USD CLO Mezz/Equity

There is only one trade today at the BBB level.  US LL Index -7bp dod.  Blackstone's GILBT 2017-1A D covers 99.49 at 307dm / 5y WAL (EoRP 2022), which is close to our generic BBB index 327dm, credit metrics are clean and Jnr OC cushion is strong 4.4 whilst MVOC is healthy 113.

EUR AAA CLO

There are 2 x AAA trades today. For the first time in several days there are signs of firmness in AAA levels. Barings Euro 2019-1 traded well at 99.96 / 118dm. Anchorage 2021-4 traded at 105dm.

USD CLO Mezz/Equity

Around $100m of liquidity today as US LL Index bounces back +9bp dod, with trades all in the mezz category.  AA trades are all longer wal (EoRP 2026), with all trades at a discount to par and dm range 172dm-185dm for clean credits, high coupons from good managers.  A softer feel given the dm range and associated longer wal, we have seen spotty trading in this profile in recent weeks at the tighter end of today’s dm range.  Our AA index shifts to 163dm.  At single-A trading range is 196dm-223dm with our index in the middle of this range 209dm, GRNPK 2018-1A C sees weakest execution at 98.83 at 197dm / 4.7y WAL (EoRP 2023, +170bps coupon) driven acutely by the low coupon +170bps.  At the BBB level the trading range is 333dm-354dm with our BBB index 328dm, so a softer feel given the profiles of bonds are clean (judging by strong Jnr OC cushions and low ADRs) and not all long wal (all bonds trade at a discount). 

EUR AAA CLO

There are 4 x AAA trades today. AAAs are still showing softness. The average traded spread is 100dm and that is inspite of Dryden 39 2015 and Contego 4 being in amortisation.

USD CLO AAA

$56m of liquidity across 12 trades today – AAA and BB.  US LL Index -29bps on the day, the loan market seeing signs of correcting and aligning with HY.  Given this the continued theme of AAAs trading at a small discount as opposed to par ceilings continues, 7 trades at a discount today and MVOC is the key driver to tiering as expected.  We maintain our AAA index at 112dm which was Friday’s close.

USD CLO Mezz/Equity

At the BB level there are some weaker bonds out on lists with all bonds with MVOC <105.5, ADRs elevated close to 1% for the main part and Jnr OC cushions < 3% for short wal bonds (EoRP 2022).  Execution levels are between cash price 92h and 97h with dm range 738dm-874dm so far higher than our BB index 691dm given the reasons mentioned and softer loan market feel. 

EUR AAA CLO

Just 4 x AAA trades today. They are all in the MH99h area which is around 120dm. These price ranges are not precise enough to determine whether there has been further softening in AAA spreads.

USD CLO AAA

23 trades to round out the week today with >$140m of liquidity, US LL Index -10bps change on the week.  A softer feel at the top of the stack with our AAA index finishing the week 112dm, whilst $113m of trades execute at a discount to par despite margin structures >+100bps and benchmark managers like CIFC and CVC. 

USD CLO Mezz/Equity

At single-A the trading range is 193dm-249dm with our single-A index 209dm, 2 trades hit their par ceilings with both trades post reinvestment bonds with coupons >+215bps.  At BBB there are $13m of trades in a 305dm-397dm range with our BBB index finishing the week 328dm, best execution is AWPT 2020-11X D1 at 99.27 at 397dm / 7.3y WAL – high coupon +385bps, long wal (EoRP 2025) and credit metrics clean with a strong Jnr OC cushion 5.1.

EUR AAA CLO

A number of senior bonds traded today. There are 9 x AAA trades. AAA Spreads look softer again on the day to us, after a few days of consolidation. A lot of the bonds are amortising – these traded at an average spread of 107dm. The non-amortising bonds traded at 112dm.

