USD CLO AAA

Limited liquidity today with the holiday in Europe and month end, just 4 x AAA short dated trades.  US LSTA 100 Index +2bp dod into month end.  AAA bonds trade 162dm-212dm with high coupon and post reinvestment bonds making up the tail of this range, our AAA Index is 166dm.

USD CLO AAA

$138m of liquidity across the stack, US LSTA 100 Index -5bp dod whilst CLO spreads flat on the day.  AAA trade 147dm-224dm with a range of profiles none of which are benchmarks – post reinvestment bonds, 3.0 high coupon bonds and 2nd pay profiles dominate with our AAA Index unchanged at 164dm.

USD CLO Mezz/Equity

AA trade 208dm-305dm with our AA Index unchanged at 246dm, no benchmark trades today (post reinv / low MVOC profiles).  1 x single-A trade in small size 300k clip benchmark profile bond ROCKT 2021-1A C CVR 93.85 at 313dm / 6.8y WAL with our AA Index set at 325dm.  BBB trade 426dm-554dm (BBB Index 443dm) with 1 x post reinv at the tight end and high coupon/low MVOC bond through the wide end of the index. BB trade 816dm-955dm with 1 x benchmark trade VOYA 2020-1A ER CVR 87.92 at 873dm / 8.1y WAL (Voya) – EoRP 2026, coupon +635bps, MVOC at benchmark 102.96 and clean metrics with only the manager’s slightly weaker track record pushing this slightly wide to our BB Index 835dm.

USD CLO AAA

$54m of liquidity, across AAA and BBB/BB/equity.  US LSTA 100 Index -2bp dod and CLO spreads flat on the day.  AAA trade 171dm-345dm, with both trades post reinvestment, FLAT 2017-1A AR CVR 99.24 at 171dm / 1y WAL and a very short wal bond (hence the high dm) CIFC 2012-2RA A1 CVR 99.38 at 345dm / 0.2y WAL (EoRP 2020

USD CLO Mezz/Equity

BBB trade 436dm-463dm wrapped around our BBB Index at 443dm.  BB bonds trade 879dm-1257dm wide of our BB index 835dm, driven by lower MVOC and higher coupon profiles, at the wide end is OZLM 2017-17X D CVR 79.17 at 1257 / 4.8y WAL, this is a post reinvestment bond with a cuspy MVOC 100.6, high ADR 1.3, low Jnr OC cushion 1.6 and weaker manager profile from Sculptor.

USD CLO AAA

$210m of liquidity across the stack, US LSTA 100 index flat dod and CLO spreads slightly softer at AAA/AA but firmer at BBB.  AAA trade 166dm-217dm with the benchmark trades at the tight end 166dm (vs our AAA index 164dm).  Post reinvestment bonds drive the tail with a MM CLO AAA GOCAP 2020-47A A1 CVR 98.7 at 226dm / 2.4y WAL. 

USD CLO Mezz/Equity

AA trade 194dm-263dm with our AA Index 246dm (benchmarks 243dm-263dm), post reinvestment bond through the tight end.  Single-As trade 292dm-373dm with our single-A index 331dm.  BBB saw the most liquidity today with 27 trades for $78m of notional, trading range 398dm-694dm with benchmarks 411dm-451dm (BBB Index 443dm).  MVOC drives those bonds wider of the index along with a number of high coupon bonds which are well in excess of +300bps.  BB trade 486dm-973dm with one benchmark trade GNRT 5A E CVR 89.57 at 864dm / 5.6y WAL – MVOC is in line 102.8, coupon +601bps, Jnr OC cushion healthy 5.2 (our BB Index 835dm). 

EUR AAA CLO

OHECP 2021-8X A traded at 175 dm, in line with recent levels.

