EUR AAA CLO

Secondary AAAs at around +190 today.

USD CLO Mezz/Equity

5 x trades today with little flow, US LSTA 100 Index +21bp dod.  1 x BBB trade, a benchmark CIFC 2020-3A DR CVR 96.61 at 410dm / 7.1y WAL - MVOC 109.4, coupon +310bps and clean metrics from a benchmark manager and in line with our BBB Index 411dm.  BB trade 756dm-795dm with our BB Index 777dm.

EUR AAA CLO

Secondary AAAs look to be wider than new issue pricing. New issues printed at +173 today but the average spread for short AAAs, a lot of them past RPE date, is around 198 dm.

USD CLO AAA

$155m of liquidity today across the capital structure, US LSTA 100 Index +11bp dod and we saw spread compression mainly at BBB.  AAA Index now 171dm, with trading range 158dm-193dm and benchmarks 163dm-187dm.

USD CLO Mezz/Equity

AAs trade 209dm-285dm with benchmarks 225dm-234dm with our AA Index 235dm with post reinvestment bonds straddling either side of the index depending upon specific profile.  Single-As trade 288dm-321dm with our Single-A Index 279dm with all trades post reinvestment.  Similar theme for BBB with trading range 375dm-377dm with bonds post reinvestment (BBB Index 412dm) and the same on BB with trading range 601dm-675dm vs our BB Index 745dm.

EUR AAA CLO

Secondary AAA spreads are unchanged at around 183 dm.

USD CLO AAA

$68m of liquidity today with US LSTA 100 Index -1 bp dod, AAA Index unchanged 171dm.

USD CLO Mezz/Equity

Trades across mezz with notable shifts in BBB and BB, both tighter.  BBB trade 362dm-482dm with our BBB Index now 445dm, BB trade 727dm-822dm with our BB Index shifting to 746dm.

USD CLO Mezz/Equity

$120m of trading today on month end which is quite rare, with US LSTA 100 Index -3bp dod and lower mezz softer.  With this in mind BBBs trade 380dm-718dm with benchmarks 442dm-467dm and our BBB Index now 452dm, OCP 2020-18A DR covers 95.5 at 459dm / 5.5y WAL - EoRP 2024, MVOC in line 109.1, coupon +320bps and metrics clean is a good proxy with a benchmark manager Onex.  BBs trade 730dm-1049dm with our BB Index shifting wider to 771dm.

USD CLO AAA

$102m of AAAs exchanged hands today with little spread movement, US LSTA 100 Index +2bp dod and AAA Index unchanged on the day with a trading range on benchmarks of 166dm-177dm.

USD CLO AAA

$100m of liquidity today, US LSTA 100 Index -8bp dod with AAA Index 171dm, with benchmark AAAs trading 163dm-176dm.

USD CLO Mezz/Equity

AA soften with a trading range 226dm-239dm with our AA Index now 236dm, RRAM 2021-18A A2 covers 97.83 at 239dm / 6.1y WAL - MVOC 129.2, coupon +160bps and clean metrics from a benchmark name.  BBB trade 372dm-471dm with our BBB Index largely unchanged 428dm.

USD CLO AAA

$91m of liquidity today across the capital structure with a little softening at AAA and BBB with US LSTA -8bp dod.  AAAs trade 168dm-201dm with benchmarks 168dm-172dm (AAA Index 172dm) with high coupon / manager tiering driving 2 bonds wider to the index.

USD CLO Mezz/Equity

Good flow in BBB with 17 trades / 40m notional in a 374dm-544dm range with benchmarks 414dm-438dm (BBB Index 427dm) – bonds inside the index are MVOC and high quality manager driven whilst those bonds wide of the index are a combination of factors, at the wide end is WOODS 2021-27A D CVR 92.11 at 544dm / 7.1y WAL – MVOC is in line 109.5, coupon only slightly elevated from benchmarks at +350bps, EoRP is 2026, manager profile (Angelo, Gordon & Co) is at the weaker end and a relatively high cov-lite bucket 12.3 as the only other stand out weakness in credit terms.

USD CLO Mezz/Equity

A trickle of mezz trades today post ABS East, 1 x BBB benchmark trade ARES 2013-2A DR2 CVR 96.23 at 431dm / 6.6y WAL - MVOC in line 109.7, coupon +325bps and clean metrics with Ares a benchmark manager, our BBB Index is unchanged 419dm.  3 x BB trades in a 705dm-916dm range with a range of profiles (post reinvestment, FLAT 2019-1A ER is a benchmark trade cover price 95.84 at 745dm / 5.9y WAL - MVOC is in line with benchmarks 104.9, coupon +610bps and manager is NY Life which is an outperforming manager, our BB Index unchanged at 764dm.

