EUR AAA CLO

A strong day for AAAs today. The average spread level is well inside +200 now. In fact today’s trades are at +178. We are seeing around 15 – 20 bps tightening in AAAs.

USD CLO Mezz/Equity

Just 2 x AA trades into the long holiday weekend, US LSTA 100 Index +9bp dod and AA spreads firmer.  Trading range today is 226dm-240dm with our AA Index tightening into 239dm, inside the index is WBOX 2019-1A ANBR CVR 97.79 at 226dm / 4.6y WAL - MVOC is strong 124.1 (vs. 122.6 benchmarks) and coupon is lower +170bps whilst other metrics largely in line so these are the factors that influence execution it appears.

USD CLO AAA

20 trades today across $177m of liquidity, CLO spreads continue to grind tighter with US LSTA 100 Index +18bp dod.  AAA trade 151dm—202dm with benchmarks 155dm-177dm with our AAA Index tightening to 172dm, bonds tighter to the index are driven by manager record and those wider are driven by MVOC, coupon structure and to a lesser extent manager performance.

USD CLO Mezz/Equity

Single-A trade 318dm-348dm with our single-A Index tighter at 324dm.  BBB trade 407dm-634dm with our BBB Index 461dm, a similar story to AAA bonds with manager tiering influencing execution and coupon structure scaling those bonds with higher margin to the wider end of this range, eg. APEXC 2019-2A D CVR 89.07 at 634dm / 6.6y WAL – MVOC is in line 106.7 as are other metrics but the coupon is 405dm (well wide to benchmarks in mid-300s context).  BB trade 765dm-828dm with our BB Index 919dm with bonds with strong MVOC (>102) influencing execution.

USD CLO AAA

$39m of bonds exchanged hands today, with an easing into MLK weekend.  US LSTA 100 Index +18bp dod whilst CLO spreads flat on the day.  AAA trade 149dm-197dm with benchmarks 169dm-176dm which is around our AAA Index 173dm with margin structure driving the tiering away from the index.

USD CLO Mezz/Equity

Single-As trade 279dm-440dm which is a wide dispersion around the single-A Index 330dm with the majority of trading wide to the index given MVOC context <111 which is lower than benchmarks in 113/114% context, GLM 2017-2A C covers 96.51 at 279dm / 4.1y WAL which is well inside our index and driven by MVOC 118.45 and lower coupon structure +180bps (vs benchmarks in low-mid 200s context) both scale the dm inside the index.  BBB trade 327dm-416dm with our BBB Index wider at 461dm with both bonds post reinvestment and attached with low coupons are scaled well inside the index naturally.

USD CLO AAA

$117m of liquidity today across the stack, US LSTA 100 Index +180bp on year end 2022.  AAA trade 161dm-175dm for benchmarks and our AAA Index tightens in to 173dm, a number of post reinvestment bonds with coupons by and large <100bps trade wide of the index as we expect. 

USD CLO Mezz/Equity

AA bonds trade 227dm-265dm with our AA Index tighter at 249dm, MVOC driving tiering with one outlier trade either side of the index driven keenly by MVOC dispersion away from benchmark’s in mid-122% context.  BBB trade 413dm-731dm with benchmarks 446dm-464dm and our BBB Index 461dm with MVOC and coupon structure driving tiering for benchmarks.  BB trade 874dm-1195dm with benchmarks 897dm-943dm and our BB Index 919dm, bonds wide of the index are all driven by MVOC with all of these outliers cuspy around 100 MVOC so many are in MV shortfall as it stands.

EUR AAA CLO

A heavy day’s trading today. AAAs are about 6bps tighter than the end of last year, on average eg VOYE 1X A traded at 97.96 today and at 97.55 on 5 Dec 2022. The average traded spread today is 195dm. According to our model BCCE 2020-1A A traded the cheapest at 222dm.

USD CLO AAA

More than $360m of liquidity today, mostly at the AAA level with spreads remaining firm and US LSTA 100 Index +23bp dod.  AAA trade 165dm-224dm with benchmarks 165dm-183dm and our AAA Index 175dm, 2nd pays, post reinvestment bonds and higher coupon bonds tend to make up the tail that trade wide to the index with highe quality 2nd pays now trading slightly inside 200dm.  $352m of the $362m is made up of AAA trades today, circa 97%.

