USD CLO AAA

US LL Index continues to soften (-6bp dod) whilst liquidity has been thin in CLOs with the traditional tapering off given Thanksgiving in 2 days.  2 x AAA trades today, both are MM CLOs with coupons +150-160bps cover at a small discount to par and trade 155dm-160dm, OR 2020-3A A1L was the last AAA 1st pay MM CLO to hit par ceiling 2 weeks back and this carried a coupon of +180bps, Guggenheim MM CLO 2021-4 is marketing now which will provide good intelligence on par AAA pricing for MM CLOs.  

USD CLO Mezz/Equity

TRYSL 2021-1A E which is a BSL CLO BB tranche covers at 96.13 at 811dm / 7.3y WAL, this is a 3.0 from new manager Sancus Capital with a 2024 EoRP and high coupon +738bps coupon, our BB index is 658dm with new issue +640bps context.

USD CLO Mezz/Equity

12 mezz / equity covers today, with a 10-line list DNT.  US LL Index -9bp on the day with rate hikes starting to be priced in (mid-2022) given the inflationary environment coinciding with Powell’s confirmation of the head of the Fed for another tenure.  There is little in the way of spread movement in CLOs felt yet.  2 x Single-As trade 206dm-209dm (coupons +205bps) with bonds trading at a small discount to par but near our single-A index of 206dm which in turn is in line with new issue guidance.  1 x BBB trade, WITEH 2015-10A DR which is short dated post-reinvestment (EoRP 2019) bond and covers at par ceiling at 293dm / 2.2y WAL – our BBB index is 322dm.  BBs trading today (for bonds in reinvestment phase) 587dm-770dm with our BB index 657dm, with AIGIM 2018-1A ER trading closest to par given the coupon structure (+660bps) and overall clean credit metrics and a strong MVOC 107.5.

EUR AAA CLO

There are 8 x AAA trades today. All bar Mackay Shields 2 traded between 100 and 110dm. Mackay Shields 2 traded at 182dm because of its very high 155bps margin. 3 of the deals are amortising, BNPP Euro 2017, CVC Cordatus 5 and Mackay Shields 2. The only one of the bonds with weak credit metrics is Jubilee 2016-17 but as a AAA it didn’t make much difference and it still traded at 107dm.

USD CLO Mezz/Equity

12 x BBB trades only today to round off the week, US LL Index -4bp on the day and -13bp wow.  BBB trade 270dm-414dm today with our BBB index now 323dm (flat wow).  Those trades that hit par ceiling have coupons >300bps with the exception of MAGNE 2016-18A DR which is post reinvestment (Aug 2021) with a +270bps coupon and a clean portfolio and strong NAV as characteristic of Blackrock CLOs so does trend towards par.

EUR AAA CLO

The 2 x AAA trades are at 105dm and 111dm. This could potentially be a bp or two wider than our curve.

USD CLO Mezz/Equity

26 covers today, all mezz, US LL Index -6bps dod which reflects overall market sentiment today with inflationary pressures coupled with weak economic growth concerns.  2 x single-A trades which trade either side of our single-A index at 204dm, with new issue context +215bps area ALLEG 2018-3A C from Axa IM covers at par ceiling (coupon +220bps) whilst NEUB 2017-26A C covers at a discount given it’s lower coupon +175bps at 180dm.  Both bonds have clean metrics.  24 x BB trades today 607dm-739dm range, our BB index is 674dm whilst new issue guidance is +645bps area.  As we have seen bonds with coupons >690bps are tending to hit their par ceilings given the inherent callability with SIXST 2020-16A E and BCC 2020-5A E both having these characteristics along with strong 3.0 metrics.  Other BBs are tiered by coupon, MVOC and ADR levels, BCC 2016-2A E (Bain) has a high coupon +704bps and is post-NC and post reinvestment but covers at a discount 98.76 at 739dm / 4.2y WAL – ADR is high 1.4, CCC is high 7.2 and Jnr OC cushion is cuspy at 1.5% whilst MVOC is trending at the lower end of BB levels 105.2.

EUR AAA CLO

There are a lot of trades to look at today. Starting with the 2 x AAA they have both traded around 107dm. Both bonds are coming to the end of their NC date and both traded at small discounts.

USD CLO AAA

32 trades today with $145m of liquidity across the capital stack, US LL Index -1bp dod.  AAA trades, which carry coupons as low as +96bps within reinvestment period all hit their par ceilings.  Our AAA index is 106dm.

