EUR AAA CLO

AAAs traded around 181 dm. HAYEM 8X A1 was cheaper than expected at 189 dm / 96.15.

USD CLO AAA

$124m of trading today, spreads broadly stable and US LSTA 100 Index also flat on the day, AAA Index is 161dm.

USD CLO Mezz/Equity

AA trade 197dm - 241dm, AA Index 205dm.  Single-A trade 233dm-253dm which is tight to the Index level 291dm given coupon structures are < 200bps.  BBB trade in a wide dispersion 321dm-732dm with a number of factors at play here impacting the basis around the BB Index 397dm (manager profile, MVOC, coupon, etc).  BB trade 783dm-1145dm (BB Index 772dm) so the majority of trades are wide of the index with MVOC and high coupon bond profiles dominate the bond profiles that traded.

USD CLO AAA

$130m of trading, CLO spreads flat dod, US LSTA 100 Index +5bp dod.  AAA unchanged 157dm.

USD CLO Mezz/Equity

AA trade 193dm-213dm, one benchmark bond TICP 2018-12A BR CVR 98.57 at 202dm / 6y WAL - MVOC 125.1, clean metrics from a good manager Sixth Street (AA Index 202dm).  BB trade 726dm-1320dm, with no benchmarks and our BB Index unchanged 773dm.with a number of cuspy bonds at this rating level close to or below par.  LCM 22A DR covers at 73.4 at 1320dm / 4.9y WAL - MV shortfall (99.7) and cuspy Jnr OC cushion 0.94.

USD CLO Mezz/Equity

Just shy of $130m of trading today across the capital structure, with spreads tighter at mezz.  AA trade 192dm-225dm with our AA Index tighter at 205dm, with coupon structure driving some bonds inside the index and benchmarks trade 201dm-208dm.  BBB trade 287dm-501dm (BBB Index tighter 397dm) with two benchmark trades 369dm-387dm but scaled inside the index given post reinvestment / short wal profiles.  BB trade in a very wide dispersion 438dm-1017dm with benchmarks 722dm-779dm (BB Index 773dm) with manager profiles driving some bonds inside the index whilst high coupon structures drive those bonds that trade wide of the index today as high as 1017dm (coupon +836bps).

EUR AAA CLO

A couple of AAAs today. BNPAM 2018-1X AR traded quite cheap at 207 dm given it is around 1yr out of its Reinvestment Period end date and is only 1.9yr WAL. SCULE 6X AR traded at 175 dm.

USD CLO AAA

$43.5m across the stack, US LSTA 100 Index +5bp dod, AAA Index now 157dm.

USD CLO Mezz/Equity

1 x benchmark single-A HLM 13A-18 C CVR 98.14 at 274dm / 4y WAL - 115.4 MVOC, EoRP Oct-23 and benchmark manager HPS versus our single-A Index 291dm.  BBB trade 309dm-496dm with our BBB Index now 401dm, 1 x benchmark trade OAKCL 2021-1A D CVR 96.36 at 402dm / 7.3y WAL - strong MVOC 110.4, benchmark manager OakTree and clean metrics with a coupon of +325bps. 

EUR AAA CLO

Only a small handful of trades today. AAAs traded around 172 dm.

USD CLO AAA

$51m of liquidity today, CLO seniors unchanged whilst higher mezz tighter, US LSTA 100 Index +7dod.  AAA Index unchanged 158dm.

USD CLO Mezz/Equity

AA trade 192dm-220dm (AA Index 211dm) with a characteristic tight Blackrock bond propping up the tight end MAGNE 2019-22A BR CVR 99.21 at 192dm / 3.7y WAL (EoRP 2024) – MVOC strong 127.05 and very clean metrics, wide of the index are 2 very short bonds which are through reinvestment or soon to be.  1 x single-A trade CGMS 2019-4A BR CVR 96.88 at 281dm / 7y WAL inside the single-A Index 296dm given the strong profile (Carlyle managed, MVOC 116, Jnr OC cushion 5% and ADR 0.39).  BBB trade 385dm-463dm with our BBB Index tightening slightly to 404dm, inside the index is an Invesco bond VERDE 2019-1A DR EoRP 2024) CVR 97.7 at 385dm / 5.2y WAL driven by strong manager profile and a short dated PGIM bond which is post-reinvestment trades 387dm / 4.8y WAL (CVR 95.61), wide of the index is an Ares bond ARES 2014-32RA C CVR 93.55 at 463dm / 4.5y WAL – weak MVOC 105.7 and cuspy Jnr OC cushion 0.35 and elevated ADR 1.1.  At BB, one trade TSYMP 2016-1A ER2 CVR 87.89 at 973dm / 5.6y WAL (EoRP Nov-23) – weak MVOC 101.4, low Jnr OC cushion 2.6.