USD CLO Mezz/Equity

AA trade 264dm-292dm with benchmarks trading 264dm-266dm which are wider to our AA Index 250dm, with these bonds having a longer wal (7y) with other metrics broadly in line.  Trades are also in small size (<2m each) so will be less impactful.  1 x BBB trade OAKC 2015-11A DR CVR 93.5 at 436dm / 5.9y WAL which is inside our BBB Index 482dm – wal is at the shorter end (5.9y / EoRP 2024), manager Oak Hill is of high quality, MVOC is broadly in line with benchmarks and coupon is <300bps which may have a bearing on execution for a 5m ticket.

USD CLO AAA

First day of any liquidity since pre-Christmas with  $251m of bonds exchanging hands, US LSTA 100 +29bp on year end.  AAA trade 166dm-214dm with benchmarks 166dm-181dm and our AAA Index tightening 2dm to 175dm.  Wide of the index are 2nd pay AAA 195dm-204dm which are also tighter than late 2022 levels.

USD CLO Mezz/Equity

AA trade 230dm-269dm with benchmarks 237dm-269dm wrapped around our AA Index 251dm, bonds that trade at the wide end of the index are MVOC influenced (<122) but still in benchmark range.  Single-As trade 255dm-308dm inside our single-A Index 330dm given these are post reinvestment bonds with strong MVOC context.  BBB trade 427dm-830dm with benchmarks 427dm-524dm and our BBB Index 488dm which is flat on year end.  Trades wide of the index are driven by MVOC levels <105 and higher coupon structures.  1 x BB trade RAD 2019-5A E CVR 84.78 at 1039dm / 6.4y WAL (EoRP 2024) this is wide of our BB Index 913dm given lower MVOC context 100.9 and inexperienced manager Irradiant Partners with only 1 x CLO under management influencing execution.

USD CLO Mezz/Equity

Very little flow today with $9m notional exchanging hands across 7 low mezz trades, with spreads flat and US LSTA 100 +2bp dod.  BBB trade 437dm-496dm with our BBB Index 483dm, at the tight end is a Goldentree bond GLD12 2016-12A DR CVR 93.64 at 437dm / 5.4y WAL – MVOC is in line but coupon is low +290bps.  BB bonds trade 814dm-1169dm with our BB Index unchanged 923dm, CVC’s APID 2015-23A ER covers near our index 85.75 cover at 930dm / 7.2y WAL – EoRP 2025, MVOC 101.3, coupon +620bps and other clean metrics.  2 bonds are wide to the index and are driven here due to high coupon / low MVOC context.

USD CLO AAA

Muted trading activity in the lead up to Christmas with only $13.5m of liquidity today, spreads flat and US LSTA 100 also flat dod.  At AAA there is one trade KKR 18 AR CVR 98.79 at 174dm / 1.6y WAL slightly inside our AAA Index 178dm – post reinvestment and low coupon +94bps.

USD CLO Mezz/Equity

3 x BBB trades 408dm-445dm inside our BBB Index 483dm, all bonds have low coupons (<300bps) and carry strong MVOC (>106.5) so are scaled inside the index.

USD CLO AAA

$95m of bonds exchanging hands today, spreads flat and US LSTA 100 -5bp dod.  AAA trade 160dm-197dm with benchmarks 176dm-181dm with our AAA Index 178dm, bonds wide to the index are post-reinvestment, APID 2016-24A A1AL is inside our index with CVR 98.42 at 160dm / 2.6y WAL (EoRP 2023) – high MVOC 152.7 and low coupon +95bps (other stats average / weak) but these are the key differentiators for execution.

USD CLO Mezz/Equity

1 x BBB NEUB 2021-40A D CVR 92.36 at 434dm / 6.2y WAL inside our BBB Index 483dm given the low coupon +275bps with other stats broadly in line for this benchmark name.  BB trade 847dm-987dm with our BB Index 923dm with MVOC driving the tiering here given the proximity to a MV shortfall is quite apparent at this rating level.  Closest trade to our index is TPRK 2021-1X E CVR 87.79 a 871dm / 8.2y WAL – MVOC 101.96, EoRP 2026, ADR 0.2, Jnr OC cushion 6.6 and a benchmark manager Blackstone driving the bond slightly inside our index.

