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.

USD CLO Mezz/Equity

6 x BB trades all wide to our BB Index (871dm) in a 1044dm-1175dm range.  The profiles are post-reinvestment with MVOC shortfalls, with the only bond in reinvestment MP15 2019-1A E CVR 80.26 at 1175dm / 5.3y WAL - MVOC is low 100.05 and the manager's record (Marble Point) is weaker to benchmark pushing this wide to the index.

USD CLO AAA

Only 21m of liquidity today with the majority of trades being non-benchmark, US LSTA 100 Index +16bps and the BB Index shifts slightly tighter on recent actvity.  There is only 1 x AAA trade which is a high coupon and trades 197dm / 5.5y WAL (AAA Index 171dm).

USD CLO Mezz/Equity

AA trade 239dm-294dm with no benchmarks (AA Index 251dm) given post-reinvestment / high coupon profiles.  Single-A trade 375dm-384dm (Single-A Index 311dm) with similar scenario to AA (post-reinv/high coupons).  BBB trade back to the Index (107dm) given MVOCs in 104 area context which are far lower than 107% for benchmarks.  There is 1 x BB benchmark trade CGMS 2021-1A D CVR 87.37 at 851dm / 6.9y WAL (EoRP 2026 / Carlyle managed) versus our BBB Index 871dm.  2 x rare single-B trades 1141dm-1160dm trading range (Single-B Index 1289dm) given strong MVOC profiles 101-103% context.

USD CLO AAA

$120m of liquidity today across IG and Non-IG, spreads stable and US LSTA 100 Index +14bp dod.  AAA trade 156dm-202dm ignoring the very short daters / high DM bonds with benchmarks 167dm-174dm (AAA Index 171dm), through the right end is a short Blackrock bond MAGNE 2021-29A A CVR 98.76 at 156dm / 2.4y WAL (EoRP Jan-24) with very clean metrics, whilst post-reinvestment bonds pack out the wide end.

USD CLO Mezz/Equity

Single-A trade 313dm-328dm for benchmarks which neatly wrapped around our Single-A Index 311dm.  BBB trade 360dm-796dm (BBB Index 443dm) with one benchmark trade BSP 2019-18A DR CVR 93.32 at 440dm / 7.7y WAL – EoRP 2026, Benefit St managed and clean credit and MV metrics.  Trades inside the index are MVOC influenced with post-reinvestment bonds with a lower MVOC to benchmark (107 area) make up the tail wide of the index.  2 x BB bonds trade 940dm-1084dm wide to our BB Index 885dm driven by manager tiering factor and high coupon bonds and less of MVOC influence given these are in 102-102.5 territory close to benchmarks.

EUR AAA CLO

A lot of AAAs traded today. The average spread is 183 dm, in line with expectations.

USD CLO AAA

8 x trades for $31m notional today, spreads flat dod with US LSTA 100 Index +14bp dod.  At AAA BSLs trade 154dm-166dm with a benchmark trade RAD 2021-15A A CVR 98.29 at 166dm / 3.3y WAL - EoRP 2025, MVOC 149.4, coupon +109bps and clean metrics with our AAA Index now 169dm.  GOCAP 2021-54A A (MM CLO) covers 97.57 at 228dm / 3.7y WAL which is in line with recent MM AAA comps.

USD CLO Mezz/Equity

BB trade 899dm-1155dm with our BB Index unchanged 885dm, trading activity is restricted to weaker MVOC bonds (<102 benchmark) with some credit / Jnr OC cushion weakness scaling these wider to the index.

USD CLO AAA

$35m of bonds traded today, first trickle of trades since month end, US LSTA 100 Index +54bp on month end.  AAA spreads tighter with our AAA Index 170dm (-2dm) with trading range 166dm-185dm, with benchmark at the tighter end - OCT50 2020-4A AR CVR 97.73 at 166dm / 5.2y WAL - MVOC 145, coupon +115bps with clean metrics (Octagon managed).

USD CLO Mezz/Equity

Virtually all post reinvestment mezz bonds, with the exception of WINDR 2019-3A DR at the BBB end, CVR 87.33 at 649dm / 5.7y WAL well wide of the BBB Index 444dm given the low MVOC 104.7 vs 107 benchmark, hiigh ADR 1.6, weaker manager profile (First Eagle) and high coupon +350bps.

EUR AAA CLO

Just a handful of AAA trades today. They have traded around 180 dm which could be a couple of bps firmer.