USD CLO Mezz/Equity

$56m of liquidity in lower mezz today, US LSTA 100 Index +7bp dod and CLO spreads slightly firmer on the day.  BBB trade 431dm-769dm with benchmarks 431dm-464dm (BBB Index 453dm), MVOC and high coupon bonds drive those residual bonds wide of the index.  BB trade 838dm-1347dm with 1 x benchmark trade RRAM 2019-7A D1B CVR 90.78 at 838dm / 8.6y WAL – MVOC 103.5, coupon +650bps and Jnr OC cushion 5.5 (Redding Ridge the manager).  The trades wide of the index are influenced by a combination of manager profile, high coupon and cuspy MVOC, eg. TRNTS 2018-9A E CVR 74.59 at 1347dm / 5.6y WAL (Trinitas), EoRP Nov-23, MVOC 99.54.

USD CLO AAA

Limited liquidity given the IMN CLO Conference in NYC today, 5 x AAA trades.  US LSTA 100 Index +24bp dod.  AAA trade tighter 155dm-162dm driving our AAA Index into 164dm, all of today's trades are benchmarks with $68m of notional exchanging hands.

EUR AAA CLO

NWDSE 2019-19X AN traded at 193 dm, in line with expectations. There were a few other AAAs that were in for the bid but did not meet their reserve levels and DNT’d.

USD CLO Mezz/Equity

$57m of trading today in mezz only with CLO spreads flat on the day, US LSTA 100 Index +11bp dod.  BBB trade 402dm-586dm with benchmarks 462dm-464dm (BBB Index 457dm) as MVOC delta drives both sides of the index, there is a rare MM BBB trade MCMML 2019-2A D CVR 93.76 at 666dm / 4.9y WAL which is wider to recent comps from mid-end March that were in mid-late 500s context, the ADR is high 1.5, reinvestment period end is 6 months away and MVOC is a little low at 114.2.  BB trade 759dm-1319dm with 2 x benchmarks trading in 845dm context (BB Index 832dm) with strong MVOC bonds inside the index and cuspy MVOC bonds wide of the index, with one bond in shortfall OZLM 2014-6A DS CVR 76.05 at 1319dm / 5.1y WAL – MVOC 99.58 and Jnr OC cushion 0.6 and Sculptor the manager.

USD CLO AAA

$100m of liquidity today with spreads continuing to grind tighter, US LSTA 100 Index +10bp dod.  AAA trade 149dm-197dm with benchmarks 155dm-169dm and our AAA Index shifts to 167dm.

USD CLO Mezz/Equity

In mezz BB trade tighter 817dm-964dm with benchmarks 817dm-820dm and our BB Index tighter at 830dm, through the wide end of the index are bonds with lower MVOCs than benchmark (<101.5) or weaker manager profiles, eg. AMMC 2021-24A E CVR 86.56 at 916dm / 8.7y WAL – MVOC is good 102.4 but American Money Management has a weaker manager record versus peers so trades wide to benchmark.

USD CLO AAA

Ample activity today with $270m of trading across the stack, US LSTA 100 Index +3bp dod and CLO spreads typically firmer especially lower mezz.  AAA trade 159dm-209dm with benchmarks tighter 163dm-175dm as we shift our AAA Index inside to 170dm, the tail of trades that are wide of the index are post reinvestment, 2nd pay or very high coupon so don’t qualify for the index.

USD CLO Mezz/Equity

AA trade 233dm-317dm with one benchmark trade OCP 2021-22A B1 CVR 95.82 at 245dm / 6.9y WAL (our AA Index is albeit slightly tighter at 236dm.  Single-A trade 325dm-339dm with benchmarks 325dm-331dm and our single-A index is set at 331dm, the one trade inside the index MILOS 2017-1A CR CVR 95.53 at 325dm is post reinvestment.  BBB trade 401dm-623dm with one benchmark trade MDPK 2013-11A DR CVR 94.76 at 431dm / 6.4y WAL (CSAM) with healthy MVOC 106.9 and reasonable metrics, our BBB Index is 460dm.  18 x BB trade tighter at 733dm-850dm with benchmarks 820dm-850dm and our BB Index 835dm, there are a number of trades inside the index <800dm attributable to strong MVOC profiles in 104.5 region versus benchmarks which are circa 2pts back to this.

USD CLO AAA

$20m of liquidity today, all in AAA MM CLOs, US LSTA 100 Index +7bp dod.  The MM CLO AAA trading range is 219dm-257dm which is the most meaninful basket of trades this year in this cohort, at the wider end of this range is ABPCI 2020-10A A1A CVR 98.62 at 257dm / 2y WAL (EoRP 2024) and is scaled wider to the remaining trades (219dm-229dm) accordingly given the 'higher' coupon +195bps.

