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.

USD CLO AAA

$163m of bonds exchanged hands today, all IG with a tighter feel on spreads, US LSTA 100 -16bp dod.  AAA trade 194dm-260dm with benchmarks 194dm-213dm and our AAA Index 206dm.

USD CLO Mezz/Equity

2 x AA trade 272dm-376dm with our AA Index 288dm, MP11 2017-2A B trades at the wider end CVR 93.89 at 366dm / 3.3y WAL – low MVOC 117.2 and cuspy Jnr OC cushion 1.4 which drives execution.  Single-A trade 355dm-480dm with benchmarks 355dm-396dm with our single-A Index 377dm, bonds wide of this are MVOC driven with one high coupon bond WELF 2019-1A BR CVR 91.63 at 422dm / 5.8y WAL – MVOC in line 113.1 whilst coupon is at the higher end +235bps which scales the dm slightly wide to the index.  BBB trade 475dm-653dm with our BBB Index 553dm with benchmarks trading 525dm-588dm today.

EUR AAA CLO

There are a raft of AAA trades in secondary. Average traded spreads in secondary have widened a little to 232dm. Ares 16 priced in Primary today at 220dm, slightly tighter than the last New Issue levels.

USD CLO AAA

$43m of liquidity today, CLO spreads stable and US LSTA 100 +25bp dod.  AAA trade 221dm-242dm with our AAA Index drifting to 220dm.

USD CLO Mezz/Equity

AA trade 263dm-320dm nestled amongst our AA Index 290dm with benchmarks 268dm-287dm as trades with lower coupons/lower MVOCs making up the wide/tight end.  BB trade 851dm-1258dm with our BB Index slightly tighter 984dm with the tail of today’s trades 1121dm-1258dm in bonds that have MV shortfalls whilst a low coupon static CLO bond SSTAT 2021-1A E1 covers inside our index 851dm / 7.1y WAL.

EUR AAA CLO

There are 2 x AAA trades and both of them are Man Group bonds. For shelves that traditionally trade a little wider than the rest of the market these have traded well at around 224dm, further indications of the (relative) strength of the market.

USD CLO AAA

$158m of liquidity today despite the sheer number of DNTs that haven’t been included in this number, US LSTA 100 +32bp dod with no obvious signals of large CLO spread movements.  AAA trade 228dm-263dm with the tail post reinvestment bonds with our AAA Index widening slightly to 219dm.

USD CLO Mezz/Equity

At the BBB level the trading dispersion is 381dm-723dm with post reinvestment / low MVOC cohorts the tight and front end of this range with benchmarks trading 542dm-559dm with our BBB Index 566dm with the longest wal today 6.3y (EoRP 2024).  At BB there are 7 trades in a 881dm-1062dm range with low/high coupon bonds taking up either end of this range with MVOCs on the trades largely in line with benchmark levels (101 area or marginally below), benchmark trades 984dm-1018dm with our BB Index 987dm.

USD CLO AAA

Given month end, flows are a little subdued with only $40m exchanging hands, US LSTA 100 +1.6% on September month end.  AAA trading range is 211dm-265dm with post reinvestment bonds pushing out the tail of this range, our AAA Index is 209dm. 

USD CLO Mezz/Equity

BB bonds trade 733dm-1000dm with our BB Index 983dm, the bonds tight to this Index level are post reinvestment with the exception of NEUB 2021-40A E CVR 86.02 at 918dm / 6.3y WAL – EoRP 2024 with strong metrics and a progressive MVOC 101.8 up to a point higher than benchmarks.

USD CLO AAA

$85m of liquidity today, mezz spreads firmer and US LSTA 100 +5bp dod.  2 x AAA trade with one a very short WAL well wide to the index whilst BCC 2018-2A A2 covers 95.00 at 233dm / 5.9y WAL (EoRP 2023) which is wide to our AAA Index 203dm – MVOC is low 141.2, Jnr OC cushion is low at 2% whilst the coupon is at the high end 130bps. 

