USD CLO AAA

Nineteen covers today – 3 x AAA, 3 x AA, 4 x BBB and 9 x BB.  AAA trade 153dm-164dm, these are all rare 2nd pays so trade 20-30dm wide to the 1st pay curve.  At the wide end is CSAM’s MDPK 2016-20X A2R 164dm / 5y WAL – this has a higher Sub80 bucket than the other trades at 7%, higher CCC 16.7, higher WARF 3149 and resultant higher WAS 3.93 and lower WA collateral px 94.97.

USD CLO Mezz/Equity

AA trade in a very wide dispersion 202dm-335dm, with the tight end made up on 2023/2024 RP profiles that trade 202dm-215dm in line with recent context, however the outlier is Caryle’s CGMS 2017-2A A2A 335dm / 5.7y WAL – the MVOC is very low 122.5, ADR is high 1.44, WARF is elevated 3241, IDT cushion is cuspy 0.6 and the manager’s track record is weaker to its peers.  Despite this the dm is >100dm wide to the curve which isn’t in line with the relative weakness of the bond.  BBBs trade 372dm-457dm (2021/2023 RP profiles) which is flat to 350dm-500dm context over the past week in the same cohorts.  At the wide end is ICG’s ICG 2017-1A D 457dm / 5.8y WAL and this is driven particularly by velocity of defaults as it carries a 2.3% ADR and risk taking in the form of a higher WARF 3308 and higher Sub80 bucket 9.5.  BBs trade 597dm-1031dm with the short end (3-4y WAL) trading 600dm area which is tighter than recent 640dm context.  The longer WAL (2020-2024 RP profiles) trade 706dm-1031dm vs recent 600dm-800dm context with 3 bonds wide to this spread, these 3 bonds have markedly lower MVOCs circa 101%, carry higher ADRs 1.4-1.7 whilst at the wide end is Sound Point’s SNDPT 2017-2A E with a cuspy IDT cushion +0.03 which is relevant to know since this bond is PIKable.

EUR AAA CLO

There are 9 trades today with 2 of them being AAA, one floater and one fixed rate. The floater, Jubilee 2015-XVI, traded very tight at 130dm. It is very short at 1.7yrs and has passed its reinvestment end date although it hasn’t started paying down yet. The fixed rate is Arbour 4. It traded at 100.01 which is priced at around 130 over to its call date.

USD CLO AAA

Mostly lower mezz trading today with 24 covers – 1 x AAA, 1 x A, 14 x BBB and 8 x BB, US LLI ticking up 17bps on the week with CLOs typically trading flat to recent tights across the stack, whilst lower quality bonds continue to underperform the benchmark curve in lower mezz.  The AAA trade is ORIX’s MARNR 2017-4A A 122dm / 2.7y WAL which is flat to recent 120dm-130dm context, the ORIX bond is clean so trades as benchmark.

USD CLO Mezz/Equity

The single-A trade is First Eagle’s HULLS 2014-1A CR 324dm / 2.9y WAL, this is a rare short dated profile (EoRP 2018) not seen this month to date, with 2019 RP profile trading in high200s context – the CCC is high at 21, ADR is high 4.5 and WA collateral px 85.5 but the bond is covered by MV (MVOC 115.6) showing the effect of a portfolio going static.  BBBs trade 368dm-491dm with trading context 330dm-470dm over the past week in similar profiles.  Anchorage’s SIX10 2016-2RA CR 491dm / 4.9y WAL covers through recent wides – with WAS high at 4.2 (it’s driven not by cov-lites but by single-B issuers like Windstream, CPK, Brown Jordan), high cov-lite 32% and compromised IDT cushion -0.7.  BBs trade 691dm-1036dm vs 600dm-800dm recent context with 4 bonds well wide of this 907dm-1036dm.  The MVOCs on these 4 bonds is cuspy circa 101area, ADRs are high 1.1-1.7, cov-lites are high at 35% and IDT cushion negative in the widest 2 bonds (see PriceABS trade listing for full details).

EUR AAA CLO

There are 14 trades today with just 1 AAA. Sound Point Euro 1 traded to call at 100.27 / 131dm to call, which shows as 160dm to maturity.