USD CLO Mezz/Equity

14 trades with $45m of liquidity today, US LL Index -3bps whilst BBB spreads continue to remain firm.  All 8 x debt trades are BBB rated, in a 303dm-411dm range.  2 trades that hit their par ceilings are driven keenly by their margin structure and wal, firstly a short dated ALLEG 2016-1A DR which is post reinvestment and carries a +380bps coupon covers 100.18 at 374dm / 4y WAL whilst BRDGS 2020-1A C covers 100.17 at 411dm / 8.1y WAL (EoRP 2026) with a high coupon +414bps (manager Franklin Sq).  In contrast a high coupon bond MP17 2020-1A D (+375bps) covers at 99.00 at 391dm / 7.3y WAL (EoRP 2025) but here the manager record is weaker to peers and appears to drive execution given credit/MV metrics are clean.  Our BBB index tightens to 332dm.

EUR AAA CLO

Another busy day for EUR CLOs. Most of the activity is in BBBs but dealing with the AAA first – Sound Point 7 traded back at tighter levels (109dm) after the recent days softening. However there was only one AAA trade to look at.

USD CLO AAA

46 trades today with almost $280m of liquidity, US LL Index is flat dod whilst liability spreads broadly flat with some mild tightening in BBB.  At AAA there are 8 trades with one hitting par ceiling CBAM 2018-6A A1R has a high coupon +127bps and covers at 126dm / 2.9y WAL (EoRP 2023) with CBAM’s manager record at benchmark levels and metrics on this bond reasonable.  In terms of the other trades that trade at a small discount, bond coupons are < +122bps from some benchmark managers with good bond performance and similar EoRP profiles to the CBAM bond so there is some shift to a higher coupon threshold at the AAA level.  Our AAA index is 111dm.

USD CLO Mezz/Equity

11 x AA trades in a wide dispersion 152dm-216dm with no trades at par ceilings with those bonds with a margin <+150bps seeing weakest execution, our AA index is 158dm.  The wide end of the dm range is not due to credit but rather higher coupon bonds (+200-205 bps) with covers near par.  15 x single-A trades and just under $100m of notes changing hands, dm range 182dm-259dm whilst our single-A index shifts tighter to 206dm, 3 trades that hit their par ceilings have bond coupons > +200bps, strong MVOC 120+, low ADR and strong Jnr OC cushions 4.5+.  11 x BBB trades in a 294dm-350dm range with our BBB index shifting slightly tighter to 335dm.  5 bonds hit their par ceilings, bond coupons >+295bps and strong credit / MV metrics whilst those trades at the heaviest discounts have similar profiles in terms of term and margin but manager tiering is more pronounced, eg. TCW 2020-1A DRR covers at 99.28 at 350dm / 8.3y WAL (+340bps coupon, low ADR 0.4, low Sub80 0.2 and strong Jnr OC cushion 5.3) but the manager is inexperienced with a weaker record to peers.  Just one BB trade BATLN 2017-11A ER (EoRP 2026, margin +685bps) covers at a discount 98.77 at 704dm / 9.1y WAL – Sub80 balance is high at 3.5 whilst other metrics are broadly in line, this compares with our BB index 691dm.

EUR AAA CLO

Another busy day of BWICs. AAAs are steady today, after yesterday’s widening. The range of DMs is from 105 to 119dm with the exception of Ares Euro 14 which traded at 133dm because of its high AAA margin of 112bps. Avoca 11 and Harvest 12 are amortising and have short WALs of 1.6yrs.

USD CLO AAA

44 trades today with $275m of liquidity across the stack, US LL Index -1bp dod.  The bulk of the supply is from AAA trades with $182m of trades with manager choice once again influencing execution levels with around 14 trades trading at a discount to par with reasonable performance.  Our AAA index shifts slightly tighter to 110dm.

USD CLO Mezz/Equity

4 x AA trades in a 155dm-174dm range with our AA index at the tight end of this 158dm, MVOC and Jnr OC cushions influencing tiering here all things considered.  2 x single-A trades in a 195dm-196dm range with our A index flat dod at 207dm, coupons are lower on the two trades (+170-175bps) and cover prices are at a discount to par.  2 x BBB trades 380dm-388dm (our BBB index 340dm), high coupon bonds +360-395bps with CFIP 2013-1A DR (high coupon +395bps, manager CFI partners) covers at par ceiling at 388dm / 4y WAL with MV and credit metrics overall clean.  8 x BB trades in a 675dm-824dm range, with our BB index 690dm there is some dispersion in execution levels with no trades at par ceilings.  Weakest execution is OFSBS 2017-1A E CVR 90.25 at 808dm / 4.75y WAL – low MVOC 103.7, elevated Sub80 bucket 2.8, cuspy Jnr OC cushion 1.6 whilst the bond is post reinvestment and managed by OFS which is an inexperienced manager.