USD CLO Mezz/Equity

9 x AA trade 270dm-367dm with benchmark trading 270dm-299dm with our AA Index tightening to 282dm, those bonds wide of the index 365dm-367dm are driven by low MVOC 119-121 which is below benchmark 122+.  2 x single-As trade 417dm-454dm wide to our single-A Index 390dm – MVOCs on these bonds are 110area which are -2pts off benchmark driving execution.  BBB trade in a wide dispersion 464dm-686dm with our BBB Index 567dm with benchmarks trading 551dm-562dm tightening our index.  $25m of liquidity across 25 x BB bonds today which trade 922dm-1714dm with benchmarks trading 922dm-1034dm which is a fairly wide dispersion in itself, our BB Index tightens to 977dm.  The tail of bonds that trade wide to the index have profiles of post reinvestment bonds, MVOC shortfalls and weaker Jnr OC cushions, at the wide end is ATCLO 2018-11A E CVR 62.66 at 1714dm / 5.8y WAL – ADR high 1.4, MVOC 95.42 (almost 6pt shoftfall), Jnr OC cushion 1.7 whilst the manager Crescent Capital has a weaker profile.

USD CLO AAA

$200m of bonds exchanged hands today, US LSTA 100 -1bp dod and CLO spreads moved sideways with a little softening at BBB.  AAA trade 196dm-291dm with benchmark trading 196dm-205dm with our AAA Index in the middle of this range at 203dm.  Weaker bond profiles including post reinvestment / MVOC and cuspy Jnr OC cushions drive bonds wide to the index, eg. At the wide end is JTWN 2018-6RA A1 CVR 97.34 at 291dm / 1.6y WAL – post reinvestment, MVOC low 141.8, Jnr OC cushion 1.8.

USD CLO Mezz/Equity

4 x rare single-As trade after some time 376dm-462dm with our single-A Index 390dm as benchmark trade 376dm-406dm with post-reinvestment bond profiles trading wide to the index.  At BBB the trading range is 587dm-689dm with benchmark 587dm-598dm slightly wide to our BBB Index 573dm so a little softening here, an outlier is LNGPT 2017-1X C CVR 82.91 at 689dm / 5.1y WAL – MVOC is low 102.5, Jnr OC cushion low 2.3 but also the coupon is very low +240bps so risk adjusted return on this bond is weak hence impacting execution.  1 x BB bond FLAT 2017-1A ER CVR 964dm / 5.1y WAL – post reinvestment with reasonable MV and credit metrics hence trades near the BB index 988dm.

EUR AAA CLO

There are a lot of AAA trades. BABSE 2014-2X A1R is significantly delevered and traded at 200dm. The others traded around 228dm. These are unchanged levels for AAA.

USD CLO Mezz/Equity

More than $110m of liquidity with CLO spreads remaining firm, despite US LSTA 100 -11bp dod.  AA trade 290dm-312dm with our AA Index tightening to 294dm.  10 x BBB trades in a 557dm-844dm range, our BBB Index 564dm with trades wide of the index a mix of post reinvestment bonds, high coupon or low MVOC (<105), at the tight end is VOYA 2021-1A D CVR 86.63 at 557dm / 8.1y WAL – ADR 0, MVOC 105.7, EoRP 2026, coupon +315bps and strong Jnr OC cushion 5.8.  20 x BB trade 967dm – 1303dm with our BB Index at the tighter end 990dm with benchmark trades today 967dm-995dm with MVOC shortfall driving the tail of bonds well wide to our index, at the wide end HLM 3A-2014 DR CVR 77.75 at 1303dm / 5.3y WAL (post-reinv) – MVOC 98.66 and Jnr OC cushion 1.3. 2 x post reinvestment single-B trade 1611dm-1637dm whilst a distressed bond SYMP 2015-16A FR trades with equity type dynamics – CVR 55 at 2294dm / 6.6y WAL – MVOC 95.89 / WARF 3044.

USD CLO AAA

$53m of liquidity today with spreads firmer, US LSTA -7bp dod.  1 x AAA REG12 2019-1A AR CVR 96.91 at 205dm / 3.7y WAL which is right on our AAA Index 205dm – MV and credit metrics are clean for a bond with 2y remaining reinvestment so a good indicator of market.