USD CLO Mezz/Equity

Just the one trade today at the BB level, small ticket.  US LSTA 100 Index +4bp dod.  BB trade is GALXY 2018-28A E CVR 84.5 at 1015dm / 5.4y WAL, this bond has been downgraded to single-B current, MVOC is cuspy 100.4 and ends reinvestment in July, so does explain the basis wide to the index.

USD CLO Mezz/Equity

$69m of liquidity today across 45 trades all over the mezz stack and equity, CLO spreads remain stable/firm whilst US LSTA continues to climb, +13bp dod.  AA trade 195dm-301dm with benchmarks a small subset 232dm-245dm with our AA Index 243dm with post reinvestment bonds dominating either side of the index, whilst 3 x trades with MVOC 119-120 trade at the wide end 287dm-301dm (vs 123 area MVOC benchmarks).  Single-A trade 323dm-333dm which are at benchmark levels with our single-A Index 328dm.  BBB trade 474dm-477dm versus our BBB Index 469dm.  23 x BB trade 785dm-1107dm with benchmarks 854dm-889dm with our BB Index 870dm, low coupons / high MVOC dominate trading levels inside the index whilst post reinvestment / cuspy MVOCs dominate those bonds that trade wide to the index (benchmark BB MVOC in 101.7 area). 2 x equity trade 17.5%-19% yield, GNRT 3A SUB (Generate) covers 29h with 18.8% NAV (19% yield) and is post reinv, whilst KKR 32A SUB covers 62h with 34.9% NAV (17.5% yield) with EoRP 2024.

USD CLO AAA

$47m of liquidity today across the stack, US LSTA 100 Index +25bp dod and CLO spreads tighter in high grade with BBB slightly softer on month end.  AAA trade 153dm-193dm with benchmarks 169dm-171dm and our AAA Index tightening to 175dm, post reinvestment / short wal bonds make up the tail and tight end. 

USD CLO Mezz/Equity

Single-A trade 281dm-307dm with a short wal bond from Blackrock MAGNE 2015-15A CR cover 96.51 at 281dm / 4.4y WAL well inside the index 327dm (MVOC strong 115.1, coupon +180bps).  NEUB 2019-34A CR is the benchmark trade CVR 95.93 at 307dm / 5.6y WAL – MVOC 114 (in line with benchmarks), coupon +210bps and clean metrics.  BBB trade 377dm-494dm with 2 x benchmarks trading 466dm, both are EoRP mid-late 2023 with MVOC 106.9-107.3 which is in line with benchmark peers (BBB Index 469dm).  BB trades 733dm-1199dm with no benchmark trades (BB Index 871dm), bonds that trade tight to the index are MVOC driven (102.8-102.9 versus benchmark 101.8) with the tail bonds with dm’s north of 1000dm with MVOCs < 101.5.

EUR AAA CLO

3 x AAAs have traded, at around 181 dm. This is a tightening of around 10 bps.

EUR AAA CLO

CGMSE 2020-2X A1 traded at 198 dm today. It’s only one bond but this is back to the levels we were at before the Credit Suisse / SVB crisis.

USD CLO AAA

$52m of liquidity over 29 trades today across IG and SubIG, US LSTA 100 Index +22bp dod and CLO spreads are firmer.  AAA trade 164dm-192dm with benchmarks tighter on the day 177dm-182dm (AAA Index 180dm).

USD CLO Mezz/Equity

AA trade 234dm-259dm with benchmarks 252dm-259dm with our AA Index 258dm, 1.4m of APID 2021-36A B covers 96.1 at 234dm / 6.4y WAL inside the index given the strong MVOC 126.2.  Single-A benchmarks trade 314dm-352dm with our single-A Index 341dm, 4 x MM CLOs trade 409dm-428dm.  BBB and BB trades are all non benchmark trades with a number of bonds post reinvestment, MM CLO or low MVOC.

USD CLO AAA

$16m of trading today across the stack, US LSTA 100 Index +19bp with spreads generally flat on the day further to the 25bp rate hike by the Fed.  AAA trade 203dm-297dm, post reinvestment bonds with lower Jnr OC cushions and ADRs at 1pt+ pushing these wide to the index.

USD CLO Mezz/Equity

AA trade marginally tighter with benchmarks 237dm-269dm with our AA Index tighter at 260dm.  BB trade 904dm-1039dm with one benchmark trade GCBSL 2021-53A E from Golub cover at 88.26 at 904dm / 8.2y WAL which is slightly wide to the index 877dm but has clean metrics from an experienced MM CLO manager in the BSL space (slight premium).

