USD CLO AAA

Nine covers today, all AAA trading 134dm-198dm (2021-2023 RP profiles) with similar profiles trading 134dm-170dm since month end.  There is, therefore, once outlier trade AIG’s AIGIM 2020-1A A 198dm / 2.45y WAL.  This is an outlier trade, not from a credit perspective though.  This is a recently executed transaction (end May 2020) which has a high coupon +205bps and trades above par (100.17) in line with tightening since May and the fact that there is path to a refi/reset given NC is only in April 2021 and WACC is close to 280bps.  Furthermore given this is a post-vol transaction the portfolio is defensive – WAS is low 334bps, CCCs low 5.15, low retail exposure 0.85% but this leaves a lower diversity 60 given the relative exclusion of certain sectors like retail, also Sub80 balance is 0.53% and WA collateral price is high 98.2 as expected so the portfolio has a defensive 3.0 feel to it and post-vol CLOs like this do have pronounced tiering.

USD CLO AAA

With month end out of the way, activity picked up with 31 covers, mostly in line with recent context – 13 x AAA, 5 x BBB and 13 x BB.  The AAAs trade 134dm-167dm (2021-2025 RP profiles) flat to recent trading activity.

USD CLO Mezz/Equity

The BBBs trade 373dm-481dm, once again flat to recent context, the bonds are clean with MVOCs around 110%, ADRs less than or equal to 1, healthy IDT/Jnr OC cushions and low Sub80 buckets <4.5.  The BBs trade 757dm-955dm across 2021-2024 RP profiles which is fairly comparable to 720dm-910dm context over the past 10 days.  There is one outlier trade ArrowMark’s AWPT 2013-1A D2R2 1277dm / 8.5y WAL – the MVOC is cuspy 100.5, neg par build -1.56 and IDT/Jnr OC cushions on the low end 0.63/1.6 respectively, whilst WA collateral price is the lowest of all BBs to trade today 94.59 and WAS (a guide to credit risk) is the highest of all BBs today.

EUR AAA CLO

A huge mezz list traded yesterday. In total across all ratings 82 debt tranches traded, which is the heaviest day for EUR we can ever remember. We’ll start with the 5 x AAA. All but Madison Park 14 traded in a range from 142dm to 156dm. For these bonds this is a slight tightening in the curve of around 7bps. Madison Park 14 traded at 99.50 / 171dm because of its high margin at 112bps.

USD CLO AAA

With month end today a lighter day of flows, with 15 covers, all IG – 1 x AAA, 6 x AA, 5 x A, 3 x BBB.  The AAA trade today is Sculptor’s OZLM 2014-7RA A1R (2021 RP profile) that covers 166dm / 5.54y WAL, this profile has traded in a wide dispersion this week 120dm-190dm.  This bond, despite being short dated has some fundamental weakness at the deal level with CCCs 15%, ADR 1.14 and IDT / Jnr OC cushions both compromised whilst the MVOC is much lower than comparable AAA bonds which are almost 10pts higher.

USD CLO Mezz/Equity

The AAs trade 189dm-218dm across 2021-2024 RP profiles which is flat to comparables over the past week, with again bonds with weaker MVOCs the key lever for tiering at this mezz rating level.  The single-As trade 287dm-357dm across 2020-2023 RP profiles, versus 240dm-320dm context over the second half of September, through the wide end is Pretium's CRNPT 2020-9A C 357dm / 5.6y WAL, this is a recently closed high coupon (360bps) transaction with a more defensive portfolio (eg. WAS 3.4, WA collateral px 98, CCC 2.1) and structure (1y RP, MV attach 17.45% which >1pt higher to peers).  The BBBs trade 371dm-454dm (2019/2021 RP profiles) which are flat to recent context, with Partner’s PIPK 2020-6A D at the wide end 454dm / 5.1y WAL, this is a recently closed transaction with a high coupon (460bps) on this tranche and a much higher attachment point 15.25% and if the WAS is a guide to credit risk then it’s a defensive portfolio since the level is 320bps.

USD CLO AAA

A quieter day today, with 12 trades – 4 x AAA, 2 x BBB, 6 x BB.  The AAAs trade 138dm-149dm across 2021/2023/2025 RP profiles versus 120dm-160dm context yesterday, so largely flat to recent context, whilst this week has seen a 25bps softening in the ULLI leveraged loan index (+12bps MTD), whilst new issue spreads for 3y RP +130bps area, with a pick up for secondary with more aggressive portfolios than defensive primary portfolios.