USD CLO Mezz/Equity

BBB trade 554dm-828dm with our BBB Index tightening to 561dm, OCP 2020-19A DR covers at 86.53 at 554dm / 8.4y WAL – benchmark bond from Onex with EoRP 2026 and is close to our index level.  All the remaining bonds that trade wide to the index are post reinvestment with weaker metrics – MVOC <105, Jnr OC cushions 3.5 and higher WARF.  BB trade 1027dm-1346dm with virtually all these bonds post reinvestment and MV shortfalls, with the exception of BALLY 2019-2A DR CVR 86.53 at 1027dm / 5.2y WAL which is close to our BB Index 992dm – MVOC is at benchmark 101.5, ADR is 0.33, Jnr OC cushion is healthy 4.6 and coupon is +650bps which is benchmark whilst the manager Fidelity is rather new with only a few CLOs under management and perhaps has a impact upon execution pushing it slightly wide to the index.

USD CLO Mezz/Equity

$20m of liquidity at the end of this week, US LSTA 100 -18bp dod.  BBB bonds are  post reinvestment and trade wide to our BBB Index 579dm in a 692dm-757dm range - ADRs on these bonds are high 1.4-1.6 and Jnr OC cushions are cuspy 1-2% but MVOCs are not in shortfall hence there is some demand from the market.  BB bonds trade 1020dm-1390dm wide of our BB Index 992dm, again a cluster of post-reinvestment bonds here some with cuspy MVOCs dominating supply whilst 2 x Fortress managed bonds still in reinvestment phase do trade 1039dm-1129dm wide to the index given the manager's weak overall default record (>1.3%) and higher WARFs 2844-3098 on these bonds.

USD CLO AAA

$130m of trading today, spreads softer in mezz and US LSTA 100 +1bp dod.  AAA trades are all stressed bonds and trade wide of our AAA Index 208dm in a 240dm-274dm range.  The Junior OC cushion ranges on these bonds are cuspy (<1.75) and MVOCs are below 145.

USD CLO Mezz/Equity

BBB trade in a very wide dispersion 524dm-745dm versus our BBB Index 579dm, given a number of different profiles.  At the wide end is WINDR 2013-1A CR CVR 86.23 at 745dm / 4.8y WAL – bond is post reinvestment, cuspy Jnr OC cushion 1.75 and a low MVOC 104 (vs 106 benchmark).  The remaining trades wide of the index are driven by MVOC migration particularly south of 106 as mentioned.  BB trader 888dm-996dm with our BB Index 992dm with 3 trades inside the index 888dm-900dm driven by positive MVOC migration towards 103 (vs benchmark in 101 area).

USD CLO AAA

$100m of liquidity today across IG and SubIG with spreads firmer, US LSTA 100 +9bp dod.  AAA trade 204dm-222dm with our AAA Index 208dm, one outlier trade is BLUEM 2016-2A A1R2 CVR 96.56 at 222dm / 3.5y WAL – low MVOC 142.5, elevated ADR 1.02, Jnr OC cushion is low/mid end 3.6.

USD CLO Mezz/Equity

AA trade 309dm-314dm with our AA Index 312dm.  10 x BBB trades in a 543dm-670dm wide dispersion today, with our BBB Index 588dm the benchmark names trade 545dm-606dm after filtering out post reinvestment bonds, high coupon and low MVOC bonds, or a combination of.  At BB the trading dispersion is 995dm-1195dm with our BB Index at the tighter end of this range 993dm, outlier bonds trade wide to the index (post-reinv, downgraded bonds and MVOCs <100) for example ARES 2017-42A E CVR 82 at 1195dm / 4.3y WAL – post reinvestment, MVOC 98.62, Jnr OC cushion low 1.5 and ADR is elevated at 0.94.

EUR AAA CLO

AAAs continue to firm up. The 2 x AAA trades today are at around 240dm, about 5 bps tighter.

USD CLO Mezz/Equity

3 trades today, firmer tone, US LSTA 100 +25bp dod.  1 x BBB PARL 2020-1A CR CVR 85.75 at 600dm / 8.1y WAL which is in line with our BBB Index 605dm.  2 x BB trades 942dm-1023dm with our BB Index slightly tighter at 997dm, at the tighter end of this range is SYMP 2021-29A E CVR 85.77 at 942dm / 6.9y WAL with clean credit and MV metrics / inside our index level.

