USD CLO AAA

Plenty of trading today with >35 covers across the stack with levels softening a touch across senior and some mezz.  The US LLI in contrast climbed 8bps on the day.  All 1st pay AAAs trade at par ceilings and we have shifted our generic curve slightly wider to 121dm, not also the wider primary print from Canyon Cap at 118bps / AAA with a long EoRP 2026.  There was a rare 2nd pay BLUEM 2017-3A A2 that covers at a discount 99.66 at 121dm / 6.6y WAL which is the tightest 2nd pay trade seen this year in dm terms but given the margin is very low (+115bps) this is more or less in line with a comparable Aegon AM managed bond CEDF 2018-7A A2 last month that covers 124dm / 6.3y (margin +113bps). 

USD CLO Mezz/Equity

Single-A bonds hit par ceilings again, with one exception AWPT 2014-2A CR (ArrowMark) CVR 99.98 at 221dm / 5y WAL with MVOC (117.8) lagging the YCLO 2014-1A CRR comparable bond that trades 100.05 (MVOC 121.9), all other factors are fairly comparable.  Our generic curve does shift wider to 221dm.  At the BBB level, trading activity has been firm and our generic curve is 375dm, Canyon Cap’s new issue prices 305bps this week.  Weaker MVOC on WINDR 2018-2A D and CANYC 2014-1A CR back up their execution prices which are discounts to par, all other metrics are in line with both managers fairly in line with their peers from a historical perspective.  At the BB end, there is a 7pt dispersion in cover prices across a 2pt dispersion in MVOC so credit factors and manager profiles have a significant say in tiering.  To showcase this there are two x bonds with similar reinvestment profiles, at the tight end is CIFC’s CIFC 2018-3A E (coupon +550bps) CVR 98.51 at 577dm / 6.8y WAL – MVOC is strong 106.7, ADR is low 0.3, Sub80 is low 0.7, CCC is in line 5.7, Jnr OC cushion is strong 4.5% whilst CIFC is a benchmark manager.  At the other end of the scale is First Eagle’s WINDR 2014-2A ER (coupon +575bps) CVR 91.75 at 739dm / 6.5y WAL – MVOC is weaker 104.4, ADR is higher 1.03% and Jnr OC cushion is half of the CIFC bond at 2.1% and First Eagle’s manager record is weaker than average from an ADR point of view which is highly relevant at this end of the capital structure.  Our generic curve has widened to 671dm.

USD CLO Mezz/Equity

5 x mezz debt covers today and 6 x equity.  The US LLI index jumped 5bp on the day and we saw some small tightening effect in BBB and BB.  BBB bonds all hit their par ceilings and trade 238dm-266dm, the 3 bonds that trade all have short WALs (EoRP 2019/2020) with coupons below prevailing new issue and strong MVOCs (117-121) given the level of delevering effect in the respective high quality deals (cushions and credit strong) from Blackstone and First Eagle.  These are quite different from some recent comps where the inability to trade the underlying has led to a negative credit shift in the underlying – please see PriceABS trade listing for full details.  At the BB end we also have high quality bonds that trade nearer to par, CEDF 2014-4A ER (EoRP Jul-21) which has a shorter WAL 5.3y covers at par and has a coupon +636bps with strong credit (ADR 0.9, Jnr OC cushion 3.8, Sub80 0.9) and MV metrics (MVOC 106) with prevailing new issue close to the coupon on this bond and our generic secondary curve at 655dm.  OCT39 2018-3A E covers at 98.96 at 594dm / 7y WAL (EoRP 2023), coupon +575bps and credit and MV metrics are strong hence the margin structure and longer WAL impact upon execution price.

USD CLO AAA

18 covers today across the stack with all AAA bonds hitting their respective par ceilings, with bond coupons >100bps.

