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
  • 22 August 2023

    USD CLO Mezz/Equity

    $88m of liquidity today in mezz only, lower mezz spreads tighter and US LSTA 100 Index +8bp dod.  AA and single-A remain flat dod with a rare single-A MM CLO trade GSHOR 2022-1A C CVR 100.16 at 462dm / 3.5y WAL with a high coupon +462bps.  BBB trade 324dm-656dm with our BBB Index tightening to 379dm as benchmark trades/stats firm, MVOC scales those bonds wide of the index, eg. At the wide end is VENTR 2018-34A D CVR 88.78 at 656dm / 4.2y WAL with low MVOC 105.3 vs 109 benchmark.  BB also tighten with trading today 708dm-1110dm our BB Index tightens to 733dm, one prime benchmark trade is RRAM 2020-8A D CVR 96.81 at 718dm / 6.5y WAL – EoRP 2025, coupon +640bps and MVOC in line 104.6.

    EUR AAA CLO

    AAAs are range bound with today’s trades around 171 dm.

    EUR MEZZ/EQUITY CLO

    BBs are unchanged at around 754 dm.

    Single Bs are around 1064 dm.


  • 21 August 2023

    USD CLO AAA

    $35m of liquidity today with little change in CLO spreads, US LSTA 100 Index +8bp dod.  AAA Index unchanged 161dm.

    USD CLO Mezz/Equity

    1 x rare AA MM CLO trades 95 cover at 332dm / 5y WAL which is on the wider end of comps (EoRP 2025 and benchmark profile).  Single-A trade 251dm-315dm with our Single- Index unchanged 291dm, at the tight end is a low coupon profile bond from a benchmark manager HARB 2018-1A C CVR 98.72 at 251dm / 4.5y WAL (EoRP 2024) with clean metrics.  BBB trade 307dm - 372dm with our BBB Index wider at 397dm with a number of factors driving bonds inside the index (manager profile, strong MVOC, low coupon etc) with the index unchanged.  BB trade 676dm-863dm (BB Index 768dm) with low coupon bonds dominating the tighter end and low MVOC driving one bond wider to the index REG14 2018-3A E CVR 89.37 at 863dm / 5.6y WAL - MVOC 102.4 and close to end of reinvestment / Napier Park managed.

    EUR AAA CLO

    Just one trade today. GLME 3X AR traded unusually wide at 201 dm.


  • 18 August 2023

    EUR AAA CLO

    AAAs traded around 181 dm. HAYEM 8X A1 was cheaper than expected at 189 dm / 96.15.

    EUR MEZZ/EQUITY CLO

    Single A’s traded around 339 dm. While some trades held up well, some also were definitely softer than expected eg NWEST V-A CR which traded at 361 dm / 93.25.

    A couple of BBB trades were around 501 dm, unchanged to a little softer. CRNCL 2021-13A D traded at 91.32 / 521 dm whereas it traded at 92.50 on 27 July.

    BECLO 5X E, BB rated, traded at 698 dm.


  • 17 August 2023

    USD CLO AAA

    $124m of trading today, spreads broadly stable and US LSTA 100 Index also flat on the day, AAA Index is 161dm.

    USD CLO Mezz/Equity

    AA trade 197dm - 241dm, AA Index 205dm.  Single-A trade 233dm-253dm which is tight to the Index level 291dm given coupon structures are < 200bps.  BBB trade in a wide dispersion 321dm-732dm with a number of factors at play here impacting the basis around the BB Index 397dm (manager profile, MVOC, coupon, etc).  BB trade 783dm-1145dm (BB Index 772dm) so the majority of trades are wide of the index with MVOC and high coupon bond profiles dominate the bond profiles that traded.

    EUR MEZZ/EQUITY CLO

    The only BBB trade, CGMSE 2020-1X C, has a bottom quartile MVOC and as such it traded wide at 570 dm.

    In BBs a lot of high margin bonds traded which widened the traded spreads to around 825 dm.

    The only single B trade, DRYD 2017-27X FR, also has a low MVOC and traded very wide versus generic single B’s at 1427 dm.


  • 16 August 2023

    USD CLO AAA

    $130m of trading, CLO spreads flat dod, US LSTA 100 Index +5bp dod.  AAA unchanged 157dm.

    USD CLO Mezz/Equity

    AA trade 193dm-213dm, one benchmark bond TICP 2018-12A BR CVR 98.57 at 202dm / 6y WAL - MVOC 125.1, clean metrics from a good manager Sixth Street (AA Index 202dm).  BB trade 726dm-1320dm, with no benchmarks and our BB Index unchanged 773dm.with a number of cuspy bonds at this rating level close to or below par.  LCM 22A DR covers at 73.4 at 1320dm / 4.9y WAL - MV shortfall (99.7) and cuspy Jnr OC cushion 0.94.

