Market Commentaries



Eur/GBP

USD  

 

Feedback on Commentaries and Analysis is welcome
Sheil Aggarwal


select * from bbg_commentary where 1=1 order by date desc
  • 18 December 2023

    USD CLO AAA

    $277m of flow today across the stack, spreads tighter and US LSTA 100 Index +12bp dod.  AAA trade 135dm-161dm with benchmarks 149dm-150dm and our AAA Index now 152dm.

    USD CLO Mezz/Equity

    AA trade 179dm-213dm with benchmarks 205dm-213dm centred around our AA Index 210dm.  BBB trade 372dm-698dm with all profiles either post reinvestment / high coupon / weak manager and wide of our BBB Index 362dm.  BB trade 726dm-909dm with 1 x benchmark trade OCP 2015-9A ER CVR 98.38 at 726dm / 5.6y WAL – MVOC 105.2, coupon +680bps with our BB Index 739dm.


  • 13 December 2023

    EUR MEZZ/EQUITY CLO

    Realtively low liquidity today and spreads are holding steady. AAAs traded at +169, AAs at +249, BBB at +412 and BB at +877.

    ARESE 11X SUB equity traded at 61.07 / 22.46%.


  • 11 December 2023

    USD CLO AAA

    $29m of trading today - AAA, BB and Equity, spreads flat dod and US LSTA 100 Index +13bp dod.  1st pay AAA trade 140dm-167dm and 2nd pays 172dm-199dm.  AAA 1st pay Index 159dm.

    USD CLO Mezz/Equity

    BB trade 711dm-840dm, with all profiles with weaker MVOCs 103-104area with benchmarks 105area (BB Index 751dm).


  • 8 December 2023

    USD CLO AAA

    $84m of liquidity today, CLO spreads flat and US LSTA 100 Index +7bp dod.  AAA trade 143dm-149dm with mostly post reinvestment profiles and AAA Index unchanged 159dm.

    USD CLO Mezz/Equity

    Single-A trade 241dm-345dm (Single-A Index 280dm) with a post reinvestment and high coupon bond trading either side of the index.  BBB trade 348dm-410dm with all profiles post reinvestment and BBB Index unchanged 367dm.  Same story on BBs with trading range 747dm-773dm with pos reinvestment profiles (BB Index 751dm).


  • 7 December 2023

    USD CLO AAA

    $300m of flow today with CLO spreads tighter and US LSTA 100 Index +8bp dod.  Almost $200m of this flow was AAA with a trading range 142dm-238dm with benchmarks 154dm-169dm (AAA Index 159dm), 1 x MM CLO AAA LSHR 2019-2A A1R CVR 99.7 at 203dm (post reinv).

    USD CLO Mezz/Equity

    AA trade 181dm-253dm with one benchmark trading near our AA Index (213dm) OCP 2021-22A B1 CVR 99.49 at 214dm / 6.2y WAL - EoRP 2027, MVOC in line 127.3 and coupon +170bps with clean metrics.  BBB trade 346dm-374dm (BBB Index 367dm), BB trade in a wide dispersion 658dm-1361dm (BB Index 751dm) with bonds inside the index post reinvestment and those wide of the index MVOC influenced with a MV shortfall on ICG 2014-2X ERR 99.54 at 1361dm.

    EUR MEZZ/EQUITY CLO

    In single A’s OZLME 3X C traded at 291 dm which is quite tight for a Sculptor managed deal. SPAUL 4X BRRR traded at 333 dm.

    BBBs are steady at around 434 dm in secondary.

    In BBs RPARK 1X ER traded at 518 dm. It is a short 3yr WAL from a deal in amortisation. The 7.5yr CIFCE 4X E traded at 738 dm.

    Single B’s traded around 1188 dm.


  • 6 December 2023

    USD CLO AAA

    $104m of liquidity across high grade with US LSTA 100 Index +16bp dod.  AAA Index unchanged 162dm with a trading range 148dm-172dm.

    USD CLO Mezz/Equity

    4 x AA Post reinvestment trade 198dm-220dm with our AA Index slightly tighter at 216dm.

    EUR MEZZ/EQUITY CLO

    BBBs traded today and they look tighter to us, at around 461 dm. This is a tightening of around 20-30 bps on our BBB curve.


  • 4 December 2023

    EUR AAA CLO

    AAAs are steady at 172 dm.

    EUR MEZZ/EQUITY CLO

    AAs have traded around 265 dm.


