USD CLO AAA

$60m of trades today, all high grade, US LSTA 100 +4bp dod whilst spreads continue their tightening tone.  At AAA the trading range is 192dm-251dm with our AAA Index 196dm (-4dm), at the wide end today are 2nd pay AAA, post reinvestment bonds and high coupon AAAs which account for this.  At the tight end is a benchmark trade GLM 2021-10A A CVR 96.2 at 192dm / 5.5y WAL (EoRP 2026) – very clean metrics all round (MVOC 153.1 / ADR 0.2 / Jnr OC cushion 5.5, coupon +110bps) from a benchmark manager Goldentree.

USD CLO Mezz/Equity

At AA there are 4 trades in a 271dm-352dm range with our AA Index 291dm, the benchmark trade today is MDPK 2014-14A BRR CVR 95.35 at 295dm / 4.4y WAL – MVOC 124.2, coupon +170bps with a slightly elevated ADR 1.1 and low/mid end Jnr OC cushion 2.4 and WARF > 3000 at 3007 with the manager a benchmark name keeping this close to the index.

USD CLO AAA

$250m of liquidity today, the highest in some time and no coincidence that markets have a firmer tone, US LSTA 100 +12bp today and CLO spreads are slightly firmer across the board.  32 x AAA trade 191dm-344dm, a very wide dispersion given the array of profiles.  At the wide end 307dm-344dm are 2 post reinvestment bonds with weaker MVOCs, ADRs around 1% and Jnr OC cushions 3% and coupons around +100bps.  Thereafter there are 2 x 2nd pay AAA that trade 252dm-265dm which trade at a premium to 1st pay, our AAA 1st pay Index is 200dm.  Whilst benchmark AAAs trade 191dm-206dm which is wrapped around our AAA Index level. 

USD CLO Mezz/Equity

10 x single-A trade 362dm-480dm with bonds with lower MVOCs dominating the wide end since our single-A Index is 378dm and benchmarks today trade 362dm-385dm.  A rare MM CLO single-A ANTR 2017-2A CR covers 87.66 at 510dm / 6.6y WAL, first one since June (trade was 435dm when BSL AAA 1st pays were trading in 180s context).  BBB trade 512dm-586dm well wide to our BBB Index 491dm, trades are weaker profiles (MVOCs 106 area vs benchmarks 107+).  Same story with BB with a trading range 975dm-1588dm with our BB Index 944dm, the trades have cuspy MVOCs with some in MVOC shortfall, eg. At the wide end HLM 11A-17 E CVR 70.84 at 1588dm / 4.7y WAL, this is a post reinvestment bond with MVOC 98.51 and Jnr OC cushion 1.6 so has an equity type return profile with the benefit of a promised coupon, so far no deferred.

USD CLO AAA

$130m of liquidity today across the stack, US LSTA continues to firm +29bps dod as CLO spreads remain stable.  AAA trade 191dm-230dm with our AAA Index 202dm, at the wider end of today’s range a cluster of bonds with weaker MVOCs, elevated ADRs and higher coupons to a smaller extent scaling the dm higher than the index on some bonds. 

USD CLO Mezz/Equity

1 x rare MM CLO AA trade today, GRTLK 2019-1A BR CVR 92.8 at 393dm / 4.1y WAL (EoRP 2023) which is a BMO managed CLO, the last comp was in May when markets were tighter at 311dm.  4 x distressed BB trades 1402dm-1801dm with all of these bonds with MV shortfalls (MVOC 97.3-99.99) which heavily impacts upon execution levels since the BB Index is 951dm.

EUR AAA CLO

There are 2 AAA trades today. HAYEM 6X A traded at 250dm and GLGE 6X AR at 308dm. AAA spreads are struggling to come down. We understood the blow out at the end of Sep was due to LDI funds having to raise liquidity from their senior assets due to the disorderly market in gilts. Gilts, we believe, have stabilised, with the intervention of the BoE, but AAA CLO spreads in secondary remain stubbornly wide.

USD CLO AAA

11 trades $25m of flow today, US LSTA 100 bounces back +81bp dod.  1 x AAA trade which is post reinvestment CIFC 2017-3A A1 CVR 98.4 at 216dm / 1.8y WAL – the MVOC is in a lower percentile 142.7 and Jnr OC cushion is low-mid end 3.25 so trades slightly wide of our AAA Index 201dm.