USD CLO AAA

$117m of liquidity across the stack today with spreads moving sideways with some compression at BB, US LSTA 100 Index +16bp dod.  AAA trade 164dm-475dm with benchmarks 180dm-190dm (our AAA Index 186dm), very short wal post reinvestment  bonds propping up the wide end with low coupon / short wal accounts for trading inside the index. 

USD CLO Mezz/Equity

AA trade 279dm-367dm with our AA Index 261dm, with both bonds high coupon (+210-235bps) and SNDPT 2018-1A B2BR with a weak MVOC 120.1 CVR 96.11 at 367dm / 3.4y WAL.  BB trade 849dm-1123dm with benchmarks 849dm-930dm (BB Index 876dm) with WINDR 2017-4A E at the wide end CVR 80.56 at 1123dm / 5.3y WAL – weak MVOC 101.9, post reinvestment and high WARF 2938.

USD CLO AAA

$18m of liquidity today across IG, US LSTA 100 Index -25bp dod.  AAA trade 183dm-235dm with benchmarks 183dm-195dm and our AAA Index softening to 185dm, trades wide of the index are post reinvestment with weaker metrics.

USD CLO Mezz/Equity

1 x single-A trade BGCLO 19A CR CVR 94.07 at 384dm / 4.3y WAL with our single-A index widening slightly to 357dm.  This trade has clean metrics but the manager is new so the bond trades at a credit spread premium and hence wide to our single-A index.

EUR AAA CLO

Today we have the first EUR BWIC trades since the banking crisis started. Only AAAs have traded but actually they are much more resilient than expected. The average spread is +207 which is not really wider than 2 weeks ago. Since the AAA spread is often the most important driver for new deal execution this is quite encouraging for the market.

USD CLO AAA

Very little liquidity at present given market sentiment is extremely volatile, US LSTA 100 Index -2bp dod.  One AAA trade which is post reinvestment WINDR 2013-1A A1RR CVR 98.75 at 192dm / 1.4y WAL - high ADR 1.7 and low Jnr OC cushion 0.74 and high CCC 8.5% so this bond trades wide to the AAA Index 181dm, whilst typically high quality post-rein AAA trade inside index levels.

USD CLO AAA

$104m of liquidity today across IG, US LSTA 100 Index flat dod and spreads continue to find a landing spot with a softer tone.  AAA trade 178dm-225dm with benchmarks 178dm-187dm and our AAA Index widening to 181dm, the trades wide of the index (209dm-225dm) are driven by high coupon (+200bps) rather than market sentiment. 

USD CLO Mezz/Equity

1 x single-A trade TICP 2017-8A BR CVR 93.31 at 339dm / 7.2y WAL (EoRP 2026) near our single-A Index 331dm with metrics at near benchmark levels (MVOC 115.4 / Jnr OC cushion 4.8 and coupon +220bps).  2 x BBB trade 447dm-561dm with our BBB Index widening to 532dm, the trade inside the index at 447dm is post reinvestment whilst APID 2015-20A CR which has EoRP this year trades wide of the index CVR 90.07 at 561dm / 4.7y WAL – MVOC lower than benchmark at 107.6, Jnr OC cushion low 1.96 at ADR elevated at 1% and soon to be post reinvestment.

USD CLO Mezz/Equity

The first trades since last Friday emerge today ($34m) and market has as expected softened significantly at BBB, with BB less so.  US LSTA is -156bps on last Friday's close.  BBB trade 530dm-844dm with benchmarks 530dm-539dm and we shift our BBB Index wider to 522dm, lower MVOC (105area) are hardest hit with dm's in 8-handle context.  BB trade 817dm-909dm with benchmarks 852dm-909dm and our BB Index softens slightly to 879dm, tight to our index is a Blackrock bond MAGNE 2021-29A E CVR 90.17 at 817dm/5.7y WAL - MVOC is strong 105 as well as other metrics and manager's track record is high quality hence trades tight.

USD CLO Mezz/Equity

Just one trade today at the BB level, US LSTA 100 Index -25bp dod.  BB trade is BTNY2 2018-1X D CVR 81.5 at 1088dm / 5.2y WAL, the MVOC 101.64 is at the lower end with Jnr OC cushion also in low/mid percentile at 2.9% and hence trades wide to our BB Index 877dm.

USD CLO AAA

$116m of liquidity today with US LSTA 100 Index flat on the day, spreads marginally tighter at AAA.  AAA trade 151dm-176dm with benchmarks 151dm-158dm and our AAA Index tightening to 155dm, bonds that trade wide of the index today are high coupon / weaker MVOC (L140s context).