USD CLO AAA

$32m of bonds traded today, all high grade with spreads stable.  At the AAA level the majority of trades are post reinvestment that trade in very high dm context given the very short wals (<1y).  There is a small clip of DRSLF 2018-58A A1 that covers near our AAA Index (177dm) at 98.2 at 179dm / 2.5y WAL – EoRP 2023, MVOC is 144.4, ADR is 0.96 so slightly elevated, PGIM is benchmark whilst other stats are clean.

USD CLO Mezz/Equity

At AA the trading range is 258dm-261dm (10m notional) which has shifted slightly wide to our index 247dm, the bonds have MVOC in line with benchmarks (c. 123%) with other stats more or less in line aside from a weaker Jnr OC cushion on APID 2015-20A A2RR (CVC) at 2%, elevated Sub80 bucket 6% and low coupon +155bps.

USD CLO AAA

$68m of liquidity in high grade, AAA spreads firm and remainder of the stack stable, US LSTA 100 -3bp dod.  AAA trade 152dm-178dm with our AAA Index shifting into 177dm, at the tight end is NEUB 2021-40A A CVR 98.4 at 152dm / 4y WAL - MVOC 151.4, Jnr OC cushion 5.2 and +106bp coupon from a benchmark manager Neuberger.

USD CLO Mezz/Equity

AA trade 189dm-386dm with benchmarks 240dm-265dm and our AA Index unchanged 245dm, 2 x MM CLO AA trade at the wide end of this overall AA range 344dm-386dm.  3 x rare MM CLO single-As trade 452dm-480dm with no BSLs.

USD CLO AAA

$140m of liquidity today, CLO spreads largely flat and US LSTA 100 +4bp dod.  AAA trade 165dm-189dm with our AAA Index 179dm, 3 x 2nd pay AAA trade 195dm-201dm which is a tighter theme than the last time 2nd pay AAAs traded.

USD CLO Mezz/Equity

AA trade 244dm-301dm with benchmarks 244dm-246dm / our AA Index unchanged 245dm, 3 bonds trade wide to the index of which 2 are post reinvestment and the other which is in reinvestment ANCHC 2018-1RA B covers 96.48 at 263dm / 3.4y WAL – ADR high 1.13 and Junior OC cushion cuspy 1.4 whilst Anchorage has a weaker manager profile.  There are a large number of single-A trades today (14) with a trading range 313dm-426dm with benchmarks 317dm-381dm and our single-A Index 333dm, 3 bonds tight to the index are MVOC driven factors / clean credit whilst the 3 wide to the index are MVOC / high coupon and not credit driven with the exception of OZLM 2016-15A BR which covers 92 at 389dm / 6.2y WAL – MVOC is in line 114.8 but ADR is elevated at 1%, Junior OC cushion is low 2.6 and the manager Sculptor has a weak performance record.

EUR AAA CLO

AAAs drifting slightly wider.

USD CLO AAA

$83m of trading today across the stack including equity, a tightening theme all round including US LSTA 100 +18bp dod.  AAA trade 161dm-238dm with benchmarks 169dm-187dm with our AAA Index tightening to 180dm, high coupon AAAs (>200bps) dominate the wide end of the trading range today.

USD CLO Mezz/Equity

AA trade 231dm-252dm with our AA Index unchanged at 245dm.  Single-As tightened, trading range today 278dm-352dm with benchmarks 318dm-329dm with our single-A Index tightening to 331dm, OCT33 2017-1A B trades wide to the index CVR 94.41 at 352dm / 3.9y WAL – ADR is elevated 1.3, MVOC is 111.9 which is a point below benchmark and Junior OC cushion is also at the low end 2.4.  BB trade 904dm-1116dm with very few benchmark bonds trading, our BB Index is 923dm with the majority of bonds trading wide to the index given MVOC migration below 101 which is where we see benchmark bonds.  2 x equity trade with yields 17.5% to 25%, cover prices in low-mid 50s context, eg. MP17 2020-1A SUB (Marble Point) covers 51.38 which equates to a 24.75% yield accounting for asset level haircuts and our respective call assumption.