USD CLO Mezz/Equity

BBBs today trade 373dm-377dm (2019 RP profile), this is a rarer WAL profile with trading context towards the middle of this month in 350dm-410dm context in this profile, so today’s bonds are flat to that, despite the fact that the bonds have weaker fundamental performance (ADRs 1.2-2.6) with cuspy cushions and WARF at the wide end just north of 4000, MVOCs are strong 118-119.  The BBs trade in a wide dispersion 720dm-1290dm versus last 7 day context 736dm-868dm, the BBs wide of this context have cuspier MVOC’s (100-104) versus 110.4 for AGL’s AGL 2020-5A E that covers at the tight end 720dm / 6.04y WAL.  BBs north of 1000dm report ADRs of 2%+, cuspy IDT/Jnr OC cushions and WA collateral px of 93-94 vs 95-98 for bonds that trade sub 1000dm.  See PriceABS for trade listing and details.

USD CLO AAA

30 covers today – 27 x AAA and 3 x AA.  The AAAs trade 121dm-194dm across numerous RP profiles.  At the tight end of today’s range Blackrock’s MAGNE 2012-7A A1R2 covers 121dm / 2.44y WAL, this is comparable to 116dm-121dm context for this high quality manager over the past few weeks.  At the wide end of today’s range is an outlier trade JMP 2017-1A AR (Medalist Partners) cover 194dm / 2.54y WAL with very weak metrics – neg par build -2.55, Sub80 assets 11.8, ADR 1.75 and IDT/Jnr OC cushions both negative from an inexperienced manager with metrics weaker to its peers.

USD CLO Mezz/Equity

The AAs trade 188dm-199dm (2021/2023 RP profiles) which is slightly tighter to a 192dm-227dm range last week for this cohort and at the tight end of a 174dm-250dm dispersion this month to date.  The 3 bonds today have strong MVOCs 124-126.5 and clean metrics, with TCI Cap’s TSYMP 2016-1A BR at the wide end 199dm / 4.6y WAL with a slightly elevated Sub80 8.5, WARF 3401 (vs 3000a for tighter bonds) and WA Collateral price of 93.7 (vs 96area for tighter bonds), the manager has a good record despite being inexperienced.

USD CLO Mezz/Equity

6 covers today, all mezz with c. 120bps widening at the BB end – 2 x AA, 1 x BBB, 3 x BB.  The AAs trade 195dm-197dm (2021 RP profiles) which are at the tighter end of 185dm-250dm context in the same cohort, some metrics for Mariner’s ELM 2014-1A BRR (197dm / 3.9y WAL) weak – neg par build -2.4, IDT/Jnr OC cushions cuspy whilst cov-lites at 50% but the WA collateral price is strong 95.5 and low Sub80 0.69 / WARF 2874.

The BBB today is Monroe’s Cap’s MCBSL 2015-1X DR covers like a BB bond 928dm / 3.42y WAL which is heavily impaired and rated Baa3, the MVOC is not in shortfall yet 107.25 but other metrics point to very weak fundamental performance – ADR 2.5, Jnr OC cushion -5.9, WARF 4676, Sub80 20.1 and WA Collateral price is sub 90 (88.01).  The BBs trade 854dm-979dm (2022/2023 RP profiles) wide to 720dm-870dm recent context, there is a c.120bps weakening tone at this level of the capital structure since the bonds today are clean from a fundamentals point of view and all covered by MV.

USD CLO AAA

5 covers today – 3 x AAA, 1 x BBB, 1 x BB.  The AAAs trade 137dm-158dm slightly softer to yesterday’s 130dm-150dm context in the same RP profiles (2020/2022/2023).  The bonds today are relatively clean with the exception of LCM’s LCM 20A AR at the wide end 158dm / 1.9y WAL – slightly weaker MVOC 147.5 and only cuspy IDT/Jnr OC cushions, but WA collateral price is strong 94.4.

USD CLO Mezz/Equity

The BBB is Oak Hill’s OAKC 2019-3A D covers 391dm / 8y WAL (2024 RP profile) which is firm to recent 395dm-440dm context in the same RP profile, the metrics are strong on this bond – MVOC 109.6, Sub80 2.5, ADR 0.4, IDT/Jnr OC cushions strong and WA collateral price >96.  The BB is Voya’s VOYA 2020-1A E 781dm / 6.9y WAL (2023 RP profile) firmly in a 720dm-850dm recent context in the same cohort, excluding those fallen angel BBs.  The metrics are strong on this recently closed Voya bond – MVOC 107.8, Sub 80 1.5 and low CCC 0.33.

EUR AAA CLO

30 trades in all with half of them AAA. The spread range is from 145dm to 165dm. In regard of the price range, apart from Hayfin Emerald 2 which traded at 100.19 for the rest of the trades the price range is 99.20 to 99.95. All the bonds look clean and the average Junior OC cushion for this cohort of trades is 4%. We see this as a 10bps widening through the middle of the curve.