USD CLO AAA

An extremely buoyant day with 59 covers, mostly in mezz – 2 x AAA, 5 x AA, 11 x A, 11 x BBB and 30 x BB with tightening across the board as markets continue to rally.  AAA trade a shade tighter 100dm-123dm with a very short dated Barings bond very close to breaching the 100dm barrier BABSN 2013-IA AR 100dm / 1.5y WAL, the tightest trade we have seen in the past week from this cohort is Allstate Investment’s AIMCO 2015-AA 105dm / 1.4y WAL last week which had a better MVOC (151) versus the Barings bond 146.6 whilst Sub80 assets are comparable across both deals, with Allstate a less experienced manager with an excellent track record versus a benchmark manager in Barings.

USD CLO Mezz/Equity

AAs trade 162dm-215dm with again a firmer level at the short end of the curve (recent context 180dm-200dm), AXA IM’s ALLEG 2015-1A B1R 162dm / 2.5y WAL (EoRP Jul-2019) despite some credit issues (WARF 3942, CCC 20.5, IDT cushion -2.7) seeing firmer bids given the short duration.  At the ‘wide’ end is a recent vintage 3.0 CLO CIFC 2020-2A B that trades above par 100.30 and 215dm / 6y WAL with strong cushions (5.1 IDT cushion) and a defensive portfolio (WARF 2757 / CCC 1.4) meaning investors are not prepared to bid this any further away from par at this point in the cycle.  Single-As trade 201dm-300dm tighter to 240dm-360dm horizon this month to date, with the curve shifting tighter.  At the tight end is a benchmark manager Blackrock’s MAGNE 2015-16A C1R 201dm / 4.2y WAL with their deals serial outperformers from a credit perspective (WARF 3063, CCC 4.9, MVOC 116.5, Sub80 3.7, strong cushions and WA collateral px 96.1).  BBB trade 381dm-494dm which is in line with recent context, albeit weaker bonds than we have seen over the past week from a credit perspective holding firm at these levels with no bias to widening.  The 30 x BBs today trade 603dm-804dm represents tightening given recent 700dm-815dm context with 9 x BBs cover inside 700dm across benchmark names like CSAM, Oak Hill. GSO, Neuberger and CIFC dominating – see PriceABS trade listing for full details.

USD CLO AAA

24 covers today – 18 x AAA, 1 x BBB, 5 x BB.  AAA trade 119dm-143dm in line with recent tights, the bond profiles are typically clean with 2 bonds at the wide end with weaker MVOCs (c. 141 MVOC) and corresponding WA collateral px 92-94.  But these metrics are marginal as are the manager profiles which are again marginally weaker as compared to peers, eg. Symphony and Marble Point.

USD CLO Mezz.Equity

The BBB trade is TCW’s TCW 2019-2A D1 391dm / 8.3 WAL (2024 RP profile) with recent context 360dm-450dm, this bond has clean metrics overall and an outstanding manager record versus peers so fully supportive of the tight dm.  BB trade in a narrow dispersion again 742dm-815dm which are in line with recent 720dm-830dm context in similar profiles, weaker manager profile and higher ADR have a bigger pull on the wide end with OakTree’s OAKCL 2019-4A E cover 815dm / 8y WAL ADR 1.81 and weaker corresponding manager metrics (ADR across CLOs of 2.26), albeit all other metrics on this bond being reasonable from a fundamental point of view.

USD CLO AAA

33 covers today across all rating levels  - 8 x AAA, 5 x A, 10 x BBB, 9 x BB, 1 x B.  AAAs trade 127dm-169dm with a mixed bag of demographics explaining the wide dispersion.  At the tight end are conventional 1st pay AAAs with good performance trading in similar context to recent levels 127dm-136dm, thereafter the trading range 147dm-169dm is made up of 2nd pay AAAs that trade back to 1st pay AND weak 1st pay credits, for instance at the wide end is a weak 1st pay from Steele Creek STCR 2015-1A AR 169dm / 2.3y WAL – low MVOC 145.5, high CCC 11.8, high ADR 1.3 and low WA collateral px 93.1 whilst the manager’s record is weak to peers.

