USD CLO Mezz/Equity

10 x BBB covers today (only 10m notional) and 2 x Equity, US LL Index +4bp on the day.  The majority of trades hit par ceilings with three bonds that trade at a small discount.  The 3 trades are from 2 relatively new managers CarVal and King St who have a large handful of CLOs under management since only 2017/2018.  Nevertheless the key driver for execution is the margin structure on these 3 trades which is at +300bps or below, with new issue in L300s context there is limited callability (note our BBB generic curve is 291dm).

US LL Index is up 10pts on Thursday close further to the holiday weekend.  Just 3 mezz trades today.  BLUEM 2012-2A CR2 single-A rated and post reinv hits par ceiling (coupon +200bps) whilst SHACK 2017-11A CR trades at a discount 99.73 at 221dm / 4.8y WAL - MVOC is low/mid end 117.8 with a +215bps coupon whilst cushions and manager profiles are weaker., our single-A curve is 210dm in line with new issue.  One BBB trade is MAGNE 2012-7A Cr2 covers at a discount (low coupon +205bps) 237dm / 4.4y WAL and is post-reinv and unlikely to call.

USD CLO Mezz/Equity

10 x single-A covers today exclusively, whilst US LL Index ticks up +4bp on the day.  Single-A trades today by and large hit par ceilings, with the exception of two Octagon bonds OCT33 2017-1A B and OCT37 2018-2A B which carry coupons at the lower end (175-185bps), MVOCs also at the lower end (119), ADRs elevated 1.2-1.4 and CCCs around their threshold 7.4-7.6.  Our generic single-A curve is 204dm with new issue talked 195-200bps.

USD CLO Mezz/Equity

A mediocre day in terms of liquidity with only 8 covers, US LL Index continue to tick up (+4bp on the day) and spreads are generally flat.  Strong single-A execution today with all bonds trading at their par ceilings (coupon range 175-260bps), with new issue talked 195-200bps and our generic secondary curve 203dm execution is strong given 3 of the coupons are sub 200bps, however metrics, cushions (Jnr OC cushions 3%+) and MVOC levels are strong (199-121%) so the bonds are clean from benchmark names (see PriceABS trade listing).  3 x BBB trades (304dm-336dm range) with our generic secondary curve 308dm (new issue in similar context), bonds trade at par ceilings too (coupons > 300bps) with clean metrics, cushions (Jnr OC cushions also >3%) and strong MVOC (110-112%).

EUR AAA CLO

There are a bunch of AAA trades today. Babson 2014-2 and Cairn 5 are in amortisation and traded in low 130s dm. The others have traded between 119dm and 159dm depending on their margin and callability.

USD CLO Mezz/Equity

11 x mezz trades kick off this week’s trading, US LL Index +3bps on the day.  1 x BBB trade ZCCP 2021-1A D covers 96.58 at 473dm / 8y WAL, this is wide to new issue / secondary 307dm/308dm given it’s a 3.0 recent vintage with a high coupon +420bps with no investor reporting to date.  BB trade in a narrow dispersion 566dm-634dm with cash px dispersion 4.5pts, our generic secondary curve is 625dm with new issue in similar context.  NEUB 2017-25A ER covers near par 99.95 at 626dm / 6y WAL (EoRP end of 2022) with a coupon of +625bps and relatively clean metrics.  At the other end of the scale is GLM 2017-2A E with cover 95.25 at 566dm / 6y WAL (EoRP early 2023) whilst coupon is lower +470bps and metrics are clean and MVOC in similar context to the NEUB bond, the effect of the margin structure influences execution given the inherent limited callability.

EUR AAA CLO

There are 8 x AAA trades today. Carlyle 2015-2 is in amortisation so the AAA traded around 102dm. All the others traded 120dm handle.

USD CLO AAA

US LL Index +3bp whilst only 6 trades today of which 5 are AAA.  The AAAs hit par ceilings with coupons all >100bps, tiering is driven by Jnr OC cushions, margin structure ADR and to a lesser extent MVOC, with our generic secondary curve tightens to 106dm.

