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.

USD CLO AAA

$16m of trading today across the stack, US LSTA 100 Index +19bp with spreads generally flat on the day further to the 25bp rate hike by the Fed.  AAA trade 203dm-297dm, post reinvestment bonds with lower Jnr OC cushions and ADRs at 1pt+ pushing these wide to the index.

USD CLO Mezz/Equity

AA trade marginally tighter with benchmarks 237dm-269dm with our AA Index tighter at 260dm.  BB trade 904dm-1039dm with one benchmark trade GCBSL 2021-53A E from Golub cover at 88.26 at 904dm / 8.2y WAL which is slightly wide to the index 877dm but has clean metrics from an experienced MM CLO manager in the BSL space (slight premium).

USD CLO AAA

$117m of liquidity across the stack today with spreads moving sideways with some compression at BB, US LSTA 100 Index +16bp dod.  AAA trade 164dm-475dm with benchmarks 180dm-190dm (our AAA Index 186dm), very short wal post reinvestment  bonds propping up the wide end with low coupon / short wal accounts for trading inside the index. 

USD CLO Mezz/Equity

AA trade 279dm-367dm with our AA Index 261dm, with both bonds high coupon (+210-235bps) and SNDPT 2018-1A B2BR with a weak MVOC 120.1 CVR 96.11 at 367dm / 3.4y WAL.  BB trade 849dm-1123dm with benchmarks 849dm-930dm (BB Index 876dm) with WINDR 2017-4A E at the wide end CVR 80.56 at 1123dm / 5.3y WAL – weak MVOC 101.9, post reinvestment and high WARF 2938.

USD CLO AAA

$18m of liquidity today across IG, US LSTA 100 Index -25bp dod.  AAA trade 183dm-235dm with benchmarks 183dm-195dm and our AAA Index softening to 185dm, trades wide of the index are post reinvestment with weaker metrics.

USD CLO Mezz/Equity

1 x single-A trade BGCLO 19A CR CVR 94.07 at 384dm / 4.3y WAL with our single-A index widening slightly to 357dm.  This trade has clean metrics but the manager is new so the bond trades at a credit spread premium and hence wide to our single-A index.

EUR AAA CLO

Today we have the first EUR BWIC trades since the banking crisis started. Only AAAs have traded but actually they are much more resilient than expected. The average spread is +207 which is not really wider than 2 weeks ago. Since the AAA spread is often the most important driver for new deal execution this is quite encouraging for the market.

USD CLO AAA

Very little liquidity at present given market sentiment is extremely volatile, US LSTA 100 Index -2bp dod.  One AAA trade which is post reinvestment WINDR 2013-1A A1RR CVR 98.75 at 192dm / 1.4y WAL - high ADR 1.7 and low Jnr OC cushion 0.74 and high CCC 8.5% so this bond trades wide to the AAA Index 181dm, whilst typically high quality post-rein AAA trade inside index levels.

USD CLO AAA

$104m of liquidity today across IG, US LSTA 100 Index flat dod and spreads continue to find a landing spot with a softer tone.  AAA trade 178dm-225dm with benchmarks 178dm-187dm and our AAA Index widening to 181dm, the trades wide of the index (209dm-225dm) are driven by high coupon (+200bps) rather than market sentiment. 

USD CLO Mezz/Equity

1 x single-A trade TICP 2017-8A BR CVR 93.31 at 339dm / 7.2y WAL (EoRP 2026) near our single-A Index 331dm with metrics at near benchmark levels (MVOC 115.4 / Jnr OC cushion 4.8 and coupon +220bps).  2 x BBB trade 447dm-561dm with our BBB Index widening to 532dm, the trade inside the index at 447dm is post reinvestment whilst APID 2015-20A CR which has EoRP this year trades wide of the index CVR 90.07 at 561dm / 4.7y WAL – MVOC lower than benchmark at 107.6, Jnr OC cushion low 1.96 at ADR elevated at 1% and soon to be post reinvestment.

USD CLO Mezz/Equity

The first trades since last Friday emerge today ($34m) and market has as expected softened significantly at BBB, with BB less so.  US LSTA is -156bps on last Friday's close.  BBB trade 530dm-844dm with benchmarks 530dm-539dm and we shift our BBB Index wider to 522dm, lower MVOC (105area) are hardest hit with dm's in 8-handle context.  BB trade 817dm-909dm with benchmarks 852dm-909dm and our BB Index softens slightly to 879dm, tight to our index is a Blackrock bond MAGNE 2021-29A E CVR 90.17 at 817dm/5.7y WAL - MVOC is strong 105 as well as other metrics and manager's track record is high quality hence trades tight.

USD CLO Mezz/Equity

Just one trade today at the BB level, US LSTA 100 Index -25bp dod.  BB trade is BTNY2 2018-1X D CVR 81.5 at 1088dm / 5.2y WAL, the MVOC 101.64 is at the lower end with Jnr OC cushion also in low/mid percentile at 2.9% and hence trades wide to our BB Index 877dm.

USD CLO AAA

$116m of liquidity today with US LSTA 100 Index flat on the day, spreads marginally tighter at AAA.  AAA trade 151dm-176dm with benchmarks 151dm-158dm and our AAA Index tightening to 155dm, bonds that trade wide of the index today are high coupon / weaker MVOC (L140s context).

USD CLO Mezz/Equity

$28m of liquidity today in mid/low mezz, US LSTA 100 Index +9bp dod and CLO spreads flat/tighter.  BBB trade 388dm-777dm with benchmarks 441dm-450dm (BBB Index slightly tighter 453dm), post reinvestment bonds trade tight to the index 388dm-423dm and MVOC <108 profiles skews the tail of bonds that trade wide of the index with ADR and weaker manager profiles secondary driving these bonds as wide as 777dm.  BB trade 830dm-1123dm (BB Index 877dm) with the majority of bond profiles are weaker MVOC <102 that drive bonds well wide of the index level.