USD CLO Mezz/Equity

Single-As trade 181dm-251dm across shorter dated profiles (2019-2022 RP profiles) which is tighter than 280dm-360dm context seen this month to date, granted there have not been many shorter dated single-As with good performance like today’s batch proving the strength of the bid in high quality paper.  The BBBs today are again of high quality and trade 325dm-469dm which is in line with 325dm-500dm context this month with a recent vintage bond from Bain Capital BCC 2020-2A D propping up the wide end 469dm / 6.5y WAL not due to performance but due to the fact that it is a 3.0 with a high coupon / defensive portfolio and structure with a cover over par 100.68.  BB trade 696dm-853dm in shorter WALs in similar context to recent trading 700dm-820dm with an outlier CSAM’s MDPK 2016-24A ER 853dm / 5.7y WAL – cuspy MVOC 101.5, high CCC 16.7, high ADR 1.2, high Sub80 8.6 and low WA collateral px 93.7.  The single-B trade is MidOcean’s MIDO 2018-9A F 1160dm / 7.6y WAL (2023 RP profile), with no comps this month other than a downgraded BB (now single-B) with similar RP profile cover 734dm / 6.98y WAL, however this is in line with a First Eagle single-B cover of last week 1177dm / 6.3y WAL (2022 RP profile), the bond itself is covered by MV (MVOC 101.3), ADR 1.1, Sub80 4.9, CCC 9.2 and has good IDT cushion of 2.8% so all in all reasonable performance and a good proxy single-B data point.

EUR AAA CLO

9 trades today – 3 of them AAA. Cairn 3 traded at 99.71 / 135dm. Fair Oaks 2 has a very high margin of 190bps and traded to first call which is a price of 100.41. GoldenTree 4 also has a high margin of 155bps and traded at 99.74, which looks like the bid side of a price to call.

USD CLO AAA

Today saw limited flow with 7 covers – 1 x AAA, 2 x AA, 1 X A, 2 x BBB and 1 x B.  The AAA trade is Carlson’s CATLK 2013-1A A1RR 149dm / 3.5y WAL (2022 RP profile) which is has weaker metrics and is at the wide end of 135dm-150dm recent context in this profile – the ADR is elevated 1.24, IDT cushion is cuspy 0.15, WA collateral px is 92.2 and CCC 10.7 whilst the manager’s record is weak to its peers.

USD CLO Mezz/Equity

AA trades 189dm-203dm which are in line with trading this month to date.  The single-A trade is Invesco’s BTNY2 2018-1A B 233dm / 6y WAL (2023 RP profile), this dm is tight to any single-A this month to date due to the fact that the manager has an impressive record and that has translated into excellent performance metrics on this bond – strong MVOC 116.9, cushions are healthy and Sub80 assets is only 3.9.  BBBs trade 406dm-451dm (2023/2024 RP profiles) with similar context trading 400dm-500dm, no outlier bonds today to report.  The BB trade is Octagon’s OCT22 2014-1A ERR 734dm / 7y WAL (2023 RP profiles) which again is in line with recent activity in 710dm-800dm context in this profile but with the IDT cushion negative there is risk that this bond may also trip Jnr OC test (current cushion 0.6) and defer interest, the bond is covered by MV (MVOC 101.4).

EUR AAA CLO

A busy day today – mostly in the mezzanine space, but there is one AAA trade. St Pauls 6 traded at 151dm. This also looks like a softening, as we saw yesterday in BBs. This bond has a short WAL at 1.8yrs and yet it traded 12bps than our curve predicted.

USD CLO AAA

17 covers to round off the week – 2 x AAA, 2 x A, 7 x BBB, 5 x BB and 1 x B, whilst US LLI ticked up 81bps on the week and CLO trading remains firm and in line with this.  AAAs trade 118dm-130dm which is in line with recent tights, both bonds have clean metrics and strong MVOCs. 

USD CLO Mezz/Equity

Single-As trade 319dm-357dm (2022/2025 RP profiles), with Seix’s MVW 2013-1A C1R 357dm / 5.7y WAL at the wide end at recent wides, the bond has a weak MVOC 109.2, high ADR 2.3, neg IDT cushion 1.8 and WA collateral px 92.7 all contributing to the softer level on this bond.  BBBs trade again in a narrower dispersion 358dm-470dm similar to recent trading which has been in 340dm-570dm context, there are no outliers to report today whilst at the tight end is a clean bond from NY Life FLAT 2017-1A D cover 358dm / 5.8y WAL (MVOC 109.2, Sub80 3.8, CCC 5.7, ADR 0.11, WA collateral px 95.6).  BBs trade 695dm-758dm (2022-2023 RP profiles) which is a touch tighter than 700dm-820dm recent context with all bonds today clean.  There is a rare single-B trade today First Eagle’s WINDR 2017-2A F 1177dm / 6.3y WAL, although this trades wide of single-Bs we have seen recently in 750dm-1100dm context, the trading we have seen has been in downgraded BB bonds whilst the First Eagle bond is a true second loss bond, granted this bond has a cuspy MVOC 100.7 and an elevated ADR 1.22 the remainder of the metrics are reasonable (Sub80 3.6, IDT cushion 1.2, WA collateral px 95.2).