EUR AAA CLO

A very busy day for EUR CLOs today. There are 8 x AAA trades. Even though AAAs have been issued at +92 some deals are being marketed wider eg the reset of Oak Hill 3 at 94-96 and this is reflected in secondary levels today. AAAs are wider by up to 4bps, although at some of these levels the bonds DNT’d.

USD AAA CLO

30 trades today with just under $150m liquidity, US LL Index +8bps dod and spreads broadly flat on the day.  A large list of AAAs with a dispersion of prices and dms, dm range is 93dm-126dm and just under half the bonds trade at a small discount to par.  The overriding theme for the bonds that trade at a discount today is manager profile given the bond/deal metrics are not materially out of place, the managers include new/debut managers (eg. Birch Grove Capital LP) and those managers with weaker profiles to peers (eg. Sculptor), whilst Nassau’s NCC 2018-IA A has the poorest execution level 99.76 at 122dm / 3.2y WAL despite a short wal (EoRP 2023) and +115bps coupon the MVOC is low at 147, ADR is high 1.5, Sub80 high 3.6 and Jnr OC cushion cuspy 1.9.  Our AAA index is 111dm.

USD CLO Mezz/Equity

2 x low coupon AAs trade at a discount to par, coupons are +137-140bps and dm range is 150dm-151dm with our AA index 161dm.  In similar vain a low coupon and post reinv / short wal single-A BABSN 2013-IA CR +150bps margin covers at a discount 99.52 at 168dm / 2.7y WAL, our single-A index is wider at 207dm (longer wal).  3 x BBBs trade, low coupon and post reinvestment (strong MVOC 111 area) so execution 225dm-287dm is inside our index 340dm.  4 x BB trade in a 699dm-830dm range, bond coupon range is high +700bps-795bps with 2 bonds hitting par ceilings as expected.  VENTR 2021-41A E has weaker execution with cover at 96h at 830dm / 8.8y WAL, this has a longer wal (EoRP 2026) and high coupon +771bps but the weaker manager profile appears to pull execution back.  Our BB index is 688dm.  One x single-B trade VOYA 2017-3A ER which has a longer wal (EoRP 2026) and bond coupon +870bps, average performance overall, slightly weaker manager profile vs peers but strong Jnr OC cushion and covers at 95.05 at 955dm / 9.3y WAL which is close to our single-B index 944dm.

USD CLO AAA

10 trades today with $70m of liquidity, US LL Index finished +10bp wow whilst spreads overall softened slightly across the liability stack.  At AAA all bonds hit their par ceilings where bond coupons are as low as +100bps, our AAA index is 111dm.

USD CLO Mezz/Equity

A large handful of BB trades today with a wider trading range, particularly due to a list of weaker credits (ADRs range from 1-2%, MVOC at the low end 104-105 and Jnr OC cushions <3%) and bond margins > +600bps.  At the softer end of execution today is VOYA 2015-3X DR (Voya) covers 89.5 at 843dm / 6.3y WAL which has EoRP 2023 – ADR is elevated 1.1, Sub80 elevated 2.6, MVOC low 104.1 and Jnr OC cushion is cuspy 1.6 whilst the manager profile is weaker to peers.  Our BB index finishes the week at 689dm.

EUR AAA CLO

The two AAA trades are at 167dm and 183dm and reflect the bp or two tightening that is shown in the +92 level of the New Issue market over the last few days. Additionally BlackRock 4 DNT’d but best bid was 100h. We presume it must have been L100h.

EUR AAA CLO

Just the one AAA, Dryden 44 2015, traded at 109dm.

USD CLO AAA

With today as month end liquidity was a little tighter than Friday with 19 trades and $144m exchanging hands, US LL Index -5bp dod whilst we saw a mild softening in some mezz.  AAA bonds continue to outperform and hit their par ceilings, a good example of this is OZLM 2017-21A A1 (Sculptor) that covers 100.02 at 114dm / 2.9y WAL (bond coupon +115bps, MVOC 153, WARF 2715) and at this level the bond coupon is the key driver of direction with other factors secondary to tiering.

