USD CLO Mezz/Equity

$50m of liquidity today, 12 x lower mezz bonds.  US LL Index -77bp wow and -32bp dod with spreads finishing the week along their softer tone.  BBB bonds trade 444dm-632dm (BBB index 362dm), with the tighter end of this range 444dm-606dm accounting for credit impaired bonds where ADRs are well in excess of 1% with VENTR 2015-22X DR CVR 86.75 at 606dm / 5y WAL with a very high ADR 3.7.  COV 2017-1A D (Cov Credit) covers 91.05 at 632dm / 4.25y WAL – this bond has a high margin +375bps and weak credit (ADR 0.9, Jnr OC cushion 0.8, MVOC <110 at 109.3) whilst this is a new manager with little track record.  8 x BB trade 716dm-993dm  with our BB index 736dm with downgraded (to single-B) bonds post reinvestment typically with coupons <600bps trading wide to the index.  The only bond in reinvestment is a 3.0 CLO OAKC 2021-16A E CVR 92.15 at 742dm / 9.3y WAL (EoRP 2026) with a +610bps coupon and clean metrics.  1 x single-B trades at a cover 87.00 at 993dm / 4.5y WAL which is right at our single-B index 992dm.  This bond is post reinvestment with clean metrics (MVOC 105.3, ADR 0.5, Jnr OC cushion 4%) so archetype for single-B execution.

USD CLO Mezz/Equity

$44m of liquidity today across 22 trades, all mezz/equity.  US LL Index +4bp and CLO spreads continue the drift we have seen over the past week.  Single-A trade 238dm-271dm with our single-A index 232dm.  The majority of trading today has been in higher coupon profiles (>200bps) which continue to drive execution, however RRAM 2018-3A BR2 which has a coupon <200bps (+180bps) covers 97.8 at 238dm / 4.3y WAL which is closest to our index level, slightly wider given the elevated ADR 1.1 and Sub80 bucket 3.4 with other metrics clean.  BBB trade 349dm-518dm with our BBB index 362dm, stripping away higher coupon bonds the execution dispersion is 349dm-357dm which is close to our index, HLM 2013-2A CR is the outlier with CVR 91.03 at 518dm / 4.8y WAL (EoRP Oct-22) – 290bps coupon with a low MVOC 108.4 and cuspy Jnr OC cushion 1.5 whilst HPS’s manager profile is slightly weaker to benchmark.  BB trade 713dm-809dm with our BB index 720dm, trades wide to the index are APID 2022-39A E CVR 95.39 at 772dm / 9.9y WAL which carries a high coupon +700bps, whilst PIPK 2019-4A ER (Partners) covers at 91.57 at 809dm / 9.1y WAL with relatively clean metrics and a reasonably strong coupon +661bps with the manager less experienced perhaps influencing execution.

EUR AAA CLO

Just the one AAA trade today. Tikehau 6 traded at 98.56 / +126 for a 2026 RPE.

USD CLO AAA

$85m of liquidity across 34 trades, the softer feel on liabilities continues whilst US LL Index stabilises +4bp dod.  2 x AAA trades 139dm-145dm versus our AAA index 130dm.  Both trades are close to end of reinvestment periods and carry low coupons (+97-100bps) so execute at a discount given prevailing levels for a reset are much wider.

USD CLO Mezz/Equity

2 x AA trades 198dm-204dm both wide of our AA index 188dm with average metrics on the 2 bonds.  Single-A trade 224dm-286dm with our single-A index 231dm.  Trades carry higher coupon profiles (>200bps) which has a skew on dm execution rather than credit impact.  BBB trade 355dm-417dm with our BBB index 360dm with best execution reserved for those bonds that carry coupons >300bps with those wide of the index carrying coupons < 300bps.  There is an outlier trade GWOLF 2015-1A CR CVR 95.5 at 417dm / 4.5y WAL (EoRP 2023) – ADR is high 1.5, Sub80 bucket is high 3.96 and coupon is +300 and the manager Greywolf’s profile weaker to benchmark.  BB trade 705dm-855dm with our BB index 720dm with execution wide of the index driven particularly by coupon profile (typically <600bps) with best execution ARES 2019-54A E CVR 95.5 at 827dm / 7.1y WAL (EoRP 2024) – MVOC 106, high coupon +734bps, Jnr OC cushion 3.9 and it is the coupon profile that drives the execution level.

