USD CLO AAA

$17m of bonds change hand today, month end across the capital stack whilst US LSTA 100 Index -12bp dod.  There is a little softness going into month end.  AAA trade 165dm-173dm with our AAA Index +2dm to 165dm.

USD CLO Mezz/Equity

1 x AA BSP 2015-6BR B covers 95.65 at 256dm / 7y WAL (EoRP 2026 / Benefit St) which is wide to our AA Index 240dm – the ADR is elevated at 0.94 and manager record is good with other metrics relatively clean.  BBB trade 403dm-448dm with our BBB Index 432dm, the tight end has a Blackrock bond which notoriously trades tight to the Index whilst SYMP 2021-29A D covers 92.89 at 448dm / 7y WAL (Nuveen / EoRP 2025) with clean metrics but an inexperienced manager with good metrics.  At BB there is one trade PIPK 2021-9A E CVR 88.5 at 868dm / 9y WAL with our BB Index wider at 842dm – clean credit and MV metrics all round and a benchmark manager.

USD CLO Mezz/Equity

Just 3 trades today $4.25m notional across BBB and BB, US LSTA 100 Index -15bps wow with some weaker sentiment in the index given the Fed's recent stance.  BBB trade 433dm-507dm with our BBB Index 433dm, the outlier trade is PARL 2021-1A D (DoubleLine) CVR 90.36 at 507dm / 8.3y WAL (EoRP 2026) - an inexperienced manager scaling the dm along with the higher coupon +345bps.  1 x BB trade STRAS 2021-2A E CVR 92.42 at 794dm / 4.5y WAL, this bond is post reinvestment (shorter wal) and has a reasonable MVOC 103.43 with no material credit issues so does trade inside our index 824dm.

USD CLO AAA

Limited liquidity today with $24m exchanging hands amongst AAA and AA.  AAA 1st pay trade 157dm-161dm with our AAA Index nestled among this at 158dm.

USD CLO Mezz/Equity

2 x AA trade 243dm-248dm with our AA Index 245dm, both trades are from benchmark managers with clean credit/MV metrics and relatively short wals (4y / EoRP 2023).

EUR AAA CLO

Just 2 x AAA trades today. The average spread of 176dm is a basis point or two firmer.

USD CLO Mezz/Equity

Only $21m of liquidity today, all high grade mezz.  AA trade 231dm-244dm with our AA Index 244dm, with BCC 2020-1A B CVR 97.04 at 231dm / 5.7y WAL trading inside our index given the affirmative MVOC (127.3), benchmark manager Bain and clean credit metrics.  Single-A trade 284dm-391dm with our single-A Index 298dm, the wide end dominated by a number of bonds that are either past reinvestment end or soon to be with low Junior OC cushions, lower percentile MVOCs and high ADRs which will not have the luxury of a manager’s ability to navigate these market conditions.  Bonds firmly in reinvestment trade 284dm-336dm which is generally tighter and is wrapped around our Index level with the wide end scaled by higher dm rather than credit impacted bonds given the clean metrics.

USD CLO AAA

$130m of liquidity today across IG and SubIG.  At AAA the trading range is 155dm-200dm for BSL AAA which has a softer feel, with our AAA Index at the tight end of this range 156dm, high coupon bonds tend to dominate the wide end as opposed to credit impacted bonds.  Furthermore there are 2 x MM CLO AAAs which trade 244dm-257dm which are wider than recent context in 230dm area, so the basis between MM and BSL seems to have widened a touch.

USD CLO Mezz/Equity

BBB trade 409dm-453dm which is wrapped around our BBB Index 434dm, there is one outlier bond MIDO 2014-3A DR which is now downgraded at BB and covers 83.5 at 760m / 5y WAL – ADR is high 1.2, MVOC is depressed 102.6, Jnr OC cushion is cuspy 1.18 and MidOcean’s manager record is a touch wide to benchmark, so this bond does trade closer to BB construct.  BB trade 793dm-869dm with our BB Index 818dm, one outlier trade ICG 2014-1A DR2 CVR 87.67 at 1077dm / 9y WAL from ICG – ADR is very high 1.5, Sub80 bucket is high 5.2, MVOC is cuspy 101.1 and the dm is scaled higher further given the high coupon +835bps hence trades well wide to our index.