USD CLO AAA

$82m of liquidity today with some softening in CLO spreads, US LSTA -3bp dod.  AAA trade 164dm-185dm with our AAA Index now 170dm.

USD CLO Mezz/Equity

Both AA ad single-A bonds trade off index given post reinvestment profiles / non-benchmarks.  BBB trade 555dm-594dm with our BBB Index 419dm, ticket sizes are 1.5m-3.3m each with coupon profiles on the high side >350bps so trading levels are wide of the index. 

USD CLO AAA

$65m of liquidity today across AAA and BBB/BB bonds, US LSTA 100 Index flat dod and BB spreads soften.  AAA trade 164dm-234dm with benchmarks 164dm-178dm and our AAA Index 169dm, bonds wide of the index are high coupon >180bps and a bond at the widest end of the range BLACK 2019-2A A1A CVR 98.8 at 234dm / 2.3y WAL – MVOC is healthy 154.1, coupon slightly elevated to benchmarks at +143bps but Black Diamond’s manager record is weaker to peers.

USD CLO Mezz/Equity

BB trade 760dm-1571dm with a number of weaker profiles accounting for the wide dispersion, our BB Index shifts to 760dm whilst there is a benchmark trade right on this level today - PLMRS 2021-1A D covers 94.05 at 760dm / 7.2y WAL with MVOC in line 105, coupon +600bps and metrics clean whilst manager is a benchmark name Palmer Square.  The remaining bonds trade wide to the index given MVOC pull towards 100 with associated credit weakeness (ADRs >2%) and MV shortfall for CRMN 2014-1A DR which covers 63.5 at 1571dm / 1.6y WAL – post reinvestment, negative Jnr OC cushion, ADR 1.6% and MVOC 98.8.

USD CLO AAA

$70m of liquidity today, spreads moving sideways and US LSTA +13bp on last CLO trading day.  AAA Index shifts to 168dm with a rare MM CLO trading at 207dm, MCMML 2021-2A A1 covers 98.5 at 207dm / 2y WAL.

USD CLO Mezz/Equity

1 x MM CLO AA tardes, BXCMM 2021-1A B CVR 96.5 at 279dm / 5.3y WAL (Blackstone), at single-A the trading range is 380dm-382dm which is wider to the Single-A Index 280dm given the lower MVOC / higher coupon profiles.  BBB trade 455dm-709dm wide of the BBB Index 389dm given the vast majority of trades are high coupon profiles >400bps coupon.  1 x benchmark trades at the BB level in line with our BB Index 744dm, NEUB 2021-44A E covers 93.41 at 741dm / 7.9y WAL – MVOC is in line 105.1 and coupon is in line with peers +600bps and metrics are clean (Neuberger is a benchmark manager).

USD CLO AAA

$61m of bonds traded today with BBB slightly softer on the day and US LSTA 100 Index +8bp dod.  AAA Index unchanged 165dm.

USD CLO Mezz/Equity

BBB trade 393dm-656dm (BBB Index now 388dm) with BABSN 2019-3A DR at the tight end and a benchmark, cover price is 95.56 at 393dm / 5.3y WAL (EoRP 2024) - MVOC in line 109.8, coupon +280bps and only weak metric is ADR which is elevated at 1%.  Away from this, bonds with high coupon (>400bps) drive those wide of the index, whilst atthe wide end is VENTR 2019-37A D CVR 89.4 at 656dm / 5.2y WAL - MVOC is low 106.8, coupon is high +390bps, manager MJX has a weaker profile, Jnr OC cushion is 2% and ADR >2%.

USD CLO Mezz/Equity

$45M of liquidity today in mezz with spreads stable, US LSTA 100 Index +13bp dod.  AA trade 205dm-240dm (AA Index 218dm) with one benchmark trade MDPK 2019-37A BR CVR 214dm / 3.8y WAL – MVOC 129.7 which is strong and clean metrics from a benchmark manager CSAM.  BB trade 800dm-860dm wide of our BB Index 744dm given weaker MVOC profiles (<105) in 102-103% context.  1 x BBB trade VENTR 2013-14A DR CVR 95.2 at 519dm / 2.9y WAL – MVOC is low 107.2 (benchmark 110), post-reinv and Jnr OC cushion is negative -5.4 and very high ADR 2.9%.