USD CLO AAA

Following the pause with Veteran’s Day we saw 29 covers today, mostly mezz whilst US LLI index conceding 26bps versus pre-Vet Day – 3 x AAA, 1 x A, 10 x BBB, 15 x BB.  AAAs trade 105dm-124dm with short dated profiles (2020 RP profiles) dominating the tight end, whilst Onex’s OCP 2014-5A A1R at the wide end 124dm / 3.93y WAL (2023 RP profile), all bonds today have clean metrics and trading range is in line with recent tights.

USD CLO Mezz/Equity

The single-A bond today is Seix’s MVW 2013-1A C1R 357dm / 5.75y WAL (2022 RP profile) which is wide to early 300s recent context, this being said the Seix bond has credit issues with a high ADR 2.33, IDT cushion -1.8 and WA collateral px 92.8 all contributing to the softer dm.  BBBs trade 281dm-520dm with a 2-handle (vs mid-late 300s recent context) at the tight end for the first time in a long time, albeit this Allianz bond WSTC 2014-2A CR having a short WAL given RP ended early 2019 (281dm / 3.2y WAL).  The remainder of the BBBs trade 336dm-520dm which is broadly in line with recent levels however the TPG TICP 2020-15A D trades through the tights at 336dm / 8.6y WAL and this bond benefits from a conservative portfolio (WARF 2986 / Sub80 0.7, ADR 0.3, WA collateral px 97.1) but has a high cov-lite balance 48.8% along with high cushions given a 3.0 structure.  BBs trade 704dm-826dm (2020-2025 RP profiles) which is within recent  640dm-1100dm context, all the bonds are relatively clean with the only weak credit a Carlyle CGMS 2016-1X DR 823dm / 5.3y WAL – cuspy MVOC 100.9, CCC 12, ADR 1.9 and cuspy IDT cushion 0.1.

EUR AAA CLO

Trading resumed today after the Veterans Day Holiday. There are 2 x AAA trades. Both trades are around 142dm. For us this is about 20bps tighter on our curve but we are catching up since these are the first AAA trades we have seen since the vaccine generated rally.

USD CLO Mezz/Equity 

21 covers today, all mezz with the general tightening theme continuing across mezz – 6 x AA, 3 x A, 6 x BBB and 6 x BB.  AAs trade tighter 186dm-217dm, with trades comfortably inside 200dm today.  At the tight end is Voya’s VOYA 2017-1A A2 186dm / 4.8y WAL which is a fairly archetype AA bond (MVOC 122.5, Sub80 6.4, WARF 3214, CCC 10, ADR 0.97).  However at the wide end is only a marginally weaker credit, Crescent Cap’s ATCLO 2017-8A B 217dm / 4.5y WAL – ADR 1.7, higher cov lite exposure 33.7 and a weaker manager as the key differences.  Single-As trade 303dm-336dm in line with recent context with MVOC and WARF playing a key role in the slight tiering seen today (see PriceABS trading listing for details).  BBB overlap with the single-A and trade 324dm-400dm with some very short dated bonds and a static CLO migrating and obscuring the tight end of the range 324dm-371dm with more conventional 2024 RP profiles trading tighter 397dm-400dm versus 430dm-490dm recent context.  It is interesting to note that the ARES 2019-52A D which covers 400dm / 7.5y WAL has 91% cov-lite in it’s existing reference pool (with WARF not suffering too much at 3434) which is significantly higher than we have seen.  BBs trade 703dm-886dm in line with recent context 720dm-900dm with Neuberger’s NEUB 2017-25A E 703dm / 6.8y WAL at the tight end – low Sub80 3.3, healthy MVOC 103.9, WA collateral px 95.98 and other metrics broadly in line.

USD CLO AAA

Seven covers today – 4 x AAA, 1 x A, 2 x BBB with a continued improved tone with US LLI continuing it's improvement up 94bps on Friday.  High quality AAAs continue to firm up with trading range today 118dm-128dm with a 3.0 high coupon outlier from Octagon OCT48 2020-3A A 149dm / 4.6y WAL.  At the tight end is CVC’s APID XXXA A1A 118dm / 4.3y WAL – strong MVOC 164 and metrics very healthy. 