EUR AAA CLO

There are 4 x AAA trades today. There are 3 short bonds with 2yr WAL. These have traded around +115. The one longer bond, Ares Euro 15, with a 5.6yr WAL and July 2026 RPE traded at +125. Today’s spreads are steady now at the wider levels we have seen over the last few trading sessions.

USD CLO AAA

$112m of liquidity across 19 trades along the stack, US LL Index continues to slide -11bp dod and liability spreads continue their softer theme over the past few days.  AAA trading range is 136dm-148dm with our AAA index widening to 130dm, an outlier trade is SHACK 2017-11A AR CVR 99.14 at 148dm / 2.3y WAL (EoRP Aug-22) – ADR high 0.9, Sub80 high 3.1, MVOC low 148 and Jnr OC cushion at the lower end 2.7 whilst Alcentra’s manager profile is a touch back from benchmark. 

USD CLO Mezz/Equity

4 x AA trades 198dm-208dm with our AA index 188dm with an outlier trade at the wide end - APID 2017-26A A2R CVR 98.03 at 208dm / 3.8y WAL – ADR 1.02 and Jnr OC cushion low 2.2.  6 x single-As trade 232dm-273dm with our single-A index 233dm (one outlier trade 273dm at the wide end APID 2013-15A CR).  3 x BB trades in a 784dm-793dm range (BB index 713dm), an outlier trade is JFIN 2013-1A DR CVR 96.03 at 856dm / 4.3y WAL – ADR high 3.1, Sub80 3% and the bond is post reinvestment so credit migration is unlikely to be materially mitigated.

EUR AAA CLO

There are 5 x AAA trades. Four of them have exited their RPE and the other one, OZLME 4, exits later this year. In spite of them all being very short they have traded at an average spread of +114, which still shows that the market is not firming up at all.

USD CLO AAA

$55m of liquidity with a softer tone on execution levels, US LL Index -74bp wow.  1 x AAA GOCAP 2015-25A AR which is a MM CLO with CVR 99.25 at 180dm / 1.9y WAL (post-reinv).

USD CLO Mezz/Equity

At AA the trading range is 200dm-236dm with the wide end driven by credit issues eg. ATCLO 2019-13A BNR (Crescent Cap) CVR 97.11 at 236dm / 4.3y WAL (EoRP 2023) – ADR 1.8, Sub80 3.6 and MVOC 124.4.  Our AA index is 186dm.  BBB trading range is 347dm-520dm with our BBB index 355dm.  Excluding the credit impaired bonds that trade 406dm-520dm the trading range is 347dm-370dm which is close to our index level.  The outlier trade is LCM 16A DR2 CVR 92.02 at 520dm / 5.5y WAL – low MVOC 108.3, low Jnr OC cushion 2.2 whilst LCM has a weaker manager profile.  BB trading range is 769dm-808dm versus BB index 710dm, 2 trades today with low coupons 530bps-565bps with relatively clean metrics (MVOC 105.6-105.9) but execution has a softer feel.