USD CLO Mezz/Equity

Only $23m of activity today with single-A spreads softer and US LSTA 100 Index once again lower on the day -3bp dod.  Single-As trade 262dm-336dm with the majority post reinvestment (Single-A Index 280dm).  BBBs trade wide of the index 523dm-549dm given high coupon / weaker MVOC profiles for the main part, At the tight end is OCTR 2020-8A DR (Five Arrows) which has a good MVOC 110.99 but elevated coupon +375bps and a weaker manager profile so trades wide to the BBB Index 377dm.

USD CLO AAA

Only $16m of trading today with spreads softer on mezz and US LSTA 100 Index -13bp dod.  AAA Index unchanged 165dm.

USD CLO Mezz/Equity

1 x BBB trade OZLM 2016-15A CR CVR 91.52 at 522dm / 6.1y WAL - MVOC below benchmark at 109.8, weak Jnr OC cushion 1.4, elevated ADR 1.1 and weaker manager profile (Sculptor) as this trades wide to the BBB Index 377dm.  BB trades are distressed with a trading range 1416dm-1608dm given MVOCs are cuspy near 100, Jnr OC cushions are also cuspy near 0 (BB Index 744dm).

USD CLO AAA

$78m of liquidity today with CLO spreads softer and US LSTA 100 Index -22bp on last CLO trading day.  We shift our AAA Index wider t 165dm.

USD CLO Mezz/Equity

BBB bonds trade 359dm-507dm with benchmarks 359dm-387dm (BBB Index 373dm) with a cliff edge on bonds with MVOC < 109 trading well into 4-handle dm context, eg. RCTTE 2015-1A DRR CVR 94.5 at 441dm / 7y WAL (MVOC 107.6) despite the benchmark manager theme (Invesco).  BB trade 828dm-1191dm (BB Index 741dm) with all BB trades now single-B rated with cuspy MVOC.

USD CLO Mezz/Equity

Only $39m of liquidity today, CLO spreads unchanged whilst US LSTA 100 Index softens again -11bp dod.  5 x AA trades today in a 202dm-225dm range circled around our AA Index 214dm with very little in terms of benchmark profile given short wal / post reinvestment bonds for the main part.

USD CLO AAA

$136m of paper exchanged hands today with spreads flat on the day whilst US LSTA 100 Index continues to soften -8bp dod.  AAA Index unchanged 158dm.

USD CLO Mezz/Equity

BBB trade 437dm-548dm wide to the BBB Index 360dm given MVOCs on these bond profiles well below benchmark 110, all <107.5.  BB trade 658dm-777dm with BB Index 727dm, whilst at the tight end of this range driven by strong MVOC profiles (>105 benchmark) and high coupon bonds accounting for the wide end and all high quality bonds that trade either side of the index.

USD CLO AAA

$89m of liquidity today, majority mezz with US LSTA 100 Index -4bp dod.  AAA index unchanged 158dm.

USD CLO Mezz/Equity

At the single-A level there is a rare MM CLO FCO 2018-11X C CVR 97.07 at 359dm / 3.4y WAL – bond is post reinvestment and compares to our BSL Single-A Index 272dm.  BBB trade 397dm-723dm (BBB Index 360dm) with no benchmarks given the profiles that trade today all have very weak MVOCs (<110) and post reinvestment for the large majority, 1 x MM CLO MCMML 2017-1X D CVR 96.79 at 526dm / 4.3y WAL post reinvestment (BBB Index 360dm).  BB trade 715dm-1015dm with benchmarks trading 715dm-745dm (BB Index 726dm) as MVOC drives those bonds wide of the index.

USD CLO AAA

$84m of bonds exchanged hands today, small adjustments in mezz Indices but largely unchanged, US LSTA also starting to plateau +1bp dod.  AAA Index unchanged 158dm.

USD CLO Mezz/Equity

AA trade 196dm-243dm (AA Index 214dm) with one benchmark trade BSP 2019-19A B CVR 99.71 at 215dm / 4.4y WAL - MVOC in line 127.9, coupon +200bps and clean metrics .  Single-As trade 227dm-295dm with the Index unchanged 272dm.  BBB trade 320dm-569dm (BBB Index 356dm) with one benchmark CIFC 2020-3A DR CVR 97.86 at 357dm / 7.4y WAL - MVOC 109.95, coupon +310bps, benchmark manager CIFC with clean metrics.  BB trade 831dm-1090dm with BB Index unchanged 726dm with no benchmark bonds trading today given the low-MVOC profiles that trade.  2 x single-Bs trade 1207dm-1387dm which are wide of our index 1152dm given low MVOC profiles (100-101).