USD CLO Mezz/Equity

The single-A trade today is Oak Tree’s OAKCL 2014-1A BR 336dm / 5.2y WAL (2021 RP profile) which trades at the mid-wide end of 300dm-350dm recent context in this profile – the bond has some weakness with a lower MVOC 108.6, ADR 1.9, IDT cushion -3.2, CCC 14.7 and WA collateral px 92.7 but despite this holds up in dm terms versus recent comps with higher MVOCs.  BBBs trade today 324dm-426dm (2020/2021 RP profiles) tight to 450dm-570dm recent context, at the tight end is Palmer Sq’s PSTAT 2020-1A C 324dm / 4.6y WAL with excellent performance / defensive portfolio (3.0 CLO) – Sub80 1.8, WARF 2852, CCC 5.4 and WA collateral px 96.85.  At the wide end is KKR 17 D that covers inside recent comps at 426dm / 5.2y WAL with reasonable performance (high CCC 17.6, MVOC 107.4, ADR 0.9, IDT cushion cuspy 0.34, Sub80 assets 4.7).

USD CLO AAA

13 covers to end off this week – 4 x AAA, 1 x AA, 1 x A, 1 x BBB and 6 x BB.  AAAs trade in a narrow dispersion 123dm-136dm with levels firming up very slightly towards the 120dm mark at this end of the cap stack in high quality names like Blackrock and Neuberger.  The US LLI has ticked up 108bps on the week and is now less than 50bps off the 2020 high. 

USD CLO Mezz/Equity

The AA bond that trades today is CBAM’s CBAM 2017-1A B 202dm / 4.8y WAL (2022 RP profile) which is at the tight end of 200dm-240dm context – this bond has clean metrics.  The single-A is a rare short dated bond HLA 2014-1A CR (Bardin Hill) 336dm / 1.6y WAL (2018 RP profile), this is an impaired deal which is deleveraging (CCC 19.5, Sub80 35.4, WARF 3830, ADR 5.1 and -18 IDT cushion) with MV shortfalls on the 2nd and 3rd loss tranches, this tranche has coverage given it’s more senior in the paydown schedule 164.8 MVOC.  PIPK 2020-6A D from Partners Group (BBB) covers 449dm / 5.1y WAL (2021 RP profile) tight to recent 510dm-570dm context, this bond is of high quality and is a 3.0 post covid issue so has plenty of cushion (IDT cushion 5.4%) and a defensive portfolio (WARF 2625, WA collateral px 98.4, MVOC 116.5) so explains the tighter level.  BBs trade 669dm-964dm across numerous profiles which is not dissimilar to recent activity at this rating level.  At the tight end is GoldenTree’s GLM 2019-4A E 669dm / 7.8y WAL (2024 RP profile) which is tight to 750dm-850dm recent context (the deal is performing well – Sub80 1.5, CCC 6.6, WARF 3045, WA collateral px 96.5, MVOC 104.8), at the wide end is Alcentra’s SHACK 2017-11A E 964dm / 7.3y WAL (2022 RP profile) with a cuspy MVOC 100.6, high CCC 11.2, higher WARF 3365 and cuspy IDT cushion 0.97).

EUR AAA CLO

There are 3 x AAA trades today. They have traded between 150dm and 160dm. This is about 4bps tighter on the AAA curve.

USD CLO AAA

Today we have seen the first trades this week with the election saga almost drawing to a head and the US LLI 100 rebounding 96bps as a sign the markets have not softened.  There are 20 covers today – 10 x AAA, 1 x AA, 3 x A, 5 x BBB and 1 x BB.  AAAs traded tighter 127dm-167dm with a very short dater from Onex OCP 2015-9A A1R 105dm / 1.4y WAL, furthermore PGIMs DRSLF 2018-57A A covers 128dm / 4.1y WAL (2023 RP profile) versus 134dm-160dm context since month end.  Whilst at the wide end there are 2 impaired deals from MJX and HIG which are running ADRs well in excess of 1% and higher concentrations of Sub80 priced assets.