USD CLO Mezz/Equity

$106m of bonds exchanging hands today (Mezz/Equity), with sentiment a touch softer in mezz, whilst US LL Index -5bp dod.  AA trading today 189dm-207dm wide of our AA Index 179dm, with sentiment a little softer.  At the wide end of this range accounted for by a credit impacted bond - BLUEM 2013-2A BR CVR 98.39 at 207dm / 3.8y WAL – ADR 1.7, Sub80 2.6, MVOC at the lower end 127.8 and a cuspy Jnr OC cushion 1.8 whilst the manager Assured IM’s default record worse than it’s peers.  BBB trading is 322dm-389dm wrapped around our BBB Index 351dm, one outlier trade VOYA 2016-3A CR CVR 93.14 at 483dm / 5.3y WAL – ADR is high 1.1, Sub80 is high 2.8, MVOC is low 107.3, Jnr OC cushion is cuspy 1.5 whilst the manager’s record is weaker to peers so this accounts for the cash px and execution level well wide of our index.  At BB the trading range is 672dm-934dm and excluding high coupon bonds/post reinvestment bonds and credit impacted bonds the trading range is 672dm-740dm which is wrapped around our BB index 702dm.

EUR AAA CLO

The 4 x regular AAAs have traded around +121. Another day with a widening bias. One junior AAA traded, from Ares Euro 11, at 99.41 / +124.

USD CLO AAA

$126m of supply today with some spread softening on the asset (US LL Index -11bp) and CLO liability side across the stack.  Just one AAA trade OAKC 2021-16A A CVR 98.85 at 136dm / 6.1y WAL – EoRP 2026 with a mid-case coupon +115bps / strong manager with clean metrics wide to our AAA index 127dm. 

USD CLO Mezz/Equity

2 x AA trades 189dm-205dm wide of our AA index 176dm, both trades carry clean metrics and coupon structures are +145-160bps / MVOC 130.   At single-A the trading range is 234dm-391dm wide of our single-A index 228dm with mid-range coupon structures (+175-195bps), at the wide end is MCLO 2018-11A B CVR 92.75 at 375dm / 4.3y WAL (EoRP 2023) – high ADR 2.3, low MVOC 115.6 and cuspy Jnr OC cushion 0.7.  There is one MM CLO single-A trade AUDAX 2020-4A C CVR 99.56 at 391dm / 4.8y WAL – high coupon +380bps with clean metrics driving execution near to par.  At BBB the trading range is 347dm-431dm with a 5pt cash px dispersion, our BBB index is 352dm.  Trades wide of this range carry an ADR of 1%+, MVOC >110 and lower percentile Jnr OC cushions (>3%) and coupons <300bps.  At BB there are 15 trades in a 612dm-807dm range centred around our BB index 700dm.  REG10 2017-3A E covers 92.51 at 739dm / 5.3y WAL (Napier) with EoRP 2023, low coupon +555bps and average metrics with generally the coupon driving execution here given similar coupon profile bonds have a shorter WAL and better execution.

EUR AAA CLO

There are 2 x AAA trades today. The shorter bond, Avoca 21, traded at +113. Cairn 12 being 2 years longer traded at +121. Another soft day for Eur AAA CLOs.

USD CLO AAA

$190m of liquidity today, US LL Index -5bp dod with a little softness in execution levels.  AAA trade 133dm-143dm with our index 126dm.  AMMC 2016-19A AR is at the wide end CVR 99.55 at 163dm / 0.9y WAL – post reinvestment bond with a high ADR 0.93 ex-managed by AMMC.

USD CLO Mezz/Equity

AA trades are in a 185dm-215dm range with our AA index 174dm, MSEV 2022-16A B is at the wide end CVR 98.7 at 215dm / 8.1y WAL – high coupon +195bps managed by Eaton Vance (EoRP 2027).  Single-A trade 226dm-278dm with our index 227dm with again a higher coupon bond GCBSL 2020-50A CR CVR 97.02 at 278dm / 8.4y WAL – EoRP 2027 / coupon +235bps with clean metrics.  BBB trade 306dm-385dm centred around our BBB index 350dm.  BB trading is 755-758dm wide to our BB index 699dm with ICG 2015-1A DR at the wide end CVR 94.5 at 758dm / 3.8y WAL – post reinv with weaker credit metrics (ADR 1.2) whilst KKR 2013-1A DR CVR 94.5 at 755dm / 4.8y WAL – cleaner metrics but a lower MVOC percentile at 105.1 impacting execution (coupon +608bps).

