USD CLO Mezz/Equity

With month end now out of the way the first trickle of bonds this month are all low mezz, predominantly BB.  There is one BBB trade today SHACK 2013-3A DR that covers 95h at 390dm / 5.7y WAL, this level is softer than recent comps and part of this is due to a lower MVOC 109.4 (vs 110-113 for recent comps) but also due to some market weakness that has crept into mezz (S&P US LLI ticks down 3bps today off Friday close, Friday close was also down 34bps on the week).  BB (all original BB) cover 587dm-742dm with cover prices in 94-99 range.  Bonds from Wellfleet and Anchorage trading at the steepest discount with performance from both moderately worse than their peers (especially for Jnr OC cushion which is key at this end of the capital structure), the Anchorage bond ANCHC 2014-3RA E has a low MVOC 105.9 and a cuspy IDT cushion 0.8.  However a shorter dated Columbia bond CECLO 2015-24A DR covers 99h with a 587dm / 4.5y WAL with a worse manager record than Wellfleet/Anchorage, however an optional redemption event has been triggered for 4th Feb effective date by the equity so this bond has naturally migrated towards par.  Single-B (original BB) trade 557dm-886dm so not too dissimilar to BB trading today, with the obvious exception of TRAL 2017-4A E (EoRP 2022) with a mh80s cover at 886dm / 5.8y WAL – the MVOC is very low 103.8, cuspy IDT cushion 0.4, low WA collateral px 94.45 and a weak manager record.  Furthermore there is a distressed trade at the wide end from Cutwater CTWTR 2014-1A D covers 60h at 2170dm / 3.5y WAL, this deal is delevering (AAAs still not fully redeemed) given it’s well past reinvestment (2018) but also the bond is PIKing but has just paid interest in January following 3 months of deferral – the MVOC has a shortfall 95.9, ADR is high 3.04, Sub80 is high 17%, WARF high 4263, Jnr OC cushion is -7.7, a high 2nds balance of 3.6% and a weak manager record.

USD CLO Mezz/Equity

This week is rounded off with > 30 mezz trades (BBB and below) with a softer tone in the underlying as the S&P US LLI is down 34bps on the week.  28 x BBB trades make up the large majority and trade predominantly close to or near par 263dm-408dm.  The bonds trading at a discount do suffer from lower MVOC/MVAP.  Sculptor’s OZLM 2014-7RA CR has the lowest MVOC of the trades today (109.7) and CVR is 96 374dm / 5.3y WAL, this bond also has breached IDT and Jnr OC tests (immediately subordinate tranche PIKing) with other similar profile bonds trading 98.50/99 cash price.  Seix’s MVW 2014-1A DR CVR is 98.91 at 401dm / 3.3y WAL for a bond that is from a deal that is delivering and increasing in CE, however with the IDT and Jnr OC tests crushed the bonds subordinate to this are PIKing, the short WAL and higher coupon +365bps supporting the cash price on this bond with fundamentals also suffering from the inability to manage credit migration during this pandemic nor able to take advantage of distressed prices middle of last year to improve the NAV.  Only one BB bond trades today, Marble Point’s MP11 2017-2A D covers m93h at 394dm / 6.5y WAL which is around 20dm wide to recent comps, this is an original BBB rated bond with a lower MVOC vs peers, with poor fundamentals (ADR 1.5, high 2nds balance 2.8%, IDT cushion close to breaching 0.01% and cuspy Jnr OC cushion 1.01% with Marble Point’s performance only slightly weaker to peers.  3 x single-B trades, at the tight end is LCM 20A ER which is an original BB and has a CVR 94.34 at 668dm / 5.3y WAL, this bond has a cuspy Jnr OC cushion of 0.3 but the equity tranche immediately subordinate to this is paying healthy distributions at around 13% yield to par, the bond has MV coverage 104.8 but has a strong performing pool (WARF 2733, Sub80 1.9, WA collateral px 98, 2nds 0.16).  Original Single-B today trade 818dm-859dm for 2021/2023 RP profiles which is at the tight end of a 830dm-960dm recent distribution, both bonds are from benchmark managers (CSAM and Blackrock).  At the wide end is CSAM’s MDPK 2018-28A F CVR 93.77 859dm / 8.2y WAL – this bond trades at a higher discount given the weaker critical fundamentals - higher 2nds balance 3.6%, Sub80 3.3%, 14.5% CCC and a lower WA collateral px 97.9 whilst the bond has good cushion and unlikely to defer interest in the short-medium term whilst carrying a high coupon +760bps.

USD CLO AAA

44 covers today across the capital stack, whilst noting that S&P US LLI is down 22bps this week.  AAA continue to hover around par especially with today’s well bid higher coupon (> +120bps) 2.0 bonds that are post NC and trade 119dm-125dm.  Furthermore we have not seen many 3.0 AAAs trade recently but there are two trades today that trade with a premium to par and both carry coupon >+150bps and still in NC along with the stereotypical defensive features like low CCC, low Sub80, high cushions and high MVOC. 

USD CLO Mezz/Equity

One AA bond today, a 3.0 bond Apollo’s RRAM 2020-10A A2B that has a high coupon +300bps and covers at a significant premium 100.67 and 287dm / 5.8y WAL.  BBB trade 316dm-406dm with recent comps trading 300dm-370dm so largely unaffected by the recent softness in the US LLI.  There is also a rare recent 3.0 bond from MJX VENTR 2020-40A D1 that covers at 453dm / 6.7y WAL with defensive deal characteristics and excellent performance (WA collateral px 100.03, MVOC 116, CCC 0.4, Sub80 0).  BB (all original BB) trade 596dm-853dm with recent comps 630dm-750dm, at the wide end (but DNT) is VENTR 2017-30X E 785dm / 6.6y WAL from a manager MJX that typically trades wider (MVOC is on the low end 104.8, Sub80 elevated 3.7, higher 2nds 1.4).  Well through the wide end is a Seix bond that DNT and covers 853dm / 5.5y WAL with a high ADR 1.6, low MVOC 104.1 from a weaker manager.  Single-B (original B) trade 786dm-990dm (EoRP 2023/2025) sharing equity type returns and in line with recent context 830dm-910dm from similar profiles.  With MVOC driving DMs an example of this is an Elmwood bond ELMW1 2019-1A FR that covers at par, with a high coupon +898bps, a 2019 vintage that has recently been reset – Q4 2020 and benefits from the protections of a 3.0 structure/portfolio whilst locking in a high coupon with a long reinvestment end (2025) along with a remaining 2.5y NC period.