USD CLO Mezz/Equity

The AA bond is Sound Point’s SNDPT 2017-4A A2A 193dm / 5.3y WAL (2023 RP profile) which trades tighter than recent 200dm-230dm context, this bond has clean metrics.  Single-As trade in a narrow dispersion 283dm-300dm (2024 RP profiles) and once again tighter to 250dm-290dm recent context with fairly clean bonds trading.  BBBs trade 387dm-570dm which are in line with recent context with no signs of tightening.  The BB bond is MVEW 2017-1X E 1087dm / 5.7y WAL which again is in line with the most recent data point in this profile towards the back end of October, this bond has mixed metrics with a low WARF 2966, ‘low’ CCC 7.7, MVOC > par 101, Sub80 5.9 but has cuspy IDT cushion of 0.46.

EUR AAA CLO

On US Election Day there are no USD trades and only 5 EUR trades. The 3 AAA trades were between 157dm and 172dm which doesn’t evidence any trend in spreads.

USD CLO AAA

Today saw a long list of 29 AAAs pre-election whilst the US LLI retracing 10bps from Friday close, with trading range 124dm-206dm.  There is a softer tone for weaker credits with 6 trades > 170dm which are non-3.0 high coupon.  MVOC’s are in early-mid 140% context for these credits which is lower than 150% benchmark whilst a number of weaker managers (MJX, Sound Point, Trinitas) feature at this end and asset pricing < 80 has crept just over 10% on a couple of these outliers (see PriceABS trade listing for details).  At the wide end is AGL’s AGL 2020-4A A 206dm / 2.43y WAL – this is a May close 3.0 CLO with a high coupon +221 and a very defensive structure (eg. IDT cushion almost 6%) and portfolio (eg. WARF 2727, WA collateral price 98.23 / CCC 1.97).

USD CLO AAA

Just the one cover today, PGIM's DRSLF 2018-55A A1 141dm / 3.94y WAL (2023 RP profile) which is at the tight end of 40dm-175dm context this week.  The MVOC is strong 156.2, Sub80 assets are low 3.9, WARF is strong 3171 but IDT cushion is cuspy 0.98 whilst ADR is highly elevated 2.43.  However PGIM is a benchmark manager so the tight dm refllects this.

EUR AAA CLO

There are 6 AAA trades today. AAA spreads broadly unchanged although it looks like the curve might have steepened a little pivoting around the 4yr WAL point. Less than 4yrs is about 5bps tighter and greater than 4yrs is about 3bps wider.

USD CLO AAA

18 covers today, mostly mezz with some softening seen especially in BBBs as the US LLI has dropped 75bps since last Friday – 1 x AAA, 1 x AA, 7 x BBB, 9 x BB.  The AAA trade BMILK 2018-1A A1 (GSO) covers 142dm / 4.4y WAL (2023 RP profile) at the tight end of 140dm-175dm context this week – the bond has a strong MVOC 154.6, low Sub80 4.1, low ADR 0.5 and healthy cushions from a benchmark manager. 

USD CLO Mezz/Equity

The AA trade is ICG 2014-2X BRR (ICG) 220dm / 5.5y WAL (2023 RP profile) which trades towards the wider end of 195dm-230dm context this week – Sub80 assets is high 9.0, WARF 3495, CCC high 13.1, ADR is elevated 1.4 and IDT cushion is negative.  BBBs trade 477dm-520dm (2022-2024 RP profiles) wide of early-mid 400s dm context recently.  The MVOCs on todays bonds are 108-109 so no material dispersion and there are no significantly impaired bonds so the effect of the softening has impacted BBBs by around 70bps.  BBs trade 642dm-1084dm (2018-2023 RP profiles) with 700dm-930dm context this week in these profiles, there are 2 bonds outside of this context KKR 17 E (KKR) and PARL 2018-1A D (DoubleLine) that have cuspier MVOC 100-102, higher WARFs 3400 area and cuspy IDT cushions and the fact that DoubleLine's bond props up the wide end (1084dm / 7.6y WAL) being a weaker manager than its peers.

EUR AAA CLO

There are 5 AAA trades today. AAA spreads definitely wider – about 9bps wider across the curve. Range is from 160dm to 170dm apart from Aurium 6 which priced to call because of its high stated margin (190bps). It traded at 100.46 which optically is 233dm to maturity.

USD CLO AAA

10 covers today – 3 x AAA, 4 x A, 3 x BB.  AAA trade 145dm-162dm with a recently closed 3.0 CLO from PGIM +165bps high coupon bond DRSLF 2020-86A A at the ‘wide’ end 162dm / 4.3y WAL, as seen regularly this profile has a defensive portfolio (WARF 2879, CCC 3.1, MVOC 157.8, Sub80 0.7, WAS 3.2 and WA collateral price > 96 at 96.3).

