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.

USD CLO AAA

Limited trading activity today with 10 trades, all high grade.  US LSTA 100 Index +4bp dod and CLO spreads flat.  AAA trade 152dm-200dm with benchmarks 168dm-174dm, our AAA Index unchanged 172dm.  

USD CLO Mezz/Equity

3 x AA trades, all post reinvestment and 2 of the 3 trades upgraded to AAA, dm range 182dm-268dm with no benchmarks.  Our AA Index unchanged 251dm.

USD CLO AAA

$100m of liquidity today across the stack, with 2 days with little flow, US LSTA 100 Index -11bp on last CLO trading day.  AAA trade 165dm-195dm (AAA Index 172dm) with benchmarks 165dm-171dm featuring strong MVOC profiles.

USD CLO Mezz/Equity

AA trade 198dm-336dm with one benchmark trade 261dm, our AA Index 251dm, with a number of post reinvestment bonds trading off index whilst MM CLO bonds trade at the wide end of the range 326dm-336dm.  Single-A trade 358dm-387dm wide of our single-A Index 314dm with no benchmark bonds exchanging hands amongst the trades.  BBB trade 383dm-568dm with one benchmark at 473dm (BBB Index 447dm) with this Canyon bond slightly wide of index given the marginally weaker manager profile.  BB trade 815dm-1685dm (BB Index 880dm) with one benchmark trade AGL 2020-7A ER CVR 87 at 895dm / 8y WAL (EoRP 2026) and MVOC in line 102.5.  One rare single-A bond trade today GLM 2021-10X F CVR 76.37 at 1312dm / 8.3y WAL (EoRP 2026) which is in line with our index 1289dm (MVOC is not in shortfall 100.55 and only slightly back to benchmark 101).

EUR AAA CLO

AAAs today are trading at 181 dm.

EUR AAA CLO

AAAs are about 4 bps softer. Today’s secondary trades have traded around 189 dm.

USD CLO AAA

$72m of trading today, mostly in the more ‘liquid’ rating levels AAA and BB, with BB spreads softening in line with recent moves, US LSTA 100 Index softens -3bp on last trading day for CLO bonds.  AAA trade 168dm-535dm with a number of MM CLOs that trade at the wider end of this range 227dm-249dm whilst BSL post reinvestment bonds make up the tail with very short wal bonds / high dm.  Away from this, bonds are all post reinvestment period end so don’t give much of a direction for benchmarks, but their levels do remain in line with our AAA Index 172dm.

USD CLO Mezz/Equity

1 x AA trade BLUEM 2021-32A B covers 95.63 at 252dm / 6.5y WAL (EoRP 2026) in line with our AA Index 252dm (bond coupon and MVOC both in line with benchmarks).  $26m of notional across 18 x BB trade in a 865dm-1119dm range, with benchmarks wider 865dm-894dm with our BB Index softening to 875dm, trades wide of the index are driven by a mix of manager profile, post reinvestment profile, high coupon or a combination of.

USD CLO AAA

$51m of liquidity today with little in terms of spread movement, US LSTA 100 Index was -2bp dod and no benchmark trades to note.  AAA trade 156dm-190dm, all post reinvestment (or soon to be post) with our AAA Index 172dm.

USD CLO Mezz/Equity

Most of the liquidity today was in BB with $15m across 7 trades, range is 922dm-1280dm (BB Index 836dm) with 5 of these trades with low MVOC (<102) whilst 2 trades near benchmark MVOC 103 area but weaker manager profiles (Fortress/Assured) pull these bonds wider to the index, with the Fortress bond pulled even wider given it's post reinvestment.

USD CLO AAA

$106m of liquidity today, all IG with spreads stable, US LSTA 100 Index flat dod.  AAA trade 152dm-199dm with benchmarks 169dm-175dm (AAA Index 172dm).

USD CLO Mezz/Equity

AA trade 237dm-255dm around our AA Index 245dm with tiering driven by wal and coupon structure particularly today, eg. At the wider end is WINDR 2021-4A B CVR 95.05 at 255dm / 6.8y WAL – MVOC in line 125.4 but a longer reinvestment period (EoRP 2027) and slightly higher coupon +165 drives this to the wider end.  BBB trade 468dm-560dm (BBB Index 443dm) with all trades high coupon (>+325bps) scaling these wide to the index.

EUR AAA CLO

ACLO 6X AR traded at 172 dm, a few basis points tighter than expected.

USD CLO AAA

$118m of liquidity today across all risk grades, CLO spreads flat on the day, US LSTA 100 Index +1bp dod.  3 x AAA trade 158dm-196dm (AAA Index 173dm) with tiering driven by wal and MVOC.

