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.

EUR AAA CLO

There are three AAA trades today. One of them, OHECP 2015-3X A1R, has highly delevered and so traded at 153 dm. The other two traded around 186 dm, in line with expectations.

USD CLO AAA

$166m of liquidity on the last day of the month, spreads tighter with US LSTA 100 Index +1bp dod.  AAA trade 170dm-206dm with benchmarks 170dm-175dm (AAA Index 172dm), a number of 2nd pays naturally trade wide of the 1st pay index level whilst manager tiering and post reinvestment bonds make up the remainder of the tail that are wide of the index level.

USD CLO Mezz/Equity

15 x BBB trades $17.5m notional with trading range 411dm-661dm with benchmarks 415dm-461dm (BBB Index 444dm), a Blackrock bond MAGNE 2020-28A DR trades at the tight end given the manager’s conservative record, whilst MVOC tiers the trades wide of the index, at the wide end is BATLN 2016-10A CR2 CVR 84.5 at 661dm / 7y WAL (EoRP 2026) – Brigade managed (which is a benchmark manager) but MVOC is 103.8 (3.5pts back to benchmark), coupon is high +345bps whilst other metrics are average eg ADR 0.81.

USD CLO AAA

With the long holiday weekend and month end flows are muted and restricted to AAA, US LSTA 100 Index +10bp compared to last day of CLO trades.  AAA trade 159dm-200dm with our index largely unchanged at 177dm, benchmarks trade 173dm-186dm, high coupon bonds dominate the wide end whilst manager tiering and MVOC impact those bonds inside the index level, eg. a strong Blackrock managed CLO AAA bond MAGNE 2021-31A A1 covers 97.96 at 159dm / 4.8y WAL - EoRP 2026, clean metrics, coupon +110bps, MVOC 149.4 with the emphasis on the strong manager record push this bond inside the index.

EUR AAA CLO

The three AAA trades today, at around 198 dm, look distinctly wider – albeit in a quiet market.

USD CLO AAA

18 trades $36m of notional today across IG and SubIG, CLO spread direction is mixed, US LSTA 100 Index -14bp dod.  AAA trade 181dm-202dm with our AAA Index 176dm and little in terms of benchmark activity today with high coupon bonds skewing the dm range.

USD CLO Mezz/Equity

Single-A trade 286dm-346dm with our single-A Index 311dm, one benchmark trade APID 2020-34A CR CVR 95.5 at 286dm / 7y WAL (EoRP 2027) and clean metrics from a tier 1 manager CVC so trades inside the index.  BBB trade 445dm-599dm (BBB Index 444dm) with the benchmark trade Oak Hill's OAKC 2022-12A D CVR 99.35 at 445dm / 6.8y WAL - EoRP 2025, MVOC strong 112.5 and coupon high +425bps with clean credit metrics and a benchmark manager.

EUR AAA CLO

One AAA trade today, ADAGI V-X ARR, indicates slight firming up of AAA levels. It traded at 172 dm.

USD CLO Mezz/Equity

Muted activity only in BB today, with spreads more or less unchanged, US LSTA 100 Index -25bp dod.  No benchmarks trade today with BB trading range 737dm-2154dm (BB Index 885dm).  Trading restricted to bonds with an outperformance or underperformance in MVOC and variable coupon structures with little activity in true BB benchmarks to note.

EUR AAA CLO

One AAA trade, INVSC 1X A1R, is at 176 dm because of its low margin of 65 bps.

USD CLO AAA

$140m of flow today, CLO spreads marginally softer at AAA and BB with US LSTA 100 Index +1bp dod.  AAA trade 159dm-195dm with our AAA Index wider at 174dm, benchmarks 172dm-180dm.

USD CLO Mezz/Equity

27 x BBB trade 398dm-646dm with benchmarks trading 445dm-448dm around our index level 444dm, manager tiering and high MVOC bonds trade inside the index with MVOC and coupon profiles dictating those bonds wide to the index.  BB trade 756dm-1273dm with one benchmark trade SYMP 2022-32A E CVR 88.59 at 905dm / 8.8y WAL – MVOC 103.1 and coupon +670bps and the manager is Symphony (EoRP 2027) so a longer wal but clean metrics with a Jnr OC cushion of 5.5 in addition.

EUR AAA CLO

AAAs remain rangebound at around 185dm for secondary trades.

USD CLO AAA

$58m of liquidity with few benchmarks trading and CLO spreads typically flat dod, US LSTA 100 Index +9bp dod.  AAA trade 151dm-182dm with the AAA Index unchanged 172dm, all trades are post reinvestment or soon to be post-reinv.

USD CLO Mezz/Equity

BBB trade in a wide range 416dm-877dm, benchmarks 434dm-448dm with the BBB Index 447dm.  3 x Blackrock bonds trade inside the index given their conservative manager with strong MVOC profiles, whilst trades wide of the index are driven by weaker MVOC profiles to 107.5 area benchmark along with a sprinkle of post reinvestment bonds.  BB trade 871dm-1094dm (BB Index 880dm) with the profiles a combination of post reinvestment, low MVOC and high coupon bonds with none considered benchmarks.