EUR AAA CLO

Just three trades in Euro land today. The only AAA, CVC Cordatus 3, traded at 100.00 / 131dm, in line with previous levels. Bloomberg reported that Henley Park 4 priced today with a 1.5/4yr structure – the AAA pricing at 90bps over floored Libor, in line with recently established new issue levels.

USD CLO AAA

A considerably busier day with 46 trades, with almost half AAA.  These AAA trade around par 98dm-128dm pretty much in line with the coupons on bonds.  The bonds that trade at a very slim discount to par has marginally weaker credit metrics as expected (with MV metrics similar to bonds that trade slightly above par), these metrics include ASR, Sub80 and 2nd lien buckets which are softer along with WAS/WARF which are a touch higher also. 

USD CLO Mezz/Equity

AA and Single-A bonds again trade in similar fashion to AAA, near par and in line with their margins 146dm-155dm and 191dm-217dm respectively, with no outliers.  BBB don’t trade too dissimilar 297dm-359dm with higher coupon bonds bid at a higher cash price and a cuspy IDT cushion (0.19) pushing BABSN 2015-2A DR to a higher discount to par than other BBB trades (99.02) given the proximity to PIKing.  BB (original BBB) trade 382dm-453dm whilst these have stronger MV metrics (106-108) closer aligned with BBB.  Original BB bonds trade in a wide dispersion 499dm-699dm given the different profiles and margins, with two outliers at the wide end.  Firstly MDPK 2013-11A ER covers at 96.00 with 722dm / 5.4y WAL with weaker metrics (MVOC 105.5, high Sub80 4.4, high CCC 12.9 and a cuspy IDTC 0.7), secondly at the wide end is BLUEM 2016-3A ER which covers at the highest discount 90.00 at 747dm / 7.9y WAL – low MVOC 104.3, high ADR 1.6. cuspy Jnr OC cushion 0.7 and Assured IM’s manager record is slightly weaker to its peers.  Just the one single-B trade today SNDPT 2016-2A ER which is an original BB and covers 96.33 at 770dm / 5.2y WAL which trades only slightly back (+23dm) to the wide end of BBs (BLUEM above), the metrics are mixed vs BLUEM with MVOC clearly the moving the needle most in terms of CVR (MVOC is 40bps lower 103.9, ADR is 90bps better 0.8 and Jnr OC cushion 50bps better 1.3).  See PriceABS trade listing for full details.

USD CLO AAA
35 trades across the capital stack today.  AAA trade above par in a variety of profiles 92dm-138dm, at the tight end are 2 x BlueMountain bonds that are post mid-late 2020 reinvestment period end with margin 93bps/105bps and delivering with short WALs (<2y) with limited path to refi/reset.  Furthermore bonds with higher coupon, in today’s case in excess of +129bps trade at a higher premium given the proximity to refi/reset as they get closer to NC later this year with the outlook for spread tightening encouraging.

USD CLO Mezz/Equity

AA trade at a premium to par as well and in similar fashion to AAA as we have seen recently.  Profiles are similar (2022/2023 EoRP / bond margin +165bps-180bps) and trade flat to recent context.  Single-A trade 190dm-218dm, with a Sculptor bond OZLM 2015-12A BR at the wide end 218dm / 4.1y WAL – this has a weaker MVOC 119.4 and weaker credit (Sub80 3.9, IDT cushion -1.6, WA collateral px 96.4) hence covers below par 99.51.  There is an original BBB and now A3 rated Allianz Global bond WSTC 2014-2X CR that covers wider in dm terms and more like a strong BBB at 262dm / 3y WAL (CVR 100.08 / high coupon +265bps) with good MV metrics but weak credit (eg. high CCC 17.2, IDTC 0.3, high WAS 4.48).  BBB trade for the large part at or close to par 272dm-457dm with a couple of outliers, firstly at the wide end is MJX’s VENTR 2017-26A D CVR 98.5 with a high coupon +425bps and resultant dm of 457dm / 5.3y WAL – this bond trades below par due to a weaker MVOC 108.9, weaker credit (ADR 1.9, Sub80 4.7, IDTC -0.52) and from a weaker manager profile.  The second outlier at this rating level is another MJX bond VENTR 2018-32A D that has a lower coupon +300bps but similar performance to the MJX 2017 above albeit not as severe (IDT cushion is positive and MVOC 70bps better) with CVR 95.77 with resultant 369dm / 7.1y WAL.  The higher coupon the 2017 bond compensating for the higher CVR than the 2018 bond.  BB trade 659dm-756dm (2023/2025 EoRP) which is also flat to recent context for similar profile bonds (ie. similar EoRP / margin), bonds have MVOC > 104 and healthy IDT cushions with the exception ATCLO 2018-11A E which trades at the wide end 756dm / 6.8y WAL at CVR px 90.00 – this has a lower MVOC 104.04 with IDT cushion cuspy 0.3 hence close to PIKing, there is so Class F single-B tranche subordinate to this to absorb potential interest deferrals.  Single-B trade 793dm-831dm for original single-B with original BB trading tighter 638dm-669dm albeit with lower coupons (+575bps-635bps) in line with BB bonds mentioned above today, in some cases tighter given MVOC and coupon.  A GoldenTree bond GLM 2019-5A F has a low CVR 91h with 793dm / 8.3y WAL (MVOC 104.7,  ADR 0.35, IDTC 3.17, +657bps coupon) with a recent comp GLM 2019-4A F CVR higher 92.5 and is 30dm tighter 762dm / 7.7y WAL (MVOC 105.01, 1.06, IDTC 2.0, +640bps coupon) with the key differential here is the MVOC which is 30bps tighter and also the coupon which is 30bps delta from the same manager and vintage 1 year apart.

