USD CLO AAA

$93m of notional across 23 trades today, spreads continue to tighten evidenced by AAA and BB spreads today, US LSTA 100 Index +1bp dod.  AAA trade 136dm-195dm with benchmarks 142dm-157dm and our AAA Index tightening into 157dm, there are 2 x MM CLO AAAs that trade 213dm-225dm which see a significant shift from the last AAA trades at the end of 2022 in 270dm context, which is in line with the broader market rally.

USD CLO Mezz/Equity

BB trade 800dm-1471dm with benchmarks 868dm-910dm which is neatly wrapped around our BB Index 887dm, MVOC dynamics (into 103 context) drive those trades inside the index whilst the outlier trade is MP12 2018-1A E CVR 70.27 at 1471dm / 5.6y WAL – significant MV shortfall 97.8 MVOC, ADR 1%, Jnr OC cushion 1.96 (the manager Marble Point does run a lower cushion than the representative cohort) with bond close to end of reinvestment in July this year leaving little time to proactively resolve the shortfall.

EUR AAA CLO

AAAs are holding steady at 178dm. As an example SPAUL 5X ARR traded at 98.10 on 17 Jan 2023 and at 98.20 today.

USD CLO AAA

$170m of liquidity today across seniors, mezz and equity with spreads remaining firm, US LSTA 100 Index +10bp dod.  AAA trade 147dm-220dm with benchmarks 153dm-160dm with our AAA Index 160dm, with the wide end of the range (220dm) driven by a post reinvestment bond.

USD CLO Mezz/Equity

26 x BBB trade 372dm-555dm with benchmarks 417dm-499dm and our BBB Index tightening into 452dm, trades wide of the index are post reinvestment and those inside the index are MVOC driven so there is a tightening theme here.  BB trade 781dm-1068dm with benchmarks 872dm-917dm and our BB Index 892dm, similar theme to BBB in that MVOC drives those bonds inside the index but also those wide to the index given their proximity to MV shortfalls, eg. At the wide end is WELF 2019-XA DR CVR 82.55 at 1068dm / 6.8y WAL – MVOC 100.06 and other metrics largely in line.

EUR AAA CLO

A heavy day of EUR trading today. AAAs have traded around 166dm. This is a little firmer, especially in the longer maturities.

USD CLO AAA

100m of liquidity, all in AAA with spreads continuing to firm up, trading range today is 145dm-163dm (all bonds in reinvestment and benchmarks) with our AAA Index tightening into 161dm.

USD CLO AAA

$125m+ of trading today with most of it concentrated at AAA with spreads tightening and keeping up with the rally on the loan side, US LSTA 100 Index +4bp dod.  AAAs trade 154dm-167dm with our AAA Index tightening to 163dm (-7dm), trades today are all benchmarks within reinvestment periods.

USD CLO Mezz/Equity

7 x BB trades in a 893dm-1236dm range with our BB Index unchanged 894dm, all trades wide of the index are driven by weaker MVOC profiles. ASTAT 2022-18A E covers 93.5 at 893dm / 4.3y WAL which is at benchmark level and in line with our index, MVOC is strong 101.6, coupon is in line with comps +685bps and metrics are clean, note that the bond is around 7m post reinvestment.

USD CLO AAA

$32+ of liquidity today, US LSTA 100 Index +1bp dod and CLO spreads remain firm with a little tightening at AAA.  2 x AAA trades today inside our index 170dm in a 154dm-166dm range, RSRVA 2016-3A ARR covers 98.04 at 154dm / 4.7y WAL – clean metrics and an Invesco managed deal / benchmark with EoRP 2026. 

USD CLO Mezz/Equity

1 x AA trade APID 2021-37A B covers 97.17 at 210dm / 6.9y WAL – strong MVOC 124.7 and lower coupon structure +160bps to benchmarks so this does trade inside our AA Index 239dm.  Single-As trade 240dm-373dm with our single-A Index 324dm, well inside the index is a very short dated / deleveraging MM CLO DIMND 2019-1A CR CVR 100 at 240dm / 0.8y WAL so off index.  There are 5 x BB trades 802dm-1154dm with our BB Index unchanged 894dm, at the tight end is a Blackrock managed bond MAGNE 2015-15A ER CVR 88.58 at 802dm / 5.6y WAL – MVOC is in line 101.2 but coupon is low +520bps and this is a reflection of the high quality manager and hence does trade well inside our index.  The remaining trades wide of our index are scaled back predominantly due to MV shortfalls as we have been seeing of recent times.