USD CLO Mezz/Equity

One x AA bond KVK 2016-1A BR hits it par ceiling (coupon +200bps) with new issue tighter 150-170 context / our generic secondary 175dm and the bond callable.  2 x single-A bonds also hit par, coupon range is 220-225bps and new issue in H100s context and our generic secondary level 214dm.  Three BBBs hit their par ceiling, with the margin structure driving this for two of these (coupons 370-390bps) and short WAL 2.4y driving it for the other WSTC 2014-2A CR.  With new issue in H200s-300a context the higher coupon bonds have a high call likelihood, CIFC 2019-6A D has a high coupon +395bps with NC end of 2021 with excellent performance to date and as such risk adjusted cashflows are strong with a CVR 100.89 at 381dm / 7.8y WAL (EoRP 2025).  A large dispersion in execution at BB today, at one end of the spectrum is JFIN 2013-1A DR (Apex) CVR 98.00 at784dm / 5.2y WAL (EoRP 2022), coupon is high at 737bps and all metrics clean aside from a high ADR 3.3 but the MVOC makes up for it at 109.  At the other end is JTWN 2014-5X E (Investcorp) with CVR at 89 at 910dm / 3.2y WAL.  This deal is delevering since past its 2019 EoRP and metrics are suffering due to the inability to trade the underlying – MVOC is cuspy 102, ADR is 2, Sub80 is 3.7 and Jnr OC cushion is -1.3 whilst the bond is not PIKing itself the immediately subordinate note is PIKing along with Equity.  Our generic secondary curve widens slightly to 656dm.

EUR AAA CLO

There are 4 x AAA trades today. They have traded in L100s dm. Black Diamond 2015-1 is in amortisation and is only a 1yr WAL and traded at 111dm.

USD CLO AAA

A more active day with 40 covers across all rating levels.  AAA bonds hit par ceiling with CSAM’s MDPK 2016-20A A2R slightly shy of par at 99.99 – this bond is a 2nd pay AAA and notably the CCC level is elevated on this deal at 10.5% whilst other metrics are strong.  Our generic AAA curve remains at 116dm.

USD CLO Mezz/Equity

1 x AA trade TRNTS 2018-9A B1 which hits par ceiling at 194dm / 5.8y WAL – this is callable given NC is in the past and coupon is +195bps with new issue in 150-170bps context.  1 x single-A trade too and it also hits the par ceiling, SEVEN 2016-1A BR 199dm with coupon +200bps, new issue is in 200bps context (our generic secondary curve is 214dm) but since this deal is delevering it is the shorter WAL and good risk adjusted cashflow that is pulling this to par.  At BBB the new issue market is in H200s-300bps context, there are a number of 3.0 bonds today with high coupons (>400bps) and strong credit profiles that have high callability and hit par ceilings.  For the remainder of trades the migration of certain credit parameters eg. predominantly ADR and Sub80 buckets along with MVOC and manager profile drive tiering, at the wide end for instance is ZAIS7 2017-2A D CVR 88.2 at 647dm with a lower than average MVOC 107.3, high ADR 2.4, high Sub80 assets 5% and a weak manager profile.  At BB there is a 12 point spread in cash price terms amongst execution today.  DRSLF 2014-36A ER2 covers at par, with a high coupon +688bps and reasonable metrics the strength of the manager profile has a large part to play here, MVOC is healthy at 105.2 whilst the bond is callable from June.  At the other end of the scale is ATCLO 2018-12A E (Crescent Cap) that covers at 88 which translates to 817dm / 7y WAL, here the margin on the bond is low +595, MVOC is low at 103.8, Jnr OC cushion is low 1.8 and other metrics not far back from the PGIM bond, however the manager record is weak and callability is low.  Our generic secondary curve for BB is now 650dm.  3 x originally rated single-Bs trade today which are valuable data points, cash prices are in early 90s and dm range is narrow 915dm-925dm whilst our single-B curve remains flat at 939dm.  The bonds that trade today have clean metrics with ADRs 0.5-1%, Sub80s at good levels 1.6-2.6 and Jnr OC cushions of >1.9% with coupons 727-764bps so risk adjusted cashflow is strong for bonds now rated CCC.

EUR AAA CLO

There are 8 x AAA trades today. AAAs look like they have widened by around 5 to 6 bps.

USD CLO AAA

Trading activity today was concentrated at both ends of the capital stack, with seniors and low mezz.  AAA bonds all hit par ceilings with our generic secondary curve unchanged at 116dm.