EUR AAA CLO

There are 4 x AAA trades today. Spreads seem a little softer, by around 10bps. The average traded spread is 179dm.

USD CLO Mezz/Equity

Only 4 trades today, all mezz. 1 x single-A trade VENTR 2013-15A CR3 covers 85.06 at 632dm / 5.2y WAL well wide to our single-A Index 312dm - ADR is >2%, MJX is a weaker manager, Jnr OC cushion is cuspy 1.6.  3 x BB trades 937dm-1077dm wide to our BB Index 808dm, given the high coupon structure of the bonds (>700bps margin) which is the key driver as opposed to credit / MV metrics, with SARAT 2013-1A ER3 at the wider end CVR 86.5 at 1077dm / 6.25y WAL - +750bps coupon and an elevated ADR 1.2 with all other metrics clean and the manager Saratoga Inv Corp is a relatively new manager so there is the new manager premium on top.

EUR AAA CLO

There are 2 AAA trades. Both have exited their RPE periods. CRNCL 2013-3X AR exited around 3 years ago, is heavily paid down and traded at 156dm. TCLO 1X AR exited its RPE 1 year ago and traded at 175dm.

EUR AAA CLO

Both AAA trades have traded at 177dm. ARESE 12X AR traded at 97.21. This bond traded at 94.57 on 19 July 2022 so it has rallied in price by over 2.5 pts in the last month.

USD CLO Mezz/Equity

$63m of predominantly mezz flow today, spreads moving sideways across mezz whilst US LL Index +13bp dod.  Single-A trade 306dm-382dm with our single-A Index 325dm which is a touch wider.  The one outlier trade is AWPT 2017-8A C CVR 93.8 at 382dm / 4y WAL, this ends reinvestment in 2.5 months and metrics are average-weak – Sub80 bucket is high 5.7%, MVOC is 113, ArrowMark has reasonable manager metrics and Jnr OC cushion is 3.4% / CCC is approaching 5%.  BBB trade 415dm-480dm with our BBB Index a touch tighter at 462dm, there are three trades with a 6-handle in dm terms, with one of them driven by a very high coupon (+428bps) but the other two are driven by MVOC <103, cuspy Jnr OC cushions, elevated ADRs at 1.5% and a weak manager record (Crescent Capital) with covers in mid-80s cash px context.

USD CLO Mezz/Equity

Just over $30m of liquidity today BBB and Equity, BBB spreads a touch softer whilst US LL Index +7bp dod.  BBB trade 484dm-682dm today with our BBB Index tighter 474dm.  Best execution is close to our index - PGIM’s DRSLF 2018-65A D CVR 92.5 at 484dm / 5.3y WAL (EoRP 2023 / Coupon +310bps profile), MVOC is healthy 107.8 and metrics are reasonable with only ADR elevated at 1.2 as the anomaly and explains the delta from the index.  The remaining 3 x BBB trades are a combination of high coupon scaling, high ADR (>1), lower Jnr OC cushion (3%) and weaker manager profiles which cause the drift from the index.

USD CLO AAA

Just one trade today, a MM CLO AAA from Golub Cap GOCAP 2018-36A A CVR 97.9 at 233dm / 2.2y WAL, which is tighter than a close comp GOCAP 2015-25A AR seen end of June in 250dm area, to pull into context the tightening theme. US LL Index is also +7bp on Friday close.

USD CLO AAA

$200m of liquidity today, with the positive after effect of the rate hike CLO spreads firmed up across the stack, although US LL Index -5bp dod.  AAA trade 168dm-186dm with our AAA Index tightening to 178dm (-2dm), trading activity today is concentrated towards the shorter end with the majority of trades inside the index given the shorter wal (EoRP 2023 predominantly) with a trading range of 168dm-174dm for 2-3y wal. 