USD CLO Mezz/Equity

7 x AA trades in a 298dm-495dm range with our AA Index 303dm, the majority of bonds are post reinvestment, low MVOC / Jnr OC cushion and hence trade wide to the index, FLAT 2018-1A B trades near the index CVR 94.9 at 298dm / 3.6y WAL (EoRP 2023) with clean credit / test metrics and healthy MVOC 124.7.  3 x BBB trades 622dm-678dm all well wide to the BBB Index 494dm given observed MVOC levels (105 area) are lower than benchmark which is 107+ along with some weaker credit metrics (ADRs near 1%) and low Jnr OC cushions (3.2%).

EUR AAA CLO

Just one AAA trade today. INVSC 3X A traded at 262dm. The Penta 12 New Issue priced at 220dm – so that is the AAA range right now.

USD CLO Mezz/Equity

A string of BBs trade today with market direction flat, US LSTA 100 +13bp dod.  BB trade 949dm-1277dm with the BB Index 951dm, the BB trades wide to the index are driven by MVOC migration for these bonds with those cuspy and close to a shortfall enduring higher ADRs (>1%), eg. BABSN 2018-3A E CVR 79.55 at 1277dm / 4.1y WAL – MVOC 100.72 / ADR 1.02, Jnr OC cushion low 2.6, WARF toppy 3000 and the bond post reinvestment this has been downgraded to single-B territory.

USD CLO Mezz/Equity

Limited activity with month end as there is only $42m of flow today, US LSTA 100 is also flat dod and spreads feel softer at the end of the quarter.  BBB trade 486dm-514dm wrapped our BBB Index 494dm, at the wide end is EATON 2013-1A C3R CVR 90.5 at 514dm / 7.7y WAL (EoRP 2026) – ADR is a little elevated 0.9, coupon is >300bps and Eaton Vance is an inexperienced manager so there is a small impact upon execution taking it over our index level.  BB trade 967dm-1237dm with our BB Index at the tighter end 952dm, the MVOCs on today’s trades are at the lower end of the scale (in some case very cuspy near par) so trades are wide to our index today.

USD CLO AAA

5 x trades today for $50m notional, markets rocky as US LSTA is down 26bps dod with a softening theme for CLO liabilities.  2 x AAA trade 262dm-270dm well wide of our AAA Index 197dm, one trade is post reinvestment and the other is in reinvestment WOODS 2018-12BA A2 CVR 97.38 at 262dm / 2.7y WAL (Angelo, Gordon & Co) but the ADR is very high 1.23 whilst MVOC is at the lower end of the scale for comps 143.08 so execution is wide to the index.

USD CLO Mezz/Equity

3 x mezz trades, all post reinvestment and upgraded bonds, for instance at BBB SYMP 2016-17A DR CVR 94.43 at 490dm / 2.8y WAL - ADR is 1 whilst other metrics are in line and the manager has a good track record however that is immaterial given the bond is post reinvestment, the bond is upgraded at single-A and yet trades very close to our BBB Index 479dm.

EUR AAA CLO

The secondary market has gapped out today. There are 4 x AAA trades today, at average spread of 281dm. This exceeds the all time wides we saw back in July. CGMSE 2015-3X A1AR did trade in July at a price of 97.17. Today it has traded at 96.61 / 321dm for a 1.4yr WAL bond that finished its RPE in Jan 2022.

EUR AAA CLO

We have 13 x AAA trades to look at today. The average traded spread for secondary, via BWIC, is 234dm which is a lot wider than the 200a prints in the new issue market. Also a number of today’s bonds are quite short and are amortising and they still had an average spread of 234dm. Recent relative weakness is demonstrated by DRYD 2016-46X ARR which traded today at 94.26, but last traded on 10 Aug at 95.93.

USD CLO Mezz/Equity

Limited liquidity today once again with the uncertainty following the Fed hike and likelihood of future hikes to stem inflation, only USD 23m of liquidity today in mezz, US LSTA 100 -21bp dod whilst CLO mezz spreads widened.  BBB trade 467dm-490dm with our BBB Index widening to 467dm (+14dm), with 2 x Octagon managed CLOs propping up the wider end 474dm-490dm with the bonds seeing good performance but the manager has a slightly weaker record versus benchmark.  At BB the trading range is 878dm-955dm with our BB Index widening to 849dm (+8dm), at the wide end is an outlier trade OCT53 2021-1A E CVR 84.7 at 955dm / 8.4y WAL which is another Octagon managed deal with the MVOC at the lower end 102.5 impacting upon execution.

