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.

USD CLO Mezz/Equity

Month end so liquidity is a little subdued with only $81m of mezz trading, spreads are stable and US LSTA 100 +3bp dod.  AA bonds trade 248dm-259dm wrapped neatly around our AA Index 253dm.  11 x BB trade 861dm-1380dm with benchmarks trading 906dm-966dm and our BB Index 937dm, at the lower end of this scale is GLM 2017-2A E CVR 85.29 at 861dm / 5.2y WAL – low coupon +470bps and strong MVOC 102.04 with clean credit metrics.  Wide of the index are bonds with cuspy MVOC (<101 and some with MV shortfalls) that are key drivers of the tiering away from our Index, whilst ADRs are elevated for this cohort of bonds wide of the index (average 1.5% with max 3.9%).

EUR AAA CLO

Just one AAA today. FOAKS 2X AR traded at 215 dm, which reverses the modest AAA tightening we saw 2 days ago.

USD CLO AAA

$224m of trading today, right across the stack from AAA to Equity, spreads firmer in high grade whilst US LSTA 100 is flat dod.  21 x AAA trade 174dm-320dm with benchmarks 174dm-193dm and our AAA Index unchanged 188dm, trades wide of the index are driven by high coupon, post reinvestment bonds and credit factors.

USD CLO Mezz/Equity

AA trade 189dm-318dm with benchmarks 242dm-264dm with our AA Index tighter at 255dm, MVOC drives tiering wide of the index as we have seen of late, whilst credit factors have a smaller influence but ADR does seem to drive the wide end.  BBB bonds trade 424dm-711dm with benchmarks 490dm-541dm with our BBB Index towards the tighter end of this at 494dm which is where we see higher quality BBB benchmarks, MDPK 2021-52A D covers 89.79 at 490dm / 8.3y WAL right near our Index – manager is CSAM, ADR is 0, MVOC is 105.2, coupon +315bps and Jnr OC cushion is strong 5.1.  BB bonds trade 775dm-985dm with benchmarks towards the wider end of this range 933dm-985dm with our BB Index 931dm, bonds tight to the index have a far higher MVOC (103+) than the wider benchmark (mid-101s) and hence drive execution levels.

USD CLO AAA

First trades trickle through post Thanksgiving, US LSTA is +7bp wow and CLO spreads remain flat to pre-holidays.  5 x AAA trade 188dm-255dm with high coupon bonds monopolising the majority of this range, APID 2019-31A A1R is representative of sentiment (EoRP 2024 / coupon +110bps) covers 97.97 at 188dm / 2.9y WAL – clean metrics with only Jnr OC cushion a slight weakness (2.8) but benchmark manager CVC nonetheless this trades right on our AAA Index 188dm.

USD CLO Mezz/Equity

4 x BB trade 1005dm-1125dm with Assured IM’s BLUEM 2019-25A ER at the wide end, CVR 81.05 at 1125dm / 8.5y WAL – ADR 1.02, MVOC is cuspy 100.5 (vs benchmarks now in mid-101s) and high coupon scaling +725bps margin.  With the other trades wide of the BB Index 929dm due to a variety of variables including manager profile, high coupon, cuspy MVOC or combination thereof.

EUR AAA CLO

It has been an active day’s trading today, after the US holiday weekend, with 32 EUR covers from AAA to BB. Overall the credit curve looks to have steepened a little with AAAs a little firmer and sub-IG a little softer. The 6 x AAAs have traded at an average spread of 203 dm.

USD CLO AAA

Day before Thanksgiving so liquidity is typically muted, we observed 2 trades both are AAA with spreads remaining robust.  US LSTA 100 +5bp dod.  2 x AAA trades either side of our AAA Index 188dm (range 176dm-194dm) with clean metrics on both and coupon structure the key variable in the small tiering effect.

USD CLO AAA

$156m of liquidity today, spreads stable and US LSTA 100 -1bp dod.  A large number of AAA trades today with the large majority off our AAA Index 189dm, with MM CLOs, post reinvestment bonds, high WARF, high coupon etc.  Fundamentally our AAA Index is unchanged dod.  MM CLOs trade 257dm-284dm which is tighter than late 200s/300a context seen middle of this month.

USD CLO Mezz/Equity

AAs trade 232dm-282dm with our AA Index tighter at 267dm with benchmarks 252dm-263dm today, low MVOC bonds drifting into early 280s context.  BBB trade 423dm-577dm with our BBB Index 501dm, a benchmark trade today is GALXY 2017-24A D CVR 90.5 at 509dm / 4.5y WAL – low ADR 0.2, strong MVOC 106.2, Jnr OC cushion 3.4 and benchmark manager Pinebridge.  BBs trade 826dm-1010dm with our BB Index 929dm with benchmarks trading 880dm-962dm today, at the wide end is DRSLF 2018-57A E CVR 81.5 at 1010dm / 5.6y WAL – elevated ADR 1.1, MV shortfall with MVOC 99.8 and Jnr OC cushion < 3%.

