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.

USD CLO AAA

$130m of liquidity today across the stack AAA-BB with CLO spreads broadly flat and US LSTA similar context +1bp dod.  AAA trade 136dm-217dm with benchmarks 157dm-168dm (AAA Index 162dm), manager profiles and MVOC influencing trades inside the index and high coupon bonds scaling bonds wide to the index.

USD CLO Mezz/Equity

Single-A trade 253dm-427dm with benchmarks 288dm-294dm (Single-A Index 298dm) with one post reinvestment bond tight to the index whilst manager profile and MVOC scales those bonds wide to the index, a benchmark trade is BCC 2020-1A C CVR 99.52 at 288dm / 5.6y WAL (EoRP 2025) – MVOC 116.1, +270bps coupon and Jnr OC cushion 4.8 benchmark manager Bain Cap.  BBB trade 381dm-526dm (BBB Index 421dm) with manager profiles and MVOCs driving bonds either side the index.  BB trade 707dm-948dm (BB Index 843dm = -1bp dod).

USD CLO AAA

$140m of liquidity today with BBB spreads tighter, US LSTA drops for the third day in a row -3bp dod.  AAA trade 172dm-192dm with all trades non benchmark / high coupon (AAA Index 162dm). 

USD CLO Mezz/Equity

AA, Single-A and BB spotty trades are all non benchmarks whilst BBB trade 347dm-594dm with benchmarks 417dm-419dm (BBB Index 421dm) as MVOC drives the tiering above and below the index.  Benchmark trade is OCP 2019-17A DR CVR 95.5 at 417dm / 5.5y WAL – 108.3 MVOC, +310bps coupon and benchmark manager Onex / EoRP 2024.

EUR AAA CLO

Notwithstanding the relatively wider pricing of Nassau Euro III the secondary market looks to be on a slight tightening trend. We see AAAs a few bps firmer.

USD CLO Mezz/Equity

$90m of liquidity today across mezz with spreads unchanged.  US LSTA 100 Index -5bp dod.  Single-As trade 264dm-430dm (Single-A Index 297dm) with MVOC driving the delat to the index especially towards the wide end with MVOCs touching 110 (vs benchmarks 116.6).  BBB trade 365dm-572dm (BBB Index 428dm) with all profiles post-reinvestment or low MVOC and off index.  BBs trade 714dm-944dm with all trades non-benchmark for many of the same reasons as above, see PriceABS trade listing for details.

USD CLO AAA

Limited activity today with only $24m of liquidity, CLO spreads unchanged and US LSTA 100 Index -2bp dod.  AAA trade 141dm-186dm (AAA Index 162dm) with post reinvestment and high coupon bond profiles exchanging hands.

USD CLO Mezz/Equity

1 x AA ELMW8 2021-1A B2 CVR 97.62 at 204dm / 5.6y WAL which is inside the AA Index 223dm - strong MVOC 127.9 and low coupon +145bps pulling this tighter to the index.

EUR AAA CLO

Just one AAA trade, TIKEH 5X A, at 182 dm.

USD CLO Mezz/Equity

$22m of liquidity today, some tightening at BB else unchanged, US LSTA 100 Index +2bp dod.  AA trade 224dm-240dm with our AA Index 223dm with a lower MVOC profile AA pushing it wide to the index.  BBB trade 298dm-371dm (BBB Index 428dm) given short daters and high MVOC profiles.  BB trade off index 905dm-1018dm (BB Index 844dm) with an outlier GALL 2018-1A E CVR 99.08 at 579dm / 4.3y WAL - post reinvestment / short WAL along with a low coupon +547bps, whilst weaker MVOC profiles drove the remainder of the trades wide of the index.

USD CLO AAA

$160m of liquidity today across the stack, CLO spreads generally firmer and US LSTA 100 Index +12bp dod.  AAA trade 144dm-219dm with benchmarks 157dm-162dm (AAA Index 162dm) with manager track record starting to influence this end of the cap stack a little more now as well as further down the stack.  High coupon long reinvesting bonds dominate the wide end of the dm range today naturally with bonds covering above par.