USD CLO AAA

$33m of trades today, US LSTA 100 -9bp following news today of the Fed rate hike as CLO spreads drift a shade wider.  AAA trade 173dm-201dm for very short wal as bonds are either post reinvestment or soon to be with our AAA Index 171dm.

USD CLO Mezz/Equity

BBB trade 443dm-583dm with the BBB Index 453dm, the outlier trade is ALLEG 2018-2A D CVR 89.07 at 583dm / 5.1y WAL – MVOC is lower (106.8) to benchmark (107.5) whilst metrics like Jnr OC cushion (2.7) are weaker than benchmark levels of 4.4 and Axa’s manager record is weak versus peers.  BB trade 905dm-1579dm in a very wide dispersion given the MV shortfall for a number of bonds that trade with equity type returns as a result.  Stripping these away the trading range is 905dm-988dm (BB Index 841dm) for cleaner bonds in reinvestment, so there is a softer feel to execution today at the very cuspy level of the stack.  At the tight end is CSAM’s MDPK 2021-38A E CVR 84.15 at 905dm / 8.7y WAL – ADR 0.3, MVOC 103.5, Jnr OC cushion 5.5, WARF 2822 and coupon +600bps so fairly clean / benchmark metrics.

USD CLO AAA

$211m of liquidity today with spreads a touch softer overall with US LSTA 100 -7bp dod.  At AAA there is a MM CLO trade ABPCI 2017-1A A1R CVR 97.125 at 257dm / 3.3y WAL which is around 20dm wider to mid-Sep  context whilst in the same period AAA BSLs have widened around 4dm.  BSL AAA trade 173dm-210dm which is wide to our AAA Index 170dm with a number of trades scaled with a higher coupon structure and lower MVOC performance.

USD CLO Mezz/Equity

AA trade 254dm-293dm with our AA Index inside this at 242dm, MVOC drift on these bonds lower than 124 accounting for the execution levels wide of the index.  BBB trade 446dm-563dm with our BBB Index 451dm, execution at a 5-handle are driven by higher coupon bonds >340bps whilst DRSLF 2019-72A DR (PGIM) covers 90.13 at 501dm / 6.5y WAL – high ADR 1.56, lower MVOC 106.5 with other metrics clean as benchmarks trade 446dm-488dm as BBB experience a little softening effect.  BB trade 828dm-930dm with our BB Index stable at 838dm, at the wide end is CIFC 2019-1A E CVR 89.35 at 930dm / 6.4y WAL scaled a little by the higher coupon structure (+683bps) but the MVOC 102.8 (2pts lower to trades near the index) impacts upon execution level from this benchmark manager.

USD CLO AAA

$31m of AAA liquidity today, US LSTA 100 -20bp dod and the AAA Index drifts wider.  AAA trade 168dm-193dm with the AAA Index wider at 169dm, at the wide end is a post reinvestment bond BATLN 2015-8A A1R2 CVR 98.5 at 193dm / 1.9y WAL – Jnr OC cushion is low 2.7 and ADR is elevated 1.3 so this is excused from the index with benchmarks trading 168dm-180dm with very little tiering to note aside from the wide end GNRT 4A A1R CVR 98.35 at 180dm / 2.5y WAL (EoRP 2023) from Generate Advisors which is a new manager so a slight premium is paid to the Index level.

USD CLO Mezz/Equity

3 x BB trade in a 899dm-1034dm range with our BB Index widening slightly to 839dm, the wider end of the range 950dm-1034dm is driven by 2 bonds that have weaker MVOC (101-102 area) with HLM 4A-2014 DR propping up the wide end CVR 82.63 at 1034dm / 5.2y WAL - MVOC 101.7, Sub80 bucket 5.1 and Jnr OC cushion 1.3.

EUR AAA CLO

Just the one AAA trade during the UK Bank Holiday. PRVD 1X A traded at 204dm which is a lot wider than the 180s we had been seeing and this is in spite of the fact that it is amortising and is only 2yr WAL.

USD CLO AAA

Plenty of liquidity today with $124m trading, US LSTA 100 +2bp dod whilst spreads stable aside from a little softening at single-A.  2 x MM CLO AAA trade today 224dm-232dm (Monroe and Golub) which are in line with recent activity.