USD CLO AAA

26 covers today – 3 x AAA, 5 x AA, 6 x A, 10 x BBB, 2 x BB.  The AAAs trade in similar trait 130dm-148dm versus 113dm-150dm context in the same cohort this week, the 3 bonds today are clean, with a short dater BlueMountain’s BLUEM 2012-2A AR2 propping up the tight end 130dm / 1.99y WAL, other than CCCs running into mid-high teens % area on all AAAs today. 

USD CLO Mezz/Equity

The AAs trade 192dm-227dm (2022/2023 RP profiles) which is right in line with recent context 186dm-233dm in this cohort.  The single-As trade 228dm-326dm across a wide variety of RP profiles, once again in line with 240dm-320dm recent trading context.  At the wide end today is a rare and short 2017 RP profile bond from Bardin Hill HLA 2013-1A B 326dm / 0.86y WAL – high WARF 4138, high CCC 15.6, high ADR 6.1 whilst IDT/Jnr OC cushions are well into negative territory and WA collateral price is 63.3, the seniors on this deal are almost redeemed so this Class B is close to being fully redeemed so has a very short WAL.  The BBBs trade 394dm-745dm (2021-2024 RP profiles), once again in line with recent context 370dm-760dm, with Crescent Cap’s ATCLO 2014-1A DR2 at the wide end 745dm / 5.5y WAL but DNT (cash px 84.11), this has weaker metrics all around including 103.7 MVOC and 1.7 ADR along with negative IDT/Jnr OC cushions.  The BBs trade in a narrow dispersion 852dm-868dm (2022-2023 RP profiles) wide to 720dm-850dm recent context.  The bonds today are covered by MV (103.2-103.8), ADRs 0.9-1.2 whilst cushions are healthy with only the manager profiles slightly weaker to their peers as the only levers to the marginally softer levels today.

EUR AAA CLO

28 trades today with 6 of them being AAA. All the discount priced trades traded between 145dm and 155dm and the premium trade was at 162 over. These levels are unchanged from previously.

USD CLO AAA

30 covers today – 4 x AAA, 3 x A, 14 x BBB, 8 x BB and 1 x B.  The AAAs trade 134dm-150dm (2020-2022 RP profiles) which is in line with trading this week, however there is an outlier trade at the wide end which is not in this range.  This is Ellington’s ECLO 2017-2A A 251dm / 1.93y WAL which has very poor metrics which has met a bid – WARF 5396, Sub80 assets 44.9, CCC 34.4, ADR 13.1, IDT/Jnr OC cushions both well into negative territory and WA collateral price 73.6.  This is a trait we have seen in Ellington managed transactions for a while.

USD CLO Mezz/Equity

The single-As trade 254dm-350dm (2018/2020 RP profiles), with the 2018 RP from Black Diamond BLACK 2013-1A BR 302dm / 1.4y WAL appearing wide to mid-late 200s recent context, this is explained by a vh ADR 2.6, high CCC 25, high WARF 3978, WA collateral price 88 despite the strong MVOC 191.7 given the transaction is post reinv / delevering.  The BBBs trade 350dm-544dm (2020-2025 RP profiles) in line with 330dm-610dm recent context in this cohort, with no material outliers to report upon, see PriceABS trade listing for full details/metrics.  The BBs trade in a relatively narrow dispersion 718dm-851dm (2022-2025 RP profiles) within a 500dm-900dm recent context, at the wide end is King St’s ROCKT 2019-1A E 851dm / 7.9y WAL – with a low MVOC 102.7 and CCC 9.1 as key drivers of the softer level, with other metrics in line.  The single-B trade is Sculptor’s OZLM 2015-13X E 1919dm / 5.3y WAL well wide to recent context in vh900s context, given the nature of the thin second loss tranche this bond has a MV shortfall with MVOC 98.8, Sub80 assets 10.8, ADR 1.6, IDT cushion -1.7 and a cuspy Jnr OC cushion 0.14.

EUR AAA CLO

A busy day today with trades across the whole cap structure. There are 10 x AAA trades. The range in spreads is from 145dm to 156dm but the higher DMs are high margin bonds that have had their price above par capped. The only bond with a low Jnr OC cushion is GLG Euro 4 which has a 0.5% cushion. The MV OCs vary a lot, from 151% to 161%, but this doesn’t appear to impact trading levels.