USD CLO Mezz/Equity

10 x single-A trades today in a 194dm-235dm range wrapped around our single-A index 209dm, MVOC is a key driver of tiering with 4 bonds that hit their par ceilings with MVOC well in excess of 120%, ELMW8 2021-1A C1 covers at it’s par ceiling at 194dm / 7.6y WAL (coupon +195bps) and has excellent performance (MVOC121.8, ADR 0, Sub80 0.2, CCC 4.1 and Jnr OC cushion 5.1y WAL) with a longer wal given EoRP 2026.  3 x BB trades today, with execution levels just shy of par and dm range 682dm-704dm wider to our BB index inside these levels at 678dm.  BCC 2019-1A ER is a clean bond with coupon >700bps, benchmark manager Bain Cap and execution level 704dm / 9.1y WAL.

USD CLO Mezz/Equity

5 trades to end the week with loan prices softer whilst CLO spreads have held, US LL Index -44bps wow.  3 x BBB trades with one trading nearest our BBB index 334dm, OHALF 2013-1A DR2 covers near par at 99.99 at 305dm / 5.8y WAL - margin +305bps and metrics are clean with strong MVOC 112.7.  2 other trades are wide of our index given the high coupons +425 / +452bps with ZAIS 2019-13A D1 trading particularly wider at 604dm / 6.3y WAL (CVR 92.32) given weaker manager record, MVOC 110.5, high ADR 2.9, high Sub80 3.7 abd low Jnr OC cushion 1.9.  1 x BB trade CANYC 2021-2A E CVR 98.05 at 701dm / 9.1y WAL which is wide of our BB index 672dm - bond coupon +670bps, MVOC 107.7 below peers, weaker manager profile and despite clean metrics on this bond.

EUR AAA CLO

The 2 x AAAs, Toro 5 and ALME 3, traded at 109dm and 106dm respectively.

USD CLO AAA

An extremely active day with just under $300m of liquidity across 60+ trades across the capital structure, with US LL Index -5bp dod and a tightening tone on BB CLO spreads.  At AAA level there are 6 trades with 2 x 2nd pays which trade 132dm-164dm with OCT36 2018-1A A2 trading at a small discount given the lower coupon (+120bps) and lower MVOC 146.  Our 1st pay AAA index remains unchanged at 108dm.

USD CLO Mezz/Equity

2 x single-As trade in a 206dm-223dm range which is wide to our single-A index 203dm, the 2 trades don’t have strong metrics eg. Jnr OC cushions in 2.3-2.35 region with the higher coupon (+220bps) Assured bond BLUEM 2016-3A CR with an elevated ADR 1.3.  24 x BBB trades in a wide dispersion 290dm-557dm with our BBB index 336dm.  There are a number of outlier trades for credit reasons, whilst two long wal bonds hit their par ceilings, with key characteristics strong Jnr OC cushion (circa 5%) and MVOC >112 with bond coupons around +300bps.  In terms of outliers TELOS 2013-4A DR covers at a 6pt discount to par at 486dm / 4.3y WAL – MVOC is very low 107.5, ADR is elevated 1.1, Sub80 is high 3.1 and Jnr OC cushion cuspy 1.3 whilst the manager Telos AM has a weaker profile to peers.  11 x BB trades with the vast majority trading around our BB index value 678dm.  There are 2 outliers, MP18 2020-2A ER has a high coupon +770bps and as such trades 798dm / 9.6y WAL (clean credit/MV metrics) whilst the second bond trades wide the index due to credit reasons - MVW 2014-1A E covers at 86.21 at 1233dm / 2.3y WAL (post reinv) with MVOC low 103, ADR high 2.7, Sub80 bucket 11%, CCC high 8.7 and Jnr OC cushion 0.4.

EUR AAA CLO

6 AAAs have traded today, all between 104 and 109dm. We have adjusted our AAA curve a couple of bps tighter which fits in with the reset of CGMSE 2015-2 at 94bps yesterday.