USD CLO Mezz/Equity

The BSL CLO Single-As trade 268dm-305dm which is in line with similar context this week.  There is a MM CLO from GSO DIMND 2019-1A C that covers 397dm / 5.0y WAL, first we have seen in a while at this level of mezz, the metrics look reasonable with MVOC 120.1, Sub80 6.9, ADR 0.06, IDT cushion is at the low end 1.6 whilst the WAS 5.4 is clearly much higher than BSL but conservative for a MM CLO.  This is a useful data point nonetheless.  BBs trade 806dm-922dm, bar belled with short/long dated WALs, but with 2024 RP profiles with a longer WAL these trade at the tighter end 806dm-837dm which is at the middle/wide end of this week’s 750dm-850dm context.  The shorter WAL 2018 RP profile CSAM bond MDPK 2014-12A E covers 922dm / 3.3y WAL which is wide to a similar GSO bond yesterday BOWPK 2014-1X E that traded in early 700dm context.  The CSAM bond is weaker with MVOC 103.6 (vs 106.3 on GSO), WARF is high 4354 (vs 3618), ADR 1.4 (vs 1.1) and WA collateral price is sub 90 (89.4) so these account for the wider dm.

EUR AAA CLO

There are 11 trades today with 4 of them at the AAA level. Tikehau 1 has started paying down and traded at 145dm. The other AAAs traded between 155 and 160dm which is an average widening of 4bps.

USD CLO AAA

A busier day with 42 covers – 11 x AAA, 9 x AA, 6 x BBB, 14 x BB and 2 x B, the US LLI fell for another day -12bps.  The AAAs trade 139dm-177dm with the wide end dominated by two weaker bonds – MJX’s VENTR 2018-35A AS 175dm / 4.6y WAL (low MVOC 144.6, ADR 2.5, high WAS 3.98, IDT cushion 0.3) and Highland Cap’s ACIS 2014-5A A1 177dm / 0.6y WAL (0.45 factor but CCC 26.4, WARF 4092, ADR 1.6, IDT cushion -1.5).

USD CLO Mezz/Equity

The AAs trade 201dm-229dm which is within recent context 180dm-240dm.  BBBs trade 412dm-517dm which is also in line with recent context, at the wide end is MJX’s VENTR 2016-24A D1R 517dm / 4.8y WAL – high ADR 1.5, cuspy IDT cushion 0.4 and WA collateral price 93.2.  BBs trade 704dm-1101dm which again is in line with recent context, bonds with elevated ADRs and cuspy MVOCs populate the wide end (see PriceABS trade listing).  Rarer single-Bs trade 1195dm-1419dm (2023 RP profiles) with trading context this month a fairly wide dispersion 770dm-1350dm, so the outlier is BlueMountain’s BLUEM 2018-3A F 1419dm / 7.6y WAL – cuspy MVOC 100.01, CCC 13, ADR 2.2 and cuspy IDT cushion 0.2.

EUR AAA CLO

There are 28 trades today and the only AAA among them is Harvest 11 which traded at 150dm.

USD CLO AAA

22 covers today, the vast majority IG – 2 x AAA, 6 x AA, 13 x A, 1 x BB with a little softening in this seniors.  There is a 1st and 2nd pay AAA today, the 1st pay JTWN 2019-14A A1 (Investcorp) covers 163dm / 5.5y WAL which trades wide to recent 140dm context, the US LLI softened 4pts / 18bps today versus Friday close and Investcorp is a benchmark manager with strong fundamentals on this bond.  The 2nd pay VENTR 2018-31A A2 (MJX) covers 215dm / 4.8y WAL versus late-100s dm context seen this month in 1st pay FRNs, albeit this manager has a weaker record vs peers and this bond has weaker fundamentals (MVOC 138.7, Sub80 7.0, ADR 1.1 and IDT cushion <2 at 1.5). 