    EUR MEZZ/EQUITY CLO

    Single A’s have traded around 350 dm. This looks about 5 -10 bps softer to us.

    BBBs also look to have eased a little, to 503 dm, on average, in secondary.

    BBs have traded in a wide range, from 740 dm to 980 dm. The wide of the range is CRNCL 2014-4X ERRR which has a low MVOC of 101.70% in spite of the fact the deal is delevering. The average spread of the other trades is about 780 dm which we think is a largely unchanged level.

    The only single B trade, HNLY 6X F, traded at 1058 dm.


  • 15 August 2023

    USD CLO Mezz/Equity

    Just shy of $130m of trading today across the capital structure, with spreads tighter at mezz.  AA trade 192dm-225dm with our AA Index tighter at 205dm, with coupon structure driving some bonds inside the index and benchmarks trade 201dm-208dm.  BBB trade 287dm-501dm (BBB Index tighter 397dm) with two benchmark trades 369dm-387dm but scaled inside the index given post reinvestment / short wal profiles.  BB trade in a very wide dispersion 438dm-1017dm with benchmarks 722dm-779dm (BB Index 773dm) with manager profiles driving some bonds inside the index whilst high coupon structures drive those bonds that trade wide of the index today as high as 1017dm (coupon +836bps).

    EUR AAA CLO

    A couple of AAAs today. BNPAM 2018-1X AR traded quite cheap at 207 dm given it is around 1yr out of its Reinvestment Period end date and is only 1.9yr WAL. SCULE 6X AR traded at 175 dm.

    EUR MEZZ/EQUITY CLO

    CGMSE 2022-3X D, a BB, traded at 880 dm / 96.76. It traded on 21 June at 94.55.


  • 14 August 2023

    USD CLO AAA

    $43.5m across the stack, US LSTA 100 Index +5bp dod, AAA Index now 157dm.

    USD CLO Mezz/Equity

    1 x benchmark single-A HLM 13A-18 C CVR 98.14 at 274dm / 4y WAL - 115.4 MVOC, EoRP Oct-23 and benchmark manager HPS versus our single-A Index 291dm.  BBB trade 309dm-496dm with our BBB Index now 401dm, 1 x benchmark trade OAKCL 2021-1A D CVR 96.36 at 402dm / 7.3y WAL - strong MVOC 110.4, benchmark manager OakTree and clean metrics with a coupon of +325bps. 

     

    EUR AAA CLO

    Only a small handful of trades today. AAAs traded around 172 dm.

    EUR MEZZ/EQUITY CLO

    The only AA trade, BOPHO 8X B, traded at 302 dm.


  • 11 August 2023

    USD CLO AAA

    $51m of liquidity today, CLO seniors unchanged whilst higher mezz tighter, US LSTA 100 Index +7dod.  AAA Index unchanged 158dm.

    USD CLO Mezz/Equity

    AA trade 192dm-220dm (AA Index 211dm) with a characteristic tight Blackrock bond propping up the tight end MAGNE 2019-22A BR CVR 99.21 at 192dm / 3.7y WAL (EoRP 2024) – MVOC strong 127.05 and very clean metrics, wide of the index are 2 very short bonds which are through reinvestment or soon to be.  1 x single-A trade CGMS 2019-4A BR CVR 96.88 at 281dm / 7y WAL inside the single-A Index 296dm given the strong profile (Carlyle managed, MVOC 116, Jnr OC cushion 5% and ADR 0.39).  BBB trade 385dm-463dm with our BBB Index tightening slightly to 404dm, inside the index is an Invesco bond VERDE 2019-1A DR EoRP 2024) CVR 97.7 at 385dm / 5.2y WAL driven by strong manager profile and a short dated PGIM bond which is post-reinvestment trades 387dm / 4.8y WAL (CVR 95.61), wide of the index is an Ares bond ARES 2014-32RA C CVR 93.55 at 463dm / 4.5y WAL – weak MVOC 105.7 and cuspy Jnr OC cushion 0.35 and elevated ADR 1.1.  At BB, one trade TSYMP 2016-1A ER2 CVR 87.89 at 973dm / 5.6y WAL (EoRP Nov-23) – weak MVOC 101.4, low Jnr OC cushion 2.6.


  • 10 August 2023

    USD CLO AAA

    $58m of liquidity today with some tightening in mezz, US LSTA 100 Index +12bp dod.  AAA index now stable around 158dm.