USD CLO AAA

19 trades, $108m of liquidity, CLO spreads firmer and US LSTA 100 +5bp dod. 1 x AAA trade, a benchmark CIFC 2021-1A A1 CVR 97.96 at 187dm / 2.97y WAL (EoRP 2024) – clean metrics and benchmark manager (AAA Index 189dm).

USD CLO Mezz/Equity

AA trade 240dm-270dm with our AA Index 272dm, at the tight end is a Blackrock bond MAGNE 2020-26A BR CVR 95.63 at 240dm / 6.8y WAL – clean metrics and very conservative benchmark manager that traditionally trades inside the index.  1 x single-A REG20 2021-2A C CVR 93.7 at 314dm / 7.5y WAL with our single-A Index 344dm, he strong MVOC 116.9 and clean metrics / good coupon +205bps brings this inside the index.  BBB trade 407dm-716dm with benchmarks 463dm-529dm with our BBB Index tighter at 501dm, MIDO 2018-9A D trades wide to the index CVR 85.5 at 716dm / 5y WAL – MVOC 104 vs benchmark 106area.  BB trade 858dm-1124dm with our BB Index 929dm, all trades have idiosyncratic features that deviate it from the index – MVOC and coupon structure particularly strong in tiering impact.

USD CLO AAA

$116m of liquidity today with CLO spreads firm, US LSTA 100 -8bp dod.  AAA trade 184dm-240dm with benchmarks 184dm-195dm with our AAA Index middle of this range 190dm, bonds wide of the index are post reinvestment, high coupon or low MVOC profiles.  A benchmark bond is BALLY 2021-16A A1 (Fidelity) CVR 96.75 at 185dm / 5.3y WAL – MVOC 148.5, ADR 0, Jnr OC cushion 5.7 and coupon +113bps.

USD CLO Mezz/Equity

BBB trade 548dm-849dm which are all wide of our BBB Index 511dm given the entire trade list are from weaker MVOC profiles (<105.5 versus benchmark 106).  The ‘exception’ is STCR 2022-1A D CVR 86.5 at 631dm / 8.5y WAL (MVOC 106.9) but this has a high coupon +384bps and long wal from a weak manager First Eagle.  BB trade 822dm-932dm with benchmarks 909dm-932dm with our BB Index 930dm, bonds that are significantly tighter to this in early 800s dm context are driven by stronger MVOC profiles (102+) and strong credit metrics/Jnr OC cushions.

USD CLO AAA

$193m of liquidity today, once again across the stack and spreads remain firm across the board, US LSTA -22bp dod.  AAA trade 177dm-300dm with some very short daters in high dm, benchmarks 178dm-204dm with our AAA Index 195dm.

USD CLO Mezz/Equity

AA trade in a wide dispersion 218dm-313dm with benchmarks 267dm-295dm with our AA Index 277dm with bonds either side of the index post reinvestment / reflected in upgrades.  Single-A trade 321dm-382dm with benchmarks 343dm-348dm with our single-A Index 350dm, MVOC drives tiering here, WINDR 2019-3A CR CVR 93.09 at 382dm / 5.2y WAL – MVOC 111.3 vs 113.5 benchmarks and at the other end REG20 2021-2A C CVR 93.29 at 321dm / 7.5y WAL – MVOC 116.7.  16 x BB trades in a 806dm-1460dm range with benchmarks in far narrower range 918dm-963dm with our BB Index 952dm, once again those bonds wide to the index are acutely driven by MV shortfalls (with some downgrades evident) whilst those tight to the index are driven by progressive MVOC (101+).

USD CLO AAA

$305m of liquidity across the stack, CLO spreads tighter and US LSTA 100 +1bp dod.  AAA trade 175dm-669dm with some very short dated paper and MM CLOs making up the tail, benchmarks trade 183dm-192dm with our AAA Index shifting to 194dm. 