USD CLO Mezz/Equity

4 x BBs trade in a tight range today from a dm perspective 647dm-707dm, MVOCs on these bonds are all in the 104 region with tiering driven by manager profile but also ADR levels.  For instance VOYA 2016-4A E2 trades at the highest cover 98.79 at 696dm and has a low ADR 0.5 and good cashflow from a ‘higher coupon’ +665bps, whilst TICP 2018-3R E covers lower 96.65 at 678dm whilst the ADR is 4x higher 2.2 and cashflow is lower +590bps so risk adjusted return is weaker overall, our generic secondary curve for BBB remains flat at 371dm.  1 x single-B trade today, MVEW 2019-1A F (Seix) CVR is 97.1 at 944dm which is right at our generic secondary level of 939dm, credit performance on the deal is clean, manager performance is slightly weaker to peers and MVOC is healthy at 104.5 with strong cashflow with a margin +870bps.  This feels like an archetype single-B bond despite the current rating of Caa1, Jnr OC cushion is strong at 3% so little prospect of interest diversion with equity yield strong.

USD CLO Mezz/Equity

A quiet end to the week with US LLI +7bp on the day.  Our IG generic curves have widened a little on the week, AAA 116dm, AA 173dm, A 217dm with SubIG reasonably flat WoW. Just two trades today, both are ‘higher’ margin BBBs (310/355bps) that trade at their par ceilings, new issue BBBs in H200s-300a context and generic secondary levels firm as mentioned.  AIMCO 2019-10A D is callable with high margin +355bps (NC April 2021) and credit performance very clean, ARES 2015-2A DR also has very clean metrics but NC is Jan-2022 but covers 100.07 at 309dm (EoRP 2025) as more evidence that the market is pricing in stability at this rating level through the end of the year.

USD CLO AAA

Heavy lower mezz supply today into a 5bp rebound in US LLI on the day with tone relatively mixed and tiering significant.  4 x AAA trades all hitting their par ceilings, CIFC 2020-1A A1 at 100.26 163dm is highly callable with NC just passed and with a AAA coupon of +170bps and excellent performance mainly given the 3.0 nature of the deal.  Our AAA generic curve is 112dm.

USD CLO Mezz/Equity

16 x BBB trade in a 261dm-447dm range, new issue is in H200s/300bp context and bonds with coupon > 300bp with strong MVOC >110 cover at par ceilings.  With the remainder of trades there is significant tiering effect driven by MVOC and credit effects mixed with some manager tiering.  CGMS 2013-4A DRR trades lowest in cash px terms 93.5 at 389dm, driven by the effect of the ‘lower’ coupon +265bp coupon but also MVOC is low 108, ADR is high 1.6 whilst Carlyle’s record is a touch lower than its peers.  Our generic secondary curve is 369dm.  At the BB end, we tightened our generic curve slightly to 644dm (similar to new issue context), we observed 9 trades in a 522dm-734dm range.  2 bonds that hit their par ceiling both have coupons > 670bps so have inherent callability despite NC periods 2-8 months away, this is a positive tone for the market in the short-medium term.  For the remaining bonds, margin structure has less impact and instead credit and manager profiles are key drivers, WELF 2017-2X D covers at weakest level 97.4 cash px 734dm / 5.5y WAL – low MVOC 105, high CCC 9.4 and Jnr OC cushion is at the lower end 1.9 with Wellfleet’s performance lagging peers slightly.

USD CLO AAA

We observed 30 trades today and US LLI retreat 2bps on the day with some mild softening across mezz.  One AAA trade OZLM 2018-18A A CVR at par ceiling 99.99 (coupon +102bps) at 102dm / 3.7y WAL – metrics are clean from this CLO from Sculptor.  Our generic secondary curve is 111dm for AAA.

USD CLO Mezz/Equity

AA bonds also hit their ceiling (coupon structures +240-250bps) with new issue in 160bps context and our generic secondary curve 173dm.  At single-A all bonds hit their par ceiling aside from ICG 2014-3A B1RR (ICG) that covers 99.75 at 190dm / 5.5y WAL (EoRP 2023).  It is indeed the coupon of the bond (+185bps) that has driven execution with new issue in 200bps context and our secondary curve 214dm, this bond does not share the same callability likelihood as other bonds that trade today at par ceilings carrying coupons of 215bps+.  At the BBB level two bonds are closest to their par ceilings, coupon structures are +300-360bps on these with new issue in late200s/300bps context they are callable.  The remaining 4 x BBB trades are at larger discounts to par whilst these have coupons <300bps.  OCT35 2018-1A C trades 98.45 289dm / 6y WAL which is the most significant discount to par (+260bps coupon) with ADR high at 1.5, CCC high at 9.5.  Our generic secondary curve is 367dm.  At the BB level our generic curve softens slightly to 647dm whilst credit and MVOC play a major part in execution, NEUB 2017-26A E covers 99.28 604dm / 6.3y WAL (coupon +590bps) with MVOC 107.3 and low ADR 0.8 and very strong Jnr OC cushion 4.2.  Conversely SNDPT 2017-2A E covers 89.52 at 837dm / 6y WAL (EoRP 2022) with a similar coupon +610bps – MVOC is cuspy at 103, ADR is high 1.6 and Jnr OC cushion is low at 1.4.