  • 1 December 2023

    USD CLO AAA

    $100m of flow today, spreads flat and US LSTA 100 Index +3bp dod.  Benchmark AAA trade 160dm-163dm with our AAA Index unchanged 162dm.

    USD CLO Mezz/Equity

    AA trade 192dm-216dm with our AA Index 221dm, trades are all post reinvestment.  1 x single-A and 1 x BBB trade both high coupon bonds wide of the index, there are 5 x BB trades 707dm-998dm all non-benchmarks (BB Index 762dm).


  • 30 November 2023

    USD CLO AAA

    Significant flows for month end $174m of liquidity across senior and mezz, spreads flat dod and US LSTA 100 Index +3bp dod.  AAA trade 139dm-152dm inside our AAA Index 162dm given high profile benchmarks with strong MVOCs / short wals.

    USD CLO Mezz/Equity

    AA trade 223dm-242dm (AA Index 221dm), BBB trade 378dm-567dm (BBB Index 369dm) with profiles all post reinvestment with those bonds wide of the index with very low MVOCs (103-106) vs benchmark (109.5).  BB trade 713dm-1533dm with no benchmarks trading (BB Index unchanged 762dm).

    EUR AAA CLO

    AAAs look wider to us today. A lot have traded and the average spread is 185 dm. This could be as much as 15 bps wider but that could be a reflection of the particular types of bonds that have traded.

    EUR MEZZ/EQUITY CLO

    MDPKE 14X DR (BBB) traded at 474 dm.

    BBs have traded around 787 dm.

    BCCE 2020-1X F (B) traded at 1100 dm.

    A number of equity have traded via BWIC. The average yield is around 20%.


  • 29 November 2023

    USD CLO AAA

    $72m of flow today with some tightening across specific mezz rating bands, US LSTA 100 Index +6bp dod, AAA Index remains 162dm with just one AAA trade which is post reinvestment.

    USD CLO Mezz/Equity

    AA trade 211dm-227dm which is a tightening theme, AA Index 221dm with the tight end OAKC 2015-11A BR CVR 99.63 at 211dm / 3.4y WAL - MVOC 127 and clean metrics.  BBB trade 361dm-443dm with one benchmark trade APID 2019-31A DR CVR 98.52 at 379dm / 5.2y WAL - CVC the manager, MVOC 109.4 and coupon +310bps EoRP 2024, BBB Index 369dm.  BB trade 716dm-1202dm with our BB Index unchanged 762dm with non benchmark profile trades observed today.

    EUR MEZZ/EQUITY CLO

    AAs unchanged at 259 dm partly because of high margin TIKEH 9X B at 310 dm.

    Single A’s a few bps tighter at 371 dm.


  • 28 November 2023

    EUR AAA CLO

    AAAs are steady at 166 dm in secondary.

    EUR MEZZ/EQUITY CLO

    AAs also unchanged at 241 dm.

    BBs look to have rallied strongly and traded at around 673 dm.


  • 27 November 2023

    EUR MEZZ/EQUITY CLO

    Only 2 X single A trades today. Both showing the market to have widened a little, trading at around 344 dm.


  • 22 November 2023

    EUR MEZZ/EQUITY CLO

    As we approach Thanksgiving the EUR markets are quiet and rangebound. Secondary AAAs around +170, BBAME 2X E (BB) at +792 and CORDA 7X FR (B) at +1038.


  • 21 November 2023

    EUR MEZZ/EQUITY CLO

    DRYD 2017-27X B1RE, AA rated, traded at 276 dm.

    Single A’s have traded around 303 dm.

    BBs are around 806 dm.

    Single B’s look a little softer. CGMSE 2016-1X E traded wider than expected at 1413 dm. It does have a low MVOC even though it has passed its RPE date but still we think the single B sector is wider overall.


  • 20 November 2023

    USD CLO Mezz/Equity

    Only a few trades today with no change in spreads, $5m of low mezz trading and US LSTA 100 Index muted +1bp dod.  BBB trade 378dm-419dm (BBB Index 408dm) and BB trade 656dm-946dm (BB Index unchanged 762dm) with all the bonds post reinvestment.


  • 17 November 2023

    USD CLO AAA

    $56m of liquidity today, BB spreads touch wider and US LSTA 100 Index +6bp dod.  AAAs are MM CLOs with a trading range 214dm-251dm.