EUR AAA CLO

We’ve got 11 x AAA trades today. Five of them are paying down (the ones with the shortest WALs in the PriceABS archive). Of these five, all except for Black Diamond 2015-1 have traded at small premiums since the possibility of a call has gone away. The range of DMs for these are from 86dm to 125dm. Naturally their traded spreads are tight (versus regular AAAs) although the widest trade is the Black Diamond 2015-1 which traded at 99.96 / 125dm.  Barings 2015-1 is a fixed rate bond, also in pay down, and traded at 100.01. The remaining 6 bonds have traded in the range 122dm to 158dm. At the tight end is ALME 2 which is a 2014 deal with a low margin of 75bps and traded at 100.17 / 122dm. At the wide end is Fair Oaks 3 which is a 2020 deal with a high margin of 125bps and traded at 100.73 / 158dm.

USD CLO AAA

Just under 30 trades to open the week.  AAA trade in similar tone 90dm-129dm with cover px at or around par, with some higher coupon bonds (+134bps) cover > par 100.27-100.39 (126dm-129dm) with these bonds still within NC period.  There is one outlier trade which is from a weaker manager Ellington ECLO 2018-3A A1 186dm / 2.5y WAL, this bond carries a high coupon +165bps but is plagued with credit issues – high ADR 14.8, Sub80 assets 23.3, WARF 5735, CCC 43.5 and Int div cushions well out of joint.

USD CLO Mezz/Equity

AA also trade similarly and uniformly with margin on the bonds 152dm-210dm at / around par.  Single-A trade 191dm-197dm which is at the tighter end of recent 190dm-220dm context for similar profile bonds, cover prices migrating towards par, at the tight end is a Neuberger bond 191dm / 5.6y WAL with clean metrics – MVOC 120.3, ADR 0.86, WARF 3003, strong cushions and WA collateral px 99.4.  BBB also migrating towards par and trade 245dm-413dm, with a notoriously clean Blackrock bond (MVOC 112.3) at the tight end with a short WAL and +215bps coupon 245dm / 4y WAL.  At the wide end is a slightly longer Carlyle bond with a higher coupon 413dm / 5.5y WAL with lower MV metrics MVOC 108.5, higher coupon +365bps and cuspy IDT cushion with cover price at a larger discount 97.64.  BB trade 528dm-711dm, bonds are relatively clean fundamentally and hence trade uniformly in line with their running coupons, Onex’s OCP 2017-13X D  covers at 100.01 663dm / 6.1y WAL, this bond has strong cushions IDTC 2.72 / Jnr OC cushion 3.72, low ADR 0.6, low Sub80 0.34 and high WA collateral px 99.4.  Single-B (original B) trade 762dm-961dm with the higher coupon (+867bps) ARES 2018-50X F cover 961dm / 7.2y WAL with CVR 94.59 and MVOC healthy 104.1, low Sub80 0.29 and high WA collateral px 99.3 with bond not close to PIKing (IDTC 1.33) , this bond is recently post NC with AAA coupon +117 so cuspy for a reset / refi.

USD CLO AAA

A relatively slower end to a busy week with 23 covers.   AAA all trade above par today and in a narrow dispersion 118dm-128dm, given the path to call at par and refi/reset for a number of these bonds that have margin > +120bps.  Significant further tightening is unlikely given these bonds are all post NC as well.  We observed only a modest increase in S&P US LLI week on week, with a little flattening of this curve over the last 2 days.

USD CLO Mezz/Equity

Single-A trade 218dm-265dm with higher coupon bonds (>250bps) trading closer to par.  At the tight end bonds from LCM and First Eagle trade around 220dm (2023 EoRP / +195bps coupon) with the nearest comp VENTR 2018-31A C1 256dm with a similar profile earlier this week, key difference here are the NAVs which are better in the LCM/First Eagle bonds (MVAP 14.5-14.9 vs 13.3 VENTR) and the inherit weakness in MJX’s profile versus its peers.  BBB trade in a narrow dispersion 299dm-330dm (EoRP all 2023) which is flat to recent context.  At the tight end is CIFC 2018-2A C 299dm / 56.6y WAL, driven by the strong MVOC 111.8, low ADR 0.4, healthy IDT/Jnr OC cushions and the strength of the manager CIFC.  BB trade in a wide dispersion 490dm-629dm mainly due to the WALs (reinvestment period end profiles) today given the tight dispersion of MVOC and the running coupon on the bonds, eg. at the wide end a Greywolf bond trades 97.91 CVR at 629dm / 7.35y WAL (wide coupon +593bps with the lowest MVOC today 108.6) which is an inverse relationship to high coupon senior bonds or high mezz bonds and their relationship to cash price/dm.  Single-B (original B) trade 747dm-928dm with Blackrock bonds continuing to prop up the tight end given performance 747dm / 5.4y WAL (strong IDT cushion 2.7, high WA collateral px 99.3 and strong MVOC 104.4) but also a lower coupon +650bps and a higher cover 95.38, similar behaviour to BB bonds.  At the wide end, for instance, is  an Eaton Vance single-B 928dm / 7.9y WAL (+797bps high coupon) with a lower cover 92.57 but also a lower MVOC 103.6 and cuspier IDT/Jnr OC cushions from a more inexperienced manager.