USD CLO Mezz/Equity

At the AA level there are 5 trades in a 134dm-175dm range, MAGNE 2019-23A B (Blackrock – top tier manager) a high coupon +175bps covers at par ceiling with new issue in +170bps context and our AA index 158dm which is in the middle of today’s trading range.  At single-A there are also 5 trades in a 196dm-230dm range, new issue guidance is +215bps and our AA index is 205dm.  Best execution is WELF 2019-XA BR (high coupon +220bps) at 99.67 at 225dm / 6.8y WAL with clean metrics / EoRP 2025.  9 x BBB trades in a 292dm-370dm range (new issue +330bps / BBB index 321dm) with 2 trades with coupons > 300bps hitting par ceilings, whilst 2 trades CEDF 2013-1A D1RR and EATON 2018-1A D both with similar coupon structures (>300bps) trade at a small discount given elevated ADRs (0.9% context), lower MVOCs (112 area) and slightly higher asset migration to Sub80 prices.  1 x BB trade today MDPK 2018-32A ER (coupon +620bps) covers at a discount 99.19 at 634dm / 7.3y WAL, new issue guidance is +645bps area and our BB index is 679dm whilst this bond has clean metrics and a benchmark manager CSAM it is the margin that limits the execution price.  5 x rarer single-B trades 825dm-939dm range, our single-B index is 885dm with tiering today from a cash px point of view is driven mainly by margin structure given the bonds are relatively clean in terms of fundamentals.

USD CLO AAA

A more active day with 33 trades and > 130m of liquidity, spreads and the US LL Index are both flat on the day.  AAA trades are all 1st pay and hit par ceilings with our AAA index 107dm.

USD CLO Mezz/Equity

7 x AA trades, all lower coupon clean bonds (+135-145bps) and trade at a small discount to par given new issue is in +170bps guidance context, our AA index is 160dm.  23 x BB trades in a 614dm-699dm narrow trading dispersion whilst a 5pt price basis from a cash price perspective.  Bonds that hit par ceilings have coupons >690bps and low ADRs and strong MVOC 109+ whilst still in reinvestment, the prevailing new issue guidance is around +645bps with our BB index 679dm.  At the other end of the scale is TCW 2021-1A E (March 2021 close) that has a low coupon +582bps and CVR 94.9 at 658dm / 9.6y WAL, despite strong metrics the coupon drives execution.

USD CLO AAA

25 trades to open up the week, mostly high grade securities.  US LL Index -3bp dod and +7bp wow.  8 x 1st pay AAAs all hit their par ceiling with AAA index now 108dm.  2nd pay AAAs trade in a 127dm-138dm range with all trades at a small discount to par given coupons are ‘relatively’ low for 2nd pays +113-125bps range with small basis to AA.

USD CLO Mezz/Equity

One AA trade WINDR 2015-2A BR covers at a discount (low coupon +125bps and well past reinv end - 2019) at 126dm / 1.6y WAL, our AA index is 160dm.  CATLK 2013-1A BR single-A covers at a discount 99.19 at 248dm / 4.7y WAL (coupon +230bps), whilst new issue is +215bps context there are credit issues with this bond – ADR is high 1.3, CCC is high 7.9 and Jnr OC cushion is low 1.6.  TICP 2017-9A D from Sixth St (BBB) has a coupon +290bps and covers at a discount 99.96 at 291dm / 5y WAL, metrics are clean on the bond whilst new issue is +330bps guidance / our BBB index 321dm so execution falls short of par.  At BB, a shorter dated bond TRMPK 2015-1A ERR covers at par ceiling (EoRP 2020) given strong cushions and healthy MVOC 108.9 and clean metrics (ADR 0.6 / Sub80 0.5), 2 x clean bonds in reinvestment trade in a 603dm-655dm range whilst our BB index is 683dm. 

USD CLO AAA

US LL Index +2bp dod whilst only 3 x second pay MM CLO AAA trades today.  The higher coupon (180/250bps) bonds hit their par ceilings, MCMML 2020-1A A is a Middle Market 2nd pay bond too so has an especially high coupon of +250bps coupon and covers at 100.31 at 241dm / 3.6y WAL (MVOC 188 and 0 ADR).  One trade is at a discount today MCFCL 2018-1A A1 which has a lower coupon +137bps (which is in line more with BSL CLO 2nd pays) and covers 99.89 at 142dm / 2.4y WAL, metrics are clean so the coupon drives the execution price.

EUR AAA CLO

Just the 3 x AAA trades today. Avoca 11 and Penta 3 are both in amortisation. The spread range is from 103dm to 112dm. All 3 bonds have been callable for a couple of years but, as stated, two of them are paying down.