USD CLO Mezz/Equity

AA paper trade 197dm-344dm with benchmarks trading 254dm-277dm with our AA Index tightening to 278dm, at the wide end today is OFSBS 2018-1A B CVR 94.09 at 344dm / 4y WAL – ADR is elevated 1.15, MVOC is low 117.8 and Jnr OC cushion is at the low end 2.8%.  Single-As trade 336dm-373dm with benchmarks trading 336dm-340dm with our single-A Index shifting tighter to 352dm.  BBB trade 451dm-667dm with benchmarks 503dm-545dm and our BBB Index 515dm, at the wide end are post reinvestment bonds that trade 6-handle on dm with low MVOCs (103area vs benchmark 106area).  BB trade 812dm-1192dm with our BB Index 955dm, MVOC (>101) shifts those bonds inside the index and tiers the tail wide of the index given MVOC shortfalls, for example BATLN 2015-9A ER CVR 78.95 at 1192dm / 5.8y WAL – MVOC is 98.08 with other metrics broadly in line, manager is Brigade which has a good enough performance record.

USD CLO AAA

$111m of liquidity across mainly mezz bonds today, CLO spreads firm and US LSTA 100 +22bp dod.  1 x AAA trade today ARES 2021-61A A CVR 96.62 at 187dm / 5.6y WAL which is inside our AAA Index 200dm given the clean MV and credit metrics from a benchmark manager.

USD CLO Mezz/Equity

Single-As trade 344dm-493dm with benchmarks 344dm-356dm and our single-A Index tightening slightly to 360dm, at the wide end is MCLO 2019-2A BA CVR 92.5 at 493dm / 6y WAL – acutely the ADR is high 1.1 and MVOC is at the lower end 111.6 whilst the manager has a weak record.  BBB bonds trade in a wide dispersion 438dm-739dm with benchmarks 512dm-526dm and our BBB Index tightening very slightly to 517dm, bonds wide to the index are driven by MVOC and coupon structure along with some high ADR levels.  BB trade 836dm-1090dm with our BB Index 954dm (flat dod) with benchmarks in the middle of the trading range 931dm-985dm, once again as bonds are so cuspy for MV shortfalls the MVOC is the key driver here of tiering today, eg. CANYC 2019-1A ER CVR 85.12 at 1090dm / 6.3y WAL – ADR high 1.3, coupon high +715bps, Jnr OC cushion low/mid end 3%, MVOC 99.5 and Canyon has a weaker manager records versus peers.

USD CLO Mezz/Equity

$21m of trades all in BBB or below today across 24 small tickets, spreads tighter and US LSTA 100 +37bp dod.  BBB trade 433dm-621dm with our BBB Index 518dm, at the wide end is ATRM 9A DR CVR 89.75 at 621dm / 5.1y WAL (CSAM) – low MVOC 104.8, elevated ADR 1% and higher coupon +360bps whilst the trade is post reinvestment.  At the other end of the scale is another CSAM bond MDPK 2021-38A D CVR 91.69 at 433dm / 8y WAL – MVOC is higher 105.4 (in line with benchmarks), ADR is lower 0.27, Jnr OC cushion is strong 5.5 and coupon is lower +290bps so this has a little scaling effect.  BB trade 917dm-1093dm with our BB Index tighter at 954dm with benchmarks 931dm-999dm, bonds at this level sensitive to MVOC with SNDPT 2021-1A E at the wide end CVR 80.77 at 1093dm / 8.3y WAL – MVOC 99.55 and other metrics broadly in line, with MVOC for benchmarks in mid100s area.

EUR AAA CLO

There is a good flow in AAA trades today. Spreads have ratcheted in by around 10 bps to an average AAA spread of 208 dm.

USD CLO AAA

$62m of flow today, spreads firmer off the back of inflation data, US LSTA 100 +15bp dod.  AAA trade 188dm-190dm with our AAA Index tightening in to 203dm with both trades today of high quality inside the index.

USD CLO Mezz/Equity

BBB trade 429dm-840dm with our BBB Index tightening in to 536dm.  MVOC fundamentally drives tiering either side of the index along with high coupon, this is evidenced in ATCLO 2019-15A D CVR 82.66 at 840dm / 6.5y WAL – MVOC is low 102.4, ADR is high 1% whilst the coupon is high at +445bps so this compounds the dm.  6 x BB trade 880dm-1074dm with our BB Index tightening in to 966dm, closest trade to the index today is RRAM 2019-6A DR (Apollo) CVR 83.3 at 923dm / 8.3y WAL with a lower coupon structure (+585bps) scaling this bond inside the index whilst ADR is a little on the high side 1.2 and MVOC 100.22 is broadly in line / slightly back to benchmarks whilst Jnr OC cushion is strong 4.4.

USD CLO AAA

$86m of liquidity today across the stack, spreads firmer in mezz, US LSTA 100 -1bp dod.  2 x AAAs trade 214dm-226dm with the wider end a post reinvestment bond, our AAA Index is tighter at 206dm, the BCC 2019-2A AR CVR 97.02 at 214dm / 3.4y WAL is wide to the index given the weaker MVOC 143.7.