EUR AAA CLO

There are 3 x AAA trades today. They are all longer bonds with RPE dates in 2025 & 2026. Average traded spreads are around +115. These bonds are a little closer to new issue maturities and tend to show that the AAA spreads from the deals currently in marketing may struggle to get much tighter than Dryden 96.

USD CLO Mezz/Equity

A more subdued day with $40m of trading, US LL Index -17bp dod.  All trades are high dm based and trade wide to our indices, for a variety of reasons.  At BBB there is one trade SRANC 2018-6A D CVR 88 at 647dm / 5.2y WAL (Canaras Cap) – this is current BB and has a high ADR 1.4, high Sub80 5.8, low MVOC 106.9 and manager profile has a weaker record to peers.  The 8 x BBs trade 729dm-1122dm, wide to our BB generic index 698dm – reasons are high coupons (>650bps) for the main coupled with poor credit, eg. SNDPT 2015-1RA E CVR 83.5 at the wide end is 1122dm / 5y WAL (current B), post reinvestment, ADR 1.5, Sub80 3.4, MVOC cuspy 101.6 and Jnr OC cushion 0.9.

EUR AAA CLO

There are 9 AAA trades. A lot of them have passed their RPE date. Shorter maturity bonds have traded around +100. Longer maturity around +118.

USD CLO AAA

$110m of liquidity today across 12 trades, US LL Index -5bp wow and spreads generally stable with a little softening at BBB.  At AAA our index widens to 126dm (+1 wow) with GALXY 2013-15A ARR the best market proxy CVR 99.37 at 124dm / 2.5y WAL (EoRP Oct 2022), clean metrics from a benchmark manager with a short wal so inside our index.  The remaining trades 129dm-148dm are a cocktail of post reinvestment bonds, high coupon bonds (>120bps) or credit related (high ADR / cuspy Jnr OC cushion) which do not provide a clear barometer as to market sentiment.

USD CLO Mezz/Equity

2 x BB trades 672dm-683dm, both are 3.0 bonds with very clean metrics / high coupons and trade inside our BB index 698dm.  CGMS 2020-2A DR (EoRP 2027) from Carlyle has a +670bps coupon and covers near par at 99.2 683dm / 9.7y WAL (MVOC 106.7, Jnr OC cushion 4.9, WARF 2666) and OCT55 2021-1A E from Octagon (EoRP 2026) with similar metrics (coupon +650bps, MVOC 107.4, Jnr OC cushion 5.6, WARF 2663) covers at 98.7 at 672dm / 9.1y WAL.  Both managers have similar records and scale but there is small tiering between these two names.

USD CLO AAA

43 covers today with $218m of liquidity, US LL Index +4bps with CLO mezz spreads continuing to grind tighter.  16 x AAA 1st pay trades in a 101dm-143dm range, our AAA index remains 125dm, with sub 100bps coupon bonds dominating the tight end of this range 101dm-113dm.

USD CLO Mezz/Equity

At single-A the trading range is 186dm-257dm with our single-A index 225dm, at the tight end is WINDR 2016-1A CR which hits its par ceiling at 186dm / 2.2y WAL, this is post reinvestment and carries a coupon north of 200bps (+210bps).  Post reinvestment bond trades are in a 207dm-242dm which is centred around our index.  At BBB there are two trades 322dm-325dm with our BBB index 344dm, both trades have sub300bps coupons with clean metrics (post reinvestment) hence trade inside our index.  $56m across 13 x BB trades in a 658dm-840dm range, our BB index 699dm.  At the wide end of the range is MP16 2019-2A ER (Marble Point) CVR 92 at 840dm / 9.4y WAL (EoRP 2026), clean metrics but has a high coupon +701bps.  Excluding another high coupon bond CATLK 2021-8A E (+749bps) with CVR 95.86 at 819dm the trading range for post reinvestment bonds is 658dm-783dm with a weak Octagon bond at the wide end OCT20 2019-4A E CVR 95 at 783dm / 6.9y WAL (ADR 1.9 / MVOC 105.3).  1 x single-B trade MAGNE 2015-14RA F CVR 93.8 at 924dm / 7.1y WAL, shorter WAL (EoRP 2023) with clean metrics from a benchmark manager Blackrock, our single-B index is sub 1000dm at 995dm.