EUR AAA CLO

A raft of AAAs have traded today. The average traded spread is 195 dm, which is certainly wider. But looking a bit more deeply we see that a lot of the bonds are from deals that have been callable for a long time and these have traded fully to maturity. For bonds where the call date is in the future there is still some refi likelihood getting priced in.

EUR AAA CLO

Just one AAA trade today, at 185 dm. AAA spreads seem rangebound at the moment.

USD CLO AAA

$85m of liquidity across 15 trades AAA and mezz, US LSTA 100 Index bounces back +17bp since last set of CLO trades.  AAA trade 141dm-157dm with our AAA Index tightening to 156dm, the tight end of the range dominated by high MVOC trades with EoRP 2026 and a post reinvestment bond at the tight end.  OCP 2019-16A AR is the benchmark trade today CVR 98.65 at 157dm / 2.6y WAL (EoRP 2024) with clean metrics / Onex is the manager.

USD CLO Mezz/Equity

BBB trade 450dm-480dm with our BBB Index 456dm, a post reinvestment bond trades inside the index (450dm) and OCT43 2019-1A D trades wide of the index 480dm / 6.2y WAL given the higher coupon +390bps and elevated ADR 1%.  BB trade 869dm-1111dm with our BB Index 877dm, benchmark print today is VOYA 2020-2A ER CVR 88.42 at 871dm / 8.2y WAL – MVOC 104.1, EoRP 2026 and very clean metrics despite the manager’s slightly weaker record to its peers.

EUR AAA CLO

Just the one AAA today. RRME 3X A traded at 185 dm which may indicate that AAAs, after recent widening, have stabilised.

EUR AAA CLO

There are a lot of AAA trades today. Secondary spreads are definitely wider. The average traded level is +193 which is about 10 bps softer. This hasn’t been reflected in the New Issue market where we learned that ICG Euro 2023-1 priced its AAA yesterday at +175.

USD CLO AAA

$150m of liquidity today with the first trading activity of the month, US LSTA 100 Index -14bp on month end and spreads continue to soften in high grade / senior.  AAA trade 147dm-176dm with benchmarks 155dm-168dm with our AAA Index shifting to 160dm.

USD CLO Mezz/Equity

$50m of AA trade 200dm-268dm with benchmarks 234dm-250dm and our AA Index softening to 236dm, trades well wide of the index 263dm-268dm have low MVOC 122-123% which is lower than benchmarks in 125-126% range.  BBB trade in a very wide basis 458dm-934dm (456dm BBB Index) with no benchmarks, at the tight end is REGT9 2017-1A D which is post reinvestment / strong MVOC as a result 109.75, the remaining trades are stressed bonds with MVOC ranging from 101-105% (with much credit deterioration too)  which is well south of benchmarks in 108-109% range.  2 x BB trade 1100dm-1306dm well wide of our BB Index 884dm given low MVOC, with a MV shortfall on ICG 2016-1A DRR which trades at the wide end CVR 77.5 at 1306dm / 7y WAL (ICG) – MVOC 99.27.

EUR AAA CLO

AAAs have traded around +180 today. Feels a little softer.

EUR AAA CLO

3 x AAAs traded today at around 175dm. Given the low margin on the bonds this is a slight softening and we see that also in the Primary market where Tikehau IX priced at +180.

USD CLO Mezz/Equity

Just 2 trades today, subdued with the SF Vegas conference starting on the weekend.  US LSTA 100 Index -6bp dod and CLO spreads softer.  The BBB trade is BSP 2021-23A D CVR 93.84 at 478dm / 7.5y WAL - MVOC is strong 109.6, EoRP 2026, strong manager and coupon is at benchmark, we shift our BBB Index wider to 450dm.  The BB trade is BLUEM 2021-32A E CVR 86.27 at 934dm / 8.5y WAL - metrics are fairly good with only the weaker manager record dragging this bond wide to our BB Index 870dm.

USD CLO AAA

$100m of liquidity today, US LSTA +14bp dod but CLO spreads continue to soften at the senior end.  AAA trade 145dm-185dm with benchmarks 147dm-159dm and our AAA Index softening to 150dm with those trades well wide to the index scaled by high coupon context bonds.  STHWK 2019-4A A1R covers 98.77 at 150dm / 3.1y WAL (EoRP 2024) with MVOC 148 and clean metrics managed by Blackstone and is proxy for benchmark.

USD CLO Mezz/Equity

1 x single-A trade in reinvestment CANYC 2019-1A CR cover 95.22 at 327dm / 5y WAL (EoRP 2024) – MVOC at benchmark 116.3 managed by Canyon Capital and trades near our single-A Index 322dm.  BBB trade 444dm-469dm with 2 of these post reinvestment bonds and the other is ANCHC 2020-15A DR CVR 92.8 at 469dm / 7.8y WAL – MVOC 111.8 but high WARF 3217 and weaker manager record (Anchorage) pull this wide of the BBB Index 427dm.

USD CLO AAA

$275m of liquidity today across the stack, with US LSTA continuing to soften -13bp dod.  AAA soften too, trading range today is 143dm-175dm with benchmarks 143dm-158dm and our AAA Index shifting to 145dm.

USD CLO Mezz/Equity

In mezz, most of the activity is in BB with 18 trades in a 761dm-1040dm range with benchmarks 851dm-935dm and our BB Index shifting wider to 872dm, the wider end of the trading range (wide of index) includes a MM CLO and credits with weaker MVOCs (<103) whilst the tighter end of the range is dominated by credits with strong MVOCs (>104.5).