    USD CLO Mezz/Equity

    Single-As trade 259dm-373dm (Single-A Index 298dm) with bonds trading either side of the index given post-reinvestment / low MVOC profiles.  BBB trade 319dm-409dm with our BBB Index tightening to 406dm, bonds inside index are post reinvestment / short wal and higher MVOC (>110) profiles.  BB trade 680dm-810dm with our BB Index tightening to 801dm as the market shifts tighter and MVOCs shift higher.

    EUR AAA CLO

    AAAs have possibly traded a little softer today, by around 3 – 4 bps, at an average of 168 dm.


  • 9 August 2023

    USD CLO AAA

    $75m of liquidity today, spreads stable overall with US LSTA 100 Index +4bp dod.  AAA Index unchanged 156dm.

    USD CLO Mezz/Equity

    BBB trade 336dm-488dm (BBB Index slightly tighter 418dm) with one notable benchmark trade BCC 2019-4A DR CVR 97.15 at 422dm / 7.3y WAL – MVOC 109.1 / coupon +363bps and benchmark manager Bain.  BB trade in a very wide dispersion 497dm-1048dm (BB Index 823dm) with a number of profiles, with MVOC key differentiator either side of the index along with post-reinvestment bond profiles.

    EUR AAA CLO

    AAAs are still trading around 163 dm.

    EUR MEZZ/EQUITY CLO

    In BBs CORDA 23X E, a clean 8yr traded at 765 dm and HOLPK 1X DRR, a 6yr with a low MVOC, traded at 854 dm.


  • 8 August 2023

    USD CLO AAA

    $102m of liquidity across the stack, spreads stable and US LSTA 100 Index +3bp dod.  AAA trade 155dm-168dm with our AAA Index 155dm.

    USD CLO Mezz/Equity

    AA trade 214dm-231dm (AA Index 223dm) whilst single-As trade 304dm-458dm (Single-A Index 298dm) with low-MVOC profile bonds driving the wide end of this range off index.  BB trade 722dm-1309dm with no benchmarks (BB Index 823dm) with post reinvestment / high profile manager (CIFC/Blackstone) shorter wal bonds driving levels inside the index, whilst lower MVOC profils (<102) driving bonds well wide of the index level.

    EUR MEZZ/EQUITY CLO

    A handful of BBBs have traded. The average spread in secondary is 461 dm, which is unchanged, although Bridgepoint V priced a little tighter in primary at +500.


  • 7 August 2023

    USD CLO AAA

    $52m of trading today, with senior spreads stable and lower mezz spreads slightly tighter, US LSTA 100 Index +10bp on Friday close.  Our AAA Index remains rooted at 153dm.

    USD CLO Mezz/Equity

    4 x high coupon BBB trades 495dm-537dm range (BBB Index 423dm) with coupons +490-550bps given the majority of these trades are EoRP 2028 so more recent vintage.  BB trade 771dm-859dm (BB Index 823dm) with APID 2022-40A E at the tight end (CVC) - CVR 100.28 at 771dm / 8.8y WAL, coupon is at the higher end +769bps and MVOC is strong 106.7 (vs benchmarks 104.5) so this trades inside the index given the very strong MVOC.  VERDE 2019-1A ER trades back to the index (CVR 92.06 at 859dm / 5y WAL) with MVOC low 102.6 despite the benchmark manager Invesco (EoRP 2024) and elevated ADR of 1%.

    EUR MEZZ/EQUITY CLO

    A handful of BBs have traded. They have relatively high margins and have traded close to par. Their average spread is 792 dm.


  • 3 August 2023

    EUR AAA CLO

    AAAs are unchanged at around 163 dm in secondary, for short average lives between 1 and 3 years.

    EUR MEZZ/EQUITY CLO

    In AAs we see 2 premium price trades. Both got issued in the last year and have high margins which leads to their high traded spreads of around 376 dm.

    Single A’s are steady also at around 321 dm today.

    After seeing BBBs tighten over the past few days we see a modest reversal today with 10 – 20 bps of widening.


  • 2 August 2023

    EUR MEZZ/EQUITY CLO

    Single A’s are steady at around 319 dm.

    BBBs are at 447 dm.

    BB rated HNLY 5X E traded at 739 dm.


  • 1 August 2023

    EUR MEZZ/EQUITY CLO

    AAs have traded around 240 dm. BOPHO 6X B1 traded a bit wider, at 266 dm, because of its low MVOC.

    3 x BBBs have traded considerably tighter than the dealers expected or our models predicted. These trades indicate BBBs to have tightened by 20 – 30 bps since the last session.