USD CLO AAA

48 trades with $330m of liquidity, spreads on underlying loans (US LL Index -1bp dod) and CLO liabilities generally stable.  $140m of AAA 1st pays trade 121dm-147dm with higher coupon bonds dominating the wide end of this dm range.  2 x 2nd pay AAAs trade in a 148dm-168dm range, our 1st pay AAA index remains 125dm.

USD CLO Mezz/Equity

At AA there are 8 trades in a 175dm-198dm range with cash prices grinding towards par, wide of our AA index 174dm given the longer wals (EoRP 2026/2027) and higher margin profiles exchanging hands.  At single-A the trading range is 214dm-289dm with our single-A index 226dm, excluding 2 x higher coupon (>200bps) trades the range is 214dm-242dm which is centred around our index level.   4 x BB trades in a 678dm-807dm range (BB index 700dm).  At the wide end is OZLMF 2013-4A D1R (Sculptor) CVR 92.66 (downgraded to single-B) at 807dm / 5.6y WAL – ADR is high 1.1, Sub80 is elevated 2.2, Jnr OC cushion is cuspy 0.7 and MVOC is at the low end 104.5.  3 x rare single-B trades today which is encouraging as investors take more risk appetite, dm range is 917dm-1082dm with our single-B index 1010dm with very few trades since end of January.  Best execution is MDPK 2018-28A F (CSAM) CVR 92.1 at 917dm / 7.9y WAL with metrics overall clean and a benchmark manager with a shorter wal (EoRP 2023) this trades inside our index.

EUR AAA CLO

The only AAA, Rockford Tower Europe 2018-1, traded at +112. Even though this doesn’t look that tight, bearing in mind the high margin of the bond we do think this is tighter than where New Issue has been pricing.

USD CLO AAA

$160m of liquidity today with spreads and leveraged loan prices both stable.  10 x AAA trades with a number of profiles exchanging hands, all coupons > 105bps with an average of +116bps and trading range 120dm-136dm with our AAA index 125dm.  One outlier trade JFIN 2013-1A A1NR CVR 99.67 at 157dm / 1.9y WAL (Apex) – high coupon +139bps margin but also tainted by a high ADR 3.1, high Sub80 3% with the deal post reinvestment.

USD CLO Mezz/Equity

3 x AA trades 178dm-211dm and our AA index 175dm with 2 trades at the wide end 210dm-211dm dominated by their high coupons +200bps and in the case of PAIA 2019-1A A2A a slightly lower CVR 99.52 at 211dm / 4.9y WAL given the high ADR 1.7.  1 x single-A trade WOODS 2019-18A CR CVR 98.13 at 265dm / 5.4y WAL (EoRP 2024) wide of our single-A index 226dm – ADR is high 1.24 whilst Angelo, Gordon’s manager profile is slightly back to benchmark.  At BBB there are 8 trades in a 279dm-363dm range with our BBB index 345dm, the tight end of today’s trading range 279dm-299dm driven by 3 trades post reinvestment 279dm-299dm with post reinvestment bonds trading 314dm-363dm which is centred around our BBB index level.

EUR AAA CLO

There are 7 x AAA trades today. All except for Man GLG 6 have exited their RPE period. Therefore the levels are quite tight. The amortising deals have traded at an average of +102 and the Man GLG 6 traded at +109.