USD CLO AAA

More than 40 trades today with in excess of $160m exchanging hands across the capital structure, US LL Index flat dod.  At AAA the dm range is 92dm-132dm with our AAA index unchanged at 108dm as the majority of trades hit their par ceilings, the outlier is ARES 2021-59A A which covers at a discount 99.95 at 104dm / 6.2y WAL – coupon is low at +103bps whilst metrics are clean with MVOC at the lower end of the range vs comps at 155.9 driving execution. 

USD CLO Mezz/Equity

There is one BBB trade MIDO 2014-3A DR which is slightly distressed and covers at 91h at a high dm 523dm / 5.1y WAL (EoRP 2023) – ADR elevated 1.24, Sub80 high 3% and Jnr OC cushion cuspy at 1% whilst manager profile a touch weaker to benchmark.  13 x BB trades in a 595dm-892dm range whilst our index tightens to 685dm.  MCLO 2018-11A D is an outlier trade with CVR 85 at 892dm / 5.8y WAL – MVOC at low end 104, ADR high 2.2, Sub80 high 2.6 and Jnr OC cushion very cuspy at 0.6 pushing this to weaker execution.  At the other end of the scale is GWOLF 2020-3RA DR CVR 99 at 700dm / 8.1y WAL which is a touch back to our index (coupon +692dm / EoRP 2025) whilst metrics are mixed – MVOC 108.6, ADR is elevated 1.7, Sub80 slightly high 2.1 but Jnr OC cushion is strong 4.8 emphasising the importance of strong credit metrics in terms of ADR/Sub80 to execution price which otherwise would have been closer to par and inside our index.

EUR AAA CLO

The two AAAs that traded today were around 114dm. This is an unchanged AAA level.

USD CLO AAA

Just shy of 40 trades today with $170m liquidity, CLO spreads remain firm at the mezz level whilst US LL Index -11bp dod.  1 x AAA trade DRSLF 2019-75A AR2 from PGIM (EoRP 2026, coupon +104bps) covers at par ceiling at 103dm / 5.9y WAL with only ADR at 1.12 and CCC at 7.4 the standout credit negatives.  AAA index remains 108dm.

USD CLO Mezz/Equity

5 x single-A trades with our index tightening slightly to 202dm, one trade hits par ceiling PIPK 2018-1A C (EoRP 2023, coupon +210bps, Partners Group) with reasonably clean metrics with the shorter wal preference as well improving execution.  7 x BBBs trading 259dm-422dm as our index shifting tighter to 333dm.  2 post-reinv bonds trade at their par ceilings with tiering amongst those in reinvestment driven by margins < 300bps, credit factors (ADR, CCC, Sub80 buckets), cushions and MVOC scaling.  DEN12 2016-1A DR has poorest execution with CVR 95.05 (EoRP 2023 / coupon +275bps) – MVOC is at the lower end 110.4, CCC elevated 7.1 and more acutely the Jnr OC cushion is cuspy at 1.4%.  At the BB level there was significant liquidity with 23 trades, more than $60m of liquidity and trading range 541dm-789dm whilst our BB index tightens to 693dm.  4 trades in reinvestment stage hit par ceilings, key characteristics are strong coupons (>+650bps), strong MVOC (>108), low/negligible ADR/CCC, strong Jnr OC cushions (>5%) and strong manager profiles (eg. Assured, CIFC).

EUR AAA CLO

The two AAAs that traded today were around 116dm. This is an unchanged AAA level.

USD CLO AAA

US LL Index fell 11bps dod with very few trades (seven) perhaps as a result of the softer tone with CLO liability spreads resilient as we saw 2 x SOFR referenced new issues price from AGL and Palmer Sq, some much needed price discovery here (AAAs priced +132-133bps / BBB +305-310bps) .  1 x AAA trade RAD 2020-7A A1 which is a 3.0 with high coupon +120bps / EoRP 2025 and covers at its par ceiling at 118dm / 4.8y WAL, this deal has clean metrics with a 157.8 MVOC.

USD CLO Mezz/Equity

1 x BB NEUB 2019-35A E covers near its par ceiling VH99s given high coupon +700bps, EoRP 2025 and strong MVOC 107.7 with sound credit metrics from a benchmark manager Neuberger, this trades near our index of 698dm.  1 x single-B trade also from Neuberger NEUB 2017-16SA FR with a +829bps coupon and long reinvestment period (2026), ADR is elevated at 1.5 and MVOC 104.9 is in the middle percentile - cover is 96h at 887dm / 9.4y WAL which is inside our B index 937dm.