USD CLO Mezz/Equity

One single-A trade today MDPK 2018-28A C covers at par ceiling (coupon +185bps) with new issue +200a and our generic secondary curve 209dm, suggesting market is expecting a tightening tone at this rating level given this bond is callable with EoRP 2023 and clean metrics from a benchmark manager CSAM.

USD CLO AAA

6 covers today, US LL Index +6bp on the day.  AAA trades cleared at par ceilings whilst we kept our generic curve at 107dm.

USD CLO Mezz/Equity

One mezz trade today, BB rated MDPK 2014-14A ER (CSAM) which has a margin of +580bps (new issue 650bps talk / generic secondary 644dm) and covers at a discount 97.56 at 625dm / 6.8y WAL – metrics are average with a good MVOC 105.8, ADR <1 and Jnr OC cushion >2 but CCC high at 10% from a benchmark manager.

USD CLO AAA

10 trades today with over $70m of bonds exchanging hands, US LL Index +5bp on the day and some tightening at AAA.  AAA bonds all trade at par ceilings with 2 bonds carrying coupons +95-99bps, both within reinvestment.  Ultimate execution levels are driven by MVOC and not coupon structure given all the AAA bonds have clean metrics today.  We have tightened our generic AAA curve to 107dm.

USD CLO Mezz/Equity

At the BB level there are 4 trades 589dm-738dm with a cash px dispersion of almost 7pts.  YCLO 2019-2A E hits par ceiling (coupon structure +694bps) at 691dm / 8.5y WAL (to mat) and a strong MVOC 108.4 / low ADR 0.4 / strong Jnr OC cushion 5.6% / low WARF 2790 with the bond (highly) callable from October given new issue context is circa 50bps tighter that the coupon.  Contrastingly, at the wide end is MVEW 2017-2A E that covers 93.06 at 738dm / 6.2y WAL – this bond is past NC (EoRP 2023), lower coupon (out of the money for reset) +596bps, low MVOC 104.9, high ADR 1.2 and lower Jnr OC cushion 2.6 whilst the manager’s record is weak to peers.  Our generic curve at BB is 645dm.

USD CLO Mezz/Equity

5 covers today, US LL Index +5bp on Friday’s close.  The only IG bond is a BBB OCT54 2021-1X D CVR 99.92 at 306dm / 9y WAL, this is a recent vintage so clean portfolio with a high margin +305bps and trades around par.    4 x BBs with a narrow trading range 599dm-677dm with tiering driven by margin structure and MVOC (>106) given the bonds are all clean with at least 2y reinvestment period, our generic curve is 639dm with new issue talked 650bps area.

USD CLO AAA

25 trades today, predominantly mezz, US LL Index -3bp on the day whilst we saw tightening mezz.  1 x AAA trade which is a recent vintage WLLMN 2021-1A A (coupon +110bps) hits par ceiling at 108dm / 6.4y WAL.

USD CLO Mezz/Equity

Single-A curve tightens given execution levels today, OCP 2017-14A B (coupon +195bps / EoRP Nov-22) hits par ceiling at 195dm / 5.1y WAL, this bond has clean metrics.  BBB bonds (coupons > 340bps) trade 340dm-398dm with 2 bonds hitting par ceiling given new issue levels are tighter +315bps area, our secondary curve tightens to 318dm.  SHACK 2017-11A D trades at a discount 98.43 at 398dm / 5.3y WAL (coupon +365bps) with metrics weaker – MVOC 109.6, ADR 1.02 with Alcentra’s record of Jnr OC cushion weaker to its peers 2.35 v 3.31.  At BB the trading range is 526dm-758dm with a 6pt cash px dispersion especially given different wal profiles / static CLOs.  At the tight end are 2 x Palmer Sq static BBs that cover at a premium to par at 526dm-543dm given static typically trade tighter to reinvesting given delevering deals and increasing CE.  Weakest execution is OCT22 2014-1A ERR at CVR 94.26 at 660dm / 6.3y WAL – low MVOC 104.9, ADR 1.04, cuspy Jnr OC cushion 0.94 and a low coupon +545 whilst Octagon’s performance slightly lags its peers.  Our generic curve is largely unchanged at 613dm.  There are two rare single-B trades today, with both bonds meeting good execution, trading range is 636dm-768dm which is aligned with BB trading, but the bonds are well past reinvestment ends (2019/2020) with good cushions and strong performance with portfolios defensive given WARF at or just shy of 3000 with CCC buckets inside 7.5%.

