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).

USD CLO Mezz/Equity

Just one trade today post holiday, US LSTA 100 Index -17bp on 17th close.  TRNTS 2020-12X E covers at 90.87 at 944dm / 7y WAL - strong MVOC 105 with high coupon +740bps and otherwise clean metrics and a good manager record, the coupon drags this wide to the BB Index 852dm

EUR AAA CLO

AAAs have traded around 174 dm. Bushy Park priced at +170. The BWIC trades are mostly amortising deals with low margins which we could have expected to trade tighter. This might indicate that AAAs have reached a level which is resistant to a further rally.

USD CLO AAA

Limited liquidity today given the holiday weekend with only 2 trades.  US LSTA 100 Index -18bp dod given the market's uncertainty on the peak of interest rate timing.  CIFC 2015-1A ARR covers 99.45 at 141dm / 1.9y WAL and is post reinvestment so trades inside the AAA Index.

USD CLO Mezz/Equity

1 x AA trade REG12 2019-1A BR cover 98.15 at 206dm / 4.7y WAL, low coupon +160bps but MVOC is in line and does trade inside the AA Index as a result with all metrics clean.

EUR AAA CLO

It is a light day in secondary BWICs since two deals priced in Primary. One AAA bond has traded, CRNCL 2022-15X A, which even though it is 171 dm, it is a low margin bond and we see this a slight softening in AAA levels. The New Issues priced at +175.

EUR AAA CLO

Only one AAA traded today. BRGPT 1X A traded at 179dm. This is slightly softer than our model predicted given its low margin, but still within the range of current price talk.

USD CLO AAA

$110m of liquidity today with $100m of this AAA trading which have tightened on the day, US LSTA 100 Index +7bp dod.  AAA trade 131dm-146dm with benchmarks 141dm-146dm and our AAA Index tightening to 145dm as the broader market continues to rally and MVOCs strengthen.  1 x MM CLO AAA GOCAP 2013-16A A1R2 covers 98.39 at 207dm / 4y WAL which is tighter than the 218dm area for the last trading comps near the end of January.

USD CLO Mezz/Equity

BBB trade 397dm-580dm with our BBB Index unchanged at 434dm, trades wide of the index are exclusively weaker MVOC (<108) which supports our index level with the tight end driven by MVOCs around 110 (+2pts on benchmark).

EUR AAA CLO

There are 4 x AAA trades today, at an average spread of 157dm. This is in line with the print of Invesco Euro IX at +165 today.

USD CLO AAA

$142m of liquidity today, with US LSTA 100 flat dod and CLO spreads in high mezz tighter.  AAA trade 135dm-186dm with benchmarks 140dm-153dm with our AAA Index unchanged 148dm, high performing conservative managers trade inside the index (eg. Blackrock) and higher coupon bonds trade wide of the index today with our index unchanged.

USD CLO Mezz/Equity

AA trade 189dm-214dm with benchmarks 201dm-214dm and our AA Index tightens to 218dm as the market tightens with more liquidity at this rating level, trades inside the index are outperformers in terms of MVOC (>126).  Single-A trade 177dm-318dm with our single-A index tightening into 310dm, a Palmer Sq static CLO trade is at the tight end and a NY Life bond with a strong MVOC (118) trades inside the index.  BBB trade 329dm-615dm with benchmarks 419dm-473dm and our BBB Index unchanged 434dm as MVOC continues to drive tiering.  BB trade 730dm-1214dm with benchmarks 834dm-899dm and our BB Index tightens slightly to 863dm, trades wide of the index influenced by low MVOC/high coupon context.

USD CLO AAA

$50m of liquidity today across the stack, spreads flat, US LSTA 100 Index +12bp dod.  AAA trade 138dm-153dm with our AAA Index unchanged at 148dm, a high performing benchmark Blackrock bond MAGNE 2021-31A A1 covers 98.76 at 138dm / 5.1y WAL inside our index.

USD CLO Mezz/Equity

Single-A trade 265dm-277dm inside our Index 314dm with MVOC driving the 2 trades 116.3-117 above benchmarks 115.7.  BBB trade 428dm-759dm with benchmarks 428dm-441dm and our BBB Index unchanged at 434dm.  At the wide end is STCR 2016-1A DR CVR 83.35 at 759dm / 4.7y WAL – ADR high 1.04, MVOC low 104.4 (benchmark 107.9) and Jnr OC cushion low 1.8.  BB trade 840dm-1028dm with our BB Index unchanged at 867dm with the wide end of trading driven by bonds with low MVOC 101-102 and lower Jnr OC cushions (around 3%).