EUR AAA CLO

There are 8 x AAA trades. Four of them are paying down ie Black Diamond 2015-1, Adagio 4 (which is fixed rate), and both Cork Street trades. Adagio 4 being fixed rate traded at a yield which is the equivalent of 165dm (wide for a 1.4yr bond in pay down). The other three traded around 120dm and very close to par. Then of the remaining four bonds Fair Oaks 2 and Hayfin 4 were issued in 2020 and so have high margins (190bps and 145bps). These traded around 100.80 price at 204dm and 165dm respectively. Bilbao 2 has 114bps margin and traded at 100.39 / 152dm and Purple 1 has 80bps margin and traded at 100.08 / 130dm.

USD CLO AAA

60 covers today, predominantly IG but trades across the liability stack.  AAA, which for the most part are in reinvestment period today, trade as such 100dm-127dm with covers at or near par, the bonds that trade at a slight discount don’t have particularly obvious weaker metrics with only WARFs and manager profiles slightly weaker.  But otherwise the AAA trades today are aligned with the firmer tone seen recently.

USD CLO Mezz/Equity

AA, as yesterday, trade in similar fashion to AAA with a trading range 147dm-179dm (cash px’s near par) with bonds all in reinvestment period, the IDT/Jnr OC cushions typically more cuspier on the bonds that trade at a slight discount.  Single-A trade in similar fashion with bonds trading around par 191dm-265dm, at the tight end is CSAM’s MDPK 2018-30A C that covers at a larger discount 98.96 191dm / 5.1y WAL, the key driver here of this is the lower margin +170bps (versus +250bps on CANYC 2015-1A CR with same RP profile).  BBB trade in a narrow dispersion 295dm-350dm with bonds also migrating to par and dm’s stack up with recent context.  There is an outlier bond which DNT but a dm has been calculated for comparison - BMMC 2018-1A C from Bain covers 446dm / 5.6y WAL (high coupon +400bps / EoRP 2022) and this bond carries a very high ADR 2.94 and low WA collateral px 95.8 so from a credit point of view is fundamentally weaker.  BB trade 536dm-684dm, with nothing really controversial here the only thing to mention is the bond that trades at the wide end, PGIM’s DRSLF 2013-30A ER covers at a lower cash price 94.91 684dm / 5.7y WAL, fundamentally the performance isn’t particularly weak but the NAV on this is low and this is reflected in a lower MVOC 104.4 (vs 106-109 benchmark) and lower MVAP is 4.2 (vs 6-8 benchmark).  There are 2 x single-B trades (original single-B) cover 689dm-878dm, both are post reinvestment with healthy IDT/Jnr OC cushions.  The two bonds are interesting as they are both similar profile with similar bond margin (+640/670bps) tighter end is OCP 2015-9A E 689dm / cash px 98.18 from Onex which is an experienced manager with 14 CLOs under management, this bond has a stronger MVOC 107.1 with a better MVAP 6.6 and low Sub80 balance.  Whilst at the wide end is Gallatin Loan Management’s GALL 2017-1A F that trades wider 878dm / 92 cash px, the manager is inexperienced with 2 CLOs under management and this is reflected in a lower MVOC 104.2 and slightly higher Sub80 balance of 1.8, with the NAV delta so high between the two bonds this moves the needle more on this bond with MVAP 2.5pts lower at 4% for this second loss tranche.

EUR AAA CLO

There are 8 x AAA trades. Carlyle 2015-2 traded at 100.13 / 120dm which is a tight level for a AAA  because this deal is in pay down. All the other AAAs apart from BBAM 1 have margins in the 80s bps and have traded with spreads in 130s DM. BBAM 1 priced in 2020 and pays a margin of 160bps and therefore traded at 100.75 / 191dm.

USD CLO AAA

Significant liquidity today with 80 trades across the liability spectrum, S&P US LLI has ticked up 11bps since Friday close.  AAA trade around par with dm’s at the short end 76dm-106dm for bonds with coupons < 100bps, delevering and out of reinvestment period.  Whilst bonds typically in reinvestment and with margins >100bps trading 108dm-133dm near to par with pathway for potential refi/reset upon end of NC.  At the ‘wide’ end there is a 3.0 CLO OCP 2020-18A A that covers above par at 172dm / 3.1y WAL.

USD CLO Mezz/Equity

AA trade in similar fashion to AAA around par 156dm-165dm, both bonds have EoRP end of next year with strong MVOC (128-130) and WA collateral px 99 area.  The theme on single-A is bonds trading at a slight discount to par (98.3-99.70) and 191dm-245dm.  Digging into this a little OZLM 2017-19A B (EoRP 2022) covers 222dm / 5.8y WAL at cover px 98.57 (Margin +195bps) in 3.4m size with 118.5 MVOC, whilst BLUEM 2013-2A CR (similar EoRP) covers on 12 Jan at 213dm / 5.6y WAL at cover px 99.05 (same Margin +195bps) in 4m size with 116 MVOC, with fundamentals comparable between the deals the fact that BlueMountain is the stronger manager has a larger influence.  BBB trade 312dm-384dm, at the tight end 312dm-320dm are two PSTAT bonds which are static CLOs from Palmer Square which typically trade tighter, for the remaining BBBs tiering by MVOC as seen recently is a larger influence.  A significant number of BB trades today (33 in total), original BB bonds trade 550dm-862dm which includes a selection of 3.0s with the majority of bonds trading at par, of which the coupons are all > 600bps.  There are outliers that trade at the wide end 793dm-862dm, these bonds are constrained by lower MVOCs (as seen recently), credit issues (ADRs >1%), cuspy IDT/Jnr OC cushions or weaker manager profiles (MJX, Apex) – please see PriceABS trade listing for full details.  Single-B trades today are all original BB bonds and trade in relatively similar context to BB 625dm-772dm with MVOCs similar / slightly back to BB.  There is one outlier trade VENTR 2013-15X ER2 (MJX) through the wide end 986dm / 7.9y WAL – MVAP is very low 1.1%, MVOC is cuspy 101, ADR is elevated 2.3, IDT cushion is compromised -0.75 whilst Jnr OC cushion is on the cusp whilst the manager has a weaker profile versus peers.

