm / 5.5y WAL – this is an archetype 3.0 with strong MVOC 136.5, 0 ADR, 0 Sub80 and strong cushions with WA Collateral price 100.12 (NC is next month).  At the single-A level there is a 3.0 and a 2.0 trade, the 3.0 is BCC 2020-2A C (Bain Cap) covers 100.60 with clean metrics all round and carries a high coupon of +305bps, NC is April and with new issue in late 100s this is a well bid bond.  The 2.0 is Sculptor’s OZLM 2018-22A B which has a coupon of +180bps and covers 99h, this is cuspy with new issue levels and the performance is a little weak (ADR 1.6, CCC 7.9%, IDT cushion 0.6) so is bid back to par.

USD CLO AAA

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

USD CLO Mezz/Equity

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

EUR AAA CLO

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

USD CLO AAA

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

USD CLO Mezz/Equity

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

EUR AAA CLO

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

USD CLO Mezz/Equity

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

EUR AAA CLO

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