USD CLO Mezz/Equity

AA trade 232dm-259dm nestled around our AA Index 246dm.  $73m of liquidity across 18 single-A trades in a 275dm-369dm range (single-A Index 314dm) with benchmarks 303dm-328dm with post reinvestment / lower MVOC profiles dominating the wide end.  BBB trade 449dm-461dm (BBB Index unchanged 443dm) with BB trading wide of the index (836dm) in a 994dm-1078dm range given MVOCs are lower than benchmarks <102.9 (range is 100.7-102.3)

USD CLO AAA

$266m of liquidity across the entire stack, single-As tighten whilst other rating levels are flat, US LSTA 100 Index -15bp dod.  AAA trade 155dm-229dm with our AAA Index 167dm.  The tight end iinside the index s dominated by post reinvestment bonds.  5 x benchmark trades near our index level, with higher coupon post reinvestment profiles dominating the wider end.  eg. CBAM 2019-9A A CVR 99.15 at 229dm / 0.9y WAL(EoRP 2022) with coupon +128bps.  

USD CLO Mezz/Equity

2 x AA trade 217dm-304dm (AA Index 246dm).  Single-As trade 280dm-342dm (single-A Index tightens to 313dm), 2 x benchmark trades 292dm-314dm with lower MVOC bonds wide of the index.  BBB trade 437dm-655dm (BBB Index 443dm) with one benchmark trade BALLY 2019-1A CR CVR 93.7 at 437dm / 6y WAL - EoRP 2024, coupon +305bps, MVOC at benchmark level 109.6 with Fidelity the manager.

USD CLO AAA

$40m of liquidity across 12 trades, CLO spreads flat and US LSTA 100 Index +2bp dod.  AAA trade 161dm-198dm with our AAA Index 166dm, 1 x benchmark trade TSYMP 2016-1A AR2 CVR 98.5 at 169dm / 2.4y WAL (EoRP Nov 23) – MVOC 145, coupon +102 and Jnr OC cushion 2.7 (TCI Cap is the manager).

USD CLO Mezz/Equity

AA trade near our index 246dm in a 242dm-244dm range.  BB trade 739dm-784dm (BB Index 836dm) with one trade post reinvestment and the other has a high MVOC 104.5 which push inside the index.

USD CLO AAA

$185m of liquidity since month end (1st and 2nd) across the stack with CLO spreads generally flat, US LSTA 100 Index is -4bp on April month end.  AAA trading is virtually all MM trades 235dm-298dm which is the most amount of liquidity seen in this rating level in a while, 1 x BSL CLO 2nd pay SARAT 2013-1A A2R3 covers 95.75 at 257dm / 5.5y WAL (EoRP 2024), both are wider than recent comps.

USD CLO Mezz/Equity

AA trade 250dm-302dm with our AA Index 246dm, trading is in weaker MVOC credits with very short reinvestment periods (2 months) so are wide of the index.  Single-A trade 294dm-322dm (post-reinv/short remaining reinv) with our single-A Index 325dm with MVOCs more in line with benchmarks.  BBB saw 11 trades in a 442dm-685dm range (BBB Index 443dm) – trading is in weaker MVOC names and high coupon credits / post reinvestment so a lack of benchmarks to drive the index.  BB trade 750dm-1060dm which is a wide range given the array of profiles (BB Index 835dm), at the tight end is MAGNE 2021-29A E CVR 92.87 at 750dm / 5.5y WAL from Blackrock which does trade typically inside the index with a strong MVOC 104.9, the tail of trades 903dm-1060dm are driven by MVOC <102.5 with benchmarks closer to 103.

USD CLO AAA

Limited liquidity today with the holiday in Europe and month end, just 4 x AAA short dated trades.  US LSTA 100 Index +2bp dod into month end.  AAA bonds trade 162dm-212dm with high coupon and post reinvestment bonds making up the tail of this range, our AAA Index is 166dm.

USD CLO AAA

$138m of liquidity across the stack, US LSTA 100 Index -5bp dod whilst CLO spreads flat on the day.  AAA trade 147dm-224dm with a range of profiles none of which are benchmarks – post reinvestment bonds, 3.0 high coupon bonds and 2nd pay profiles dominate with our AAA Index unchanged at 164dm.

USD CLO Mezz/Equity

AA trade 208dm-305dm with our AA Index unchanged at 246dm, no benchmark trades today (post reinv / low MVOC profiles).  1 x single-A trade in small size 300k clip benchmark profile bond ROCKT 2021-1A C CVR 93.85 at 313dm / 6.8y WAL with our AA Index set at 325dm.  BBB trade 426dm-554dm (BBB Index 443dm) with 1 x post reinv at the tight end and high coupon/low MVOC bond through the wide end of the index. BB trade 816dm-955dm with 1 x benchmark trade VOYA 2020-1A ER CVR 87.92 at 873dm / 8.1y WAL (Voya) – EoRP 2026, coupon +635bps, MVOC at benchmark 102.96 and clean metrics with only the manager’s slightly weaker track record pushing this slightly wide to our BB Index 835dm.