USD CLO Mezz/Equity

BBB trade in a wide dispersion 364dm-667dm with benchmarks 411dm-423dm (BBB Index 428dm) with top tier managers pushing through the index level and lower MVOC / lower quality managers dominate.  BB trade in an even wider dispersion 696dm-1255dm with benchmarks 817dm-886dm (BB Index 848dm), post reinvesting bonds are tight to the index whilst MVOC’s that are closer to par push bonds wide of the index scaled heavily by higher coupon bonds (>700bp coupon).

USD CLO AAA

$134m of liquidity today with CLO spreads moving sideways, US LSTA 100 Index is almost +30bp since Monday.  AAA trade 140dm-182dm with benchmarks 159dm-168dm versus our AAA Index 164dm with low wal post reinvestment bonds through the tight end of the Index and high coupon long wal bonds through the wide end.

USD CLO Mezz/Equity

BBB trade 392dm-610dm with benchmarks 433dm-439dm and our BBB Index 434dm as MVOC influences bonds more here through the tighter end of the index with the inverse for the wider end of the index and this is scaled further with high coupon bonds, eg. WELF 2021-2A D CVR 87.36 at 610dm / 6.7y WAL (EoRP 2026) – MVOC lower than benchmark at 106.1 at high coupon +360bps and the manager record (Wellfleet) is weaker to its peers.  BB trade 720dm-1028dm with very few benchmarks (given low MVOC profiles, post reinvestment bonds and high coupon bonds) and our BB Index is 852dm.

USD CLO AAA

Only a few AAA trades today, US LSTA 100 Index +13bps and CLO spreads remain stable.  AAA BSLs trade 157dm-264dm with 1 x benchmark Pinebridge's GALXY 2015-21A AR CVR 99.09 at 164dm / 1.8y WAL (EoRP April 2023).  There is one MM CLO AAA trade BMM 2017-1A XR CVR 99.28 at 205dm / 1y WAL which trades slightly tighter to comps given the shorter wal.

USD CLO AAA

Odd lot tickets trading today with spreads flat, US LSTA 100 Index +8bp.  AAA trade 159dm-203dm with benchmarks 159dm-166dm (AAA Index 163dm) with MVOC and high coupon profiles driving the wide end.

USD CLO Mezz/Equity

2 x post reinvestment high grade mezz trade inside their respective indices given the very short wals, AA bond (now AAA current) CGMS 2016-4A A2R covers 99.20 at 178dm (AA Index 224dm) and single-A bond ROCKT 2017-2A CR (now AA current) covers 97.7 at 244dm (single-A Index 293dm).

USD CLO AAA

$82m of liquidity today, with first trickle of trades since month end, US LSTA 100 Index is +35bp on month end.  AAA trade 158dm-400dm with an array of profiles, 1st pay benchmarks trade 158dm-163dm (AAA Index 164dm), a 2nd pay from KKR - KKR 12 AR2B covers 98.5 at 186dm (post reinvestment), a MM CLO WDMNT 2017-3A A1R covers 98.5 at 249dm / 2.2y WAL (EoRP 2024) whilst a short wal BSL AAA (2yrs+ post reinvestment) trades nearer par at 400dm / 0.3y WAL (CIFC 2015-3A AR).

USD CLO Mezz/Equity

AA trade 177dm-307dm with one benchmark RRAM 2021-17A A2 CVR 97.63 at 221dm / 6.1y WAL (EoRP 2026) – MVOC strong 128, coupon +165bps and benchmark manager Redding Ridge (AA Index 224dm).  Lower down the stack there are benchmark trades at single-A (272dm vs 293dm Index), BBB (439dm vs 435dm Index) and BB (847dm vs 854dm Index) with overall a tightening effect.

EUR AAA CLO

After a long period of gradual tightening in AAA spreads today’s trades look a little softer.

USD CLO Mezz/Equity

With the holiday weekend around the corner only $18m of muted mezz activity today, US LSTA continues to grind tighter +18bp dod.  Single-As trade around our index 291dm-301dm (Single-A Index 299dm).  BB trade 800dm-988dm (BB Index 857dm) with 2 x trades inside the index with MVOC >103 as the driver, no benchmarks with MVOC effect pulling those bonds wide of the index.

EUR AAA CLO

AAA spreads aren’t moving, with today’s trades around 176 dm.

