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
  • 1 September 2023

    EUR MEZZ/EQUITY CLO

    Just a handful of EUR BBs trading on Labour Day. Levels look tighter with an average traded spread of 738 dm.


  • 31 August 2023

    USD CLO AAA

    Month end and holiday weekend approaching so liquidity is thin with $40m exchangign hands, US LSTA +7bp dod and AAA Index ends the month on 157dm.

    EUR AAA CLO

    AAAs are trading around 172 dm.

    EUR MEZZ/EQUITY CLO

    Single A’s are around 336 dm.

    Two equity pieces traded. Both are around 19% yield and have NAVs in H20s to H30s.


  • 30 August 2023

    USD CLO AAA

    $47m of liquidity today, US LSTA 100 Index continues to firm +8bp dod and AAA Index unchanged 161dm.

    USD CLO Mezz/Equity

    3 x BB trade 812dm-940dm with all profiles non-benchmark (BB Index 744dm) with profiles driven by higher coupon or weaker MVOC/post reinvestment bonds.  1 x single-B GALXY 2018-26A F from Pinebridge covers 83.78 at 1166dm very close to our single-B Index 1186dm - profile is EoRP 2023, coupon +800bps and MVOC slightly weak 101.75 but from a benchmark manager so does overall trade near the index level.


  • 29 August 2023

    USD CLO Mezz/Equity

    US LSTA 100 Index +10bp dod continuing their tightening tone.  2 x single-A MM CLOs trade today only 370dm-373dm which are tighter than comps that have been 4-handle, granted both are short wal and post reinvestment.


  • 28 August 2023

    USD CLO AAA

    $26m of liquidity today, US LSTA continues to firm, +14bp on last CLO trading day.  AAA Index unchanged 161dm.

    USD CLO Mezz/Equity

    BBB saw most of the liquidity today but in non-benchmark profiles, trading range is 411dm-685dm (BBB Index 369dm) with bond profiles dominated entirely by high MVOC bonds (<108%) and a high coupon profile static CLO bond PSTAT 2022-3A C CVR 100.80 at 532dm / 7.7y WAL - MVOC high 111.2 given deleveraging structure and high coupon +540bps scaling the dm wider towards par cash price.


  • 24 August 2023

    USD CLO AAA

    $133m of trading today across the stack, lower mezz slightly softer and US LSTA 100 Index +8bp dod and AAA Index unchanged 161dm.

    USD CLO Mezz/Equity

    Most of the liquidity is in BBB and BB today, BBB trade 329dm-559dm with benchmarks 357dm-366dm (BBB Index 369dm) from CVC and CIFC so manager profiles take these dm’s slightly inside the index, whilst manager profile and coupon structure push certain bonds wide fo the index, eg. GLM 2022-16A D CVR 100.88 at 559dm / 6.8y WAL – high coupon +571bps from Goldentree.  BB trade 673dm-1056dm (BB Index 744dm) with strong MVOCs pulling bonds tight to the index and the inverse for the wide end scaled with high coupon where it exists.

    EUR MEZZ/EQUITY CLO

    Just one trade today. INVSC 8X C, A rated, traded at 354 dm.


  • 23 August 2023

    USD CLO AAA

    $119m of liquidity today, mezz spreads continue their tightening theme and US LSTA +5bp dod.  AAA Index unchanged 161dm.

    USD CLO Mezz/Equity

    AA also unchanged 205dm with trading range 177dm-269dm with mainly non-benchmarks including a post reinvestment bond through the tight end.  Multiple single-A trades today with a trading range of 228dm-367dm (Single-A Index 283dm) with numerous profiles trading hence the wide dispersion around the index.  A benchmark trade is ANCHC 2016-8A CR2 CVR 98.27 at 281dm / 6.8y WAL – EoRP 2026, strong MVOC 117 and coupon +240bps.  BBB trade 351dm-404dm (BBB Index 367dm with weak MVOC / manager profile and high coupon bonds pulling wide to the index.  BB trade 598dm-935dm with our index unchanged at 733dm.  Rare single-Bs trade today in a 1171dm-1297dm range with our single-B Index 1192dm with a benchmark trade GLM 2019-4A F CVR 87.57 at 1171dm / 6.6y WAL (EoRP 2026, coupon +877bps and strong MVOC 103.7).

    EUR AAA CLO

    RFTE 2019-1X A traded at 181 dm.

    EUR MEZZ/EQUITY CLO

    Single A’s unchanged at around 335 dm.

    BABSE 2018-2X D, a seasoned low margin BBB, traded at 498 dm / 93.24. PLMER 2023-1X D, a recently issued high margin bond, traded at a capped price of 100.20 / 616 dm.

    BBs widened yesterday, by around 30 – 50 bps, with trades taking place around 798 dm.


  • 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.