USD CLO AAA

This week starts with 40 covers, predominantly IG – 27 x AAA, 2 x AA, 7 x BBB and 4 x BB.  The AAAs trade in similar context to last week in a 113dm-163dm range, at the tight end is a very clean/short dated senior from Allstate Inv AIMCO 2015-AA AR 113dm / 1.46y WAL.  Conversely, at the wide end is Carlson Cap’s CATLK 2016-4A AR which is also a short dater cover 163dm / 2.8y WAL, although the MVOC is strong like the Allstate bond the metrics are not clean – ADR 1.65, IDT cushion is cuspy 0.3%, cov-lite exposure is high 43.5, Sub80 assets 9.4, neg par build -2.55 and WA collateral px is 91.5. 

USD CLO Mezz/Equity

The AAs trade in small clips in a 192dm-216dm range (2019/2023 RP profiles) which is firmly within the 175dm-230dm context seen last week in the same cohort.  The BBBs trade in a wide dispersion 465dm-769dm with crossover into BB dms, with a MM CLO from ArrowMark PEAKS 2017-2A DR 769dm / 7.2y WAL propping up the wide end as expected given the basis to BSL CLOs.  Recent trading context has been in 350dm-550dm context in stronger MVOCs than today’s lists.  For instance, at the wide end is Nassau’s NCC 2017-IA C 759dm / 5.9y WAL (2021 RP profile) – weaker MVOC 102.2, high Sub80 12.4, CCC 10.5, cuspy IDT cushion 0.23% and ADR 1.4 with WA collateral px barely over 90.  The BBs trade 664dm-848dm (2018/2020/2022 RP profiles) vs 750dm-1250dm context recently, with Octagon’s OCT25 2015-1A E2R pushing through the tight end 664dm / 5.15y WAL into weak ‘BBB’ dm territory – the MVOC is stronger 104.2, ADR <1 (0.94), cushions are sound, Sub80s are also sound 7.4, CCC is touch high but not out of line 13.2 but interestingly has a vh cov-lite balance of 77% which hasn't deterred from a weak dm.

EUR AAA CLO

Just 2 x AAA trades today. OZLME 1X AR and HARVT 12X AR traded at 142dm. This compares to the recent new issues BlackRock X and Fair Oaks III which priced at 120 over and 125 over respectively as reported by Bloomberg. Of course the new issue spreads are over floored Euribor whereas our secondary calculations are true DMs taking into account the negative Euribor.

USD CLO Mezz/Equity

11 covers yesterday – 1 x A, 3 x BBB, 5 x BB and 2 x Equity.  The single-A trade is York’s YCLO 2014-1A CRR cover 236dm / 5.93y WAL (2021 RP profile) trades at the tight end of a 240dm-320dm range in this cohort this week, all metrics are strong on this York bond.  The BBBs trade in a narrow dispersion 388dm-397dm (2021/2025 RP profiles) at the tight end of a 350dm-550dm range this week, once again BBB bonds today have strong metrics (see PriceABS trade listing).  The BBs trade 991dm-1234dm (2021-2024 RP profiles) versus 650dm-1050dm range in the same cohort this week.  The 3 bonds outside of this range (>1000dm) have MV shortfalls (98.3-99.85), elevated Sub80 assets (8-16%) and a weaker manager on the two widest bonds (MJX).  The 2 equity are from CIFC and American Money both trading in late 30s / 40 cash price context trading to NAV+2-3y CF, see PriceABS trade listing for full details.

USD CLO AAA

Yet another heavy day of liquidity with 63 covers – 20 x AAA, 6 x AA, 5 x A, 10 x BBB, 20 x BB and 2 x B.  The AAAs trade 113dm-172dm, with a similar theme at the tight end with a short 2019 RP profile FLAT 2015-1A AR from NY Life trading 113dm / 1.04y WAL.  At the wide end is Canyon Cap’s CANYC 2020-1A A 172dm / 2.14y WAL (EoRP next month), this deal closed at the peak of the pandemic with a high coupon +192bps with a short RP so trading above par with a path to refi given prevailing AAAs in early-mid 100s context, the deal remains having good metrics all round.

USD CLO Mezz/Equity

The AAs trade 173dm-233dm (2021-2025 RP profiles) in line with 175dm-250dm context in the same cohort yesterday, so no outliers to report upon.  The single-As trade 267dm-318dm (2019-2024 RP profiles) so once again well within the 240dm-330dm range seen this week in the same cohort.  The BBBs trade 326dm-580dm across numerous RP profiles which is largely in line with trading this week 330dm-550dm context, at the wide end is CSAM’s MDPK 2016-21A C2R 580dm / 7.9y WAL – weaker MVOC than peers 105.6 and high CCCs 15.9, else other metrics are in line.  The BBs trade 702dm-1060dm across numerous RP profiles and is almost perfectly in line with trading seen this week 720dm-1080dm.  The rarer single-Bs trade 1448dm-1525dm (2023 RP profiles), recent activity has been restricted to upgraded BBs now at single-B in 800dm-1200dm context so it is interesting to have these data points for the first time this month, the bonds both have a MV shortfall (98.5-99.2) and IDT / Jnr OC cushions are cuspy which is no surprise for second loss bonds at this point in the cycle but the ADRs are high on these bonds (1.8-2.2) so that has to be taken into context for the wider DMs.