EUR AAA CLO

AAAs have tightened again – by around 3 to 5 bps. Today’s trades average 172dm.

USD CLO Mezz/Equity

$96m of liquidity today across 31 trades with all trades in the mezz space, US LSTA 100 Index rallies +13bp dod and BB CLO spreads where the most liquidity is seen do tighten.  With regards to the few AA, single-A and BBB trades today these are all off index as post reinvestment.  27 x BB trade 690dm-1379dm with benchmarks 848dm-922dm with our BB Index tightening to 894dm, progressive MVOC levels account for those trades inside the index with weaker MVOC and coupon structure accounting for those wide of the index, BABSN 2015-IA ER covers 72.67 at 1379dm / 5.1y WAL – MVOC has a significant shortfall 97.43 and is imminently ending reinvestment whilst Jnr OC cushion is cuspy 1.5.

EUR AAA CLO

Spreads are holding steady at the moment. AAAs traded around +175 today.

USD CLO Mezz/Equity

Just one cover today, US leveraged loans continue to rally with US LSTA 100 now 2464.45 which is +66bp wow.  CLO spreads are tightening but at a slower pace, the trade today is UNPPK 2022-1A E CVR 93.37 at 849dm / 9.1y WAL (EoRP 2027) - coupon is high +718bps and MVOC is strong 102.01 and does trade inside our BB Index 917dm given the strong NAV, metrics are clean and the manager is a benchmark name Blackstone.

EUR AAA CLO

A good supply of trades today. AAAs have traded around 180dm – these are all seasoned, lower margin deals. They appear to have a found a level here from the north of +200 they were at at the end of last year. We think current margin deals ie new issue levels are still L200s.

EUR AAA CLO

A strong day for AAAs today. The average spread level is well inside +200 now. In fact today’s trades are at +178. We are seeing around 15 – 20 bps tightening in AAAs.

USD CLO Mezz/Equity

Just 2 x AA trades into the long holiday weekend, US LSTA 100 Index +9bp dod and AA spreads firmer.  Trading range today is 226dm-240dm with our AA Index tightening into 239dm, inside the index is WBOX 2019-1A ANBR CVR 97.79 at 226dm / 4.6y WAL - MVOC is strong 124.1 (vs. 122.6 benchmarks) and coupon is lower +170bps whilst other metrics largely in line so these are the factors that influence execution it appears.

USD CLO AAA

20 trades today across $177m of liquidity, CLO spreads continue to grind tighter with US LSTA 100 Index +18bp dod.  AAA trade 151dm—202dm with benchmarks 155dm-177dm with our AAA Index tightening to 172dm, bonds tighter to the index are driven by manager record and those wider are driven by MVOC, coupon structure and to a lesser extent manager performance.

USD CLO Mezz/Equity

Single-A trade 318dm-348dm with our single-A Index tighter at 324dm.  BBB trade 407dm-634dm with our BBB Index 461dm, a similar story to AAA bonds with manager tiering influencing execution and coupon structure scaling those bonds with higher margin to the wider end of this range, eg. APEXC 2019-2A D CVR 89.07 at 634dm / 6.6y WAL – MVOC is in line 106.7 as are other metrics but the coupon is 405dm (well wide to benchmarks in mid-300s context).  BB trade 765dm-828dm with our BB Index 919dm with bonds with strong MVOC (>102) influencing execution.

USD CLO AAA

$39m of bonds exchanged hands today, with an easing into MLK weekend.  US LSTA 100 Index +18bp dod whilst CLO spreads flat on the day.  AAA trade 149dm-197dm with benchmarks 169dm-176dm which is around our AAA Index 173dm with margin structure driving the tiering away from the index.

USD CLO Mezz/Equity

Single-As trade 279dm-440dm which is a wide dispersion around the single-A Index 330dm with the majority of trading wide to the index given MVOC context <111 which is lower than benchmarks in 113/114% context, GLM 2017-2A C covers 96.51 at 279dm / 4.1y WAL which is well inside our index and driven by MVOC 118.45 and lower coupon structure +180bps (vs benchmarks in low-mid 200s context) both scale the dm inside the index.  BBB trade 327dm-416dm with our BBB Index wider at 461dm with both bonds post reinvestment and attached with low coupons are scaled well inside the index naturally.