USD CLO AAA

$108m of liquidity today across IG, sub-IG and Equity, US LSTA 100 Index continues to grind tighter +11bp dod with CLO spreads largely flat dod.  1 x AAA benchmark trade ELMW3 2019-3A AR CVR 98.35 at 161dm / 5.2y WAL (EoRP 2026) with clean metrics (vs AAA Index 162dm), furthermore there are a number of high coupon 3.0 trades that trade 210dm-249dm with coupons >200bps. 

USD CLO Mezz/Equity

AA trade 222dm-277dm with benchmarks 231dm-257dm (AA Index 238dm) with MVOC driving the wide and tighter ends with all trades with an EoRP 2026.  2 x distressed BBB trades 734dm-809dm with MVOCs depressed in 104 context and low/cuspy Junior OC cushions and coupons are +335bps/+415bps which are on the high side and scale the dm higher too.

EUR AAA CLO

PSTET 2021-1X A traded at 172 dm.

USD CLO AAA

Little liquidity today with only 2 x AAA trades with spreads flat, US LSTA 100 Index +5bp dod.  1 x benchmark AAA trade GLM 2021-9X A (GoldenTree) covers 98.66 at 160dm / 2.8y WAL - MVOC is 146.1, coupon +107bps and Jnr OC cushion 4.9 from a benchmark manager.

EUR AAA CLO

AAAs traded at 177 dm. Spreads are unchanged.

USD CLO AAA

$35m of trading today across the stack including equity, markets fairly stable with US LSTA 100 Index +1bp dod and CLO spreads slightly firmer on the day.  AAA trade 155dm-163dm with our AAA Index tightening into 162dm.

USD CLO Mezz/Equity

BBB trade 416dm-721dm with our BBB Index unchanged at 446dm, positive manager profile driving bonds inside the index and MVOC driving the wide end.  BB trade 826dm-1035dm with one benchmark trade INVCO 2022-1A E CVR 90.2 at 826dm / 8.9y WAL (vs BB Index 833dm) – EoRP 2027, MVOC 102.6 which is in line with benchmarks, coupon +630bps and Jnr OC cushion 5.5 with Invesco the manager which drives it slightly inside the index given the manager’s strong profile.

EUR AAA CLO

It has been a heavy day’s trading across the stack today. AAAs are firmer today by around 5bps, trading at an average spread of 183 dm.

USD CLO AAA

$95m of liquidity across the stack, US LSTA 100 Index continues to firm +2bp dod whilst CLO spreads tighten for IG with sideways/softening on BB.  AAA trade 151dm-175dm whilst there is an outlier short wal / high dm trade which doesn’t constitute the index, benchmarks trade 160dm-170dm with our AAA Index near the middle of this range 164dm.

USD CLO Mezz/Equity

AA trade 240dm-246dm with our AA Index tighter at 233dm, the trades are both current single-A rated so do explain the basis vis a vis the index, all other metrics largely in line.  BBB trade 403dm-888dm with benchmarks 437dm-461dm (our BBB Index 446dm), with trades inside the index driven by a mix of strong MVOC metrics and strong manager profiles, with MVOC driving those bonds wide of the index.  BB trade 778dm-951dm with benchmarks 829dm-848dm (BB Index 836dm), cuspy MVOC and post reinvestment bonds trade wide to the index.

USD CLO Mezz/Equity

$56m of liquidity in lower mezz today, US LSTA 100 Index +7bp dod and CLO spreads slightly firmer on the day.  BBB trade 431dm-769dm with benchmarks 431dm-464dm (BBB Index 453dm), MVOC and high coupon bonds drive those residual bonds wide of the index.  BB trade 838dm-1347dm with 1 x benchmark trade RRAM 2019-7A D1B CVR 90.78 at 838dm / 8.6y WAL – MVOC 103.5, coupon +650bps and Jnr OC cushion 5.5 (Redding Ridge the manager).  The trades wide of the index are influenced by a combination of manager profile, high coupon and cuspy MVOC, eg. TRNTS 2018-9A E CVR 74.59 at 1347dm / 5.6y WAL (Trinitas), EoRP Nov-23, MVOC 99.54.