USD CLO Mezz/Equity

10 x single-A trades 339dm-458dm with our single-A Index 365dm with benchmarks trading 355dm-387dm, bonds that trade wide to the index today are a combination of post reinvestment, low MVOC and high coupon.  11 x BBBs trade 487dm-736dm, the wide dispersion of BBB dm’s is a familiar recent theme given the array of bond profiles that trade, benchmarks trade 517dm-543dm with our BBB Index tightening in to 540dm, at the wide end is WINDR 2018-2A D CVR 83.13 at 736dm / 5.3y WAL – low MVOC 103.3, low Jnr OC cushion 2.9 and a high ADR 1.73.  4 x BBs trade 917dm-1256dm with our BB Index 977dm, the tail trade well wide to the index given MV shortfalls at this end of the capital structure, in this case the MVOC is 98.38 on this bond.

USD CLO AAA

Circa $200m of supply today in secondary with spreads stable with a tighter tone, US LSTA 100 +21bp dod.  AAA trade 199dm-246dm with our AAA Index tightening to 206dm with benchmarks trading 199dm-210dm today, 3 x higher coupon/low MVOC combo bonds trade wide to the index.

USD CLO Mezz/Equity

AA trade 258dm-312dm with our AA Index 285dm with benchmarks 264dm-286dm so tighter than the index, at the tight end is ELMW5 2020-2A BR CVR 94.93 at 258dm / 7.1y WAL – MVOC is very progressive 124.8 (vs benchmark 122 area), Jnr OC cushion strong 6.3, ADR low 0.16 and other metrics clean.  There are 21 x BBB trades which are dispersed in a wide range 410dm-800dm with benchmarks 497dm-572dm with our BBB Index 5dm tighter and in the middle of this range at 542dm.  Notably MVOC features heavily with bonds either side of the index driven keenly by this metric, whilst there is a rare MM trade in the BBB context ANTR 2017-2A DR CVR 84.5 at 683dm / 7.6y WAL which is wide to the last comp in July which was 100dm tighter when the BBB BSL Index was in the late 400s context so there has been some relative widening here.

EUR AAA CLO

There are 5 x AAA trades today, at an average spread of 230dm. We think the AAA sector is unchanged.

USD CLO AAA

$153m of trades today, all IG and spreads moving sideways but stable and US LSTA 100 +19bp dod.  AAA trade 195dm-223dm with our AAA Index in the middle of this range 209dm for reinvesting bonds.

USD CLO Mezz/Equity

AA trade 260dm-327dm with our AA Index 286dm, best execution is ARES 2013-2A BR2 CVR 94.75 at 260dm / 7.1y WAL – MVOC 122, Jnr OC cushion 6.3 so strong metrics and a benchmark manager hence is inside our index, trades wide to our index are generally bonds with depressed MVOC (which have some credit weakness too) or higher coupon bonds.  Single-A trade 294dm-351dm with our single-A Index 375dm with a static deal PSTAT 2021-4A B well inside the index CVR 93.5 at 294dm / 7y WAL.  BBB trade 470dm-549dm with our BBB Index 547dm, the tighter end of this range dominated by lower coupon bonds with GALXY 2015-21X DR trading near our index at CVR 88.5 549dm / 5.3y WAL – MVOC 105.2, Jnr OC cushion 3.5 and a low ADR 0.3.

USD CLO AAA

$42m of trades today, US LSTA 100 +12bps dod and CLO spreads stable.  3 x AAA trade 202dm-226dm with our AAA Index 206dm, NMC CLO-1A AR is wide to the index CVR 95.21 at 226dm / 5.6y WAL with the high coupon +120bps scaling the dm a touch wider.

USD CLO Mezz/Equity

AA trade 259dm-261dm with our AA Index wider 289dm, both trades today are clean and low coupons (+160-165bps).  At single-A the only trade is SRANC 2020-8A CN CVR 90 at 504dm / 5.9y WAL well wide to our single-A Index 377dm given the high coupon +280bps (vs. 230bps benchmarks) and MVOC is 112.67 just below benchmark 113% whilst Canaras has a weaker manager record.  At BBB there is also one trade VENTR 2017-28AA DR CVR 82.31 at 693dm / 8.3y WAL wide to our BBB Index 546dm with the MVOC 104.15 almost 2pt below benchmark whilst the manager's performance record is weaker to peers.  At BB there is one trade APID 2015-23A ER CVR 81.63 at 1036dm / 7.3y WAL a touch wide to our BB Index 984dm with the MVOC cuspy and slightly below peers at 100.2.

EUR AAA CLO

Just the one AAA today. PRVD 6X A traded at 220dm. In Primary Dryden 103 2021 priced at 229dm.