EUR AAA CLO

There are 5 x AAA trades. The spread range is from 121dm to 134dm (mean 129dm). The price range is 100.11 to 100.33 (mean 100.19). These levels compare with Penta 5 which reset today, as reported by Bloomberg – the AAA priced at 95bps over floored Libor. That is about 10bps tighter than New Issue AAA levels as they were in Dec 2020.

USD CLO AAA

No trading yesterday given MLK day and today has opened the week sharply with 46 trades.  AAA (all 1st pay) trade 117dm-129dm in familiar tone to end of last week with clean metrics on these trades, the bonds are trading generally at or around par in line with NAVs continuing to tick up.

USD CLO Mezz/Equity

One AA bond CEDF 2016-5A BR covers above par 100.17 at 172dm / 5.6y WAL, once again in similar context to recent trading.  Single-As trade 218dm-318dm with bonds continuing to grind towards par, with lower coupon bonds trading at a bigger discount, eg. VENTR 2018-31A C1 (MJX) covers 96.75 at 256dm / 5.8y WAL (coupon +195bps) trading in the middle of the Single-A range today and has a profile with a low WARF 2926, high WAS 408 but from a weaker manager which seems to be the drag.  BBB trade 279dm-369dm, with higher coupon bonds (360-370bps) trading at a slight premium to par but remain at the wide end in dm terms (359-369dm).  At the ‘tight’ end is GLD11 2015-11A DR2 279dm / 6.3y WAL (cover px 97.76 / coupon +240bps) trading similar to its nearest comp YCLO 2015-1A DR that covers last week 306dm / 6.1y WAL / coupon +260bps with a cash px 97.5.  BB trade 588dm-864dm, the range of coupon here is narrower 550bps-600bps but the range of reinvestment period ends is wider with WALs from 4y-7y, MVOC and ADR have a larger part to play here in terms of tiering.  For instance at the wide end is MVW 2015-9A DR (Seix) cover 86.5 at 864dm / 6.7y WAL (EoRP 2023) with the lowest MVOC 102.6 of the bonds today – the bond has a very high ADR 1.9 and cuspy IDT / Jnr OC cushions.  Single-Bs trade in a very wide dispersion 640dm-1018dm, with original BB bonds dominating the tighter end of this 640dm-830dm (original B rated trade 785dm-1018dm).  There is one interesting trade within this mix that breaks this mould - MAGNE 2015-16A F (Blackrock) covers 785dm / 4.8y WAL which is inside some original BB single-B bonds, Blackrock has an exceptional manager record and their deals are more conservative with ADR low at 0.48, WARF low 3052, CCC low 4.9 and IDT/Jnr OC cushions very healthy.  At the wide end is SHACK 2015-8A F that is an original single-B covers 1018dm / 4.5y WAL (EoRP 2019) but has a low MVOC 101.9 and very cuspy IDT / Jnr OC cushions (0.2 / 1.2) with MVAP only 1.8%.

EUR AAA CLO

There are 5 x AAA trades. The traded DM to mat range is 117dm to 139dm. The tight end of the range is Harvest 14 which traded at 100.04 / 117dm and has a 63bps margin. The wide end of the range is Toro 4 which traded at 100.20 / 139dm and has a 92bps margin.

USD CLO AAA

16 trades today to round off the week heading into the holiday weekend with the firm tone continuing in trading activity, whilst S&P US LLI is up 37bps week on week.  AAAs continue to remain firm and drift above par with the market ripe for refi’s and resets, trading range today is 87dm at the short end (1.2y WAL) to 121dm at the wide end, with AAA bonds with cuspy cushions sheltered with the protection of deleverage in those scenarios whilst being able to take profits since the turn of the year as prices have rallied.   

USD CLO Mezz/Equity

One AA bond today APID 2016-25A A2R (CVC) covers above par (100.13) at a 168dm / 5.8y WAL which is flat to recent context and remains around 60dm wide to similar profile AAAs, this is the same basis we have seen back more than a month now.  Two double-B bonds today, one is original BBB and the other is original BB.  The original BBB is CGMS 2013-4A DRR (+265bps coupon) covers 374dm / 6.8y WAL (cash px 93.55).  A comparable Carlyle bond traded earlier this week CGMS 2017-2A C 420dm / 7.1y WAL carrying a higher +370bps coupon with similar fundamentals, with the higher running coupon having more of a bearing on the higher cover px 97.01 translating into a higher dm albeit a similar WAL.  The original BB is PGIM’s DRSLF 2013-26A ER 617dm / 5.3y WAL which is tighter to similar bonds seen 250dm+, this bond is from a benchmark manager, MVOC is strong 104.6, WARF is low 2884, IDT cushion is 1.4 and WA Collateral px is strong 98.5, WAS is 3.4 which is some guide as to credit risk along with WARF and MVAP is also healthy for a BB bond at 4.4%.

EUR AAA CLO

There are 2 x AAA trades. Both traded at a premium. The DMs to Mat are 136dm for Dryden 27 and 147dm for Accunia 2. Accunia 2 has a much worse performance than its peers. Its MVOC is 158% (172% for Dryden 27) and it has a Jnr OC cushion of -0.23% (3.77% for Dryden 27).

USD CLO AAA

A busier day to yesterday with 42 covers with levels overall remaining firm with some isolated tightening of specific mezz curves.  AAA trade 97dm-128dm (1st pay) with all bonds covering at or near par, clean metrics all round.  This theme is aligned with a market that is buoyant for refi / resets as US LLI Index continues to post gains.

