Market Commentaries
select * from bbg_commentary where 1=1 order by date desc
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1 May 2024
USD CLO AAA
$66m of flow, US LSTA 100 Index tighter +4bp dod, CLO spreads unchanged. AAA benchmarks trade 133dm-148dm with our AAA Index 142dm.
USD CLO Mezz/Equity
Virtually all mezz trades are non benchmarks at AA, A, BBB and BB with no changes in the index levels.
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30 April 2024
USD CLO AAA
Little flow today given month end, US LSTA 100 Index tightened again +5bp dod. A cluster of benchmark AAAs trade today 138dm-142dm and we have rebalanced our AAA Index 141dm.
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29 April 2024
USD CLO AAA
Only $60m of flow today, US LSTA 100 Index +8bp and CLO spreads remain well bid. AAAs trade 137dm-160dm with benchmarks 137dm-147dm in small size with the AAA index remaining 143dm.
USD CLO Mezz/Equity
In mezz AA and A trade at our index levels, 1 x AA benchmark trade TICP 2019-14A A2R covers 100.23 at 191dm / 3.8y WAL (EoRP Oct-24) with our AA Index 193dm. Single-As trade 234dm-238dm with our Single-A Index 235dm.
EUR MEZZ/EQUITY CLO
BBs traded slightly firmer, around 685 dm today.
PRVD 9X F (B rated) also traded strongly at 945 dm.
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26 April 2024
USD CLO AAA
Just 2 x AAA trades, US LSTA 100 Index +4bp dod. 1 x BSL AAA benchmark TREST 2021-5A A1 CVR 100.24 at 144dm / 4y WAL (EoRP 2026) near our AAA Index 143dm. 1 x MM CLO AAA GOCAP 2021-54A A CVR 100.25 at 176dm / 2.6y WAL (EoRP 2025).
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25 April 2024
USD CLO AAA
$138m of flow across the stack, US LSTA 100 Index -3bp dod and some slight tightening in mid/low mezz levels. AAA trade 136dm-209dm with benchmarks 138dm-146dm (AAA Index 143dm) with a high coupon HLSY 2022-6A A1 cover 100.8 at 229dm with non-call July this year.
USD CLO Mezz/Equity
Single-A benchmarks trade 224dm-246dm with our Single-A Index 235dm with trades either side of the index driven by post reinvestment or high coupon profiles. Few benchmarks trade at BBB or BB but we have fien tuned our BB Index to take into context some tightening in longer wal BBs (BB Index 652dm).
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24 April 2024
USD CLO Mezz/Equity
$44m of flow today, US LSTA 100 Index +6bp dod and CLO spreads flat with few benchmarks trading. Majority of non benchmark flow is in BB mostly post reinvestment and a high coupon bond, trading range is 580dm-920dm (BB Index unchanged 654dm).
EUR AAA CLO
AAAs are on a tightening trend with today’s trades at around 106 dm.
EUR MEZZ/EQUITY CLO
AA’s are steady. There is a wide dispersion in traded spreads because of margins between 145 bps and 295 bps.
TCLO 9X C (A rated) traded at 323 dm.
SEGOV 2018-5A E (BB) traded at 547 dm.
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23 April 2024
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22 April 2024
USD CLO Mezz/Equity
$29m of mezz/equity flow today, BB spreads a shade tighter whilst others unchanged, US LSTA 100 Index +10bp on Friday close. BBs trade 577dm-645dm with one benchmark TICP 2020-15A E cover 100.13 at 645dm / 5.8y WAL - EoRP 2025, coupon +615bps, 0.4 ADR and Sixth St the manager (BB Index 654dm). BBB trade 339dm-432dm with one benchmark from Bain BCC 2017-2A DR2 cover 99.49 at 354dm / 6.4y WAL - MVOC 110.8, EoRP 2026 in line with the BBB Index 360dm, tighter given manager profile.
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19 April 2024
USD CLO AAA
$64m of flow, CLO spreads unchanged, US LSTA 100 Index +2bp dod. AAA are for the majority post reinvestment profiles, but there is 1 benchmark trade TREST 2021-4A A cover 100.20 at 144dm / 3.8y WAL - EoRP 2026, MVOC 160, clean metrics and APC is the manager (AAA Index 143dm).
USD CLO Mezz/Equity
Mezz trades are BBB and BB, all non benchamarks, BBB are all high coupon bonds 455bps+ with BBs low MVOC profiles within reinvestment period for the most part. BBB Index 360dm and BB Index 656dm unchanged.
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18 April 2024
USD CLO AAA
$123m of flow today, very few benchmarks so spreads flat on the day, US LSTA 100 Index -1bp dod. AAA Index 143dm.