EUR AAA CLO

VOYE 3X A traded at 245dm which does look like a firming of AAA by around 10bps.

USD CLO AAA

Only $22m of trading today, all high grade, spreads softer, US LSTA 100 +20bp dod.  AAA trade 213dm-228dm with our AAA Index widening to 213dm.  BSP 2018-14A A1 trades wide to the index CVR 97.14 at 228dm / 2.5y WAL - ADR elevated 0.9, MVOC <150 at 148.9 and coupon is +100bps (low end).  2 x 2nd pay AAAs trade 217dm-262dm with a 7% difference in MVOC explaining the tiering here given the WAL difference is small, the Ares bond ARES 2019-53A A2 is a truer likeness to 2nd pay given the coupon is more in line with 2nd pays whilst the CSAM MDPK 2018-27A A1B bond's coupon is more in line with 1st pays so the dm is scaled lower accordingly.

USD CLO Mezz/Equity

3 x AA trade 318dm-358dm with our AA Index in the middle 336dm, with very little tiering between the bonds to highlight.

USD CLO AAA

CLO spreads are wider across the board today in line with broader market sentiment, US LSTA 100 -40bp dod and $53m of CLO trades.  AAA trade 215dm context with our AAA Index widening to 211dm, a benchmark name CIFC 2019-1A AR covers 97.02 at 215dm / 3.2y WAL with clean metrics / EoRP 2024 and tier 1 manager CIFC.

USD CLO Mezz/Equity

BBB trade 581dm-720dm with our BBB Index widening significantly to 606dm, benchmark names trade 581dm-648dm.  There are 3 outlier trades wide to the index driven by MVOC compression and cuspier Jnr OC cushions, at the wide end is HLM 13A-18 D CVR 83.4 at 720dm / 5.3y WAL - ADR 1.1, MVOC 103.7 (vs benchmark 105 area), Jnr OC cushion 1.5.  BBs widened too as our BB Index is now 1000dm which is the widest all year with once again MVOCs on BBs close to or in shortfall for some bonds, trading activity today is 1034dm-1310dm.

USD CLO AAA

$120m of liquidity today, CLO spreads are softer and US LSTA 100 -2bp dod.  AAA trade 218dm-255dm with our AAA Index widening to 209dm, trades today are wide to the index given high coupon bond structure or very low MVOC, whilst MDPK 2017-26A AR covers 98.21 at 218dm / 2y WAL wide to the index – soon to be post reinvestment bond so will lose flexibility to navigate out of these markets as the deal goes static. 

USD CLO Mezz/Equity

AA trade 354dm-357dm with our AA Index widening to 332dm, both bonds are either post reinv or soon to be.  1 x single-A CGMS 2015-5A BRR CVR 92.5 at 405dm which is wide to our single-A Index 386dm (Jnr OC cushion is cuspy 0.98, MVOC is low 112.2).  BBB trade 514dm-666dm with our BBB Index widening to 502dm, at the wide end are post reinv bonds / credit impaired / low MVOC, at the tight end is GLM 2020-8A DR CVR 88.2 at 514dm / 8.4y WAL – clean metrics with only MVOC slightly lower than benchmark at 105.  At BB the trading range is 964dm-1323dm with our BB Index widening to 961dm, at the wide end is an outlier ICG 2015-1A DR CVR 81.66 at 1323dm / 3.3y WAL – post reinvestment, high ADR 1.3 and cuspy MVOC 100.07.

EUR AAA CLO

HARVT 25A AR traded at 92.94 / 253dm.

USD CLO AAA

9 covers today post holiday weekend, with $27m exchanging hands with US LSTA 100 -14bps on the prior day of CLO trading.  At AAA there are 4 x 1st pay MM CLOs that trade 306dm-328dm, which is wider to previous context in mid-200s with bonds of good quality so there is some widening effect here.

USD CLO Mezz/Equity

At BB the trading range is 952dm-1155dm with our BB Index 949dm, AGL 2021-12X E covers near our index level 83.00 at 952dm / 8.7y WAL (EoRP 2026) with clean metrics with a low MVOC 100.94, nonetheless we have observed a softening in loan prices in line with market sentiment as mentioned above so this is reflected in this MVOC for a benchmark bond.