USD CLO AAA

24 covers today across the capital stack, whilst US LLI lost 5bp on the day.  AAA bonds hit ceiling levels with 3.0 bonds (2020 vintage) trading 100.30 and highly callable (NC last month).

USD CLO Mezz/Equity

AA trades also hit their ceiling, with a ‘tight’ OCT14 2012-1A A2RR (+150bps coupon) CVR 100.05 at 149dm (EoRP 2022) with new issue in 150-170bp context, our generic secondary curve is 171dm.  Two single-A trades today, with one trading at a discount, LCM 26A C covers 99.06 at 199dm / 5.3y WAL – coupon is +180bps with new issue 180-200bps context and our secondary curve slightly wider to this at 208dm.  The metrics on this bond are a little weaker whilstthe coupon (as mentioned) is cuspy for reset, hence suffered – MVOC 116.3, ADR is 1%, Jnr OC cushion is low 1.6 and LCM’s manager record is weaker to peers.  At BBB, new issue is in late 200s-300a context whilst our secondary curve is wider at 371dm reflecting the disparity between primary and secondary at this mezz rating grade. 

TIA 2017-2X D covers weakest 94.76 given the margin structure (+260bps coupon), inexperienced manager (4 x CLOs under management) with slightly below performance metrics, MVOC is lagging at 108.5 and Sub80 asset bucket is high at 3.3%.  Trading range today is 298dm-405dm with the wide end of this range a 3.0 bond FCO 2020-13X D which is highly callable with a coupon of +405bps.  At BB, trading range today is 599dm-768dm, whilst our generic secondary curve widens slightly to 645dm.  MVOC drives tiering with coupon structure having less of an influence, at the wide end is JEFFM 2015-1A ER CVR 93.52 at 768dm / 7y WAL – MVOC is low at 104.5, ADR is elevated 1.7, Sub80 also elevated 2.8 and Jnr OC cushion is cuspy at 0.97 with little in the way of call likelihood given the margin is +645bps, credit weakness and Shenkman’s weak manager record.

EUR AAA CLO

There are 2 x AAA trades today. They have traded around 100.30 area / 120dm area. This looks like a tightening in the AAA secondary curve of around 4bps.

USD CLO AAA

US LLI continues its climb (+6bps on Friday close) with only a handful of trades today, all AAA.  Our AAA generic curve remains unchanged at 109dm.  Trades all hit their ceiling with the premium driven by the margin structure of the bond, ICG 2019-1A A1A has a ‘high margin’ and strong cashflow +138bps to NC (July 2021) and covers at 100.41 at 130dm / 5.2y WAL.  At the other end of the scale is TRNTS 2016-5A ARR (lower margin +103bps) with CVR 100.02 at 102dm with the bond post NC and delevering so has a shorter WAL 1.6y (EoRP 2020) which is the key driver of the duration and execution price, given limited window to call this bond before it pays down in full.

USD CLO AAA

A quiet end to the week with 8 trades, predominantly senior with US LLI continuing its ascent +3bp on the day.  AAA hit par ceilings all around, even coupons as low as +98bps (SPEAK 2015-1A AR2 CVR 100.10 at 93dm from Orix).  Our AAA generic curve is 109dm.

USD CLO Mezz/Equity

AA trade identically to AAA and also hit their ceilings, with new issue 150-160bps context and our generic secondary curve 171dm.  TICP 2017-9A B with coupon +160bps covers at 100.06 (159dm / 4.8y WAL) with the bond callable and the margin suggests it is cuspy for a reset, implying the market expects to tighten, the bond has clean metrics all round with a mixed manager record (good average default rate but key cushions are weak to peers).  At BB our generic curve is 641dm which is around 7dm tighter from month end (new issue in similar context), with one trade today OZLM 2015-12A D (Sculptor) cover near par 99h – deal is post EoRP so bond has a shorter WAL 4.3y but is not ‘callable’ given the margin structure, ADR is high 1.5, Sub80 are healthy 1.7, CCC high at 9.8% and Jnr OC cushion is strong 2.3% whilst MVOC is 106.8.  Market expects a tightening effect given the disparity between new issue and margin structure of this bond is that is to be inferred.