USD CLO Mezz/Equity

The AAs trade 195dm-239dm across RP profiles in line with 180dm-240dm context over the past week, at the wide end is again an MJX bond VENTR 2017-26X B 239dm / 4.3y WAL which is 26dm wide to CSAM’s MDPK 2015-16A A2R (which also has weak fundamentals but a stronger manager) – weak MVOC 121.6, high ADR 1.9 and neg IDT cushion -0.4.  There are a large number of single-As trades today 251dm-352dm trading range across 2021-2024 RP profiles which have traded 245dm-300dm context over the past week.  At the wider end are 3 recently closed high coupon 3.0 CLOs with significant cushion and defensive portfolios that tier to a higher dm, as we have seen recently the gap between lower cash px / legacy CLO 2.0 and higher cash px / post-covid defensive 3.0.  The BB trade today is CIFC’s CIFC 2013-1A DR 932dm / 7.1y WAL (2022 RP profile) which trades in the middle of 720dm-1120dm context this month, there is mild weakness in this bond counteracted by the manager’s strengths – MVOC is just above par 101.6, CCC 10.7, ADR 1.1, IDT cushion is 1.1 and WA collateral price is 1-2pts lower than benchmark at 94.3.

EUR AAA CLO

There are 8 trades today with one of them being AAA. Bosphorus Euro 4 traded at 99.67 / 157dm. Yesterday Sound Point Euro 4 priced at 110bps over floored Euribor for the AAA as reported by Bloomberg.

USD CLO AAA

15 covers to end this week off – 3 x AAA, 4 x AA, 5 x A, 3 x BB, the week ends with US LLI up 13bps and retraces all of the dip seen last week.  The AAAs trade 146dm-168dm, with Marble Point’s MP4 2013-2A ARR at the wide end 168dm / 2.54y WAL – low MVOC 140.9, ADR 1.01 whilst IDT cushion is negative.

USD CLO Mezz/Equity

The AAs trade 189dm-212dm (2019-2022 RP profiles) tight to 200dm-240dm recent context, the credits today have weaker fundamentals but nonetheless trade tight to the respective curve.  The single-As trade in a wide dispersion 201dm-299dm (2019-2022 RP profiles) which is similar to recent trading context, at the tight end is Invesco’s RCTTE 2015-1A CR 201dm / 3.3y WAL with a strong MVOC 125.2, low Sub80, low ADR 0.7 and lots of cushion on Int Div tests.  However at the wide end is Bain’s BCC 2017-2A CR 299dm / 5.6y WAL – low MVOC 112.8, high Sub80 6.1, high ADR 2.35 and neg IDT cushion pushing this bond close to a 3-handle dm.  The BBs  trade 926dm-1186dm (2020/2021 RP profiles) which is wider than 700dm-1050dm context seen in these rare profiles this month, the reason being the IDT cushion is cuspy or negative in all of the BBs today and a MV shortfall on one of the bonds MP7 2015-1A ERR.

EUR AAA CLO

There are 3 x AAA trades. Harvest 11 with a margin of 92bps traded at 99.91 / 151dm. BBAM 1 (for RBC) and Arbour 8 with margins around 153bps traded at approx. 100.58 / 190dm.

USD CLO AAA

A similar day of liquidity to yesterday, with 26 covers – 4 x AAA, 1 x AA, 8 x A, 8 x BBB, 5 x BB.  The AAAs trade 138dm-155dm, all bonds are clean whilst MJX’s VENTR 2018-32A A1 trades at the wide end 155dm / 4.4y WAL with a weaker MVOC (142 vs 149+ for benchmarks) and an elevated ADR 1.5 accounting for the wider trade.

USD CLO Mezz/Equity

The AA trade today is Investcorp’s JTWN 2015-7A A2R 204dm / 2.8y WAL which is post reinv and is tight to 230dm-250dm recent context in this profile, the perf metrics aren’t that clean on this bond with CCC 13.6, ADR 1.3, Sub80 8.9 and cuspy Jnr OC cushion whilst the manager’s performance is at benchmark levels so supports the dm albeit a short WAL.  The single-As trade 254dm-298dm (2022-2024 RP profiles) versus 235dm-335dm context over the past 10 days in these profiles, so today’s levels are flat to recent activity.  The BBBs trade 340dm-462dm which is firmer at the tight end of recent 370dm-520dm context, at the tight end is Blackrock’s MAGNE 2014-8A DR2 which is backed by a defensive portfolio (WARF 3092, ADR 0.5) and benefits from benchmark manager performance.  The BBs trade 709dm-867dm tight to 840dm-1100dm recent context, there is an outlier trade First Eagle’s LONGF 2013-1A ERR 1689dm / 5.3y WAL – MV shortfall 1.3%, Sub80 9.6, ADR 2.1, IDT/Jnr OC cushions both compromised and CCCs 14.4 pushing this bond well wide given the proximity to loss and int diversion.