USD CLO AAA

$142m of trades today across IG and subIG, spreads stable and US LSTA virtually flat dod.  AAA trade 169dm-231dm with benchmarks 175dm-180dm with our AAA Index tightening slightly to 182dm.  There is a rare 2nd pay AAA WINDR 2018-2A A2 CVR 96.29 at 221dm / 5.8y WAL.

USD CLO Mezz/Equity

AA trade 225dm-321dm with our AA Index towards the tighter end 245dm, one outlier trade at the wide end WELF 2017-3A A2 CVR 95.25 at 321dm / 3.2y WAL – one month from end of reinvestment period end, low MVOC 118.3 (v 123 benchmark), WARF > 3000 and Junior OC cushion low at 2.4.  Single-A trade 328dm-340dm wrapped around our single-A Index 334dm.  BBB trade 457dm-549dm with benchmarks 466dm-538dm with our BBB Index 483dm.  KKR 27A DR trades slightly wide to the index cover 90.2 at 538dm / 6.4y WAL – MVOC is largely in line, EoRP is 2024, WARF is only a touch high 2958, manager has a good profile, Jnr OC cushion is strong 5.9 and ADR is low 0.47, the only metric which is elevated is CCC at 6.2% which may explain some of the basis to the index but not all.  BB trade 900dm-1181dm with benchmarks 900dm-968dm and our BB Index drifting slightly to 928dm.  Bonds wide to the index are MVOC led with the exception of ANCHC 2016-9A ER2 CVR 85.05 at 1041dm / 6.4y WAL – the MVOC is in more or less line with benchmarks 101.22 but WARF is high 3148, ADR is elevated at 1%, Jnr OC cushion is low 2.7 and the manager Anchorage has a slightly weaker profile versus its peers.

EUR AAA CLO

Just 2 x AAA trades today. Spreads are flat on the day. These trades have come in around + 200 bps, which optically look a little wider but in fact they have margins that are on the high side and these spreads are to be expected.

USD CLO Mezz/Equity

$58m of liquidity today, all mezz, spreads continue to grind tighter and US LSTA 100 -3bp dod.  AA bonds trade 236dm-285dm with benchmarks 239dm-268dm and our AA Index 245dm, wide of the index is LCM 16A BR2 CVR 96.06 at 285dm / 4.2y – weak MVOC 119.5 (vs benchmark 123a) and , Junior OC cushion is low 2.1.  BBB trade 450dm-702dm with benchmarks 450dm-502dm with our BBB Index 482dm which is in the middle of this range.  Bonds wide of the index are MVOC influenced primarily with some scaling from slightly weaker manager profiles including Wellfleet and Voya.  BB trade 820dm-1307dm with benchmarks 899dm-924dm with our BB Index tightening to 924dm, CGMS 2021-6A E covers right on our index with cover 85.84 at 924dm / 8.5y WAL – MVOC 101, EoRP 2026, ADR 0.09, Jnr OC cushion 5.8 and coupon +646bps which are benchmark levels.

EUR AAA CLO

AAAs looked to have moved wider last Thursday but now look to have tightened back to where they were before that. The moves on Thursday may not have been representative of the broader market.

USD CLO AAA

$137m of liquidity today with mainly IG bonds trading with spreads continuing to remain firm, US LSTA 100 +5bp dod.  AAA trade 148dm-248dm for BSLs with MM CLOs trading 262dm-265dm, there is a wide range for BSLs given the array of profiles.  Our AAA Index tightens to 185dm with benchmarks trading 179dm-192dm today, those trades wide of the index are driven by high coupon, low MVOC and combinations of cuspy Junior OC cushion / elevated ADRs, eg. At the wide end is OCT17 2013-1A A1R2 CVR 97.11 at 248dm / 2.1y WAL (EoRP next month) – ADR 1.14, Jnr OC cushion 2.4 with MVOC 151.

USD CLO Mezz/Equity

Single-As trade 263dm-360dm with benchmarks 321dm-352dm with our single-A Index tighter at 335dm, MDPK 2019-33A CR trades inside the index CVR 98.27 at 263dm / 5.7y WAL – MVOC is strong 115.4 and metrics/tests are all clean/healthy whilst the manager CSAM is a benchmark name.  BBB trade in a characteristically wide dispersion 340dm-640dm with benchmarks 448dm-509dm and our BBB Index 486dm (-3dm dod), MVOC drives tiering inside the index with the market grinding in this direction for CLO spreads.  Bonds wide of the index are driven by manager metrics particularly with all other variables largely in line aside from MVOC.