USD CLO AAA

$58m of liquidity today with some tightening in mezz, US LSTA 100 Index +12bp dod.  AAA index now stable around 158dm.

USD CLO Mezz/Equity

Single-As trade 259dm-373dm (Single-A Index 298dm) with bonds trading either side of the index given post-reinvestment / low MVOC profiles.  BBB trade 319dm-409dm with our BBB Index tightening to 406dm, bonds inside index are post reinvestment / short wal and higher MVOC (>110) profiles.  BB trade 680dm-810dm with our BB Index tightening to 801dm as the market shifts tighter and MVOCs shift higher.

EUR AAA CLO

AAAs have possibly traded a little softer today, by around 3 – 4 bps, at an average of 168 dm.

USD CLO AAA

$75m of liquidity today, spreads stable overall with US LSTA 100 Index +4bp dod.  AAA Index unchanged 156dm.

USD CLO Mezz/Equity

BBB trade 336dm-488dm (BBB Index slightly tighter 418dm) with one notable benchmark trade BCC 2019-4A DR CVR 97.15 at 422dm / 7.3y WAL – MVOC 109.1 / coupon +363bps and benchmark manager Bain.  BB trade in a very wide dispersion 497dm-1048dm (BB Index 823dm) with a number of profiles, with MVOC key differentiator either side of the index along with post-reinvestment bond profiles.

EUR AAA CLO

AAAs are still trading around 163 dm.

USD CLO AAA

$102m of liquidity across the stack, spreads stable and US LSTA 100 Index +3bp dod.  AAA trade 155dm-168dm with our AAA Index 155dm.

USD CLO Mezz/Equity

AA trade 214dm-231dm (AA Index 223dm) whilst single-As trade 304dm-458dm (Single-A Index 298dm) with low-MVOC profile bonds driving the wide end of this range off index.  BB trade 722dm-1309dm with no benchmarks (BB Index 823dm) with post reinvestment / high profile manager (CIFC/Blackstone) shorter wal bonds driving levels inside the index, whilst lower MVOC profils (<102) driving bonds well wide of the index level.

USD CLO AAA

$52m of trading today, with senior spreads stable and lower mezz spreads slightly tighter, US LSTA 100 Index +10bp on Friday close.  Our AAA Index remains rooted at 153dm.

USD CLO Mezz/Equity

4 x high coupon BBB trades 495dm-537dm range (BBB Index 423dm) with coupons +490-550bps given the majority of these trades are EoRP 2028 so more recent vintage.  BB trade 771dm-859dm (BB Index 823dm) with APID 2022-40A E at the tight end (CVC) - CVR 100.28 at 771dm / 8.8y WAL, coupon is at the higher end +769bps and MVOC is strong 106.7 (vs benchmarks 104.5) so this trades inside the index given the very strong MVOC.  VERDE 2019-1A ER trades back to the index (CVR 92.06 at 859dm / 5y WAL) with MVOC low 102.6 despite the benchmark manager Invesco (EoRP 2024) and elevated ADR of 1%.

EUR AAA CLO

AAAs are unchanged at around 163 dm in secondary, for short average lives between 1 and 3 years.

EUR AAA CLO

DRYD 2016-48X A1R traded at 183 dm.

EUR AAA CLO

AAA spreads are steady with a handful of trades at around 168 dm.

USD CLO AAA

CLO Spreads unchanged, US LSTA 100 Index +1bp dod and close to $100m of liquidity.  AAA trade 127dm-290dm with virtually all non-benchmark trades (AAA Index 153dm) with the vast majority post reinvestment bonds.