USD CLO AAA

US LL Index +2bp on the day, spreads stable today with 16 trades.  9 x AAA trades with 3 x 2nd pays which all trade at a small discount to par, at 133dm-148dm, whilst 1st pays with coupons as low as +93bps and still in reinvestment period do execute at their par ceilings.  Our AAA index is 110dm whilst new issue is as wide as +118-121 bps guidance.

USD CLO Mezz/Equity

7 x BBs trade in a 6pt cash px dispersion and dm range 583dm-731dm with our BB index is 663dm, trades that hit their par ceiling are CRMN 2016-1A D and DRSLF 2014-36A ER2 which both have coupons > 660bps and have both entered post reinvestment periods recently as in this year.  At the wide end of trading activity is HAYFN 2018-9A ER which covers at 94 at 731dm / 6.1y WAL, ADR is elevated at 1.1, coupon is lower +615bps and cov-lite exposure is 40%.

EUR AAA CLO

At last we have a busy day in EUR CLOs. There are 6 x AAA trades. All the trades except for Black Diamond 2017-2 have traded up, between 1 and 5bps tighter. By contrast Black Diamond 2017-2 appears to have attracted a manager spread premium even after allowing for the high margin on the bond.

USD CLO AAA

US LL Index +14bp on the week.  Just one trade today SNDPT 2018-1A A which has a +100bps coupon, covers at par ceiling at 99dm / 3.3y WAL, EoRP is 2023 and is post NC with metrics relatively clean.  Our AAA index is 112dm.

USD CLO AAA

15 covers today, senior spreads flat with some mild softening on lower mezz, US LL Index -1bp on the day.  3 x 1st pay AAAs hit par ceilings and our AAA index 109dm remains unchanged.

USD CLO Mezz/Equity

1 x BBB trade MP11 2017-2A D with a low coupon +280bps covers at a large discount 93 at 428dm / 5y WAL, which is wide to our index 332dm (new issue +325bps area guidance) since fundamentals are weak – ADR 1.2, Jnr OC cushion is cuspy 1.1, MVOC is at the lower end 108.7 and the manager (Marble Point) record is weak to peers.  8 x BB trades with a 6pt cash px dispersion from par and dm range 651dm-789dm with our BB index 669dm (new issue +640bps area). TCW 2019-2A E trades at a premium to par 100.13 at 738dm / 7.6y WAL – high coupon +740bps, strong MVOC 108.2, low ADR 0.5 and strong Jnr OC cushion 4.9.  Tiering is thereafter driven by coupon structure and MVOC, AWPT 2016-5A ER covers 94.05 at 754dm / 6.6y WAL (coupon +635bps, MVOC 105.6).  3 x single-B trades in a dm range 858dm-894dm with cover prices at a discount, tiering is driven in a similar way to BB bonds (margin and MVOC) but also sensitivity to ADR and Jnr OC cushion given these bonds can PIK.  There are 2 x PGIM bonds with a similar EoRP but coupons are +715bps and +827bps whilst the lower coupon bond DRSLF 2018-64A F does also struggle with a higher ADR 1.3 (v 0.9) and a lower Jnr OC cushion 3% (vs 4.7%) and this translate to > 6pts difference in execution price.  Our single-B index is 840dm.

USD CLO AAA

30 covers today, US LL Index -3bp on the day.  A 2nd pay AAA BLUEM 2017-3A A2 EoRP 2023 covers at a small discount 99.79 at 118dm / 6.5y WAL.  AAA index 109dm.

USD CLO Mezz/Equity

2 x AAs trade at a discount, coupons on both are < 150bps with new issue +165bps area and our AA index 160dm, other metrics are in line.  At single-A new issue guidance is +205bps area and bonds with coupons < 200bps tend to trade at a small discount given inherent callability likelihood.  HLA 2017-2A B from Bardin Hill has EoRP 2022 / post NC with a +210bps coupon but covers at a small discount 99.86 at 214dm / 4y WAL, predominantly due to the manager’s weaker record.  At BB spreads flat on the day with a trading range of 553dm-726dm and our BB index 662dm (new issue +640bps area).  See PriceABS trade listing for details.

USD CLO AAA

17 covers today, spreads stable and US LL Index +1bp dod.  6 x AAA trades all hit par ceilings.  AAA index 109dm.

USD CLO Mezz/Equity

6 x BB trades, 7pt cash px dispersion and 644dm-808dm range, BB index 661dm (new issue +640bps).  ROCKT 2021-2A E, a recent vintage, covers near par at 99.68 at 644dm / 9.9y WAL with EoRP 2026 and +640bps coupon and a strong MVOC 107.6 / clean metrics associated with recent vintages.  At the other end of the spectrum is ATCLO 2016-7A ER which covers at 92.65 at 787dm / 6.7y WAL with a similar coupon +640bps and a shorter wal (EoRP 2023), MVOC is weaker 105, ADR is elevated 1.2, 5% CCC, Jnr OC cushion is cuspy 1.2 and the manager Crescent Capital’s record is weaker to peers.