USD CLO AAA

A lot of liquidity today, mainly IG but across the stack with just shy of 70 trades, US LLI +5bp on the day.  AAA all hit their par ceilings, with one small exception, STCR 2018-1A A covers 99.92, bond coupon is on the lower end +101bps (103dm), also metrics are at the weaker end (MVOC 147, ADR 1.5, CCC 8.7 and Jnr OC cushion 1.7) whilst the manager’s record is also at the weaker end of its peer group.  Our generic secondary curve remains at 109dm.

USD CLO Mezz/Equity

AA trade in similar cash price context to AAA with one exception DRSLF 2015-41A BR cover 99.42 – bond coupon is at the low end +130bps (so less inherent callability) and MVOC is also at the lower end 127.2 whilst other metrics are clean.  Our generic secondary curve widens slightly to 174dm with new issue 150-155bps context.  High coupon 3.0 CLO AAs (240-250bps) trade at highest cover prices 100.22-100.32 (234dm-246dm) given callability and high risk adjusted returns (see trade listing for full details).  Single-A are also similar in trading execution context, with one trade outlier BLUEM 2018-3A C cover 99.8 (bond coupon 220bps), MVOC is at the lower end 117.8, ADR is elevated 2% and Jnr OC cushion is cuspy 1.6 whilst the manager Assured IM’s record is a little weak to its peers in key metrics.  Our generic curve is 209dm with new issue in late 100s context.  At BBB our generic curve widens slightly to 364dm, 2 bonds trade at par ceilings where bond coupons are tight or in line with new issue (255-280bps).  Notably, at the wide end is MCLO 2017-10A C (Marathon) with CVR 93.76 at 506dm (end of 2021 EoRP and callable) – MVOC is low at 107.3. ADR is elevated 2.3, Sub80 is high 3.2 and Jnr OC cushion is cuspy 0.4.  BB trading range today is in a very wide dispersion 512dm-854dm with significant tiering.  BLACK 2014-1A D (Black Diamond) covers at its par ceiling , this is a very short WAL 3y (EoRP was 2018) and MVOC is high at 121.5 and Jnr OC cushion is strong 17.8% more than compensating for all other credit metrics being weak.  At the wide end is VENTR 2017-26A E CVR 92h at 854dm (EoRP 2022) with a high coupon +680bps and is callable, but metrics are weak - MVOC low 103, ADR is elevated 1.8, Sub80 is high 4.6 and the manager’s record is weak the market does not anticipate this bond to be callable all things considered.  Our generic secondary curve is 638dm.  A handful of Single-Bs trade today with the dispersion 922dm-951dm with our generic curve widening slightly to 935dm.  There is one outlier ‘distressed’ trade today, SNDPT 2013-2RA F covers 75.67 at 1407dm / 5.5y WAL (Sound Point) – MVOC is cuspy 100.4, ADR is elevated 1.6, CCC are high 9.8, Jnr OC cushion is low 1% but bond is current.

USD CLO AAA

Twenty covers today, the vast majority are mezz whilst US LLI continues to rebound +8bp on the day.  One AAA trade today CIFC 2018-3A A (coupon +110bps) covers at par ceiling 100.055 109dm which is right on our generic AAA secondary curve.

USD CLO Mezz/Equity

3 x BBB trades trade in a 354dm-434dm range, our generic curve is 361dm with new issue grinding tighter from the late 200s we have seen recently.  With this said, VENTR 2016-25A D2 has a high coupon +421bps and is callable (post NC) and trades close to par as a result 99.44 at 434dm / 4.8y WAL – metrics are average with Jnr OC cushion slightly weak 1.6, ADR 1.8, sub80 bucket elevated at 4.9 but CCCs are within the threshold at 5.7.  At the BB level our generic curve tightens to 636dm (which again is around new issue context), trading range today is 558dm-699dm with a significant amount of tiering given the array of profiles, performance and managers.  Bonds with stronger MVOCs drive execution levels with coupon structures in a low dispersion 540bps-632bps today.  At the tight end is ALM 2016-18A DR (post EoRP – Jan 2021) and the shorter WAL driving direction to an extent, covers 99.68 at 558dm / 4.8y WAL with a strong MVOC 108 (likely to improve as deal delevers if not reset) despite ‘lower’ coupon +550bps (ADR 1.5 and Sub80 is low 0.5, CCC 6.1 and Jnr OC cushion is healthy 2.6) whilst the manager has a good record versus peers.  At the wider end is TRNTS 2018-8A E (similar coupon +590bps) CVR 94.26 699dm / 6.8y WAL – here the WAL is longer (EoRP 2023), MVOC is >2pts lower 105.9, CCC is higher 7.7 and manager profile is equal to peers.