USD CLO Mezz/Equity

AA trade 241dm-315dm with the AA Index 246dm, credit / high coupon scale the wide end with benchmark names 241dm-276dm with MVOC influencing small tiering within this benchmark range.  Single-A trade 331dm-357dm for benchmark names which does push our single-A Index wider to 325dm.  There are a number of outliers that trade 358dm-537dm driven by lower MVOC and high ADR / low Jnr OC cushions, at the wide end is MCLO 2015-8A BR CVR 89.69 at 537dm / 4.4y WAL (EoRP 2023) – ADR 2.6, Sub80 bucket 7.6, MVOC 111.7 (versus benchmark in mid-115 area) and a cuspy Jnr OC cushion 1.1.  BBB benchmarks trade 429dm-487dm with our BBB Index in the middle of this range 450dm, a number of outlier trade 492dm-813dm with ADR, high coupon, low MVOC etc influencing factors.  Benchmark BB bonds trade 809dm-857dm with our BB Index in the middle of this range 837dm, non benchmarks trade 858dm-1092dm populated by high coupon bonds particularly along with bonds with some MVOC drift towards par.

USD CLO AAA

$35m of liquidity today, mainly mezz with spreads stable/slightly softer theme, US LSTA -8bp dod.  1 x AAA trade KKR 39A A CVR 96.95 at 181dm / 5.8y WAL wide of our AAA Index 166dm given the lower MVOC 148.1.

USD CLO Mezz/Equity

AA trade 243dm-304dm with the AA Index 246dm, the wider end 292dm-304dm are driven by weaker names with Jnr OC cushions <1.5 with benchmark names trading 243dm-260dm which is close to / slightly wide of our index.  Single-A benchmark names trade 320dm-358dm with our single-A Index 319dm so a softer theme here.  At the wider end is an outlier bond with a high coupon FEIM 2019-1A B CVR 96.26 at 404dm / 5.9y WAL – coupon +325bps with strong performance.  BBB trade 462dm-480dm wide of our BBB Index 450dm, MVOC on these trades are at the lower end 106.5-107.4 versus benchmark 108 so these are reflected in the execution price especially given key credit metrics are clean.  BB trade 899dm-1037dm with our BB Index far lower 837dm, MVOC distribution on trades today is 101.7-102.2 with benchmarks closer to 103 area, at the wide end is TSYMP 2017-1A E CVR 86.78 at 1037dm / 4.7y WAL – MVOC is cuspy at 101.7 and post reinvestment so the portfolio is static and hence reflected in the weaker execution.

USD CLO AAA

$84m of liquidity today across the stack, spreads a touch softer on mezz whilst US LSTA 100 -17bp dod.  AAA trade 164dm-189dm with our AAA Index 165dm, at the wide end of this range is a credit impacted bond GWOLF 2018-2A A1 CVR 98.05 at 189dm / 3y WAL – ADR 1.6, WARF 3010 whilst Greywolf has a weaker manager record versus peers.

USD CLO Mezz/Equity

AA trade 219dm-275dm with our AA Index around the middle of this range at 246dm, so little tiering today to note.  Single-A trade 313dm-405dm with our single-A Index wider at 310dm (from 305dm), trading activity scaled by some higher coupon bonds (>200bps) with trading trending wider into low-mid 300s context for benchmark names it feels.  BBB trade 426dm-559dm with our BBB Index 449dm, there are two outlier trades which would have otherwise made today’s trading range 426dm-498dm.  The outlier trades are high coupon bonds (>340bps) and both have a slightly weaker MVOC (106-107) to the mean (108) so there is some scaling effect there driven mainly by the margin structure.  BB trade 760dm-1013dm with our BB Index 835dm, at the wide end is ANCHC 2014-4RA E CVR 85.44 at 1013dm / 4.2y WAL – ADR is high 1.1, Sub80 bucket is high 4.4, MVOC is slightly lower (102.7) than the mean 103 whilst the Jnr OC cushion is cuspy 1.9 and WARF is high 3137.

EUR AAA CLO

BWIC trading volumes picked up today and from AAA to BBB spreads have generally firmed slightly. BECLO 4X A traded at 167dm because it is amortising. CRNCL 2021-14X A traded at 193dm.