USD CLO AAA

$84m of securities changing hands, US LL Index -2bp dod and CLO spreads stable.  AAA trade 132dm-143dm wide of our AAA index 125dm, the bonds have higher coupons (119bps-138bps) as opposed to credit issues.

USD CLO Mezz/Equity

5 x BBB trades 333dm-418dm with our BBB index 340dm.  APID 2019-32A D (CVC) hits par ceiling at 341dm / 6.9y WAL (strong coupon +350bps, MVOC 111.3, Jnr OC cushion 4.2).  SHACK 2014-5RA D trades wide of our index at CVR 96.5 at 399dm / 4.9y WAL (EoRP 2023) given its metrics are slightly weaker to benchmark – ADR 0.9, Sub80 2.7, MVOC 109.4 and Jnr OC cushion 2.9 with the +315bps coupon lower than the CVC bond.  At BB there are 3 trades in a 670dm-841dm range with our BB index 710dm.  AWPT 2013-1A D1R2 trades wide to the index at CVR 96.5 at 841dm / 6.4y WAL – Sub80 is elevated 2.6, Jnr OC cushion is low 2.6 whilst the bond coupon +765bps is also at the high end so the dm is scaled to the higher end above our index.

USD CLO AAA

$306m of liquidity across 44 trades with spreads stable/firm across the stack, US LL Index -4bp dod.  With the majority of the liquidity in AAA 1st pay ($221m) execution levels continue to grind towards par and we maintain our AAA index at 124dm, best execution ELMW4 2020-1A A CVR 99.8 at 129dm / 4.6y WAL (EoRP 2025) – higher coupon +124bps, strong MVOC 153.3 and very clean credit metrics and cushions.  At the other end of the execution range (in terms of cash px) is ARES 2016-41A AR2 (EoRP 2026) CVR 99.09 at 125dm / 5.7y WAL which has a lower coupon +107bps and other metrics somewhat comparable but not as exceptional as the Elmwood bond, the margin structure drives execution here.

USD CLO Mezz/Equity

At AA the trading range is 162dm-180dm with our AA index 176dm with bonds trading inside this dm carrying coupons <150bps with the other trades centred around our index level.  At single-A the trading range is 216dm-280dm with our single-A index 222dm, FLAT 2020-1A C hits its par ceiling – profile is EoRP 2025, coupon is high +245bps and all metrics are very clean (NC is August 2022 hence the creep to par).  STCR 2018-1A C trades wide to our index CVR 96.38 at 280dm / 4.6y WAL (EoRP 2023) – ADR is elevated 1.4, MVOC is at the lower end 115.6 and Jnr OC cushion is at the lower end 2.6 with the coupon < 200bps at +190bps not offsetting the inherent risks.  At BBB the trading range is 327dm-366dm centred around our BBB index of 340dm, there are 2 outlier trades not included, notably TELOS 2013-4A DR CVR 90.76 at 612dm / 4.1y WAL – ADR is high 1.2, Sub80 high 3.1, MVOC low 105.7 and Jnr OC cushion cuspy 0.6.  At BB there are 10 trades with trading range 661dm-778dm with our BB index 710dm, best execution is CIFC 2019-FAL E CVR 98.5 at 770dm / 7.6y WAL (EoRP 2025) – very clean credit and MV metrics (MVOC 106.2) but the margin structure (+741bps) dominates.  At the wider end in terms of cash px is BLUEM 2018-2A E (Assured IM) CVR 93.3 at 757dm / 5.9y WAL (EoRP 2023) – ADR is high 1.8, MVOC is low 103.75, Jnr OC cushion low 2.1 whilst the coupon is at the lower end +605 with the deal post NC.

USD CLO AAA

19 trades $115m of liquidity and spreads are stable / firm across the stack, US LL Index -2bp dod.  AAA trade 118dm-144dm with our index tightening to 124dm.  BATLN 2020-15X A1 sees best execution (Brigade) with CVR 99.89 at 138dm / 4.5y WAL, metrics are reasonably clean but the +135bps coupon overrides these and drives execution.