USD CLO Mezz/Equity

One single-A trade TICP 2017-9A C cover 191dm / 5.6y WAL and cover px reflects further profit taking and is close to par at 99.82 with coupon +188bps / MVOC 122.8, the curve has tightened slightly here with a comparable York CLO bond (+185bps coupon) cover 217dm / 5.6y WAL towards the start of this month since when NAVs have improved, reflected in MVOC.  BBB continue to trade firm 288dm-408dm, with a clean Blackrock bond MAGNE 2015-15A DR at the tight end 288dm / 6.9y WAL (ADR 0.3, MVOC 111.7, Sub80 1.2).  There are two outlier trades today both from KKR 11 (benchmark manager) that cover 364dm-368dm / 6y WAL at a significant discount (cash px 94 area) – the WARF is high 3428, CCC are high 16.2 and WA collateral px are lower than peers 97.6 area (vs 98+).  BB (orig BBB) trade 402dm-420dm which tracks back to BBB as above, the MVOCs on these bonds are slightly back 107.8-108.7 versus 109+ at BBB with cuspy IDT/Jnr OC cushions.  Orig BB bonds trade 594dm-788dm with the tight end dominated by benchmark managers CSAM and Blackrock 594dm-615dm trading closer to par (MVOC 106-107.6) whilst the most liquid profiles (EoRP 2023) trading flat 708dm-787dm to recent levels so there is no significant shift tighter in the generic curve.  Single-B (orig BB) trade  694dm-900dm vs 660dm-820dm recent context, the outlier is LCM 13A ER 900dm / 5.3y WAL – accounted for by a low MVOC 102.3 and tripped IDT cushion -0.5 and a cuspy Jnr OC cushion 0.1.  Orig single-B bonds trade 939dm-1018dm in line with recent context (see PriceABS trade listing for details).

EUR AAA CLO

There are 6 x AAA trades. All six have traded at a premium price and so, of course, all these traded prices are being limited by their callability. The DM to mat ranges from 129dm to 144dm. Obviously these are on the high side since the prices were held back by refi risk.

USD CLO AAA

A quieter day today with only 13 covers.  With 1 x AAA PLMRS 2018-2A A1A cover 107dm / 4y WAL, this bond has clean metrics all round and trades in line with AAA this week.

USD CLO Mezz/Equity

AA trade 166dm-196dm with bonds continuing to migrate to par, small ticket trades today.  SHACK 2017-10A BR trades at a discount to par 99.55 166dm, the MVOC is weaker 124.1, WARF is higher 3312 and the manager Alcentra’s performance is slightly weaker to peers.  BBB trade 328dm-436dm across a number of different profiles, at the tight end is a bond more than 2y post reinvestment so heavily delivering BOWPK 2014-1A D1R (GSO) 328dm / 3.4y WAL cover price above par 100.21 with performance metrics relatively clean for a bond that has not had the ability to actively trade the underlying for such a long period.  At the wide end are two Steele Creek bonds that have EoRP in 2022 and trade in 92 and 93 cash price areas, these bonds have lower coupons (late 200s bps), cuspy IDT/Jnr OC cushions, higher ADRs 1.5-2% and weaker manager record versus its peers.  One BB bond today trades, DRSLF 2013-28A B2LR (PGIM) covers at par 645dm / 6.4y WAL, this bond has clean metrics from a benchmark manager and with recent BB bonds trading typically at a discount this is evidence of some tightening effect for original rated BB bonds, but this is just one datapoint and a small 1m clip.  Single-B trades today are both original BB rated bonds and have EoRP 2022 and trade 706dm-766dm, at the tighter end of the range ARES 2016-41A E behaves like the PGIM BB trade with a cover pf 99.5 and 706dm / 6.1y WAL (coupon +700) with relatively clean fundamentals.  At the wide end is OZLMF 2013-4A D1R (Sculptor) cover px 92.75 with a coupon +630bps but a weaker MVOC 103.8 (vs 104.5 on ARES), higher ADR 1.3 and most pertinently breached IDT/Jnr OC tests meaning this bond is also PIKing (last 3Q) and hence also trades wide to ARES.

USD CLO AAA

We observed heavy liquidity today with just under 50 covers with levels overall remaining firm whilst US LLI Leveraged Loan Index continuing to tick up.  AAA continues to trade firm in a 92dm-131dm similar to yesterday keeping up the trend of migration towards par across AAA.  There is an outlier at the tight end BSP 2015-VIIA A1AR (Benefit St) covers 100.05 which is at a tight 73dm but with a very short 1y WAL (EoRP July 2019) and a slim running coupon of +78.  Away from that the remainder of AAA trade in uniform format as we have seen lately as mentioned above.

USD CLO Mezz/Equity

AA trade 149dm-222dm with CIFC 2012-2RA A2 at the tight end 149dm / 2.8y WAL, this bond covers under par 99.33 (coupon +125bps), is 1y post reinvestment and has a lower MVAP 20.33, lower MVOC 125.5 (vs127+ benchmark) and all other metrics clean (eg. WA collateral px has not suffered 97.2).  At the wide end is STCR 2019-1A B 222dm / 6.1y WAL, this trades under par as well 99.91 with a slightly weaker MVOC 127.1 vs 128-130 benchmark and a weaker manager record with other metrics clean.  Single-A trade a shade tighter 204dm-213dm vs 210dm-250dm recent context in similar cohort.  Two very different profile bonds, firstly a short dated CRNPT 2015-3A BR (Pretium) 204dm / 3y WAL covers above par 100.035 (coupon +205) with a strong MVOC propping this up despite some natural fundamental weakness given the bond has not had the luxury to trade out of credit issues and access distressed prices throughout the pandemic.  At the wide end is BLUEM 2013-2A CR (Assured) that covers almost 1pt below par 99.05 at 213dm / 5.6y WAL – the MVOC is weak 115.9, ADR is running high 1.75, CCC are high 14.1, IDT/Jnr OC cushions both tripping whilst WA collateral px weak at 96.9.  BBB trade 329dm-401dm which is flat to recent context with all but two of the ten x BBB bonds trading above par, these bonds are TIA 2017-1A D (TIAA) 99.14 (364dm) and CEDF 2014-4A DR (Aegon) 99.85 (368dm) with the MVOC on both of these bonds (108-109) lagging benchmark (111+).   BB trading is heavily tiered today, for original BBB rated bonds the trading range is 349dm-382dm (slightly tighter to 360dm-410dm recent context) with these bonds trending towards par.  For original BB the range is 755dm-803dm (wider to 610dm-750dm recent context in similar cohort), at the wide end the key outlier is STCR 2017-1A E (Steele Creek) which has an elevated ADR 1.5 and cuspy IDT / Jnr OC cushions from a weaker manager profile.  Single-B trade 737dm-820dm (all ex BB rated) which is flat to recent trading context which has been as tight at 670dm sharing very similar records to BB trading seen above.