USD CLO AAA

$215m of liquidity today across the stack with the majority at AAA.  AAA trade 139dm-178dm with benchmarks 139dm-159dm and our AAA Index 148dm with WARF and high coupons pulling some 1st pays wide of the index, 2nd pay AAA trade 180dm-204dm.

USD CLO Mezz/Equity

At BBB MDPK 2019-34A DR covers 96.5 at 408dm / 6.1y WAL which is inside our BBB Index 434dm, the MVOC 109.7 outperforms.  BBs trade 738dm-909dm with our BB Index 867dm, with bonds from a tier 1 manager Blackrock with strong MVOC (105area) trading 738dm-753dm inside the index.

USD CLO AAA

4 x AAA trades only today 21.4m of notional with spreads firm, US LSTA 100 Index +16bp dod.  AAA trade 142dm-144dm with our AAA Index tightening (-1dm) to 146dm, all trades are in reinvestment (EoRP 2023-2024) with shorter wals and are benchmarks with clean metrics.

USD CLO Mezz/Equity

$110m of liquidity today, predominantly BBB and Equity with spreads remaining firm and US LSTA 100 +20bp dod.  BBB trade 385dm-474dm with benchmarks 418dm-441dm and our BBB Index unchanged at 434dm.  MVOC > 108 drives those trades inside the index.  At the wide end is TCW 2021-2A D CVR 91.5 at 474dm / 7.8y WAL (EoRP 2026) – MVOC is lower than benchmark 106.7 and the manager TCW has a weaker profile so execution is wide to our index.

USD CLO Mezz/Equity

$90m of liquidity, with the majority BBB/BB with spreads firmer at BBB, US LSTA flat dod.  BBB trade 371dm-448dm with benchmarks 406dm-448dm and our BBB Index tighter at 434dm, strong MVOC (>110) and low coupon (<300bps) drive trades inside the index.  15 x BB trades today, all wide of the index 970dm-1282dm given MVOCs on these trades are close to shortfall (average MVOC 100.7 today) with benchmarks in 102.70 context but the positive market dynamic does allow for execution wide of the index in a number of weaker names proving liquidity is strong.

EUR AAA CLO

Spreads continue to grind tighter today. AAAs have traded around 163dm, a recent tight. This is helped by AQUE 2021-6X A, a deal with good credit fundamentals.

USD CLO Mezz/Equity

Less than $10m exchanged hands today given month end, US LSTA saw it’s first day on day drop this year -1bp on yesterday’s close.  2 x AA trades in a 263dm-279dm range which are wide of our AA Index 234dm – one bond is high coupon and the other is post reinvestment.  2 x BB trades 791dm-960dm range and our BB Index 870dm, MAGNE 2015-15A ER is at the tight end with CVR 89.11 at 791dm / 5.6y WAL – very clean metrics and a benchmark manager Blackrock which usually trades inside our index, CGMS 2019-1A D (EoRP 2024) trades wide to the index CVR 88.15 at 960dm / 6.1y WAL – MVOC 101.23 which is lower than benchmarks like the Blackrock bond which is the key driver to execution whilst other metrics are in line.

EUR AAA CLO

The only AAA, CRNCL 2014-4A ARRR, traded at 169dm, in line with recent days.

USD CLO AAA

$113m of liquidity today, all IG with spreads firm, US LSTA 100 Index +8bp dod.  AAA trade 137dm-162dm with benchmarks 141dm-148dm and our AAA Index shifting to 144dm.

USD CLO Mezz/Equity

There are 2 x post reinvestment AA and single-A trades which execute inside the index given the very short wals, whilst BBB trade 391dm-458dm with benchmarks 437dm-446dm and our BBB Index in the middle of this range 443dm, NEUB 2016-21A DR2 covers 96.5 at 391dm / 7.6y WAL which is inside the index given the strong MVOC 108.64 (versus 107.6 benchmark), top tier manager name Neuberger and clean metrics.

EUR AAA CLO

Just the one AAA trade today. CLRPK 1X A1RR traded at 169dm, an unchanged level for AAAs.

EUR AAA CLO

Just 4 x AAAs today. They have traded at 171dm. They are all very seasoned deals, past their NC end periods and with low margins. We believe these spreads are in line with recent days.

EUR AAA CLO

Just 2 x AAAs today and both of them Sculptor deals. They have traded around 183dm which is exactly in line with AAA spreads.