USD CLO Mezz/Equity

At AA there are 5 trades in a 159dm-179dm range with our index 177dm, the tighter end of the range (from dm perspective) trades inside our index driven by margin structures <150bps and shorter wals.  The range for reinvesting longer wal bonds is centred around our index level 177dm.  1 x single-A trade COOK 2018-1A C CVR 98.5 at 212dm / 4.6y WAL vs single-A index 222dm – shorter wal (EoRP 2023) and +175bps (lower) margin account for the execution dm inside our index.  1 x BBB trade PAIA 2019-1A C CVR 98.5 at 416dm / 5.9y WAL vs BBB index 340dm – metrics are weaker (ADR 1.7, MVOC <110 at 109.5, Jnr OC cushion is low 2.2) but margin is high +385bps so the risk is offset to some extent by the return here so the execution level is not too steep a discount.

USD CLO AAA

22 trades with $54m of liquidity across IG and SubIG, with CLO spreads continuing to firm and US LL Index +34bp wow.  AAA 1st pays trade 124dm-139dm with our AAA index 126dm, GSM 2020-IA A1 covers 99.94 at 139dm wider to our index given the scaling factor of the high coupon +137bps with all metrics clean. 

USD CLO Mezz/Equity

At AA there are 5 trades 162dm-202dm with reinvesting bonds trading 174dm-202dm wrapped around our AA index 179dm with again the scaling factor of another high coupon bond from Gulf Stream GSM 2020-IA B CVR 99.91 at 202dm / 6.1y WAL (coupon +200bps).  7 x single-As trade 209dm-242dm with our single-A index 223dm, SNDPT 2019-2A CR covers 98.89 at 242dm / 7.9y WAL wide of our index given the high coupon as well (+225bps) with all other metrics in line with benchmark.  Some mild tightening at BB with bonds trading 648dm-724dm with our BB index 711dm with the majority of bonds trading inside our index given bond coupons were for many of these bonds <+600bps, with the exception CSAM’s MDPK 2015-18X ER with best execution at cover 98.00 at 683dm / 5.4y WAL driven keenly by the short wal given EoRP October 2022 and bond coupon +635bps with a strong MVOC 105.2.  Whilst other key metrics are fairly average (CCC 6%, ADR 0.95, Jnr OC cushion 3.2).

USD CLO AAA

Heavy liquidity today with 56 trades / $250m of bonds changing hands, US LL Index -3bp dod whilst CLO spreads continue their tightening theme.  AAA 1st pay trade 123dm-132dm for reinvesting bonds and we tighten our AAA index once again -1dm to 130dm.  MDPK 2016-22A A1R from CSAM with an EoRP 2025 sees best execution at 99.77 at 132dm / 4.4y WAL, bond coupon is strong +126bps, MVOC is high 154.34 and other metrics are clean.

USD CLO Mezz/Equity

$84m of AA bonds trade 158dm-193dm with our AA index tightens to 181dm, JPARK 2016-1A A2R is the outlier with an execution cover of 99.65 at 158dm / 2.8y WAL (post reinvestment) but notably the low coupon +145bps still meets strong execution.  At single-A the trading dispersion is 217dm-279dm centred around our single-A index 239dm, SPEAK 2019-1A C from Orix covers at par ceiling at 279dm / 5.4y WAL – the EoRP is 2024 but the bond coupon is high +280bps / MVOC 118.8 and credit metrics clean.  At BBB there is more than $50m of liquidity across 20 trades with a wide dispersion in terms of cash px (13pts) and dm range 262dm-682dm, our BBB index is 348dm.  2 notable outliers at the wide end are from Zais ZCLO3 2015-3A CR and HarbourView HARV7 7RA D with execution covers 87.13 and 86.88 respectively and dm range 625dm-682dm, their MVOC is low 105.7-106.1 and despite the higher coupons 336bps-373bps their ADRs are very high 2.6-2.9 whilst both are BB rated current.  $30m of BBs trade across 15 trades and a wide dispersion like BBB activity (cash px 8.5pts / dm range 649dm-916dm), our BB index remains at 729dm.  Best execution is NBCLO 2016-1A DR CVR 99.09 at 649dm / 4.6y WAL – post reinv / coupon +625bps / benchmark manager PGIM.  At the other end of the scale is COV 2017-1A E CVR 90.5 at 916dm / 4.6y WAL – post reinvestment as well with similar coupon +645bps but MVOC is much lower 102.4 (vs 104.8), manager Covenant Partners is inexperienced and this shows with a cuspy Jnr OC cushion 0.77.