USD CLO Mezz/Equity

Just one trade today, CYGPK 2020-1A DR a BBB covers at par ceiling 305dm / 8.8y WAL, bond coupon +310bps with long wal (EoRP 2026)with new issue in +325bp guidance, so market is pricing in some tightening for clean bonds like this.  Our BBB index remains at 340dm.

USD CLO AAA

With month end today there is limited liquidity and all high grade with 8 covers / $75m of liquidity, US LL Index -1bp dod and -1bp on Sep month end.  4 x AAA trades hit their par ceilings, the profiles are all post reinvestment with low coupons (+80-82bps) short wals.  AAA index is 109dm.

USD CLO Mezz/Equity

4 x AA trades also hit their par ceilings, with coupons +165-170bps and execution dm range 160dm-165dm, new is in similar context (+165bps area guidance) and our AA index 161dm.

EUR AAA CLO

There are 6 x AAA trades today. One of them, Contego 4, is amortising and it traded at 95dm. The others traded between 104dm and 124dm depending mostly on their margin and their chances of a refi/reset.

USD CLO AAA

50 covers today across the liability stack.  AAAs trade at par ceilings including a 2nd pay MDPK 2015-18A A2R at 134dm / 6.2y WAL with a +135bps coupon.  Our AAA index is 110dm.

USD CLO Mezz/Equity

AA and A bonds trade at par ceilings with the exception of a single-A rated ALLEG 2018-1A C CVR 99.83 at 193dm / 5.3y WAL – coupon is +190bps / clean metrics, new issue is +205bps guidance so less inherent callability.  At BBB WINDR 2013-1A CR covers at par ceiling at 364dm / 5.3y WAL – coupon is high +365bps whilst metrics are fairly average with ADR high at 1.9.  New issue is talked +312bps area so with the NC less than 2 months away this bond has some inherent callability.  Our BBB index is 332dm.  At BB the trading range is 564dm-824dm with a 10pt cash px dispersion, our BB index is 657dm, with the bonds hitting par ceilings carrying coupons > +600bps, strong MVOC and low ADRs along with strong Jnr OC cushions.

USD CLO AAA

Just under 50 covers today across the stack, spreads overall fairly stable with US LL Index -1bp dod.  6 x AAA trades hit their par ceilings, including bonds with coupons into the mid-90s area within reinvestment.  Our AAA index is 109dm.

USD CLO Mezz/Equity

4 x single-A trades hit their ceilings too, with GWOLF 2015-1A BR seeing execution at 199dm / 4.6y WAL (coupon +200bps, EoRP 2023), our single-A index is 230dm with new issue in 200bps area guidance.  15 x BBB trades 259dm-455dm with 19m of liquidity and the majority of trades at their par ceilings with typically higher coupons (>300bps) driving execution to this level, bonds with coupons below 300bps trade at a discount with also LCM 25A D CVR 97.21 at 408dm (high coupon +345bps) but MVOC is low 108.8, Jnr OC cushion is cuspy at 1.05 and ADR is slightly elevated.  At BB there are 16 trades in a 528dm-755dm range and 8p cash px dispersion, one trade SPEAK 2019-1A E hits par ceiling – profile here is EoRP 2024, high coupon +689bps, strong MVOC 108 and clean metrics.  At the other end of the scale is LCM 17X ER CVR 92.3 at 755dm / 6.6y WAL (EoRP 2023) but coupon is lower +600bps, MVOC is weak 104.6 and Jnr OC cushion is low 1.5 whilst LCM’s manager record is weak to peers.

USD CLO Mezz/Equity

14 mezz trades, US LL Index -1bp.  BBB trading is 279dm-380dm, our BBB index is 330dm while new issue is +312bp area guidance.  There is distinctive tiering between sub-300bp coupon bonds (trading at a discount) and > 300bps coupon bonds which trade at or around par ceiling.  BLUEM 2017-3A D covers 97.89 at 282dm / 5.6y WAL, coupon +240bps and ADR elevated 1.2 and Jnr OC at 3.4 which is back to benchmark levels at 4+.  At BB there are 9 trades in a 2pt cash px dispersion and dm range 610dm-721dm.  WINDR 2019-2A E has positive execution at par ceiling, EoRP 2024, coupon is high +725bps and metrics are clean with dm 721dm / 7.6y WAL so this bond has strong risk adjusted cashflows.