USD CLO AAA

$93m of notional across 23 trades today, spreads continue to tighten evidenced by AAA and BB spreads today, US LSTA 100 Index +1bp dod.  AAA trade 136dm-195dm with benchmarks 142dm-157dm and our AAA Index tightening into 157dm, there are 2 x MM CLO AAAs that trade 213dm-225dm which see a significant shift from the last AAA trades at the end of 2022 in 270dm context, which is in line with the broader market rally.

USD CLO Mezz/Equity

BB trade 800dm-1471dm with benchmarks 868dm-910dm which is neatly wrapped around our BB Index 887dm, MVOC dynamics (into 103 context) drive those trades inside the index whilst the outlier trade is MP12 2018-1A E CVR 70.27 at 1471dm / 5.6y WAL – significant MV shortfall 97.8 MVOC, ADR 1%, Jnr OC cushion 1.96 (the manager Marble Point does run a lower cushion than the representative cohort) with bond close to end of reinvestment in July this year leaving little time to proactively resolve the shortfall.

EUR AAA CLO

AAAs are holding steady at 178dm. As an example SPAUL 5X ARR traded at 98.10 on 17 Jan 2023 and at 98.20 today.

USD CLO AAA

$170m of liquidity today across seniors, mezz and equity with spreads remaining firm, US LSTA 100 Index +10bp dod.  AAA trade 147dm-220dm with benchmarks 153dm-160dm with our AAA Index 160dm, with the wide end of the range (220dm) driven by a post reinvestment bond.

USD CLO Mezz/Equity

26 x BBB trade 372dm-555dm with benchmarks 417dm-499dm and our BBB Index tightening into 452dm, trades wide of the index are post reinvestment and those inside the index are MVOC driven so there is a tightening theme here.  BB trade 781dm-1068dm with benchmarks 872dm-917dm and our BB Index 892dm, similar theme to BBB in that MVOC drives those bonds inside the index but also those wide to the index given their proximity to MV shortfalls, eg. At the wide end is WELF 2019-XA DR CVR 82.55 at 1068dm / 6.8y WAL – MVOC 100.06 and other metrics largely in line.

EUR AAA CLO

A heavy day of EUR trading today. AAAs have traded around 166dm. This is a little firmer, especially in the longer maturities.

USD CLO AAA

100m of liquidity, all in AAA with spreads continuing to firm up, trading range today is 145dm-163dm (all bonds in reinvestment and benchmarks) with our AAA Index tightening into 161dm.

USD CLO AAA

$125m+ of trading today with most of it concentrated at AAA with spreads tightening and keeping up with the rally on the loan side, US LSTA 100 Index +4bp dod.  AAAs trade 154dm-167dm with our AAA Index tightening to 163dm (-7dm), trades today are all benchmarks within reinvestment periods.

USD CLO Mezz/Equity

7 x BB trades in a 893dm-1236dm range with our BB Index unchanged 894dm, all trades wide of the index are driven by weaker MVOC profiles. ASTAT 2022-18A E covers 93.5 at 893dm / 4.3y WAL which is at benchmark level and in line with our index, MVOC is strong 101.6, coupon is in line with comps +685bps and metrics are clean, note that the bond is around 7m post reinvestment.

USD CLO AAA

$32+ of liquidity today, US LSTA 100 Index +1bp dod and CLO spreads remain firm with a little tightening at AAA.  2 x AAA trades today inside our index 170dm in a 154dm-166dm range, RSRVA 2016-3A ARR covers 98.04 at 154dm / 4.7y WAL – clean metrics and an Invesco managed deal / benchmark with EoRP 2026. 

USD CLO Mezz/Equity

1 x AA trade APID 2021-37A B covers 97.17 at 210dm / 6.9y WAL – strong MVOC 124.7 and lower coupon structure +160bps to benchmarks so this does trade inside our AA Index 239dm.  Single-As trade 240dm-373dm with our single-A Index 324dm, well inside the index is a very short dated / deleveraging MM CLO DIMND 2019-1A CR CVR 100 at 240dm / 0.8y WAL so off index.  There are 5 x BB trades 802dm-1154dm with our BB Index unchanged 894dm, at the tight end is a Blackrock managed bond MAGNE 2015-15A ER CVR 88.58 at 802dm / 5.6y WAL – MVOC is in line 101.2 but coupon is low +520bps and this is a reflection of the high quality manager and hence does trade well inside our index.  The remaining trades wide of our index are scaled back predominantly due to MV shortfalls as we have been seeing of recent times.

EUR AAA CLO

AAAs have tightened again – by around 3 to 5 bps. Today’s trades average 172dm.