USD CLO Mezz/Equity

$108m of liquidity across 25 trades today, CLO spreads continue to grind in whilst US LL Index is flat dod.  AA bonds trade 165dm-182dm inside our AA index, whilst discounting lower coupon AAs the trading range is 175dm-182dm with our index tightening 2dm to 183dm.  Single-As trade firmer 212dm-226dm tightening our single-A index to 244dm, best trade proxy is CGMS 2019-2A BR (Carlyle) CVR 99.73 at 226dm / 5.6y WAL – EoRP 2024, +220bps coupon, MVOC 119 and clean credit metrics.  At BBB the trading range is 299dm-364dm with the tight end of this range (299dm-326dm) driven by lower coupon BBBs (<300bps coupon) whilst WINDR 2019-1A DR CVR 98.75 at 364dm / 8.4y WAL which is wide to our BBB index 351dm given a high ADR 1.2, lower MVOC 109.3 and some reflection on First Eagle’s poor default record as a manager (despite other clean metrics).  BB trade 591dm-819dm, stripping out low coupons / bonds post reinvestment the trading range is 646dm-819dm centred around our BB index which is tighter at 729dm given the firmer execution levels.

EUR AAA CLO

The 3 x AAA trades today are at an average spread of +119. Even the short bond, Bosphorus 5, with 2 years to RPE traded at around +129. So taking yesterday and today together we can say AAA spreads are around +113a.

USD CLO AAA

36 trades today with $65m of liquidity, CLO spreads firmer and US LL Index +18bp dod.  AAA trades are grinding towards par with our AAA index 131dm.  A high coupon 2nd pay LCM 19A BR covers at par ceiling at 175dm / 1.8y WAL (post reinv / high coupon +175bps) which is the first AAA to trade at par ceiling since the Ukraine invasion. 

USD CLO Mezz/Equity

3 x single-As trade 250dm-254dm close to our our single-A index 248dm, the 3 trades are shorter dated (EoRP 2022-2023) and trade wide to our index given performance (ADRs 0.75-1.8), cuspy Jnr OC cushions (0.9-2.2) and coupons <200bps.  At BBB there are 10 trades in a 328dm-371dm range (our BBB index is in the middle of this range 354dm).  One outlier trade GLD11 2015-11A DR2 CVR 98.48 at 274dm / 5.1y WAL (EoRP 2023) with a low coupon+240bps.  At BB there are 5 trades in a 604dm-677dm range (our BB index 741dm) with trades carrying bond coupons as low as +530bps (range is +530bps-630bps) this accounts for execution inside our index.  Best execution level is driven by coupon HLM 2021-16A E covers 98.26 at 677dm / 9.7y WAL (EoRP 2027) with a +650bps coupon, MVOC 106.8 and strong Jnr OC cushion 5.2.

EUR AAA CLO

There are 7 x AAA trades today. The average traded spread is +107 which is about 10bps tighter on our AAA curve. In reality the AAA spreads have probably been tightening over a few days but we can measure it when we see a number of BWIC trades. Aurium 3 traded the tightest at +96 because it is amortising and has only a 1.7yr WAL. Even Voya Euro 4 with a 5.6yr WAL traded at +111.