USD CLO AAA

Only 21m of liquidity today with the majority of trades being non-benchmark, US LSTA 100 Index +16bps and the BB Index shifts slightly tighter on recent actvity.  There is only 1 x AAA trade which is a high coupon and trades 197dm / 5.5y WAL (AAA Index 171dm).

USD CLO Mezz/Equity

AA trade 239dm-294dm with no benchmarks (AA Index 251dm) given post-reinvestment / high coupon profiles.  Single-A trade 375dm-384dm (Single-A Index 311dm) with similar scenario to AA (post-reinv/high coupons).  BBB trade back to the Index (107dm) given MVOCs in 104 area context which are far lower than 107% for benchmarks.  There is 1 x BB benchmark trade CGMS 2021-1A D CVR 87.37 at 851dm / 6.9y WAL (EoRP 2026 / Carlyle managed) versus our BBB Index 871dm.  2 x rare single-B trades 1141dm-1160dm trading range (Single-B Index 1289dm) given strong MVOC profiles 101-103% context.

USD CLO AAA

$120m of liquidity today across IG and Non-IG, spreads stable and US LSTA 100 Index +14bp dod.  AAA trade 156dm-202dm ignoring the very short daters / high DM bonds with benchmarks 167dm-174dm (AAA Index 171dm), through the right end is a short Blackrock bond MAGNE 2021-29A A CVR 98.76 at 156dm / 2.4y WAL (EoRP Jan-24) with very clean metrics, whilst post-reinvestment bonds pack out the wide end.

USD CLO Mezz/Equity

Single-A trade 313dm-328dm for benchmarks which neatly wrapped around our Single-A Index 311dm.  BBB trade 360dm-796dm (BBB Index 443dm) with one benchmark trade BSP 2019-18A DR CVR 93.32 at 440dm / 7.7y WAL – EoRP 2026, Benefit St managed and clean credit and MV metrics.  Trades inside the index are MVOC influenced with post-reinvestment bonds with a lower MVOC to benchmark (107 area) make up the tail wide of the index.  2 x BB bonds trade 940dm-1084dm wide to our BB Index 885dm driven by manager tiering factor and high coupon bonds and less of MVOC influence given these are in 102-102.5 territory close to benchmarks.

EUR AAA CLO

A lot of AAAs traded today. The average spread is 183 dm, in line with expectations.

USD CLO AAA

8 x trades for $31m notional today, spreads flat dod with US LSTA 100 Index +14bp dod.  At AAA BSLs trade 154dm-166dm with a benchmark trade RAD 2021-15A A CVR 98.29 at 166dm / 3.3y WAL - EoRP 2025, MVOC 149.4, coupon +109bps and clean metrics with our AAA Index now 169dm.  GOCAP 2021-54A A (MM CLO) covers 97.57 at 228dm / 3.7y WAL which is in line with recent MM AAA comps.

USD CLO Mezz/Equity

BB trade 899dm-1155dm with our BB Index unchanged 885dm, trading activity is restricted to weaker MVOC bonds (<102 benchmark) with some credit / Jnr OC cushion weakness scaling these wider to the index.

USD CLO AAA

$35m of bonds traded today, first trickle of trades since month end, US LSTA 100 Index +54bp on month end.  AAA spreads tighter with our AAA Index 170dm (-2dm) with trading range 166dm-185dm, with benchmark at the tighter end - OCT50 2020-4A AR CVR 97.73 at 166dm / 5.2y WAL - MVOC 145, coupon +115bps with clean metrics (Octagon managed).

USD CLO Mezz/Equity

Virtually all post reinvestment mezz bonds, with the exception of WINDR 2019-3A DR at the BBB end, CVR 87.33 at 649dm / 5.7y WAL well wide of the BBB Index 444dm given the low MVOC 104.7 vs 107 benchmark, hiigh ADR 1.6, weaker manager profile (First Eagle) and high coupon +350bps.

EUR AAA CLO

Just a handful of AAA trades today. They have traded around 180 dm which could be a couple of bps firmer.

EUR AAA CLO

There are three AAA trades today. One of them, OHECP 2015-3X A1R, has highly delevered and so traded at 153 dm. The other two traded around 186 dm, in line with expectations.

USD CLO AAA

$166m of liquidity on the last day of the month, spreads tighter with US LSTA 100 Index +1bp dod.  AAA trade 170dm-206dm with benchmarks 170dm-175dm (AAA Index 172dm), a number of 2nd pays naturally trade wide of the 1st pay index level whilst manager tiering and post reinvestment bonds make up the remainder of the tail that are wide of the index level.

USD CLO Mezz/Equity

15 x BBB trades $17.5m notional with trading range 411dm-661dm with benchmarks 415dm-461dm (BBB Index 444dm), a Blackrock bond MAGNE 2020-28A DR trades at the tight end given the manager’s conservative record, whilst MVOC tiers the trades wide of the index, at the wide end is BATLN 2016-10A CR2 CVR 84.5 at 661dm / 7y WAL (EoRP 2026) – Brigade managed (which is a benchmark manager) but MVOC is 103.8 (3.5pts back to benchmark), coupon is high +345bps whilst other metrics are average eg ADR 0.81.