USD CLO Mezz/Equity
BBB and BB trades dominate mezz flow, but no benchmarks and numerous post reinvestment bonds trade. BBB Index unchanged 360dm and BB Index unchanged 656dm.
EUR AAA CLO
AAAs today at 129 dm.
EUR MEZZ/EQUITY CLO
BB’s are unchanged and traded around 705 dm. NWDSE 2019-19X E and DRYD 2019-73X E both traded wider than would have been expected from their margins because of their low MVOCs.
Cleaner profile single B’s have traded around 904 dm. NWDSE 2020-21X FR and DRYD 2014-32X FR traded around 1200 dm because of their poor credit support and past performance.
JUBIL 2013-10X SUB traded well at 16.5% yield.
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17 April 2024
USD CLO AAA
$70m of trading today across the stack, CLO spreads stable with US LSTA 100 Index recording another day of softening -4bp dod. AAA trades are all post reinvestment bonds trading range 104dm-127dm (AAA Index 143dm).
USD CLO Mezz/Equity
Most of the mezz activity is restricted to BBB and BB, BBB trade 311dm-394dm with one benchmark CEDF 2020-12A DR cover 99.41 at 360dm / 6.6y WAL - EoRP 2026, MVOC a little low 108.2 and ADR slightly elevated 1.3 but other metrics and manager are sound. BB trade 643dm-745dm with one benchmark TREST 2021-4A E cover 99.16 at 676dm / 7.1y WAL - EoRP 2026, manager APC, MVOC 106.9, ADR 0 and clean metrics (BB Index 656dm) which does trade slightly back to the index given the new manager profile.
EUR MEZZ/EQUITY CLO
Single A’s trading around 243 dm today.
BBBs are unchanged at 397 dm.
SPAUL 3RX ER traded very wide for a BB, at 713 dm, because of its low MVOC in spite of being past its RPE date.
Single B’s traded around 889 dm.
CGMSE 2017-3X SUB traded wide at 37.7% yield because of its high CCC bucket and high ADR. Its RPE was in 2022.
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16 April 2024
USD CLO Mezz/Equity
$132m of flow all in mezz BBB down to B trades, some softening at BBB whilst US LSTA 100 Index -5bp dod. 23 x BBB trade 332dm - 585dm with benchmarks 344dm-358dm (BBB Index 360dm). 27 x BB trades today 80m notional in a 585dm - 984dm range with few benchmarks given (high) coupon and MVOC profiles are considerably wide/tight to benchmarks whilst there are also a number of post reinvestment non benchmark bonds trade today. 1 x single-B trade MAGNE 2017-19A FR (Blackrock) covers 100.50 at 899dm / 7.1y WAL (EoRP 2026) with +877bps coupon anf MVOC very slightly back 103.96 to benchmarks (105 area), so trads back to our single-B Index 866dm.
EUR AAA CLO
AAAs today at 124 dm.
EUR MEZZ/EQUITY CLO
CORDA 6X CR (A rated) traded at 195 dm.
BBBs traded around 293 dm.
BBs are around 706 dm.
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15 April 2024
USD CLO AAA
$60m of flow, CLO spreads firm and US LSTA 100 Index +9bp dod. 1 x benchmark AAA trade ARES 2022-64A A1 cover 100.2 at 146dm / 4.6y WAL - MVOC 151.7 and EoRP 2027 manager Ares in line with our AAA Index 143dm.
USD CLO Mezz/Equity
Most of the flow is in BB with a trading range of 570dm - 756dm with benchmarks 652dm-671dm (BB Index 657dm). BBB trade 318dm-357dm (BBB Index 352dm) with post reinvestment bonds driving the tight end through index levels.
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12 April 2024
EUR MEZZ/EQUITY CLO
Just one BBB and one BB secondary BWIC trade today. See PriceABS for details but both are in line with current spread levels.
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11 April 2024
USD CLO AAA
$92m of flow today, SubIG spreads softer and US LSTA 100 Index -2bp dod. AAA trade 101dm-147dm with one benchmark AGL 2021-13A A1 CVR 100.18 at 144dm / 4.1y WAL (EoRP 2026, MVOC 157.3, AGL manager and clean metrics). AAA Index 143dm.
USD CLO Mezz/Equity
Most of the flow is in BBB and BB where markets are slightly softer, BBB trade 322dm-441dm with benchmarks 339dm-361dm (BBB Index 352dm). BB bonds trade 701dm-937dm with our BB Index shifting slightly wider to 658dm, there is one rare MM CLO trade to note, a post reinvestment bond LSHR 2019-2X ER CVR 97.77 at 958dm / 7.5y WAL which feels softer than other comps this year.