USD CLO AAA

Another heavy day of liquidity with 50 covers – 22 x AAA, 9 x AA, 3 x A, 3 x BBB and 13 x BB.  The AAAs trade in very similar behaviour to this week in a 118dm-153dm range (2021-2025 RP profiles), with bonds trading typically to the WAL time series and we observe no material outliers today and refer you to the PriceABS trade listing. 

USD CLO Mezz/Equity

The AAs trade 174dm-250dm also in similar RP profiles to the AAAs (2021-2025) versus 180dm-200dm context this week in same cohort.  Palmer Sq’s PLMRS 2018-2A A2 trades inside 180dm at 174dm / 6.2y WAL – strong MVOC 126, Sub80 5.9, low WARF 3012, reasonable ADR 0.83 along with healthy IDT and Jnr OC cushions.  Tripping through at the wide end is Par-Four’s TRAL 2013-1A BR 250dm / 4.4y WAL – weak MVOC 118.5, high Sub80 10.8, high CCC 13.1, ADR 1.1 and IDT/Jnr OC cushions are both negative.  The single-As trade in a narrow dispersion and tighter 236dm-248dm across 2021-2023 RP profiles vs 250dm-280dm context over the past 10 days, the bonds today have strong MVOCs (115-118) whilst RRAM 2018-4 A B at the wider end has weaker metrics incl 1.86 ADR and lower cushions than the York and GSO single-As.  The BBBs trade 443dm-555dm (2021/2023 RP profiles) vs 340dm-500dm trading context this week in this cohort.  At the wide end is Saratogo’s SARAT 2013-1A DR2 555dm / 5.2y WAL, no notable weak metrics aside from ADR 1.05 but the deal is clean but managed by a very inexperienced manager.  The BBs trade 785dm-1082dm across 2018-2024 RP profiles versus 650dm-1050dm context this week in this cohort.  Crescent Cap’s ATCLO 2016-7A ER trades 1082dm / 7.4 WAL through the wides of this week, the MVOC is covering 100.7 but Sub80 is 8.5, ADR 1.4, high cov-lite exposure 41.2 and IDT / Jnr OC cushions are very cuspy whilst the deal has -1.6 neg par build.

EUR AAA CLO

A busy day today with 31 bonds & 3 equity in total. There are 5 x AAA. Three of them have traded around 140dm and two of them around 155dm. The two wider trades are for specific reasons. One of them is the Halcyon 2 deal by Bardin Hill. It has a low Jnr OC cushion at 0.67% and also we see Bardin Hill as a manager who trade wider than their peer group. The other bond to trade wider is Aqueduct 4 by HPS. This has a higher margin at 111bps and its price was limited by its Price to Call at 100.08.

USD CLO AAA

52 covers today – 29 x AAA, 1 x AA, 2 x A, 11 x BBB and 9 x BB.  The AAAs trade 105dm-202dm across all RP profiles, at the tight end are short dated 2019 RP profiles that trade 105dm-117dm (1.0-1.5y WALs) with the pull of high Sub80 and ADR balances along with volatile WA collateral prices concentrating AAA bonds at the wide end today (see PriceABS trade listing). 

USD CLO Mezz/Equity

The AA is Alcentra’s SHACK 2014-5RA B that covers 197dm / 5.7y WAL (2023 RP profile) in the middle of 185dm-205dm context in the same cohort this month to date.  The single-As trade 278dm-334dm (2019 RP profiles) versus 230dm-300dm recent context, hence the outlier is WhiteHorse’s WITEH 2015-10A CR 334dm / 3.1y WAL – has a high WARF 3935, high CCC 26, high ADR 3.1 and IDT cushion and Jnr OC cushions are both firmly in negative territory.  The BBBs trade 336dm-463dm across a range of RP profiles, versus 340dm-550dm recent trading context, with no material outliers to report.  The BBs trade 721dm-1200dm versus 640dm-1140dm recent trading context, with Benefit St’s BSP 2014-IVA DR As the outlier trade 1200dm / 5.1y WAL – MV shortfall 99.85, high ADR 1.14, cuspy IDT / Jnr OC cushions 0.03 / 0.53 respectively.