USD CLO AAA

With the long holiday weekend and month end flows are muted and restricted to AAA, US LSTA 100 Index +10bp compared to last day of CLO trades.  AAA trade 159dm-200dm with our index largely unchanged at 177dm, benchmarks trade 173dm-186dm, high coupon bonds dominate the wide end whilst manager tiering and MVOC impact those bonds inside the index level, eg. a strong Blackrock managed CLO AAA bond MAGNE 2021-31A A1 covers 97.96 at 159dm / 4.8y WAL - EoRP 2026, clean metrics, coupon +110bps, MVOC 149.4 with the emphasis on the strong manager record push this bond inside the index.

EUR AAA CLO

The three AAA trades today, at around 198 dm, look distinctly wider – albeit in a quiet market.

USD CLO AAA

18 trades $36m of notional today across IG and SubIG, CLO spread direction is mixed, US LSTA 100 Index -14bp dod.  AAA trade 181dm-202dm with our AAA Index 176dm and little in terms of benchmark activity today with high coupon bonds skewing the dm range.

USD CLO Mezz/Equity

Single-A trade 286dm-346dm with our single-A Index 311dm, one benchmark trade APID 2020-34A CR CVR 95.5 at 286dm / 7y WAL (EoRP 2027) and clean metrics from a tier 1 manager CVC so trades inside the index.  BBB trade 445dm-599dm (BBB Index 444dm) with the benchmark trade Oak Hill's OAKC 2022-12A D CVR 99.35 at 445dm / 6.8y WAL - EoRP 2025, MVOC strong 112.5 and coupon high +425bps with clean credit metrics and a benchmark manager.

EUR AAA CLO

One AAA trade today, ADAGI V-X ARR, indicates slight firming up of AAA levels. It traded at 172 dm.

USD CLO Mezz/Equity

Muted activity only in BB today, with spreads more or less unchanged, US LSTA 100 Index -25bp dod.  No benchmarks trade today with BB trading range 737dm-2154dm (BB Index 885dm).  Trading restricted to bonds with an outperformance or underperformance in MVOC and variable coupon structures with little activity in true BB benchmarks to note.

EUR AAA CLO

One AAA trade, INVSC 1X A1R, is at 176 dm because of its low margin of 65 bps.

USD CLO AAA

$140m of flow today, CLO spreads marginally softer at AAA and BB with US LSTA 100 Index +1bp dod.  AAA trade 159dm-195dm with our AAA Index wider at 174dm, benchmarks 172dm-180dm.

USD CLO Mezz/Equity

27 x BBB trade 398dm-646dm with benchmarks trading 445dm-448dm around our index level 444dm, manager tiering and high MVOC bonds trade inside the index with MVOC and coupon profiles dictating those bonds wide to the index.  BB trade 756dm-1273dm with one benchmark trade SYMP 2022-32A E CVR 88.59 at 905dm / 8.8y WAL – MVOC 103.1 and coupon +670bps and the manager is Symphony (EoRP 2027) so a longer wal but clean metrics with a Jnr OC cushion of 5.5 in addition.

EUR AAA CLO

AAAs remain rangebound at around 185dm for secondary trades.

USD CLO AAA

$58m of liquidity with few benchmarks trading and CLO spreads typically flat dod, US LSTA 100 Index +9bp dod.  AAA trade 151dm-182dm with the AAA Index unchanged 172dm, all trades are post reinvestment or soon to be post-reinv.

USD CLO Mezz/Equity

BBB trade in a wide range 416dm-877dm, benchmarks 434dm-448dm with the BBB Index 447dm.  3 x Blackrock bonds trade inside the index given their conservative manager with strong MVOC profiles, whilst trades wide of the index are driven by weaker MVOC profiles to 107.5 area benchmark along with a sprinkle of post reinvestment bonds.  BB trade 871dm-1094dm (BB Index 880dm) with the profiles a combination of post reinvestment, low MVOC and high coupon bonds with none considered benchmarks.

USD CLO AAA

Limited trading activity today with 10 trades, all high grade.  US LSTA 100 Index +4bp dod and CLO spreads flat.  AAA trade 152dm-200dm with benchmarks 168dm-174dm, our AAA Index unchanged 172dm.  

USD CLO Mezz/Equity

3 x AA trades, all post reinvestment and 2 of the 3 trades upgraded to AAA, dm range 182dm-268dm with no benchmarks.  Our AA Index unchanged 251dm.

USD CLO AAA

$100m of liquidity today across the stack, with 2 days with little flow, US LSTA 100 Index -11bp on last CLO trading day.  AAA trade 165dm-195dm (AAA Index 172dm) with benchmarks 165dm-171dm featuring strong MVOC profiles.