USD CLO AAA

Limited liquidity given the IMN CLO Conference in NYC today, 5 x AAA trades.  US LSTA 100 Index +24bp dod.  AAA trade tighter 155dm-162dm driving our AAA Index into 164dm, all of today's trades are benchmarks with $68m of notional exchanging hands.

EUR AAA CLO

NWDSE 2019-19X AN traded at 193 dm, in line with expectations. There were a few other AAAs that were in for the bid but did not meet their reserve levels and DNT’d.

USD CLO Mezz/Equity

$57m of trading today in mezz only with CLO spreads flat on the day, US LSTA 100 Index +11bp dod.  BBB trade 402dm-586dm with benchmarks 462dm-464dm (BBB Index 457dm) as MVOC delta drives both sides of the index, there is a rare MM BBB trade MCMML 2019-2A D CVR 93.76 at 666dm / 4.9y WAL which is wider to recent comps from mid-end March that were in mid-late 500s context, the ADR is high 1.5, reinvestment period end is 6 months away and MVOC is a little low at 114.2.  BB trade 759dm-1319dm with 2 x benchmarks trading in 845dm context (BB Index 832dm) with strong MVOC bonds inside the index and cuspy MVOC bonds wide of the index, with one bond in shortfall OZLM 2014-6A DS CVR 76.05 at 1319dm / 5.1y WAL – MVOC 99.58 and Jnr OC cushion 0.6 and Sculptor the manager.

USD CLO AAA

$100m of liquidity today with spreads continuing to grind tighter, US LSTA 100 Index +10bp dod.  AAA trade 149dm-197dm with benchmarks 155dm-169dm and our AAA Index shifts to 167dm.

USD CLO Mezz/Equity

In mezz BB trade tighter 817dm-964dm with benchmarks 817dm-820dm and our BB Index tighter at 830dm, through the wide end of the index are bonds with lower MVOCs than benchmark (<101.5) or weaker manager profiles, eg. AMMC 2021-24A E CVR 86.56 at 916dm / 8.7y WAL – MVOC is good 102.4 but American Money Management has a weaker manager record versus peers so trades wide to benchmark.

USD CLO AAA

Ample activity today with $270m of trading across the stack, US LSTA 100 Index +3bp dod and CLO spreads typically firmer especially lower mezz.  AAA trade 159dm-209dm with benchmarks tighter 163dm-175dm as we shift our AAA Index inside to 170dm, the tail of trades that are wide of the index are post reinvestment, 2nd pay or very high coupon so don’t qualify for the index.

USD CLO Mezz/Equity

AA trade 233dm-317dm with one benchmark trade OCP 2021-22A B1 CVR 95.82 at 245dm / 6.9y WAL (our AA Index is albeit slightly tighter at 236dm.  Single-A trade 325dm-339dm with benchmarks 325dm-331dm and our single-A index is set at 331dm, the one trade inside the index MILOS 2017-1A CR CVR 95.53 at 325dm is post reinvestment.  BBB trade 401dm-623dm with one benchmark trade MDPK 2013-11A DR CVR 94.76 at 431dm / 6.4y WAL (CSAM) with healthy MVOC 106.9 and reasonable metrics, our BBB Index is 460dm.  18 x BB trade tighter at 733dm-850dm with benchmarks 820dm-850dm and our BB Index 835dm, there are a number of trades inside the index <800dm attributable to strong MVOC profiles in 104.5 region versus benchmarks which are circa 2pts back to this.

USD CLO AAA

$20m of liquidity today, all in AAA MM CLOs, US LSTA 100 Index +7bp dod.  The MM CLO AAA trading range is 219dm-257dm which is the most meaninful basket of trades this year in this cohort, at the wider end of this range is ABPCI 2020-10A A1A CVR 98.62 at 257dm / 2y WAL (EoRP 2024) and is scaled wider to the remaining trades (219dm-229dm) accordingly given the 'higher' coupon +195bps.