USD CLO AAA

17 trades today, predominantly AAA and Equity, US LL Index +9bp wow and +2bp dod with $54m liquidity today.  AAA bonds continue the trend of trading at par ceilings with positive tiering driven by high coupon / long EoRP 3.0 bonds with clean credit, eg. GSM 2021-IIIA A1 covers 100.22 at 128dm / 5.9y WAL – coupon +132bps, EoRP 2026, Jnr Oc cushion 5.1, ADR & Sub80 buckets both zero.  Our AAA index is 108dm.

USD CLO Mezz/Equity

1 x BB trade today, TRNTS 2021-17A E CVR 97.75 at 738dm / 9.6y WAL, this bond has a +703bps coupon, EoRP 2026 and clean credit metrics from a relatively inexperienced manager Trinitas (8 x CLOs under management) perhaps preventing better execution and wide of our BB index 698dm.

USD CLO Mezz/Equity

Just under 30 trades today with $70m of notional exchanging hands at predominantly the mezz level, spreads remain flat overall whilst US LL Index +2bp dod.  2 x single-A trades which are inside our index level 207dm (and new issue in +210bps context) given the lower coupon structures (+175bps) these trade at a small discount to par, with GALXY 2015-20A CR better bid at 99.73 at 181dm / 4.8y WAL (stronger metrics – MVOC 123.8, ADR 0.3, Jnr OC cushion 4.8).  3 x BBB trades with a typically high quality bond from a Blackrock managed deal MAGNE 2015-15A DR covers at par ceiling at 274dm / 5.8y WAL, despite the lower coupon +275bps this hits its par ceiling given the exceptional performance of the deal and manager.  Our BBB index is 340dm.  $42m of BBs trade across 18 bonds in a 572dm-880dm range, our BB index is 695dm.  Notably the 3 trades that have the longest wals (EoRP 2025-2026) hit their par ceilings for a variety of reasons – coupon >600bps, strong MVOC >107.5, CCC well below 7.5% TH, low ADR/Sub80 bucket and high Jnr OC cushions <5%.  At the other end of the execution spectrum is ATCLO 2019-13A E CVR 91.61 at 880dm / 6.1y WAL – MVOC is low 103.7, ADR high 1.6, Sub80 high 2.5 and Jnr OC cushion low at 1.4 whilst coupon is reasonable at +695bps.  2 x single-B trades 817dm-931dm with performance reasonable on both bonds with 7-handle margins and MVOC 104.2-105.9, our single-B index is 933dm.

USD CLO AAA

61 covers today with circa $200m of liquidity, US LL Index +9bp dod whilst spreads remain firm across rating bands.  All AAA bonds (12 trades $51m) are hitting their par ceilings including bonds in reinvestment with coupons < 100bps.  Our AAA index is 110dm.

USD CLO Mezz/Equity

At AA our index is 166dm with 12 trades in a 155dm-196dm range with the few bonds that that hit par ceilings differentiated by strong MVOC (130+) and lower trending ADR and Sub80 bucket migration.  At single-A there are 18 trades in a wide dispersion 170dm-297dm (our index 208dm) with the majority hitting par ceilings given strong MVOC metrics and coupons typically >200bps for those still in reinvestment phase.  Weakest trade in terms of cash px execution is TREST 2017-1A B1R CVR 99.45 at 186dm / 5.6y WAL, metrics look clean but given the tight margin (+175bps), longer wal (EoRP 2024) and inexperienced manager Pacific AM (3 x CLOs under management) execution suffers slightly.  At BBB there are 6 trades in a 264dm-442dm range and all hit par ceilings with bond margins comfortably greater than 300bps, our BBB index is 341dm.  At BB there are 8 trades / $22m in a 530dm-864dm range, our BB index is 694dm whilst the 3 bonds that hit their par ceilings are post reinvestment with short wal.  3 trades still in reinvestment (EoRP this year) are tiered by MVOC and asset price migration (Sub80 buckets).