EUR AAA CLO

There are 5 x AAA trades today. All traded L100h which is around 120dm. It doesn’t look like the AAA curve has changed.

USD CLO Mezz/Equity

20 covers today, all mezz with the majority Sub-IG, note that US LLI dived 7bps on the day and as a result we saw some mild weakening in mezz dm’s.  At the AA and A levels there was less of an impact with bonds trading at their par ceilings, with new issue continuing to show a tightening feel (+150bp and +190bp context for AA & A respectively) even RRAM 2018-3A BR2 single-A (with coupon +180bps slightly inside new issue) trades at it’s par ceiling, market pricing in future tightening effect as mentioned yesterday.  BBB new issue talk now a shade tighter at +270-280bps but SNDPT 2013-1A B1R and NCC 2018-IA D both trade at a significant discount despite bond coupons in line with new issue (+270-300bps) and post NC, furthermore SNDPT 2015-1RA D1 which has a high coupon +375bps and NC is later this year trades at a discount (96.33) at 455dm.  Our generic BBB curve widens slightly to 360dm given the inherent callability likelihood is lower at this end of the stack despite coupon structures in line with new issue (and unlike AA/A), market is not pricing in callability likelihood on BBBs through end of year even at premium coupons to new issue, as mentioned.  At BB, our generic secondary curve shifts +2dm to 643dm, new issue remains in similar context, the effect of higher coupons have less of an impact at this end of the curve since credit factors and manager experience have far more influence.  Trading range today is 607dm-784dm, with APEXC 2019-2A E at the wide end 95.15 CVR at 984dm / 8.1y WAL – this also has a longer WAL (EoRP 2024), key credit factors / MVOC are aligned with comps but the manager’s (Apex) record is weaker than its peers with default rates almost double the peer group.

USD CLO AAA

A quieter start to the week, with a long holiday weekend in Europe as well, we observed 6 trades today, all high grade.  One x AAA trade NEUB 2017-16SA AR hits the par ceiling CVR 100.063 at 103dm / 6.7y WAL (coupon +104bps and NC 2023) whilst new issue remains in 105-115bps context and our generic secondary curve is 109dm so the market is pricing in some medium term tightening effect.

USD CLO Mezz/Equity

5 x AA trades all trade around their ceiling, with new issue context 150-170bps and our generic secondary curve slightly back to this at 174dm, lower coupon bonds (coupon<140bps) post NC trade at a very small discount, eg. OCT36 2018-1A B CVR 99.85 (+139bps coupon) at 142dm / 5.3y WAL despite the strong MVOC 132.9 and clean metrics, callability / coupon structure drive direction at this end of the capital stack.  Bonds with coupons >150bps (with NC of Oct this year in the case of MDPK 2016-22A BR) hit their par ceiling with market expecting a short-medium term tightening effect.

USD CLO AAA

US LLI hits a YTD high today (+4bp on the day) and we observe 25 trades today and AAA trades all hit their par ceilings as expected, a couple of bonds including VIBR 2018-8A A1A have MVOC <150 and an elevated ADR (1.5)  cover with a very small discount 99.95 at 116dm.  Our generic AAA curve is 108dm.

USD CLO Mezz/Equity

BBBs trade 301dm-431dm, our generic curve is 362dm with new issue in 290s context.  Execution today is not close to par despite the array of coupons on BBB trades > 300bps with a number of bonds with cuspy Jnr OC cushions so credit driving the tiering along with MVOC and manager profiling.  At BB our generic curve is 648dm with new issue in similar context, all trades today have coupons < 640bps so execution is at a discount across the board, however a short WAL bond GALL 2017-1A E covers at a tight level 98.87 at 574dm / 3.8y WAL (+540bps coupon) given a strong MVOC 107 and strong cushions (given the deal is delevering).  At the wide end is WITEH 2018-12A E CVR 93.86 at 756dm / 7.1y WAL (coupon +640bps) despite reasonable metrics the manager profile is inexperienced and performance has been lacklustre versus peers so this has a pronounced effect upon execution.  One x single-B trade YCLO 2018-1A F (York CLO) EoRP 2023 CVR 91.78 at 928dm which is right on our generic curve of 920dm – metrics looks clean (MVOC 104.8, ADR 0.99, Jnr OC cushion 4%) and this is a very good proxy for single-B.