EUR AAA CLO

A raft of AAAs have traded today. AAAs look to have moved wider. The average spread on the floaters is 232 dm which is 20 bps, or more, softer.

USD CLO Mezz/Equity

A trickle of liquidity post Opal CLO conference with 4 mezz trades and $4.5m of notional, with US LSTA 100 +2bp on last CLO trading day and spreads remaining firm.  1 x BBB APID 2019-31A DR CVR 92.93 at 458dm / 6.2y WAL (CVC, EoRP 2024, coupon +310bps) – strong MVOC 107.07 but low-mid Jnr OC cushion 2.8 and does trade inside our BBB Index 489dm given the overall profile.  2 x BB trade 894dm-980dm with our BB Index 935dm, WHTPK 2021-1A E CVR 85.12 at 894dm / 9y WAL trades inside the index given clean metrics (MVOC 101.1, Jnr OC cushion 4.4, benchmark manager Blackstone) and the scaling factor of the lower coupon structure +615bps.  1 x rare single-B MDPK 2018-28A F CVR 80.47 at 1222dm / 7.2y WAL, this is inside our single-B Index 1386dm given the strong MVOC 101.21 (at BB levels) and overall clean metrics from a benchmark manager CSAM.

EUR AAA CLO

Just a handful of AAA trades today. Market feels a little firmer, with an average traded spread of 194 dm.

USD CLO AAA

Only $16m of liquidity today, AAA and BBB with spreads stable and US LSTA 100 +10bp dod.  AAA trade 186dm-232dm with our AAA Index unchanged at 188dm, the outlier trade is VENTR 2017-29A AR CVR 97.81 at 232dm / 1.8y WAL – post reinvestment (EoRP Sep 22), ADR elevated 1.26, Jnr OC cushion low 2.2, MVOC low end 138.2 and manager MJX has a weaker profile.

USD CLO Mezz/Equity

BBB trade 443dm-583dm with our BBB Index 493dm, benchmarks trade themselves in a wide dispersion 443dm-539dm with tiering due to slightly lower MVOC (106.2), higher coupon (+365bps) and shorter wal (EoRP 2025) on KKR 38A D which covers 91.57 at 539dm / 7y WAL versus a Carlyle BBB CGMS 2019-3A CR CVR 93.69 at 443dm / 6.7y WAL – coupon +320bps, MVOC 106.6 and EoRP 2024.  But little in this with our BBB Index the near mid point between these two trades.

USD CLO AAA

Plenty of liquidity today, $242m exchanging hands with CLO spreads stable and US LSTA 100 +17bp dod.  AAAs trade in a wide dispersion 170dm-244dm, the profiles of these AAA are not considered benchmarks given the majority are post reinvestment, low MVOC or low coupon structures, our AAA Index is unchanged 188dm.

USD CLO Mezz/Equity

AA trade 242dm-269dm with GLM 2018-3A B1 (GoldenTree) at the wider end CVR 96.56 at 269dm / 3.4y WAL, metrics are reasonable whilst Jnr OC cushion is cuspy 1.55 and ADR is elevated and close to 1% (0.9%).  Our AA Index is 252dm.  Single-As trade 311dm-359dm with benchmarks 344dm-359dm and our single-A Index 343dm, bonds tight to the index have short wal with low coupons (<200bps).  3 x BBB trade 519dm-614dm which is well wide to our BBB Index 494dm, influenced by lower MVOCs (<106) versus benchmark (106.6) compounded with some scaling factors from weaker managers, eg. PARL 2021-1A D CVR 85.31 at 614dm / 8y WAL – metrics are clean and MVOC is only slightly back to benchmark 106.2 but the manager’s weak performance record drives execution wide on this bond.  24 x BB trade in a very wide dispersion 808dm-1255dm with benchmarks 902dm-984dm and our BB Index 940dm, bonds inside the index are NAV driven and the same for those wide of the index today.

EUR AAA CLO

The 2 x AAA trades are at 206dm. It feels like AAAs are trying to go tighter, but without much conviction.