    BBs similarly have tightened and traded at around 765 dm today.

    Single B’s have traded around 1155 dm, largely as expected.


  • 31 July 2023

    EUR AAA CLO

    DRYD 2016-48X A1R traded at 183 dm.

    EUR MEZZ/EQUITY CLO

    BBBs have tightened by around 20 bps, trading around 450 dm.


  • 28 July 2023

    EUR AAA CLO

    AAA spreads are steady with a handful of trades at around 168 dm.


  • 27 July 2023

    USD CLO AAA

    CLO Spreads unchanged, US LSTA 100 Index +1bp dod and close to $100m of liquidity.  AAA trade 127dm-290dm with virtually all non-benchmark trades (AAA Index 153dm) with the vast majority post reinvestment bonds.

    USD CLO Mezz/Equity

    2 x rare AA MM CLOs trade 348dm-352dm.  BBB trade 396dm-510dm with non-benchmark profiles (low MVOC, high coupon) and BBB Index unchanged 423dm.  BB bonds are non benchmarks with high coupon profiles and trading range 856dm-857dm (coupons +850-875bps).

    EUR AAA CLO

    Just the one AAA trade. It’s one year past its RPE date and traded at 162 dm for 1.6 yr WAL. In primary Harvest XXX priced at +175.

    EUR MEZZ/EQUITY CLO

    CGMSE 2014-1X B1R, a AA, traded a little wider than expected at 261 dm.

    There are a lot of BBB trades. The average spread is 470 dm which is around 15 – 20 bps tighter. Harvest XXX priced at +520 which is also tighter than recent new issues.

    The BB bond, BNPAM 2018-1X E, traded wider than expected at 918 dm. The deal is past reinvestment and the BB is only 5.5yrs long. This compares with Harvest XXX which printed at 820 dm. We are not convinced, based on this one trade, that BBs have widened and think this situation could be specific to the BNP bond.


  • 26 July 2023

    USD CLO Mezz/Equity

    $20m of liquidity today, US LSTA 100 Index -1bp dod and CLO spreads flat.  Single-A trades are non-benchmarks in reinvestment with low MVOC profiles 115 or less (vs benchmark 117) with a trading range 322dm-327dm (Single-A Index 298dm).

    EUR MEZZ/EQUITY CLO

    Cairn XVII AAs priced at +275. Secondary AAs traded around 227 dm.

    Cairn single A’s priced at +360, secondary is around 339 dm.

    For BBBs new issue is at +530 and secondary around 493 dm.


  • 25 July 2023

    USD CLO AAA

    $132m of liquidity today with spread tightening at AAA evident with $110m of trading, US LSTA 100 Index +11bp since Friday cob.  AAA trade 132dm-172dm for BSL 1st pay AAAs (AAA Index 153dm) with benchmarks 135dm-146dm which is a tighter shift, 1 x MM CLO GOCAP 2014-21X AR covers 99.5 at 187dm / 0.5y WAL – short wal / post reinvestment bond.

    USD CLO Mezz/Equity

    In terms of mezz, very spotty trading with 1 or 2 trades per rating band with few benchmarks and levels generally flat on the day.

    EUR AAA CLO

    AAAs remain steady, trading today around 174 dm.

    EUR MEZZ/EQUITY CLO

    AAs have traded around 234 dm which continues their tightening trend.

    Single A’s also continue to tighten and traded around 303 dm for regular single A’s. HARVT 14X CR which is an orig single A, rated AAA now and highly delevered traded at 164 dm.

    BBBs have traded around 546 dm.

    BBs traded unchanged at around 807 dm.

    The only single B trade, SPAUL 5X FR, traded surprisingly cheap. Dealer talk and our valuation is in the L80s but it traded at 79.49 which is 1249 dm.


  • 21 July 2023

    USD CLO Mezz/Equity

    $8m of trading across 3 x mezz trades, all non-benchmark with CLO spreads unchanged, US LSTA 100 Index +2bp dod.  AA trade 231dm-305dm (AA Index 223dm) with both trades post reinvestment and weaker credit/MV profiles, with OZLM 2014-6A A2AS CVR 98.78 at 231dm / 2.8y WAL (EoRP April-23) with a resonable MVOC 126.9 but manager profile (Sculptor) is on the weaker side, ADR 1.1 and Jnr OC Cushion is -0.06.  1 x BBB trade ALLEG 2016-1X DR CVR 97.69 at 434dm / 6.3y WAL (BBB Index 421dm) - bond is post reinvestment, MVOC 107.9 (-1pt lower to benchmarks), Jnr OC cushion 0.09 and ADR 1.2.