EUR AAA CLO

There are 5 x AAA trades today. All have been callable for a while. All traded between 111dm and 124dm.

USD CLO AAA

Just shy of 40 trades today across all ratings.  AAA trade at par ceilings almost exclusively, including a 2nd pay LCM 30A A2 100.05 at 164dm / 7.4y WAL.

USD CLO Mezz/Equity

One double-A bond covers at par ceiling, single-A bonds cover near par and driven mostly by the margin structure.  Our generic curve is 227dm with new issue tighter and NEUB 2013-14A CR2 has a higher coupon +190bps and hence has higher callability with CVR 100.04 189dm, ARES 2018-47A C (coupon +175bps) CVR 99.71 at 181dm / 5.5y WAL.  BBB trade 281dm-407dm, our generic curve continues to grind tighter to 359dm.  WELF 2017-2A C is the standout bond with CVR 100.00 at 340dm, coupon is +340bps and NC was in March whilst the deal has good metrics aside from an elevated CCC 9.4% so callability is high.  At the BB level our generic curve tightens to 648dm (new issue around similar context) with bonds with coupons lower than 600bps trading the furthest distance from par, ATRM 12A ER (+525bps) covers 98.27 at 571dm / 4.3y WAL so whilst a lower coupon the MVOC is at the lower end 105.7 and CCC is very high 12.4 but other metrics clean.  Our Single-B curve tightens around 8dm to 920dm, AIMCO 2015-AX FR covers closest to par 98.65 (coupon +700bps) at 736dm / 4.5y – the MVOC is elevated (vs comps) at 105.7, ADR is low 0.2, Sub80 assets are low 1.7 and cushions strong from a manager with an excellent track record hence the tight level.

USD CLO AAA

US LLI continued to rebound and was up 3bp on the day (vs +8bp yesterday) with more than 30 trades executing into this form across all rating categories.  AAA bonds trade at their par ceiling, our generic curve is unchanged at 108dm which is close to new issue levels.

USD CLO Mezz/Equity

AA also behaves similar to AAA and trade at its ceiling, our generic curve is unchanged at 177dm with new issue 150-170bps guidance.  Single-A also trade at their par ceiling for the majority of trades, with our generic curve tightening in to 231dm (new issue 175-205bps guidance) only CRMN 2013-1A CR with a ‘lower’ coupon of +180bps trades at a small discount 99.90.  Another outlier trade is TRAL 2013-1A CR (EoRP 2021, coupon +280bps) covers at a discount 99.77 at 285dm due to weaker fundamentals (MVOC is low 115.6, Jnr OC cushion is cuspy 0.8 and manager record is weak).  At BBB our generic curve sharpens to 360dm with new issue in L200s-300area.  Higher coupon (>320bps) bonds with elevated MVOCs trade at their ceilings with tiering for the remainder driven by MVOC, credit factors and manager experience.  At the wide end is RMRK 2018-1A D (Shenkman Cap) CVR 94.28 at 407dm (coupon +302bps), EoRP is 2023 with a low MVOC 108.8, high ADR 2.3, cuspy Jnr OC cushion 1.1 whilst a weak manager record.  At BB our generic level maintains at 651dm with new issue in similar context, MVOC is a determinant in tiering but credit factors and manager experience play a bigger part in influencing execution levels as opposed to inherent callability (see PriceABS trade listing for full breakdown and analysis).  2 x single-B trades today, dm range is 888-973dm with tiering driven by MVOC, BALLY 2018-1A E covers 90h at 973dm / 8.4y WAL (EoRP 2023) – lower MVOC 103.2 with all other fundamentals clean with DRSLF 2013-28A B3LR covers 94.63 at 888dm / 6.4y WAL (EoRP 2022) – higher MVOC 105.2 with clean metrics, our single-B curve tightens by 3dm to 928dm.

EUR AAA CLO

Just 4 x AAA trades today. All four covered L100h which is L100s DM.