USD CLO Mezz/Equity

$22m of liquidity today, all mezz with spreads stable.  US LSTA 100 +22bp dod.  1 x AA trade REG14 2018-3A B CVR 97.26 at 260dm / 4.2y WAL which is wide to our AA Index 245dm – coupon is at the higher end +185bps which scales the dm and Jnr OC cushion is a little low 2.4.  1 x single-A trade AIMCO 2018-AA C CVR 94.67 at 323dm / 4.2y WAL wide of our single-A Index 305dm – Allstate is an inexperienced manager with 5 deals under management albeit good performance whilst performance metrics are fairly middle ground with a lower coupon +175bps.  BBB trade 459dm-552dm with our BBB Index 440dm, a number of high coupon bonds distort the dm’s today (>345bps coupon structures), RRAM 2018-4A C with a more ‘normal’ coupon +295bps covers at 91.88 at 483dm / 5.4y WAL – ADR is high 1.5 and MVOC at the lower end 106.3.  3 x BB trades 820dm-1053dm with our BB Index 832dm, the wider end of the range driven by 2 bonds that have cuspy MVOC (<102), coupons <575bps and elevated ADRs 0.9-1.4 territory and Jnr OC cushions <3.7.

EUR AAA CLO

Just one AAA trade today. BAST 2020-3X A traded at 97.58 / 188dm, which is an unchanged AAA level.

USD CLO Mezz/Equity

Just the one trade today at the end of the week, US LSTA 100 +16bp dod.  HLM 13A-18 C (EoRP 2023) covers 93.66 at 377dm / 4.7y WAL which is wide to our single-A Index 341dm - ADR is elevated 1%, HPS has a slightly weaker manager profile, MVOC is at the lower end of the scale for single-A and Jnr OC cushion is cuspy 1.56 whilst the coupon structure is relatively strong +215bps.

USD CLO AAA

$220m of liquidity today across the stack, US LSTA 100 +6bp dod.  There are a number of short wal trades today (post reinvestment bonds) which don’t impact our index but trades within reinvestment trade 164dm-201dm with our AAA Index 165dm.  The wide end of today’s trades are credit impaired (ADR 1%+ / Jnr OC cushions <2% / Sub80 bucket as high as 6.6%).

USD CLO Mezz/Equity

2 x AA trades are post reinvestment and trade in a 244dm-287dm range (both bonds MJX AM), our AA Index is 245dm.  Single-A trade 323dm-376dm with our Single-A Index 330dm.  BBB trade 413dm-505dm with our BBB Index 438dm.  At the wide end of today’s range is ANCHC 2018-10A D CVR 91.8 at 505dm / 5.4y WAL – ADR is 1%, Jnr OC cushion is at the lower end 2.7, MVOC is low/mid 108.7 and the manager Anchorage has a weaker track record versus peers.  BB trade in a very wide dispersion 803dm-1321dm with our BB Index 833dm, the trades are dominated by a number of weaker credits with MVOC’s close to 100 and Jnr OC Cushions pulling towards 2% particularly with the wider end dominated by those post reinvestment where the manager does not have the ability to proactively manage MV metrics.  Nonetheless our index is stable dod with a +1dm move.

USD CLO AAA

Surplus to $200m exchanging hands today, US LSTA 100 -6bp dod and spreads moving sideways.  AAA trade 160dm-200dm with our AAA Index 166dm, furthermore ABPCI 2020-9A A1R which is a MM CLO from Alliance Bernstein  covers at 97.77 at 226dm / 2.8y WAL, an outlier BSL trade is FCBSL 2021-1A A CVR 97.91 at 200dm / 4.5y WAL – metrics are clean and coupon is in the higher percentile level at +147bps which has a little scaling effect on dm as opposed to credit/MV driven away from the index. 

USD CLO Mezz/Equity

BBB trades 405dm-467dm with our BBB Index slotting into the middle at 435dm, one outlier trade is MDPK 2013-11A DR (CSAM) but is post reinvestment and downgraded to BB with a CVR 93.5 at 512dm / 4.2y WAL, since the manager is unable to actively manage the deal there is some migration with ADR elevated 1.11, Sub80 bucket 3.7, MVOC at the lower end 107.9 and Jnr OC cushion at the lower end 2.5.  BB trade in a wide dispersion given the array of profiles 762dm-1383dm with our BB Index 832dm, at the wide end is VIBR 2017-7A D CVR 76.35 at 1383dm / 4.9y WAL – ADR is elevated 1.1, Sub80 6.3, MVOC has a shortfall 99.92 and Jnr OC cushion is 1.9 whilst the deal is shortly to exit reinvestment.