USD CLO AAA

$117m of liquidity today across the stack, US LSTA 100 Index +180bp on year end 2022.  AAA trade 161dm-175dm for benchmarks and our AAA Index tightens in to 173dm, a number of post reinvestment bonds with coupons by and large <100bps trade wide of the index as we expect. 

USD CLO Mezz/Equity

AA bonds trade 227dm-265dm with our AA Index tighter at 249dm, MVOC driving tiering with one outlier trade either side of the index driven keenly by MVOC dispersion away from benchmark’s in mid-122% context.  BBB trade 413dm-731dm with benchmarks 446dm-464dm and our BBB Index 461dm with MVOC and coupon structure driving tiering for benchmarks.  BB trade 874dm-1195dm with benchmarks 897dm-943dm and our BB Index 919dm, bonds wide of the index are all driven by MVOC with all of these outliers cuspy around 100 MVOC so many are in MV shortfall as it stands.

EUR AAA CLO

A heavy day’s trading today. AAAs are about 6bps tighter than the end of last year, on average eg VOYE 1X A traded at 97.96 today and at 97.55 on 5 Dec 2022. The average traded spread today is 195dm. According to our model BCCE 2020-1A A traded the cheapest at 222dm.

USD CLO AAA

More than $360m of liquidity today, mostly at the AAA level with spreads remaining firm and US LSTA 100 Index +23bp dod.  AAA trade 165dm-224dm with benchmarks 165dm-183dm and our AAA Index 175dm, 2nd pays, post reinvestment bonds and higher coupon bonds tend to make up the tail that trade wide to the index with highe quality 2nd pays now trading slightly inside 200dm.  $352m of the $362m is made up of AAA trades today, circa 97%.

USD CLO Mezz/Equity

AA trade 264dm-292dm with benchmarks trading 264dm-266dm which are wider to our AA Index 250dm, with these bonds having a longer wal (7y) with other metrics broadly in line.  Trades are also in small size (<2m each) so will be less impactful.  1 x BBB trade OAKC 2015-11A DR CVR 93.5 at 436dm / 5.9y WAL which is inside our BBB Index 482dm – wal is at the shorter end (5.9y / EoRP 2024), manager Oak Hill is of high quality, MVOC is broadly in line with benchmarks and coupon is <300bps which may have a bearing on execution for a 5m ticket.

USD CLO AAA

First day of any liquidity since pre-Christmas with  $251m of bonds exchanging hands, US LSTA 100 +29bp on year end.  AAA trade 166dm-214dm with benchmarks 166dm-181dm and our AAA Index tightening 2dm to 175dm.  Wide of the index are 2nd pay AAA 195dm-204dm which are also tighter than late 2022 levels.

USD CLO Mezz/Equity

AA trade 230dm-269dm with benchmarks 237dm-269dm wrapped around our AA Index 251dm, bonds that trade at the wide end of the index are MVOC influenced (<122) but still in benchmark range.  Single-As trade 255dm-308dm inside our single-A Index 330dm given these are post reinvestment bonds with strong MVOC context.  BBB trade 427dm-830dm with benchmarks 427dm-524dm and our BBB Index 488dm which is flat on year end.  Trades wide of the index are driven by MVOC levels <105 and higher coupon structures.  1 x BB trade RAD 2019-5A E CVR 84.78 at 1039dm / 6.4y WAL (EoRP 2024) this is wide of our BB Index 913dm given lower MVOC context 100.9 and inexperienced manager Irradiant Partners with only 1 x CLO under management influencing execution.

USD CLO Mezz/Equity

Very little flow today with $9m notional exchanging hands across 7 low mezz trades, with spreads flat and US LSTA 100 +2bp dod.  BBB trade 437dm-496dm with our BBB Index 483dm, at the tight end is a Goldentree bond GLD12 2016-12A DR CVR 93.64 at 437dm / 5.4y WAL – MVOC is in line but coupon is low +290bps.  BB bonds trade 814dm-1169dm with our BB Index unchanged 923dm, CVC’s APID 2015-23A ER covers near our index 85.75 cover at 930dm / 7.2y WAL – EoRP 2025, MVOC 101.3, coupon +620bps and other clean metrics.  2 bonds are wide to the index and are driven here due to high coupon / low MVOC context.

USD CLO AAA

Muted trading activity in the lead up to Christmas with only $13.5m of liquidity today, spreads flat and US LSTA 100 also flat dod.  At AAA there is one trade KKR 18 AR CVR 98.79 at 174dm / 1.6y WAL slightly inside our AAA Index 178dm – post reinvestment and low coupon +94bps.