USD CLO AAA

A quieter start to the week with 10 trades and upbeat loan market (US LLI +8bps on Friday close).  Our AAA curve has shifted marginally tighter on the week to 108dm with new issue 105-115bp talk.  The only AAA trade today is a wide MM CLO from Cerberus CERB 2018-4RA A1TR that covers 99.91 at 157dm, this deal is post NC but has credit issues (ADR is almost 3%, Sub80 almost 6% and CCCs / WARF 4427 are very high) despite the coupon +153bps.

USD CLO Mezz/Equity

Single-A bonds all trade at their par ceilings, coupon range is 240-265bps at 240-259dm.  Our single-A generic curve is 236dm whilst new issues are in late 100s context so execution levels today are at par.  At BBB our generic curve is 361dm with new issue 300bp area, MOCAP 2014-1A DR covers near par given implied callability (coupon +360bps) but more the fact that the WAL is so short <3y / MVOC high 134.4 and the deal delevering (EoRP 2018) whilst cushions strong at the mezz end (Jnr OC cushion 6.4%).  On the other hand MCLO 2015-8A CR covers at a significant discount 92.09 – a number of reasons, the manager profile is very weak, MVOC is at the weaker end 108, ADR is elevated 2.9, Sub80 bucket is high 4.3, CCCs are high 10.3, Jnr OC cushion is -0.3 and tranche has endured 1 payment date PIK whilst is current last 3QTRs.  At BB our generic curve has shifted tighter on the week to 650dm whilst new issue is in 630bp area.  All bonds traded today have coupons < 630 and trade at a discount as a result, at the wide end is DEN16 2018-1A E that covers 89.03 at 786dm / 6.3y WAL (EoRP 2023 and post NC), credit performance is fine albeit slightly depressed Jnr OC cushion 1.1%.  The margin structure and the weaker manager record to peers have contributed to this discount to par.

EUR AAA CLO

Just 1 x AAA trade today. Avoca 22 traded at 100.18 / 112dm. It is performing well and isn't callable for over a year.

USD CLO AAA

Once again a heavy day of liquidity across the capital structure with 36 covers, US LLI bouncing back 9bps after 3 days of softening.  All AAAs hit their ceiling with those bonds closer to 100bps coupon trading closest to par and those with higher coupons and longer NCs trading at the highest premiums, eg. HLSY 2020-3A A1A (margin +145bps callable in 1y) covers 100.43 137dm.

USD CLO Mezz/Equity

Single-As trade at their ceiling, with the exception of COOK 2018-1A C CVR 99.57 at 183dm / 5.6y WAL.  Single-A new issues in the L200s and our generic secondary curve 233dm, this bond has a ‘lower’ coupon +175bps and is post NC so does trade with a small discount given callability likelihood.  BBB new issue is in L300s, our generic secondary curve is 357dm so bonds that typically have coupons >320bps hit par ceilings.  One exception today is OAKCL 2019-1A D (+380bps coupon) covers at a large discount 98.01 at 413dm / 7.1y WAL (EoRP 2024) with credit factors accounting for this – MVOC is lower 108.7, ADR elevated 2.7, CCC > 7.5 at 8.2 and Jnr OC cushion is cuspy 0.4.  At BB level, new issue is well into the 600s and our generic curve is 655dm, so higher coupon (675-700bps) commanding best prices 97-99 but there are some exceptions.  For instance, BABSN 2017-1A E (+600bp coupon) covers M99h given strong credit performance (MVOC 106.8, ADR 0.4, Jnr OC cushion 3.4).   Another day with single-B trades which provide some further data points.  Our generic secondary curve is 931dm, credit factors are the major influence here, for instance VENTR 2015-20A F covers MH80s 1053dm / 3.8y WAL – MVOC is cuspy 101, ADR is elevated 2.8, Sub80 is high 5.0, CCC is high 9.3 and Jnr OC cushion is cuspy 0.6 whilst the manager has a weaker record to its peers.  With little in the way of callability at this end of the stack these credit factors and manager profile drive tiering.  See PriceABS trade listing for more information.

EUR AAA CLO

There are 5 x AAA trades today. All are from 2017 and 2018 vintages and have been callable for over a year. Traded spreads are in the 120h to 130h area, which on average is 2 to 3bps tighter. Today Bloomberg have reported that Arbour 9 priced its new issue AAA at 80 over which is about 3bps tighter than recent deals although some of this tight print will be because OakTree are a very popular manager, rather than general market moves.