USD CLO AAA

$54m of liquidity, across AAA and BBB/BB/equity.  US LSTA 100 Index -2bp dod and CLO spreads flat on the day.  AAA trade 171dm-345dm, with both trades post reinvestment, FLAT 2017-1A AR CVR 99.24 at 171dm / 1y WAL and a very short wal bond (hence the high dm) CIFC 2012-2RA A1 CVR 99.38 at 345dm / 0.2y WAL (EoRP 2020

USD CLO Mezz/Equity

BBB trade 436dm-463dm wrapped around our BBB Index at 443dm.  BB bonds trade 879dm-1257dm wide of our BB index 835dm, driven by lower MVOC and higher coupon profiles, at the wide end is OZLM 2017-17X D CVR 79.17 at 1257 / 4.8y WAL, this is a post reinvestment bond with a cuspy MVOC 100.6, high ADR 1.3, low Jnr OC cushion 1.6 and weaker manager profile from Sculptor.

USD CLO AAA

$210m of liquidity across the stack, US LSTA 100 index flat dod and CLO spreads slightly softer at AAA/AA but firmer at BBB.  AAA trade 166dm-217dm with the benchmark trades at the tight end 166dm (vs our AAA index 164dm).  Post reinvestment bonds drive the tail with a MM CLO AAA GOCAP 2020-47A A1 CVR 98.7 at 226dm / 2.4y WAL. 

USD CLO Mezz/Equity

AA trade 194dm-263dm with our AA Index 246dm (benchmarks 243dm-263dm), post reinvestment bond through the tight end.  Single-As trade 292dm-373dm with our single-A index 331dm.  BBB saw the most liquidity today with 27 trades for $78m of notional, trading range 398dm-694dm with benchmarks 411dm-451dm (BBB Index 443dm).  MVOC drives those bonds wider of the index along with a number of high coupon bonds which are well in excess of +300bps.  BB trade 486dm-973dm with one benchmark trade GNRT 5A E CVR 89.57 at 864dm / 5.6y WAL – MVOC is in line 102.8, coupon +601bps, Jnr OC cushion healthy 5.2 (our BB Index 835dm). 

EUR AAA CLO

OHECP 2021-8X A traded at 175 dm, in line with recent levels.

USD CLO AAA

$108m of liquidity today across IG, sub-IG and Equity, US LSTA 100 Index continues to grind tighter +11bp dod with CLO spreads largely flat dod.  1 x AAA benchmark trade ELMW3 2019-3A AR CVR 98.35 at 161dm / 5.2y WAL (EoRP 2026) with clean metrics (vs AAA Index 162dm), furthermore there are a number of high coupon 3.0 trades that trade 210dm-249dm with coupons >200bps. 

USD CLO Mezz/Equity

AA trade 222dm-277dm with benchmarks 231dm-257dm (AA Index 238dm) with MVOC driving the wide and tighter ends with all trades with an EoRP 2026.  2 x distressed BBB trades 734dm-809dm with MVOCs depressed in 104 context and low/cuspy Junior OC cushions and coupons are +335bps/+415bps which are on the high side and scale the dm higher too.

EUR AAA CLO

PSTET 2021-1X A traded at 172 dm.

USD CLO AAA

Little liquidity today with only 2 x AAA trades with spreads flat, US LSTA 100 Index +5bp dod.  1 x benchmark AAA trade GLM 2021-9X A (GoldenTree) covers 98.66 at 160dm / 2.8y WAL - MVOC is 146.1, coupon +107bps and Jnr OC cushion 4.9 from a benchmark manager.

EUR AAA CLO

AAAs traded at 177 dm. Spreads are unchanged.

USD CLO AAA

$35m of trading today across the stack including equity, markets fairly stable with US LSTA 100 Index +1bp dod and CLO spreads slightly firmer on the day.  AAA trade 155dm-163dm with our AAA Index tightening into 162dm.

USD CLO Mezz/Equity

BBB trade 416dm-721dm with our BBB Index unchanged at 446dm, positive manager profile driving bonds inside the index and MVOC driving the wide end.  BB trade 826dm-1035dm with one benchmark trade INVCO 2022-1A E CVR 90.2 at 826dm / 8.9y WAL (vs BB Index 833dm) – EoRP 2027, MVOC 102.6 which is in line with benchmarks, coupon +630bps and Jnr OC cushion 5.5 with Invesco the manager which drives it slightly inside the index given the manager’s strong profile.

EUR AAA CLO

It has been a heavy day’s trading across the stack today. AAAs are firmer today by around 5bps, trading at an average spread of 183 dm.

USD CLO AAA

$95m of liquidity across the stack, US LSTA 100 Index continues to firm +2bp dod whilst CLO spreads tighten for IG with sideways/softening on BB.  AAA trade 151dm-175dm whilst there is an outlier short wal / high dm trade which doesn’t constitute the index, benchmarks trade 160dm-170dm with our AAA Index near the middle of this range 164dm.

USD CLO Mezz/Equity

AA trade 240dm-246dm with our AA Index tighter at 233dm, the trades are both current single-A rated so do explain the basis vis a vis the index, all other metrics largely in line.  BBB trade 403dm-888dm with benchmarks 437dm-461dm (our BBB Index 446dm), with trades inside the index driven by a mix of strong MVOC metrics and strong manager profiles, with MVOC driving those bonds wide of the index.  BB trade 778dm-951dm with benchmarks 829dm-848dm (BB Index 836dm), cuspy MVOC and post reinvestment bonds trade wide to the index.