USD CLO Mezz/Equity

2 x rare AA MM CLOs trade 348dm-352dm.  BBB trade 396dm-510dm with non-benchmark profiles (low MVOC, high coupon) and BBB Index unchanged 423dm.  BB bonds are non benchmarks with high coupon profiles and trading range 856dm-857dm (coupons +850-875bps).

EUR AAA CLO

Just the one AAA trade. It’s one year past its RPE date and traded at 162 dm for 1.6 yr WAL. In primary Harvest XXX priced at +175.

USD CLO Mezz/Equity

$20m of liquidity today, US LSTA 100 Index -1bp dod and CLO spreads flat.  Single-A trades are non-benchmarks in reinvestment with low MVOC profiles 115 or less (vs benchmark 117) with a trading range 322dm-327dm (Single-A Index 298dm).

USD CLO AAA

$132m of liquidity today with spread tightening at AAA evident with $110m of trading, US LSTA 100 Index +11bp since Friday cob.  AAA trade 132dm-172dm for BSL 1st pay AAAs (AAA Index 153dm) with benchmarks 135dm-146dm which is a tighter shift, 1 x MM CLO GOCAP 2014-21X AR covers 99.5 at 187dm / 0.5y WAL – short wal / post reinvestment bond.

USD CLO Mezz/Equity

In terms of mezz, very spotty trading with 1 or 2 trades per rating band with few benchmarks and levels generally flat on the day.

EUR AAA CLO

AAAs remain steady, trading today around 174 dm.

USD CLO Mezz/Equity

$8m of trading across 3 x mezz trades, all non-benchmark with CLO spreads unchanged, US LSTA 100 Index +2bp dod.  AA trade 231dm-305dm (AA Index 223dm) with both trades post reinvestment and weaker credit/MV profiles, with OZLM 2014-6A A2AS CVR 98.78 at 231dm / 2.8y WAL (EoRP April-23) with a resonable MVOC 126.9 but manager profile (Sculptor) is on the weaker side, ADR 1.1 and Jnr OC Cushion is -0.06.  1 x BBB trade ALLEG 2016-1X DR CVR 97.69 at 434dm / 6.3y WAL (BBB Index 421dm) - bond is post reinvestment, MVOC 107.9 (-1pt lower to benchmarks), Jnr OC cushion 0.09 and ADR 1.2.

USD CLO AAA

$130m of liquidity today across the stack AAA-BB with CLO spreads broadly flat and US LSTA similar context +1bp dod.  AAA trade 136dm-217dm with benchmarks 157dm-168dm (AAA Index 162dm), manager profiles and MVOC influencing trades inside the index and high coupon bonds scaling bonds wide to the index.

USD CLO Mezz/Equity

Single-A trade 253dm-427dm with benchmarks 288dm-294dm (Single-A Index 298dm) with one post reinvestment bond tight to the index whilst manager profile and MVOC scales those bonds wide to the index, a benchmark trade is BCC 2020-1A C CVR 99.52 at 288dm / 5.6y WAL (EoRP 2025) – MVOC 116.1, +270bps coupon and Jnr OC cushion 4.8 benchmark manager Bain Cap.  BBB trade 381dm-526dm (BBB Index 421dm) with manager profiles and MVOCs driving bonds either side the index.  BB trade 707dm-948dm (BB Index 843dm = -1bp dod).

USD CLO AAA

$140m of liquidity today with BBB spreads tighter, US LSTA drops for the third day in a row -3bp dod.  AAA trade 172dm-192dm with all trades non benchmark / high coupon (AAA Index 162dm). 

USD CLO Mezz/Equity

AA, Single-A and BB spotty trades are all non benchmarks whilst BBB trade 347dm-594dm with benchmarks 417dm-419dm (BBB Index 421dm) as MVOC drives the tiering above and below the index.  Benchmark trade is OCP 2019-17A DR CVR 95.5 at 417dm / 5.5y WAL – 108.3 MVOC, +310bps coupon and benchmark manager Onex / EoRP 2024.

EUR AAA CLO

Notwithstanding the relatively wider pricing of Nassau Euro III the secondary market looks to be on a slight tightening trend. We see AAAs a few bps firmer.