USD CLO Mezz/Equity

AA trade 271dm-322dm wide of our AA Index 252dm, skewed by a post reinvestment bond and a recent vintage WINDR 2022-2A B1 with a high coupon +290bps, so neither representative of archetype AA.  Single-A trad 295dm-298dm with our single-A Index tightening to 310dm, both bonds today are clean bonds from a benchmark manager CIFC (MVOC 113.5 area, near zero ADR, Jnr OC cushion 5.5 rea and coupons >200bps) and hence trade inside the index given their relative risk adjusted return / profiles.  BBB trade 418dm-498dm with our BBB Index tightening to 460dm (-36dm), one outlier bond BLUEM 2014-2A DR2 CVR 87.05 at 609dm / 5.6y WAL trades wide of the index given high ADR 1.6, high Sub80 bucket 4.3, low Jnr OC cushion 1.75 and a cuspy MVOC 101.8 from Assured.  1 x BB trade is MAGNE 2020-25A E CVR 93.03 at 788dm / 6.3y WAL (BB Index 811dm), Blackrock bonds tend to trade tight to the index and this is no exception with clean metrics and a strong bond profile (coupon +635bps, short wal EoRP 2024) with MVOC 102.35.

USD CLO Mezz/Equity

$18m of liquidity today across 12 mezz trades, spreads stable and US LL Index -17bp dod.  Single-A trade 317dm-357dm wrapped around our 329dm index with LCM 21A CR well inside this index at 276dm given post reinvestment / high MVOC profile.  BBB trade 425dm-536dm with our BBB Index 496dm with best execution reserved for a benchmark name Blackrock MAGNE 2021-30A D CVR 91.69 at 425dm / 8.6y WAL – high MVOC 105.9 and very clean credit metrics/cushions.  BB trade 785dm-1043dm with our BB Index 864dm, a Blackrock bond trading well inside our index at 785dm and 2 outlier bonds that trade north of 1000dm - OZLM 2019-23A ER (Sculptor) covers 94..9 at 1024dm / 8.6y WAL – MVOC shortfall 99.56 MVOC and a high Sub80 bucket 5.4% driving the execution.

EUR AAA CLO

A handful of amortising, short AAAs have traded today at 239dm with an average price of 97.37. Their WAL is around 1.7yrs and they exited their RPE around 6 months ago.

USD CLO AAA

$176m of liquidity across IG debt and 1 x Equity, spreads stable whilst US LL Index -9bp dod.  AAA trade in a wide dispersion 166dm-292dm across 31 trades, but reinvesting bonds trade 166dm-202dm with our AAA Index in the middle of this range at 180dm.  Best execution is PLMRS 2018-1A A1 CVR 98.44 at 166dm / 2.7y WAL – EoRP April 2023, +103bps coupon, strong Jnr OC cushion 5.3, MVOC 146.8 and clean credit metrics. 

USD CLO Mezz/Equity

Single-A trade 296dm-317dm with our single-A Index 339dm, both bonds are from benchmark managers (Oak Hill and Blackrock) with clean metrics and exceptional manager performance records which drive execution inside our index despite the longer wal (EoRP 2026) on both bonds which have the same coupons +190bps.  BBB trade 505dm-555dm which are wide to our BBB Index 496dm given weaker manager profiles (Sound Point, Trimaran) but also scaled by the higher coupons (+345-365bps).  1 x rare MM CLO BBB from Fortress FCO 2017-9A DR trades 580dm / 7.8y WAL.

USD CLO AAA

$71m of liquidity today across almost 30 trades, with CLO spreads stable with a firm tone whilst US LL Index +15bp dod.  AAA trade 170dm-206dm with our AAA Index 183dm, best execution is reserved for a benchmark name CIFC 2018-2A A1 CVR 98.35 at 170dm / 2.7y WAL with clean metrics all round and a short wal this trades well inside our index.  Closest trade to our Index is GNRT 4A A1R CVR 98.2 at 181dm / 2.7y WAL – ADR 0.4, Jnr OC cushion 5.7, coupon +109bps and MVOC 148.9.