EUR AAA CLO

There are a handful of trades today. The only AAA is Providus 1 which traded at H99h which we estimate to be around 131dm.

USD CLO AAA

A little more liquidity today with 23 covers, US LL Index largely unchanged on the day (+1bp).  6 x AAA trades with 4 hitting par ceilings, firstly a recent new issue MCLO 2021-16A A1A covers at 99.80 at 123dm (coupon +120bps), whilst CGMS 2014-2RA A2 covers 99.89 at 134dm / 6.8y WAL which is a 2nd pay AAA hence the wider dm.  Our generic curve remains at 112dm.

USD CLO Mezz/Equity

3 x AA trades cover at par ceiling and trade 138dm-171dm, these trades are shorter wal given post reinvestment, our generic curve is 155dm.  1 x single-A trade DRSLF 2020-85A C covers at par ceiling, high coupon +250bps (new issue +210bps / secondary generic 217dm) and clean metrics result in a good execution level.  At BBB, the trading range is 260dm-390dm with a 2pt cash px dispersion, our generic curve is 322dm with new issue tighter at +315bps area.  CANYC 2019-2A D has the strongest execution with a cover 100.29 at 390dm / 7.3y WAL – MVOC is strong 113.3, ADR is low 0.77, Sub80 is low 0.9, WARF is low 2857 and Jnr OC cushion is 4.4 whilst the coupon is high +395bps so this makes this bond highly callable given NC has just passed last month.  BB trade 561dm-781dm today, our generic curve 612dm / new issue M600s area.  2 x short wal bonds (EoRP 2020) hit par ceilings (see PriceABS trade listing) with coupon structures in a 565-745bp spread.  One moderately distressed trade today WINDR 2014-3KRA E CVR 91.21 at 781dm / 6.8y WAL, this bond has a coupon +609bps which is in the low/mid-range for ‘callability’ but fundamentals are poor – MVOC is low 103.9, ADR is high 3.2, Sub80 is high 4.2 and Jnr OC cushion is cuspy at 0.8, the manager First Eagle does have a record of higher default rates vs peers.

USD CLO AAA

14 covers today across IG and SubIG, US LL Index +2bp on the day.  Our AAA curve remains at 112dm with both AAA trades today hitting par ceiling carrying coupons of +112bps.

USD CLO Mezz/Equity

A high coupon AA trade OZLM 2019-23A B1R (Sculptor) covers at its par ceiling (coupon +185bps) with new issue in +165bp context and our secondary curve 157dm, the bond has clean metrics.  The single-A trade is BCC 2019-1A CR (Bain) which covers at par ceiling at 212dm / 8.3y WAL, the coupon is +215bps which is around our secondary curve 212dm and new issue context +210bps.  At BBB the trading range is 298dm-421dm with a 5pt cash px dispersion.  OCP 2013-4A CRR covers at par at 298dm / 4.5y WAL, this bond is post reinvestment (EoRP Apr-21) with a +300bps coupon and strong MVOC 111.1, with new issue in +315bps context (our secondary curve is 327dm) there is limited near term callability but this bond does have clean metrics and with the short wal this supports the execution price.  At the wide end is RMRK 2018-1A D (Shenkman) which covers 94.78 at 402dm / 6y WAL (EoRP 2023) – MVOC is at the low end 109.1, ADR is elevated 1.9 and Jnr OC cushion is low 1.5 whilst the coupon is also lower than new issue context at +302bps with a longer wal.  4 x BB trades, a short wal BANDM 2014-1A DR covers at par ceiling (EoRP 2018) 465dm / 2.2y WAL.  We have not seen reporting on this since earlier this year but the MVOC does appear to have a current shortfall based off pool cut off from earlier this year at 93.82 so this is likely to have moved given the deal has been delevering.  The remaining BB trades are 636dm-664dm (coupons 575-615bps) trading at 2-4pt discounts to par, our generic curve is 609dm with new issue in mid-600s context which drives the execution prices today given the limited near term callability.