USD CLO Mezz/Equity

AA trade 198dm-336dm with one benchmark trade 261dm, our AA Index 251dm, with a number of post reinvestment bonds trading off index whilst MM CLO bonds trade at the wide end of the range 326dm-336dm.  Single-A trade 358dm-387dm wide of our single-A Index 314dm with no benchmark bonds exchanging hands amongst the trades.  BBB trade 383dm-568dm with one benchmark at 473dm (BBB Index 447dm) with this Canyon bond slightly wide of index given the marginally weaker manager profile.  BB trade 815dm-1685dm (BB Index 880dm) with one benchmark trade AGL 2020-7A ER CVR 87 at 895dm / 8y WAL (EoRP 2026) and MVOC in line 102.5.  One rare single-A bond trade today GLM 2021-10X F CVR 76.37 at 1312dm / 8.3y WAL (EoRP 2026) which is in line with our index 1289dm (MVOC is not in shortfall 100.55 and only slightly back to benchmark 101).

EUR AAA CLO

AAAs today are trading at 181 dm.

EUR AAA CLO

AAAs are about 4 bps softer. Today’s secondary trades have traded around 189 dm.

USD CLO AAA

$72m of trading today, mostly in the more ‘liquid’ rating levels AAA and BB, with BB spreads softening in line with recent moves, US LSTA 100 Index softens -3bp on last trading day for CLO bonds.  AAA trade 168dm-535dm with a number of MM CLOs that trade at the wider end of this range 227dm-249dm whilst BSL post reinvestment bonds make up the tail with very short wal bonds / high dm.  Away from this, bonds are all post reinvestment period end so don’t give much of a direction for benchmarks, but their levels do remain in line with our AAA Index 172dm.

USD CLO Mezz/Equity

1 x AA trade BLUEM 2021-32A B covers 95.63 at 252dm / 6.5y WAL (EoRP 2026) in line with our AA Index 252dm (bond coupon and MVOC both in line with benchmarks).  $26m of notional across 18 x BB trade in a 865dm-1119dm range, with benchmarks wider 865dm-894dm with our BB Index softening to 875dm, trades wide of the index are driven by a mix of manager profile, post reinvestment profile, high coupon or a combination of.

USD CLO AAA

$51m of liquidity today with little in terms of spread movement, US LSTA 100 Index was -2bp dod and no benchmark trades to note.  AAA trade 156dm-190dm, all post reinvestment (or soon to be post) with our AAA Index 172dm.

USD CLO Mezz/Equity

Most of the liquidity today was in BB with $15m across 7 trades, range is 922dm-1280dm (BB Index 836dm) with 5 of these trades with low MVOC (<102) whilst 2 trades near benchmark MVOC 103 area but weaker manager profiles (Fortress/Assured) pull these bonds wider to the index, with the Fortress bond pulled even wider given it's post reinvestment.

USD CLO AAA

$106m of liquidity today, all IG with spreads stable, US LSTA 100 Index flat dod.  AAA trade 152dm-199dm with benchmarks 169dm-175dm (AAA Index 172dm).

USD CLO Mezz/Equity

AA trade 237dm-255dm around our AA Index 245dm with tiering driven by wal and coupon structure particularly today, eg. At the wider end is WINDR 2021-4A B CVR 95.05 at 255dm / 6.8y WAL – MVOC in line 125.4 but a longer reinvestment period (EoRP 2027) and slightly higher coupon +165 drives this to the wider end.  BBB trade 468dm-560dm (BBB Index 443dm) with all trades high coupon (>+325bps) scaling these wide to the index.

EUR AAA CLO

ACLO 6X AR traded at 172 dm, a few basis points tighter than expected.

USD CLO AAA

$118m of liquidity today across all risk grades, CLO spreads flat on the day, US LSTA 100 Index +1bp dod.  3 x AAA trade 158dm-196dm (AAA Index 173dm) with tiering driven by wal and MVOC.

USD CLO Mezz/Equity

AA trade 232dm-259dm nestled around our AA Index 246dm.  $73m of liquidity across 18 single-A trades in a 275dm-369dm range (single-A Index 314dm) with benchmarks 303dm-328dm with post reinvestment / lower MVOC profiles dominating the wide end.  BBB trade 449dm-461dm (BBB Index unchanged 443dm) with BB trading wide of the index (836dm) in a 994dm-1078dm range given MVOCs are lower than benchmarks <102.9 (range is 100.7-102.3)

USD CLO AAA

$266m of liquidity across the entire stack, single-As tighten whilst other rating levels are flat, US LSTA 100 Index -15bp dod.  AAA trade 155dm-229dm with our AAA Index 167dm.  The tight end iinside the index s dominated by post reinvestment bonds.  5 x benchmark trades near our index level, with higher coupon post reinvestment profiles dominating the wider end.  eg. CBAM 2019-9A A CVR 99.15 at 229dm / 0.9y WAL(EoRP 2022) with coupon +128bps.  

USD CLO Mezz/Equity

2 x AA trade 217dm-304dm (AA Index 246dm).  Single-As trade 280dm-342dm (single-A Index tightens to 313dm), 2 x benchmark trades 292dm-314dm with lower MVOC bonds wide of the index.  BBB trade 437dm-655dm (BBB Index 443dm) with one benchmark trade BALLY 2019-1A CR CVR 93.7 at 437dm / 6y WAL - EoRP 2024, coupon +305bps, MVOC at benchmark level 109.6 with Fidelity the manager.