EUR AAA CLO
AAAs today at 121 dm.
EUR MEZZ/EQUITY CLO
Premium BBBs traded around 511 dm.
BBs are around 694 dm today.
Single B’s around 1000 dm.
SCULE 9X SUB traded better than we expected at 83h / 15.7% yield. It has an ADR of 1.47%.
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9 April 2024
USD CLO AAA
Plenty of liquidity today, $283m changing hands and a firmer tone all round, US LSTA 100 Index +2bp dod and SubIG spreads are firmer on the day. AAA trade 81dm-136dm with negligible benchmarks, AAA Index is 143dm.
USD CLO Mezz/Equity
14 x Single-A trade 220dm-261dm with benchmarks 235dm-238dm near our Index 237dm. BB trade 563dm-921dm across an array of profiles, we have tightened our BB Index to 652dm. Single-B trade 782dm-828dm with benchmarks 825dm-828dm, we shift our single-B Index tighter to 866dm.
EUR MEZZ/EQUITY CLO
AAs traded around 188 dm today.
Single A’s look tighter at around 224 dm today.
BBBs also look tighter today at 320 dm.
BBs traded around +781 today.
Single B’s look softer at around 985 dm.
Four equity clips traded today. Apart from BECLO 3X SUB which traded well at 18% yield the others implied a softening in the equity market with yields more in the 30’s.
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8 April 2024
USD CLO AAA
16 covers and $35m of liquidity today, CLO spreads remain firm but broadly flat. US LSTA 100 Index continues to grind tighter +2bp dod. Only 1 x post reinvestment AAA trade today non benchmark, index unchanged.
USD CLO Mezz/Equity
AA trade 168dm-193dm with benchmarks 192dm-193dm (EoRP 2027) right on our AA Index 192dm. Most of the remaining flow in mezz at BBB with 6 trades all non benchmarks trading range 321dm-479dm (post reinvestment / weak MVOC names) with BBB Index unchanged 348dm.
EUR MEZZ/EQUITY CLO
AVOCA 11X B2R, an original AA upgraded to AAA, traded at 143 dm.
Single A’s traded unchanged at 236 dm.
BBBs traded around 488 dm with the premium price trades implying a high likelihood of call.
BBs look a little softer to us with today’s trades around 776 dm.
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5 April 2024
USD CLO Mezz/Equity
Only 3 trades today, US LSTA 100 Index +9bp with notional trading $13m all IG mezz all non benchmarks with little movement in our index.
EUR AAA CLO
There are a lot of AAA trades. Trading at 134 dm they look marginally tighter on the day.
EUR MEZZ/EQUITY CLO
MDPKE 14X ER (BB) traded at 650 dm which is in line with recent levels.
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4 April 2024
USD CLO AAA
$85m of flow today, slight tightening at AAA, US LSTA 100 Index -2bp dod. AAA trade 139dm-199dm with benchmarks 139dm-142dm with our AAA Index 143dm.
USD CLO Mezz/Equity
Mostly BB and BBB flow, all non benchmarks. BBB trade 318dm-508dm (BBB Index 349dm) and BB trade 727dm-1096dm (BB Index 677dm).
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3 April 2024
USD CLO AAA
$73m of flow across IG and SubIG, CLO spreads flat, US LSTA 100 Index +2bp dod. AAA trade 146dm-149dm with our AAA Index unchanged 144dm.
USD CLO Mezz/Equity
Few benchmarks to note in mezz trading, with BBs trading 698dm-812dm with no benchmark bonds (BB Index unchanged 677dm).
EUR AAA CLO
BOPHO 5X A1 (AAA) traded at 130 dm.
EUR MEZZ/EQUITY CLO
There are a number of BBB trades. The average traded spread is 370 dm which appears a little softer but we think it is explained by the number of bonds trading with low MVOCs.
BBs have traded around 659 dm which is a little firmer.
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2 April 2024
USD CLO AAA
$57m of liquidity today, US LSTA 100 Index +14bp on last CLO trading date. CLO spreads broadly unchanged. AAA trade 111dm-150dm (AAA Index 144dm) with a 2nd pay KKR 32A A2 cover 100.08 at 188dm / 5.1y WAL (EoRP Jan-24).
USD CLO Mezz/Equity
Most of the flow is in BB and B today with few benchmarks trading, BB trade 718dm-910dm (BB Index 677dm) andf single-Bs trade 947dm-1070dm (Single-B Index 939dm) with benchmarks 947dm-969dm