    USD CLO Mezz/Equity

    1 x AA bond which is a MM CLO GOCAP 2018-36A B CVR 98.66 at 253dm / 2.8y WAL - post reinvestment short wal.  BBBs trade 350dm-380dm with low coupon / strong profiles trading lower than our BBB Index 408dm.  BB trade in a very wide dispersion 682dm-1050dm with benchmarks 771dm-780dm with our BB Index now 762dm. Bonds inside the index are MVOC / low coupon driven and those wide of the index are the inverse typically today.  MDPK 2021-59A E is a benchmark trade CVR 96.79 at 771dm / 6y WAL - EoRP 2024, MVOC 104.4, coupon +660bps and clean metrics from a benchmark manager CSAM.


  • 16 November 2023

    EUR AAA CLO

    Only one AAA cvr, GRANH 2019-1X A traded at 184 dm.

    EUR MEZZ/EQUITY CLO

    The only AA, BABSE 2015-1X B1RR, traded at 280 dm which looks a bit softer.

    A raft of single A’s have traded with an average spread of 345 dm.

    BBBs have traded around 476 dm.

    4 x BBs traded, at tight levels of around 647 dm, but they have all passed their RPE dates.

    ARBR 2014-2X SUB equity covered at 61.89 / 20.73%. It has an NAV of 21 and a high CCC bucket of 5.55%.


  • 9 November 2023

    USD CLO Mezz/Equity

    $63m of liquidity with US LSTA 100 Index +9bp dod with little impact on spreads, BBB trade 386dm-764dm with no benchmarks (BBB Index 410dm).  BB trade 680dm-801dm (BB Index 757dm) with 2 trades, one of which is post reinvestment and the other high coupon so little in terms of benchmark flow.

    EUR AAA CLO

    Secondary AAAs have tightened to be closer in line with primary spreads. Today’s trades are at around +175.

    EUR MEZZ/EQUITY CLO

    AAs are around 259 dm today.

    Single A’s are around 339 dm.

    BBBs have traded around +500, apart from HARVT 14X DR which has been upgraded due to delevering and traded at 250 dm.

    ARMDA 4X SUB equity traded at 46.87 / 18.25% and has an NAV of 24.68.


  • 8 November 2023

    USD CLO AAA

    $120m of debt trade today with US LSTA 100 Index +3bp dod and mild softening across some mezz tranches.  AAA trade 163dm-216dm with our AAA Index unchanged at 172dm, the wide end today is scaled by a high coupon bond +215bps.

    USD CLO Mezz/Equity

    AA trade 223dm-272dm with benchmarks 223dm-236dm and our AA Index 242dm.  Plenty of flow in single-As ($41m) with a mix of profiles in a trading range 270dm-371dm and we widen our single-A Index to 299dm.  BBB trade 354dm-503dm (BBB Index 410dm) and BB trade 588dm-828dm (BB Index 759dm) with one key benchmark RRAM 2020-8A D CVR 95.56 at 778dm / 6.3y WAL - EoRP 2025,coupon +640bps and MVOC 104.9 from a benchmark manager Redding Ridge.

    EUR AAA CLO

    Secondary AAAs steady at around +185 today.

    EUR MEZZ/EQUITY CLO

    In AAs JUBIL 2016-17X B1RR traded at 264 dm. AVOCA 11X B2R traded at 181 dm but that is because it is amortising.

    BBBs are around 512 dm.

    In BBs PALMP 1X D, a static deal, traded particularly tight at around 598 dm. The other two BBs were around 800 dm.

    Both single Bs have traded around 1075 dm.


  • 7 November 2023

    USD CLO AAA

    $110m of liquidity today across the capital structure with some spread compression in lower mezz, US LSTA 100 Index +36bp on Friday close.  AAA trade 169dm-190dm with our AAA Index 172dm.

    USD CLO Mezz/Equity

    Majority of flow was in BBB and BB today with BBB trading range 392dm-740dm with benchmarks 402dm-421dm (our BBB Index 410dm) - post reinvestment bonds skewed bonds tight to the index and MVOC push away from benchmarks in 109-110% context explained the wide end of the range.  MDPK 2014-14A DRR is a benchmark trade with cover 97.1 at 411dm / 4.2y WAL - MVOC 110, coupon +295bps and good manager profile, Jnr OC cushion is a little on the weak side 1.7.  BB trade 686dm-920dm with our BB Index 752dm.

    EUR AAA CLO

    Secondary AAAs steady at around +188 today.

    EUR MEZZ/EQUITY CLO

    AAs are around 270 dm.

    Single A’s at 349 dm.

    BBBs around 517 dm.


  • 6 November 2023

    EUR AAA CLO

    Secondary AAAs at around +190 today.

    EUR MEZZ/EQUITY CLO

    BBs around 808 dm.