USD CLO Mezz/Equity

Just the one trade today at the BB level, small ticket.  US LSTA 100 Index +4bp dod.  BB trade is GALXY 2018-28A E CVR 84.5 at 1015dm / 5.4y WAL, this bond has been downgraded to single-B current, MVOC is cuspy 100.4 and ends reinvestment in July, so does explain the basis wide to the index.

USD CLO Mezz/Equity

$69m of liquidity today across 45 trades all over the mezz stack and equity, CLO spreads remain stable/firm whilst US LSTA continues to climb, +13bp dod.  AA trade 195dm-301dm with benchmarks a small subset 232dm-245dm with our AA Index 243dm with post reinvestment bonds dominating either side of the index, whilst 3 x trades with MVOC 119-120 trade at the wide end 287dm-301dm (vs 123 area MVOC benchmarks).  Single-A trade 323dm-333dm which are at benchmark levels with our single-A Index 328dm.  BBB trade 474dm-477dm versus our BBB Index 469dm.  23 x BB trade 785dm-1107dm with benchmarks 854dm-889dm with our BB Index 870dm, low coupons / high MVOC dominate trading levels inside the index whilst post reinvestment / cuspy MVOCs dominate those bonds that trade wide to the index (benchmark BB MVOC in 101.7 area). 2 x equity trade 17.5%-19% yield, GNRT 3A SUB (Generate) covers 29h with 18.8% NAV (19% yield) and is post reinv, whilst KKR 32A SUB covers 62h with 34.9% NAV (17.5% yield) with EoRP 2024.

USD CLO AAA

$47m of liquidity today across the stack, US LSTA 100 Index +25bp dod and CLO spreads tighter in high grade with BBB slightly softer on month end.  AAA trade 153dm-193dm with benchmarks 169dm-171dm and our AAA Index tightening to 175dm, post reinvestment / short wal bonds make up the tail and tight end. 

USD CLO Mezz/Equity

Single-A trade 281dm-307dm with a short wal bond from Blackrock MAGNE 2015-15A CR cover 96.51 at 281dm / 4.4y WAL well inside the index 327dm (MVOC strong 115.1, coupon +180bps).  NEUB 2019-34A CR is the benchmark trade CVR 95.93 at 307dm / 5.6y WAL – MVOC 114 (in line with benchmarks), coupon +210bps and clean metrics.  BBB trade 377dm-494dm with 2 x benchmarks trading 466dm, both are EoRP mid-late 2023 with MVOC 106.9-107.3 which is in line with benchmark peers (BBB Index 469dm).  BB trades 733dm-1199dm with no benchmark trades (BB Index 871dm), bonds that trade tight to the index are MVOC driven (102.8-102.9 versus benchmark 101.8) with the tail bonds with dm’s north of 1000dm with MVOCs < 101.5.

EUR AAA CLO

3 x AAAs have traded, at around 181 dm. This is a tightening of around 10 bps.

EUR AAA CLO

CGMSE 2020-2X A1 traded at 198 dm today. It’s only one bond but this is back to the levels we were at before the Credit Suisse / SVB crisis.

USD CLO AAA

$52m of liquidity over 29 trades today across IG and SubIG, US LSTA 100 Index +22bp dod and CLO spreads are firmer.  AAA trade 164dm-192dm with benchmarks tighter on the day 177dm-182dm (AAA Index 180dm).

USD CLO Mezz/Equity

AA trade 234dm-259dm with benchmarks 252dm-259dm with our AA Index 258dm, 1.4m of APID 2021-36A B covers 96.1 at 234dm / 6.4y WAL inside the index given the strong MVOC 126.2.  Single-A benchmarks trade 314dm-352dm with our single-A Index 341dm, 4 x MM CLOs trade 409dm-428dm.  BBB and BB trades are all non benchmark trades with a number of bonds post reinvestment, MM CLO or low MVOC.