USD CLO AAA

US LL Index +4bp on the day, whilst only 4 x AAA trades today, with our AAA curve at 112dm which is similar context to primary.  ICG 2014-3A A1RR covers below par at 99.94 at 105dm / 3.3y WAL - margin is > 100bps (+105bps) but metrics are weaker with ADR 1.6 and MVOC 150 and Jnr OC cushion 1.75%, bond is post NC and with new issue spreads wider there is limited callability in this with EoRP through 2023.  

USD CLO Mezz/Equity

5 trades to round out the week, all lower mezz.  US LL Index +5bps on the day and we tightened our curve across most mezz tranches.  One BBB trade today, a recent 3.0 BSP 2021-23A D covers at par ceiling at 361dm / 8.8y WAL, strong metrics (MVOC 113, ADR 0, Sub80 0.1, Jnr OC cushion 5.4) and a high coupon +365bps maintain this at it’s par ceiling (NC is Jan 23 and EoRP is 2026) given excellent risk adjusted cashflows.  BB trades 664dm-765dm with CIFC 2016-1A ER trading at par ceiling at 765dm / 7.8y WAL, this has a high coupon +770bps and clean metrics from a benchmark manager CIFC.  With new issue in +650bps context ANCHC 2015-6A ER covers at a discount 98.65 at 664dm / 5.8y WAL, the coupon is below new issue +635bps and metrics are relatively clean on the bond but the callability drives this to a discount whilst manager performance (Anchorage) is slightly weaker to peers and we see this in the Jnr OC cushion which is 2.43% on this bond with peers 3%+.

USD CLO AAA

34 covers today, US LL Index +5bp on the day, tightening in IG mezz.  AAA trade at par ceilings naturally with coupons > 115bps.  Our generic curve remains at 112dm.

USD CLO Mezz/Equity

At AA, our curve tightens to 155dm (-3dm) given a tighter trading range today, with bonds trading around par or a small discount.  At single-A there is one trade TICP 2018-10A C covers at par ceiling at 190dm / 5.3y WAL (EoRP 2023), metrics are clean whilst the coupon +190bps is below new issue so market anticipates tightening.  Our generic curve remains at 218dm.  10 x BBB trades today, a narrow trading range 300dm-438dm with a 2pt cash px dispersion, our curve tightens to 339dm (-8dm).  Given the narrower range, MVOC and coupon levels are key tiering factors along with numerous other metrics including Jnr OC cushions.  VOYA 2015-1A CR trades at the steepest discount CVR 97.5 at 307dm / 5.5y WAL (post reinvestment) – coupon is low +235bps and metrics are weak (MVOC 108, ADR 1.05, Jnr OC cushion 0.9 whilst Voya’s performance is slightly weakers to its peers.  Significant tiering at BB with a 9pt cash px trading dispersion and dm range 487dm-847dm.  2 bonds that hit their par ceiling are short wal (well past EoRP) trading 487dm-498dm with 2-2.5y wals.  For the remaining trades execution is driven by wal (reinvestment ends), whilst the four weakest trades from a cash px point of view are all in reinvestment phase and carry coupons of 550bps-710bps with little inherent callability and weaker MVOCs (104-107).  New issue markets are in +640bps area whilst our generic curve widens to 627dm (+8dm).

USD CLO AAA

More than $55m of liquidity today across the stack, with tightening at single-A with US LL Index +2bps on the day.  At AAA bonds trade at their par ceiling (coupons > 110bps), SCI generic curve is 112dm. 