EUR AAA CLO

There are 4 x AAA today. They have all traded between 141dm and 145dm, at small discounts to par. We see this as a flattening of the curve with the short end widening by around 10bps.

USD CLO AAA

51 covers today – 29 x AAA, 7 x AA, 1 x A, 4 x BBB and 10 x BB, with levels on the whole flat to recent context.  The AAAs trade 112dm-174dm across 2020-2025 RP profiles, in line with 110dm-180dm context this month.  At the tight end is a short dater TPCLO 2013-1A A1SR from GSO 112dm / 2.5y WAL – 0.8 ADR, strong MVOC 151.3, low Sub80 6.45 and key cushions healthy with WA Collateral Price >94 at 94.17.  See PriceABS for full trade listing.

USD CLO Mezz/Equity

The AAs trade 172dm-203dm, which again is in flat to trading this month in the same cohort.  The ‘outlier’ is Marble Point’s MP3 2013-1A BR 203dm / 5.2y WAL – weaker MVOC 121.4, elevated Sub80 8.8, IDT cushion is -0.45% and Jnr OC cushion is cuspy 0.55%.  The single-A bond is CANYC 2014-2A CR 279dm / 5.4y WAL (2021 RP profile) which trades towards the tighter end of 255dm-320dm context this month, the IDT cushion is -0.91% and CCCs 11.8 but away from that metrics are sound.  The BBBs trade 385dm-511dm (2020/2021 RP profiles) and once again the levels today are firmly in line with those seen this month (360dm-570dm context), with a 1.52 ADR on MJX’s VENTR 2016-24A D1R As the key lever to it’s 511dm / 4.9y WAL trade today, along with a cuspy IDT cushion and WA Collateral price is closer to 90 than 95 (91.6).  The BBs trade 644dm-1058dm, again today’s levels are flat to recent context (600dm-1150dm).

USD CLO AAA

18 covers today round off the week – 5 x AAA, 3 x AA, 3 x BBB and 7 x BB.  The 1st pay AAAs trade tighter 111dm-125dm across 2020-2023 RP profiles, versus 120dm-150dm context in this cohort since month end.  At the tight end is a static CLO from Palmer Sq PSTAT 2021-1A A1 that trades naturally tight given the short WAL 111dm / 1.85y WAL, whilst CVC’s APID 2013-15A A1RR covers 118dm / 4.13y WAL (2023 RP profile) – strong MVOC 155.4, low WARF 2879, high div 91 and cushions/concentrations are healthy. 

USD CLO Mezz/Equity

The AAs also trade tighter 173dm-182dm in a 2022 RP profile which has traded 190dm-200dm this month to date.  As we have seen regularly Blackrock bonds trade tight given the clean nature of deals, MAGNE 2014-8A BR2 is no different cover 173dm / 5.2y WAL.  The BBBs trade 338dm-396dm across 2022/2023/2025 RP profiles which have traded 340dm-640dm this week so today’s trading is at the tight end of the range.  PGIM’s DRSLF 2018-64X D covers 338dm / 7.2y WAL – MVOC 108, Sub80 5.3, ADR touch high 1.3 and IDT cushion 2.1 not as high as peers but nonetheless the manager’s track record is slightly better to its peers.  The BBs trade 720dm-1028dm across 2020-2024 RP profiles which is flat to 750dm-1150dm context seen this month in this cohort (see PriceABS trade listing for more details).

EUR AAA CLO

We have 5 x AAA trades today. Four of them are pre-COVID issues with margins around 80bps and one of them, AQUE 2020-5X A, is a Sep 2020 deal with a 145bps margin. The first four traded with DMs around 143dm. Aqueduct, the HPS bond, traded at 100.73 which is 174dm when calculated to maturity – but really the price of the bond was limited by its call risk and it is first callable in 1.12yrs.

USD CLO AAA

Today was the busiest day post summer with 69 covers – 17 x AAA, 9 x AA, 8 x A, 18 x BBB, 16 x BB, 1 x B.  The 1st pay AAAs trade 119dm-151dm across RP profiles, at the tight end is Aegon’s CEDF 2018-7A A1 119dm / 3.9y WAL – strong MVOC 158.7, low WARF 2857 and all other metrics clean.  At the wide end is First Eagle’s WINDR 2013-1A A1R 151dm / 3.5y WAL – weaker MVOC 141.6, higher WARF 3535, high ADR 1.82 and IDT cushion and Jnr OC cushions both neg.  The 2 x 2nd pay AAAs trade 174dm-184dm, denoted as ‘2nd pay’ with full details on PriceABS.