USD CLO Mezz/Equity

AA trade 252dm-265dm close to our AA Index 255dm, one key outlier trade is a post reinvestment bond TCP 2016-1A A2 CVR 99.21 at 494dm / 0.4y WAL – EoRP 2020 and is a MM CLO hence the wider dm and a very short wal.  Single-A trade 328dm-351dm wrapped around our single-A Index 342dm.  BBB trade 429dm-545dm with our BBB Index 497dm, a number of Blackrock trades today which are inside our index given the manager’s clean and conservative record which their bonds trading in 430dm context for short wal bonds (up to 1y reinvestment).  1 x single-B trade, another clean Blackrock bond MAGNE 2020-26A ER CVR 89.09 at 787dm / 8.9y WAL well inside our BB Index 872dm (MVOC on this bond is 101.25, Sub80 bucket is low 1.45 and ADR is 0).

EUR AAA CLO

We have seen some tightening of AAA spreads today with average traded levels of 237dm. Perhaps the issuance of Clonmore Park at 170dm has spurred the secondary market to tighten.

USD CLO Mezz/Equity

Limited liquidity today with $15m across 5 trades, spreads at the single-A level a touch firmer whilst US LL Index is +32bp dod.  Single-A trade 315dm-355dm with our single-A Index 345dm, best execution is NEUB 2017-16SA CR (EoRP 2026) cover 92.64 at 315dm / 7.3y WAL – benchmark manager, +190bps coupon, ADR is high 1.4 and MVOC is at the low/mid end at 110.6 but Jnr OC cushion 5.2 is strong so the strength of the manager supports the execution here.  There is an outlier trade OZLM 2018-22A B (EoRP 2023) CVR 91.4 at 428dm / 4y WAL – weaker manager profile (Sculptor), ADR is high 1.3, Sub80 is high 5.4, MVOC is 110.6 (comparable to the Neuberger bond), but Jnr OC cushion is low 1.9.  There are 2 x BBB trades wide of our 501dm Index level, range is 551dm-661dm and this drift is due to a combination of weaker bond profiles and high margin scaling to dm.

USD CLO Mezz/Equity

$45m of liquidity across 22 mezz trades, US LL Index continues to rebound and is +34bp dod.  AA trade 265dm-312dm with our AA Index 270dm with trades wide of the index driven by longer wal / reinvestment period remaining.  At single-A the trading range is 330dm-368dm wrapped around our single-A Index 350dm, the outlier trade is DRSLF 2018-55A C CVR 91.8 at 414dm / 4.3y WAL – very high ADR 1.9, MVOC <110 at 109.8 and a low Jnr OC cushion 2.7 all despite the shorter wal (EoRP 2023).  BBB trade in a very wide dispersion 453dm-790dm with our BBB Index 501dm, bonds wide of the index are driven primarily by MVOC which are <104 with bonds around/tight to the index with MVOCs in the 105 area.  At the wide end is Marble Point’s MP11 2017-2A D CVR 81.2 at 790dm / 4.8y WAL with a short reinvestment period remaining (Jan-23) but cuspy MVOC 100.6, downgraded to BB and an elevated ADR 1.1.  BB trade 863dm-1175dm with our BB Index 885dm, 2 bonds well wide of the index (1119-1175dm) have a MVOC shortfall (circa 2pts) and as such trade well wide of the index, at the wide end is OCP 2014-5A DR CVR 77.35 at 1175dm / 5.6y WAL – ADR 1.4 but MVOC 97.7 and a lower coupon +570bps so risk adjusted return is weak.

USD CLO Mezz/Equity

With the SF Vegas Conference there are only 3 x BBB trades today with a dm range 485dm-531dm with our BBB Index 513dm, US LL Index +55bp dod.  Best execution is BCC 2022-2A D1 CVR 91.9 at 492dm / 8.9y WAL – EoRP 2027 (NC 2024 / margin +365bps) and with clean 3.0 metrics from a benchmark manager Bain Cap.

EUR AAA CLO

There are a bunch of AAA trades today at an average spread of 265dm. This is where AAA secondary spreads have been hanging out for about a week now.