USD CLO Mezz/Equity

At single-A one bond trades at a discount STCR 2014-1RA C covers 98.914 at 221dm / 4.5y WAL – new issue talked at +202bps, the coupon on this bond +195bps whilst MVOC is low 117.5 and ADR high at 1.6 resulting in weaker execution.  Our generic curve is 218dm, with bonds with attached coupons > 200bps trading at their par ceilings.  At BBB our generic curve softens slightly to 347dm with a trading range of 305dm-431dm and a 5pt cash px dispersion.  JTWN 2016-9A C2R hits par ceiling 100.02 at 409dm / 4y WAL – this bond is post reinvestment and has a short wal with a strong MVOC 113 and clean metrics.  At the other end of the scale is MP3 2013-1A DR CVR 95.00 at 408dm / 5.5y WAL (EoRP Oct-22) – bond coupon is +305bps (< new issue +315bps), MVOC is lower 109.4 and Jnr OC cushion is cuspy 1.3 with Marble Point’s performance slightly weaker to peers.  At BB the trading range is 541dm-743dm and a 7pt cash px dispersion.  CIFC 2019-FALX E covers strongly 99.89 at 743dm/8.6y WAL (EoRP 2025) – bond coupon is high +741bps with the bond callable in October (new issue guidance is +640bps area).  Octagon’s OCT34 2017-1X E2 covers 93.95 at 675dm / 6y WAL (EoRP 2023) with a +550bps coupon which is inside new issue, ADR is also high 1.4 and Jnr OC cushion is cuspy 1.5 whilst Octagon’s performance metrics are slightly below peers.  SCI generic curve remains at 619dm.

USD CLO Mezz/Equity

28 covers today, US LL Index +4bp on the day and a tightening theme at AA, BBB and BB.  At the AA level, trading range is 141dm-157dm for  low coupon bonds below new issue context (+162a) with bonds trading at par or a very small discount to par.  Top execution is TFLAT 2017-1A B CVR 100.055 at 155dm (coupon at +156bps < new issue) which is market positive, with the bond callable in October this year.  At BBB the trading range is 247dm-499dm with our BBB curve tightening into 344dm.  Execution is poor for lower coupon bonds (<300bps) with these lagging in cash px terms 94.15-96.56 from the rest of the trades 98+, with new issue levels +310bps area the inherent callability is low and a key driver.  At the BB level the trading range is a narrower dispersion than seen recently 528dm-615dm and cash px dispersion of 3.5pts, our generic curve tightens to 619dm with new issue in +630bps context.  GRNPK 2018-1X E (Blackstone) trades at the lowest cash px 96.47 at 561dm / 6.5y WAL – coupon is low +495bps which is influencing the direction despite clean fundamental metrics and MVOC is steady at 106.8 with another 1.75y reinvestment period remaining.  One bond hits par ceiling, this is a short wal KVK 2013-1A ER (coupon +594bps) with reinvestment period ending in Jan 2020 and Jnr OC cushion healthy at 3.7 whilst MVOC is strong at 108.8 despite a high ADR 1.2 an high CCC 15.7 given the inability to manage credits.

USD CLO AAA

8 x covers today, US LL Index +2bp on the day.  AAA hit par ceiling with coupons all > 100bps, our curve tightens to 110dm.

USD CLO Mezz/Equity

2 x AA trades, both hit par ceiling (coupons +170-180bps) with our generic curve 162dm which is around new issue levels, so bonds have higher callability given post NC and still in reinvestment through 2023.  1 x single-A trade, ARES 2019-54 A covers at its par ceiling 100.303 at 280dm / 6.5y WAL, this bond has a high coupon +285 (vs our generic curve 223dm and new issue context +200bps) with strong fundamentals (MVOC 120, ADR 0.7, Sub80 0.9, Jnr OC cushion 3.7) so risk adjusted cashflows are strong and the bond has just passed its NC in July with a remaining 3y reinvestment period.

USD CLO AAA

A busy day with 43 covers, US LL Index +1bp on the day and further tightening at BB and BBB to a lesser extent.  The story at AAA remains unchanged with bonds changing hands at par ceilings, with CIFC 2013-3RA A1 with a coupon +98bps also hitting this level.  Our generic AAA level remains at 112dm.