USD CLO AAA

$184m of trading today across IG and SubIG, US LSTA 100 Index +18bp dod and CLO spreads remain stable overall.  AAA trade 156dm-216dm for BSLs with benchmarks 164dm-165dm (AAA Index 165dm), trades inside the index scaled by MVOC well north of 150% whilst trades back to the index are for various factors (post-reinv, MVOC, coupon structure etc). 

USD CLO Mezz/Equity

1 x benchmark AA trade today CIFC 2021-6A B CVR 97.26 at 226dm / 6.4y WAL which is close to our AA Index (229dm) – MVOC in line 125, coupon +165bps, clean credit metrics and a benchmark manager CIFC.  A-BB trades are all off index given their profiles do not match benchmarks for reasons already mentioned, with the exception of 2 x BB Neuberger bonds which are at benchmark levels and trade 834dm-850dm (BB Index 857dm) with EoRP 2026 for both and MVOC/coupon struyctures in line with benchmark names.

EUR AAA CLO

All the AAAs that have traded are past their RPE date. The traded spreads are quite sensitive to the calculated WALs. For us we see spreads averaging in the 160s which is still not a tightening of the AAA curve, just a reflection of the short average life. But some dealers have shorter bonds and see spreads around 200a.

EUR AAA CLO

A quiet day today. Just a few AAA trades. They’ve traded around 174 dm. This is an unchanged AAA curve. Since they are all lower margin bonds the spread looks a little tighter.

USD CLO AAA

$131m of AAA only liquidity today with our AAA Index tightening by 2bp to 163dm, trading dispersion is 155dm-191dm with benchmarks 160dm-166dm, a Blackrock managed bond trades inside the index which is customary given the manager profile with trades wide of the index influenced by coupon structure, manager profile and low MVOC dynamics.

EUR AAA CLO

AAAs traded around 180 dm. There was a good bid for the longer dated bonds NEUBE 2021-2X A and BECLO 13X A1, with 2026 RPE dates, at around 172 dm.

USD CLO AAA

$141m of liquidity today across the stack, CLO spreads firmer at the mezz level and USD LSTA 100 Index flat dod.  AAA trade 170dm-249dm with all trades off index (165dm) given profiles are post reinvestment, high coupon, middle market or distressed MVOC.

USD CLO Mezz/Equity

AA trade 217dm-261dm with benchmarks 220dm-237dm nestled around our AA Index 231dm.  BBB trade in a very wide dispersion 355dm-671dm with the majority of trades off index 436dm, the trade inside the index is almost 2y post reinvestment (high MVOC, low wal) and trades wide to the index are influenced by coupon structure, manager profiles and MVOC with benchmarks trading 426dm-454dm, eg. CSAM’s ATRM 14A D CVR 95.55 at 426dm / 4.3y WAL – MVOC in line with benchmarks 108, coupon +295bps and clean credit metrics.  BB trade 778dm-1272dm with benchmarks 858dm-867dm and our BB Index 862dm with those bonds off index with similar construct to the BBB trades.

EUR AAA CLO

AAAs are steady at around 179 dm.

USD CLO AAA

First liquidity since the long weekend, with US LSTA 100 Index +11bp on last CLO trading day.  AAA trade 159dm-236dm with our AAA Index 165dm, a number of bonds off index given post reinvestment at the tight end and high coupon / low MVOC combo through the wide end.

USD CLO Mezz/Equity

All mezz bonds are off index at AA, A, BBB and BB level with post reinvestment bonds, high coupon profiles and depressed MVOC profiles rampant in today's trading.  Our dm indices are AA (241dm), single-A (301dm), BBB (436dm), BB (871dm) and single-B (1236dm).

EUR AAA CLO

A busy day of BWICs. AAAs have traded around 178 dm. They remain on a firming up trend.

EUR AAA CLO

EUR BWIC trading has resumed after Global ABS. AAAs have traded around low 180s spread.

USD CLO Mezz/Equity

Limited liquidity today in front of the long weekend, with 5 x BB trades for $7m total notional.  US LSTA 100 Index +4bp dod and CLO spreads flat.  BB trade 812dm-984dm with very short wal gven short remaining reinvestment periods left, our BB Index remains unchanged 871dm with MVOC scaling some bonds well wide of the index.