USD CLO AAA

21 trades today to kick off the week, predominantly senior and low mezz.  AAA trade 91dm-129dm.  At the tight end is a very short dated Assured IM bond BLUEM 2015-2A A1R cover px 100.025 at 91dm / 1.6y WAL, EoRP was July 2020 with a coupon of +93bps this started to delever by amortisation and interest diversion from Equity for the past 3Q.  GSM 2020-IIA A1A2 covers 100.31 128dm / 2.6y WAL (EoRP October this year) which is a 3.0 CLO callable in a few months time.  This bond has typical 3.0 conservative metrics like a high MVOC 165, low WARF 2630, low CCC 1.5, low Sub80 0.2 and a high WA collateral px of near par 99.5. 

USD CLO Mezz/Equity

The one AA bond today is DRSLF 2014-33A BR3 which has also migrated towards par and resulted in profit taking, this covers 99.955 at a 141dm / 3.8y WAL which is a near 50dm tightening effect since year end for this cohort.  BBB trade 421dm-462dm, mainly driven by the wider running coupons on the bonds, at the wide end is VENTR 2017-26A D that covers 98.395 at 462dm / 4.8y WAL with a coupon +425bps with a negative IDT cushion and cuspy Jnr OC from a weaker manager MJX (ADR running 1.92%).  At the tight end is a related story with GLGU 2018-2A CR (Man Group) cover 421dm / 4.6y WAL – coupon is +348bps but with these bonds trading mid 300s dm recently the impact of the manager is more pronounced.  BB trade in a wide dispersion 555dm-812dm with an outlier at the tight end, SIX10 2015-1A CR 415dm / 5.4y WAL – this is an original BBB and trades broadly in line with recent context for this cohort that has traded ml 300s-400dm with lower coupons.  With generic BB trading recently 700dm area with bonds either side of this today trading more or less in line with this recent context based upon it’s coupon structure.  At the wide end is STCR 2019-2A E (Steele Creek) 812dm / 7.6y WAL which is an outlier with performance issues and attaches right above equity – lower MVOC 105.9, high ADR 1.8 and a weaker manager profile.  Single-B trade 667dm-718dm and are all original BB with these profiles trading 660dm-820dm this month to date todays dm’s are broadly in line.

USD CLO AAA

Predominantly senior bonds trade today – 14 x AAA and 6 x AA.  AAA trade in a wide dispersion today 103dm-140dm, all 1st pay and 2.0 CLO.  At the tight end are 2 bonds with EoRP passed in early 2020 with low coupons KVK 2013-1A AR +90bps and CECLO 2015-24A A1R +107bps and trade 103dm / 113dm both with 1.1y WAL.  These bonds are delivering from amortisation and with cuspy cushions (IDT/Jnr OC) have the protection of interest diversion should these breach.  The metrics of these 2 bonds are not poor given their inability to trade out of credit migration nor into deeply discounted bonds.  At the wide is an outlier NCC 2018-IA A 140dm / 4y WAL cover px 99.05 and has a running coupon +115bps along with weak fundamentals – MVOC low 144, ADR elevated 1.9, Sub80 assets high 7.7% , WA collateral px 94.6 despite a reinvestment period end of 2023 and a weak manager profile versus peers.

USD CLO Mezz/Equity

AA trade 158dm-221dm across 2024/2025 EoRP profile bonds, so seeing a little tightening of the curve for these longer WAL profiles with profit taking since virtually all bonds now trading above par, most recent context pre year end around 200dm.  At the tight end is OHALF 2016-1A B1R (Oak Hill) which reset just before the pandemic set in (Feb 2020) to a low coupon +160bps.  At the wide end is an outlier STCR 2019-1A B (Steele Creek) 221dm / 6.1y WAL – this bond is a 2019 vintage from a weaker manager, trades a shade under par 99.95 and carries a high coupon +220bps versus 2019 benchmark +190bps so carried a premium for credit risk has materialised into weaker performance – MVOC 127 v 129 benchmark, ADR 1.5 and WA collateral px is 97.7 v mid98s benchmark.

EUR AAA CLO

There are 6 x AAA trades. The range for dm|mat is 114dm to 146dm. The tightest trade is Aurium 3 which traded at 100.17 / 114dm to mat. Elm Park, which has started paying down, traded at 100.05 / 115dm to mat. The widest trade is GLG Euro 2 which traded at 99.93 / 146dm. Overall we see the AAA curve being around 15bps tighter than the end of last year.

USD CLO AAA

Today saw the heaviest liquidity of the year so far with 57 covers.  AAA (1st pay) trade 100dm-139dm, with fairly uniform tiering across the 19 trades with virtually all bonds trading above par.  Lower margin / shorter WAL bonds trade at the tight end and the inverse at the wider end.  One ‘outlier’ bond that trades below par 99.81 is Marble Point’s MP11 2017-2A A 123dm / 3.6y WAL (EoRP 2023), this bond has weaker metrics across the board – MVOC is low at 144, ADR is high 1.6, IDT cushion -0.2, low Snr OC cushion 4.9, high 2nd lien concentration 2.6%.