USD CLO Mezz/Equity

The AAs trade 184dm-263dm across numerous RP profiles versus 190dm-205dm context since month end.  Wide of 200dm the impact of credit drift is clear with Sub80 into the high 20s, WARFs into 4-handle and IDT/Jnr OC cushions in negative territory along with impaired ADR levels.  For instance at the wide end is Zais’s ZAIS2 2014-2A A2R 263dm / 0.9y WAL (well past EoRP 2018) with Sub80 29.3, WARF 4166, CCC 15, ADR 4.3 and Jnr OC cushion -7.4%.  The single-As trade 229dm-272dm across numerous RP profiles tight to 260dm-330dm range month to date, at the tight end is CSAM’s MDPK 2014-15A B1R 229dm / 2.7y WAL which is a 2019 RP profile so shorter dated and carries a strong MVOC 130, WARF/CCC/ADR are high but counteracted by the short dated nature and strong IDT/Jnr OC cushions.  The BBBs trade 341dm-487dm across 2020-2024 RP profiles, slightly tighter to 360dm-570dm context month to date in the same cohort, at the tight end is Blackrock’s MAGNE 2014-8A DR2 341dm / 6.4y WAL – with Blackrock’s transactions usually strong fundamentally with less inherent risk this is no different MVOC 108, lower WARF 3113, low ADR 0.54 and cushions strong.  The BBs trade 689dm-1184dm across RP profiles versus 600dm-1000dm context this month to date, the outliers north of 1000dm today all carry MVOC shortfalls up to 1pt, ADRs as high as 2.3 and IDT/Jnr OC cushions in negative territory (see PriceABS for details).  The single-B trade today is GoldenTree’s GLM 2019-6A F 1059dm / 8.7y WAL, with no single-B trades this month looking back to the end of August trading was in 800dm-1200dm context so this trade sits in the middle of the range.  The MVOC is strong 102.1, CCCs are low 6.02, ADR is low 0.6, IDT/Jnr OC cushions are strong but cov-lite balance is >30% at 32.2 however the WA collateral px is high at 97.4.

EUR AAA CLO

An active day today throughout the capital structure. Looking at the 4 x AAA first, the two higher margin bonds (by PineBridge and CSAM and around 113bps stated margin) have traded around 157dm. The two lower margin bonds (Ares and Onex – around 96bps stated margin) have traded around 142dm.

USD CLO AAA

16 covers today – 3 x AAA, 1 x AA, 5 x A, 7 x BBB.  The AAAs trade in similar context to yesterday 120dm-133dm for 2021/2023 RP profiles which have traded 125dm-160dm context since month end.  The 3 AAAs today have clean metrics with only MVOC on ALLEG 2018-1A A (Axa) a touch low at 142.3 accounting for the dm at the wide end 133dm / 4.4y WAL.

USD CLO Mezz/Equity

The AA is Sculptor’s OZLMF 2013-4A A2R 199dm / 5.45y WAL (2022 RP profile), a touch wide to 190dm-195dm context this month to date (ADR 1.22 is high and IDT/Jnr OC cushions compromised).  The single-As trade 264dm-312dm across 2022/2023 RP profiles wide to 230dm-280dm context over the past 2 weeks, MVOCs at the wide end drift close to 111 whilst >114 at the tight end, furthermore the ADRs on today’s bonds are all >1% with Crescent Capital’s ATCLO 2016-7A CR the outlier at 312dm / 6.6y WAL (ADR 1.4, IDT cushion -0.24, 41.2 cov-lite and only a 0.26% Jnr OC cushion).  The BBBs trade 339dm-499dm for 2018, 2024/2025 RP profiles tight to 430dm-550dm context over the past 2 weeks, the bonds today are relatively clean as per below remarks.  At the tight end is a short dater GSO’s BOWPK 2014-1A D1R (2018 RP profile) 339dm / 3.8y WAL, whilst Crescent Cap’s ATCLO 2019-15A D props up the wide end 499dm / 8.1y WAL – with the weaker metrics a low MVOC 106.7 and high cov-lite 41% with other metrics clean.

USD CLO AAA

The first day back post Labor day saw lighter flows with 6 covers – 3 x AAA and 3 x BB.  The AAAs continue to trade tight 126dm-138dm (2020/2023/2024 RP profiles) versus 115dm-150dm spread post month end.  At the tight end is Symphony’s SYMP 2018-19A A 126dm / 4.2y WAL – MVOC 146.7, 0.85 ADR, Sub80 8.6, IDT cushion 2.7 and CCCs 8.8 which are all reasonable metrics.  At the ‘wider’ end is CSAM’s MDPK 2019-37A A1 138dm / 5.2y WAL – again not too much weak fundamentally with MVOC 152.6, Sub80 3.7, ADR 0.8, IDT cushion 2.2 with only CCCs high at 15.5 from a benchmark manager. 