USD CLO Mezz/Equity

At AA our generic level is 155dm with new issue in 160bps context, trading range today is 150dm-167dm with bonds typically hitting par ceiling, TRNTS 2017-7A B covers at a discount 99.93 at 162dm / 4y WAL – ADR is high 1.4, MVOC is slightly low 127.9 (vs 128-130 benchmark) whilst the manager record is broadly in line with peers but Trinitas is inexperienced with 9 x CLOs ($4bn) under management.  Single-A bonds hit par ceilings today since the coupons on the trades high +225-280bps, with new issue +200bps context and our generic level of 213dm.  At BBB the trading range is 282dm-370dm, with shorter WAL (post reinv 2018/2019 typically) bonds hitting par ceilings, BABSN 2016-1A DR covers 99.86 at 308dm / 6y WAL with a +305bps coupon which is at new issue levels (tight to our secondary level 346dm) 2y left of reinvestment.  CGMS 2013-2A DR covers at the deepest discount 98.26 at 282dm / 4.5y WAL – the coupon is low +240bps and ADR is high at 1.2 whilst other metrics are clean with the bond post reinvestment.  BB bonds trade in a wide dispersion 421dm-704dm with a 6pt cash px range with all but 2 bonds post-reinvestment and a combination of MVOC, margin structure and ADR levels dictate execution, our generic level is 643dm with new issue in 610bps context.  At single-B our generic level is 942dm, there are 2 distressed trades today that trade 1104dm-1218dm with WINDR 2014-1A F at the wide end CVR 81h at 1218dm / 8.3y WAL – MVOC is cuspy 101.9, ADR is high 1.4, Jnr OC cushion is cuspy 1.4 and there is 2y left of reinvestment with a coupon of +853bps, risk adjusted cashflows are weaker.

USD CLO AAA

A quiet day with 7 covers, US LL Index flat day on day whilst BB continues to tighten.  3 x AAA bonds trade at par ceilings (coupons >100bps) with our generic curve tightening slightly to 112dm.

USD CLO Mezz/Equity

1 x single-A trade, MILOS 2017-1A CR (Invesco) covers at its par ceiling 100.074 at 188dm / 5y WAL, the coupon is +190bps which is at the tight end of new issue talk.  This bond is callable and has clean metrics.  At BB, the trading range is 573dm-609dm (bond coupons at 5-handle) with clean metrics – MVOC > 107, ADR < 0.5 and strong Jnr OC cushions from benchmark names.  Therefore execution is strong and we tighten in our BB curve to 653dm with new issue in +600bps context.

USD CLO AAA

US LL Index -2bp on the day, with $50m+ of flow today and some slight tightening at the BB level.  A very familiar theme at AAA with bonds trading at par ceiling, including bonds pre-NC and coupon as low at +110bps so market is pricing in some tightening given AAAs are now indicated in L110s and our generic level -1bp to 113dm. 

USD CLO Mezz/Equity

At single-A, bonds trade at par ceilings (high coupons +275-295bps) which is consistent given our generic level 212dm and new issue talk +190-200bps.  At BBB the trading range is 291dm-454dm with one bond hitting par ceiling GALL 2018-1A D1 (Gallatin) with coupon +310bps cover 100.052 at 308dm / 3.3y WAL, this bond is post reinvestment (Jan-2020) and with our generic BBB level 352dm / new issue +290-300bps talk the deal likely to continue to delever, metrics are strong MVOC 115.9, ADR 0.8 and Jnr OC cushion 5.4.  At the other end of the scale is MP12 2018-1A D (Marble Point) which carries a similar coupon +300bps but a longer reinvestment end (2023) but covers 94.79 at 396dm / 6.3y WAL – MVOC is weaker 109.3, ADR is weaker 1.3 and Jnr OC cushion is tighter at 1.3.  At the BB level we see a tightly dispersed trading range of 560dm-696dm with a 2.7pt cash price dispersion.  At the tight end is WINDR 2016-1A ER (First Eagle), this bond is post-reinvestment end (mid 2020) with a +5555bps coupon and covers 99.81 at 560dm – strong MVOC 107.8, low ADR 0.6, high Sub80 2.6 and high CCC 10.2 and strong Jnr OC cushion 4.7.  At the lower end in cash px terms is another bond post-reinvestment end (Apr-21) AMMC 2015-16X ER with a coupon +606bps and CVR 97.1 at 678dm / 4.8y WAL – MVOC is low 104.98, ADR is elevated 1.2, Sub80 is low 0.7 but Jnr OC cushion is cuspy at 1.1.  Risk adjusted cashflows are therefore worse given our generic BB level of 662dm and new issue indicated at +600bps area.