USD CLO AAA

$60m of trades today, all high grade, US LSTA 100 +4bp dod whilst spreads continue their tightening tone.  At AAA the trading range is 192dm-251dm with our AAA Index 196dm (-4dm), at the wide end today are 2nd pay AAA, post reinvestment bonds and high coupon AAAs which account for this.  At the tight end is a benchmark trade GLM 2021-10A A CVR 96.2 at 192dm / 5.5y WAL (EoRP 2026) – very clean metrics all round (MVOC 153.1 / ADR 0.2 / Jnr OC cushion 5.5, coupon +110bps) from a benchmark manager Goldentree.

USD CLO Mezz/Equity

At AA there are 4 trades in a 271dm-352dm range with our AA Index 291dm, the benchmark trade today is MDPK 2014-14A BRR CVR 95.35 at 295dm / 4.4y WAL – MVOC 124.2, coupon +170bps with a slightly elevated ADR 1.1 and low/mid end Jnr OC cushion 2.4 and WARF > 3000 at 3007 with the manager a benchmark name keeping this close to the index.

USD CLO AAA

$250m of liquidity today, the highest in some time and no coincidence that markets have a firmer tone, US LSTA 100 +12bp today and CLO spreads are slightly firmer across the board.  32 x AAA trade 191dm-344dm, a very wide dispersion given the array of profiles.  At the wide end 307dm-344dm are 2 post reinvestment bonds with weaker MVOCs, ADRs around 1% and Jnr OC cushions 3% and coupons around +100bps.  Thereafter there are 2 x 2nd pay AAA that trade 252dm-265dm which trade at a premium to 1st pay, our AAA 1st pay Index is 200dm.  Whilst benchmark AAAs trade 191dm-206dm which is wrapped around our AAA Index level. 

USD CLO Mezz/Equity

10 x single-A trade 362dm-480dm with bonds with lower MVOCs dominating the wide end since our single-A Index is 378dm and benchmarks today trade 362dm-385dm.  A rare MM CLO single-A ANTR 2017-2A CR covers 87.66 at 510dm / 6.6y WAL, first one since June (trade was 435dm when BSL AAA 1st pays were trading in 180s context).  BBB trade 512dm-586dm well wide to our BBB Index 491dm, trades are weaker profiles (MVOCs 106 area vs benchmarks 107+).  Same story with BB with a trading range 975dm-1588dm with our BB Index 944dm, the trades have cuspy MVOCs with some in MVOC shortfall, eg. At the wide end HLM 11A-17 E CVR 70.84 at 1588dm / 4.7y WAL, this is a post reinvestment bond with MVOC 98.51 and Jnr OC cushion 1.6 so has an equity type return profile with the benefit of a promised coupon, so far no deferred.

USD CLO AAA

$130m of liquidity today across the stack, US LSTA continues to firm +29bps dod as CLO spreads remain stable.  AAA trade 191dm-230dm with our AAA Index 202dm, at the wider end of today’s range a cluster of bonds with weaker MVOCs, elevated ADRs and higher coupons to a smaller extent scaling the dm higher than the index on some bonds. 

USD CLO Mezz/Equity

1 x rare MM CLO AA trade today, GRTLK 2019-1A BR CVR 92.8 at 393dm / 4.1y WAL (EoRP 2023) which is a BMO managed CLO, the last comp was in May when markets were tighter at 311dm.  4 x distressed BB trades 1402dm-1801dm with all of these bonds with MV shortfalls (MVOC 97.3-99.99) which heavily impacts upon execution levels since the BB Index is 951dm.

EUR AAA CLO

There are 2 AAA trades today. HAYEM 6X A traded at 250dm and GLGE 6X AR at 308dm. AAA spreads are struggling to come down. We understood the blow out at the end of Sep was due to LDI funds having to raise liquidity from their senior assets due to the disorderly market in gilts. Gilts, we believe, have stabilised, with the intervention of the BoE, but AAA CLO spreads in secondary remain stubbornly wide.