USD CLO Mezz/Equity

AA trade 133dm-210dm with similar context to AAA (as mentioned above), note at the tight end 133dm-134dm are two of the only AA bonds today that are post reinvestment, these bonds (BSP 2015-VIIA A2R and OCT25 2015-1A BR) are almost identical profiles in that they were refi’d/reset in 2017/2018 with low coupon (120bps) and delevering now on their respective senior tranches which is increasing CE and have MVOC characteristics close to AAA (MVOC 147-150).  Single-A trade 211dm-299dm which is flat to trading context over the past few weeks, at the wide end is OCTR 2013-4A DR 299dm / 1.6y WAL (Five Arrows) which is an original BBB tranche high coupon +300bps and has now upgraded since to A+ mainly due to deleverage since reinvestment ended more than 3 years ago, factor on the bond immediately senior is 0.65.  Without the benefit of reinvestment through turbulent markets the ADR has migrated to 3%, WARF to 4228, CCC to 32% and WA Collateral px to 92.7 which are not dreadful.  BBB trade 325dm-465dm, with outlier bonds at both ends of the range (325dm and 465dm).  At the tight end SYMP 2013-12A DR covers 325dm / 2.3y WAL – this bond has a low coupon +325bps and having ended reinvestment in 2017 has performed well with IDT cushion still positive, ADR at 1.26, CCC 10 and WA collateral px 95.9.  At the wide end is CIFC 2019-FAL D which covers 465dm / 8.2y WAL, a high coupon +471bps with MVOC trending lower 110.4 whilst all other metrics in line.  The mid-range of BBB trading today is 370dm-394dm which is flat to recent context.  BB trade 671dm-748dm which is flat to context this side of year end.  However there is an outlier bond at the tight end CSAM’s MDPK 2015-17A DR which is an original BBB and covers 364dm / 6.4y WAL which is tight to recent context in similar profile bonds 400dm-470dm and shares MV metrics similar to BBB bonds despite being 1 notch off IG.  Single-B trade 665dm-1019dm, at the wider end of this range are original single-B (second loss) bonds that trade 876dm-1019dm, MVOC are both firmly > par with respectable ADRs whilst the dm’s are in line with context this side of year end.  For bonds that were original BB these trade 665dm-818dm which again is more or less in line with recent context albeit in a narrow range than 670dm-910dm recent trading context.

USD CLO AAA

25 covers today across the stack.  AAA continue to tighten and trade in a narrow range 101dm-109dm (all 1st pay).  2 x PGIM AAA’s trade within this range (2023 and 2022 RP profiles) DRSLF 2018-64A A 101dm and NBCLO 2016-1A A1R 109dm with highly comparable metrics (aside from ADR on the 2018 vintage 1.6 v 0.5 for the 2016 vintage which has limited effect) with the running coupon on the 2018 vintage lower by 13bps and trades at the tighter dm level of the two.

USD CLO Mezz/Equity

Single-A trade 205dm-217dm across numerous maturity profiles (all bonds in reinvestment period) which represents tightening of the curve with trading context 230dm-280dm going into year end.  There is one outlier Single-A trade today wide of this range BLUEM 2019-24A C (Assured) 267dm / 6.6y WAL, this bond has a 90% cov-lite exposure which is extremely high and carries a much higher coupon +270bps versus other Single-As that trade today with late 100s/200bps spread.  BBB trade 281dm-392dm, at the tight end is a short dated bond VOYA 2014-3A CR 281dm / 3y WAL which is delivering given it’s post reinvestment, this tranche was refi’d back in 2017 at +265bps with an original AA (now Single-A) Class B tranche senior to this carrying a +305bps coupon.  This CR tranche is also PIKable (Class E tranche currently PIKing last 2Q given failing IDT test) but unlikely this will defer interest given the rate of deleverage.  BB trade in a narrow range as well 690dm-734dm but these levels do not represent tightening we have seen higher up the capital stack, levels are flat to those in the run up to year end.  Single-B trade 692dm-924dm with Apollo’s RRAM 2019-6A D at the tight end 692dm / 6.4y WAL – this is a Class D tranche (downgraded from BB) so has a higher MVAP (6%) than other single-Bs (4-4.5%) and naturally also a higher MVOC 106.3 (vs 104-105).  With the remaining ‘Class F’ original single-B bonds trading 890dm-924dm which is tightening to 1000dm-1100dm comparables seen pre-year end.  The bonds are all clean with IDT and Jnr OC cushions all intact whilst ADRs all sit below 1% (see PriceABS trade listing for full details).

EUR AAA CLO

Trading has resumed in the EUR CLO market after the holiday season. There are 9 trades in total with 4 of them at the AAA level. All 4 x AAA have traded at a premium price (from 100.16 to 100.58). Therefore they have all priced to call. Until we see trades pricing to maturity it is hard to evaluate how much the middle of the curve has moved – but certainly pricing in refi risk for 2020 and some 2019 vintage is being factored in.

USD CLO AAA

4 trades today to open out the year’s trading – 2 x AAA and 2 x BBB.  2 x 1st pay AAAs trade tight 116dm-119dm for 2021/2025 RP profiles which last traded mid December 100dm-140dm.  Both bonds are clean with strong metrics, incidentally an early 3.0 CLO KAYNE 2020-7A A1 (Kayne Anderson Cap) which carries a coupon +120bps trades around par at 119dm with all the hallmarks of a 3.0 CLO but with a ‘lower’ coupon – strong MVOC 156.7, ADR 0, Sub80 0.4, strong cushions and WA collateral price of 98.9.

USD CLO Mezz/Equity

BBB trade 344dm-375dm (EoRP 2022/2023) which is largely flat to 340dm-390dm context prior to Christmas.  The metrics on the 2 bonds are fairly comparable.  At the tight end is BSP 2018-14A D (Benefit St) 344dm / 6.5y WAL with a margin +260bps and all other metrics not dissimilar to AMMC 2017-21A D (American Money) 375dm / 6.1y WAL with a 50bps higher margin +310bps, with subtle weaker nuances including WA collateral px on AMMC is 97.2 (v 97.4 BSP), slightly lower IDT/Jnr OC cushions on AMMC v BSP, ADR 1.4 (v 1.2 BSP), Sub80 3.1 (v 2.3 BSP) and American Money has a weaker manager record than BSP across their respective shelves.

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.