USD CLO Mezz/Equity

The BBs trade 894dm-1025dm across 2021-2023 RP profiles versus 730dm-1230dm context for these profiles over the past 10 days.  At the tight end is Investcorp’s JTWN 2018-11A D 894dm / 7.3y WAL – 101.5 MVOC, 7.97 Sub80, 0.95 ADR, IDT cushion 2.26, Jnr OC cushion 3.26 and zero cov-lites.  Whilst at the wide end is SoundPoint’s SNDPT 2016-3A E 1025dm / 5.14y WAL – reasonable fundamentals MVOC 100.8 lower, Sub80 4.3, ADR 0.9, lower IDT cushion 0.98 and a lower Jnr OC cushion 1.98 whilst the manager’s record is slightly weaker vs peers.

EUR AAA CLO

After a few days without any BWIC trades we have some today. There are 4 x AAA today. Two of them are post COVID deals (issued in the last 2 months by Albacore and New York Life) and have stated margins around 155bps. The other two are seasoned deals with margins around 85bps. The two seasoned deals traded around 130dm for 1.4yr WAL. The two recent deals traded around 185dm for 2.8yr WAL. The spreads just given are if you run the bonds to maturity. In reality there is a lot of call risk and their prices have been limited to a little over par. One of the seasoned deals, JUBIL 2015-15X AR, is not that clean with a Jnr OC cushion which has breached at -0.14%.

USD CLO AAA

12 covers today – 8 x AAA, 1 x A, 3 x BBB.  The AAAs trade 116dm-159dm across 2019-2023 RP profiles, versus 105dm-178dm over the past week (125dm-140dm since month end).  So the outlier trade today is Zais’s ZAIS8 2018-1A A 159dm / 2.4y WAL – weak MVOC 137.8, high Sub80 20.7, high ADR 4.7, no Int Div cushion -5.3, 2.6% 2nd liens and no Jnr OC cushion -4.3.

USD CLO Mezz/Equity

The single-A is OFS’s OFSBS 2017-1A C 316dm / 5.7y WAL (2021 RP profile), which trades wide to 275dm-300dm overt the past 2 weeks – the bond has a weaker MVOC 111.4 (vs 112-113 benchmark), cuspy IDT cushion 0.04 & Jnr OC cushion 1.04 and a neg par build -0.69.  Away from that the stats on this bond look steady and not far off peers.  The BBBs trade 441dm-596dm (all 2024 RP profiles), we haven’t seen this cohort trade since 26th August but these have traded 400dm-550dm for the last 2 weeks of August.  So DFG’s VIBR 2016-4A DR is the outlier with a cover 596dm / 8.2y WAL – MVOC is low 103.3, high Sub80 10, high ADR 1.8 whilst IDT/Jnr OC cushions are cuspy.

USD CLO Mezz/Equity

19 covers today, all mezz – 3 x AA, 1 x A, 7 x BBB and 7 x BB.  The AAs trade in a very narrow dispersion 189dm-191dm (2022-2024 RP profiles) and firmly within a 180dm-200dm range since month end.  The single-A trade today is HIG WhiteHorse’s WITEH 2014-1A CR 278dm / 2.2y WAL, a very rare 2018 RP profile and compares favourably with single-A trades in 260dm-330dm context since month end, there are some credit issues (ADR 2.6, CCC 23, WARF 3943) but MVOC is strong (127) as the deal deleverages post EoRP.  The BBBs trade 388dm-573dm across 2018-2022 RP profiles, with trading since mid-August in 330dm-630dm context, at the tight end is Ares’s ARES 2015-4A CR small clip trades 388dm / 6.4y WAL with good metrics – 0.42 ADR, 6.45 Sub80, 107.1 MVOC.  At the wide end is Man Group’s GLGU 2018-2A CR also a small clip that trades 573dm / 4.94y WAL – weaker MVOC 105, higher ADR 1.9 and 9.0 Sub80.  The BBs trade 670dm-1063dm across numerous RP profiles (2018-2024) trading more or less in line with a 760dm-1030dm range over the past 10 days in the same cohort.  Thus the outlier is at the tight end which is Invesco’s RCTTE 2015-1A E 670dm / 4.7y WAL, this bond is post EoRP and hence shorter dated but has the luxury of a stronger MVOC 104.9 but also a 0.74 ADR and low Sub80 4.3 from a benchmark manager.

EUR AAA CLO

The one AAA today, DRYD 2013-29X ARR traded at 139dm / 3.7yr which we see as around 8bps tighter than the AAA curve we had.