USD CLO Mezz/Equity

3 x BBB trades 408dm-445dm inside our BBB Index 483dm, all bonds have low coupons (<300bps) and carry strong MVOC (>106.5) so are scaled inside the index.

USD CLO AAA

$95m of bonds exchanging hands today, spreads flat and US LSTA 100 -5bp dod.  AAA trade 160dm-197dm with benchmarks 176dm-181dm with our AAA Index 178dm, bonds wide to the index are post-reinvestment, APID 2016-24A A1AL is inside our index with CVR 98.42 at 160dm / 2.6y WAL (EoRP 2023) – high MVOC 152.7 and low coupon +95bps (other stats average / weak) but these are the key differentiators for execution.

USD CLO Mezz/Equity

1 x BBB NEUB 2021-40A D CVR 92.36 at 434dm / 6.2y WAL inside our BBB Index 483dm given the low coupon +275bps with other stats broadly in line for this benchmark name.  BB trade 847dm-987dm with our BB Index 923dm with MVOC driving the tiering here given the proximity to a MV shortfall is quite apparent at this rating level.  Closest trade to our index is TPRK 2021-1X E CVR 87.79 a 871dm / 8.2y WAL – MVOC 101.96, EoRP 2026, ADR 0.2, Jnr OC cushion 6.6 and a benchmark manager Blackstone driving the bond slightly inside our index.

USD CLO AAA

$32m of bonds traded today, all high grade with spreads stable.  At the AAA level the majority of trades are post reinvestment that trade in very high dm context given the very short wals (<1y).  There is a small clip of DRSLF 2018-58A A1 that covers near our AAA Index (177dm) at 98.2 at 179dm / 2.5y WAL – EoRP 2023, MVOC is 144.4, ADR is 0.96 so slightly elevated, PGIM is benchmark whilst other stats are clean.

USD CLO Mezz/Equity

At AA the trading range is 258dm-261dm (10m notional) which has shifted slightly wide to our index 247dm, the bonds have MVOC in line with benchmarks (c. 123%) with other stats more or less in line aside from a weaker Jnr OC cushion on APID 2015-20A A2RR (CVC) at 2%, elevated Sub80 bucket 6% and low coupon +155bps.

USD CLO AAA

$68m of liquidity in high grade, AAA spreads firm and remainder of the stack stable, US LSTA 100 -3bp dod.  AAA trade 152dm-178dm with our AAA Index shifting into 177dm, at the tight end is NEUB 2021-40A A CVR 98.4 at 152dm / 4y WAL - MVOC 151.4, Jnr OC cushion 5.2 and +106bp coupon from a benchmark manager Neuberger.

USD CLO Mezz/Equity

AA trade 189dm-386dm with benchmarks 240dm-265dm and our AA Index unchanged 245dm, 2 x MM CLO AA trade at the wide end of this overall AA range 344dm-386dm.  3 x rare MM CLO single-As trade 452dm-480dm with no BSLs.

USD CLO AAA

$140m of liquidity today, CLO spreads largely flat and US LSTA 100 +4bp dod.  AAA trade 165dm-189dm with our AAA Index 179dm, 3 x 2nd pay AAA trade 195dm-201dm which is a tighter theme than the last time 2nd pay AAAs traded.

USD CLO Mezz/Equity

AA trade 244dm-301dm with benchmarks 244dm-246dm / our AA Index unchanged 245dm, 3 bonds trade wide to the index of which 2 are post reinvestment and the other which is in reinvestment ANCHC 2018-1RA B covers 96.48 at 263dm / 3.4y WAL – ADR high 1.13 and Junior OC cushion cuspy 1.4 whilst Anchorage has a weaker manager profile.  There are a large number of single-A trades today (14) with a trading range 313dm-426dm with benchmarks 317dm-381dm and our single-A Index 333dm, 3 bonds tight to the index are MVOC driven factors / clean credit whilst the 3 wide to the index are MVOC / high coupon and not credit driven with the exception of OZLM 2016-15A BR which covers 92 at 389dm / 6.2y WAL – MVOC is in line 114.8 but ADR is elevated at 1%, Junior OC cushion is low 2.6 and the manager Sculptor has a weak performance record.

EUR AAA CLO

AAAs drifting slightly wider.

USD CLO AAA

$83m of trading today across the stack including equity, a tightening theme all round including US LSTA 100 +18bp dod.  AAA trade 161dm-238dm with benchmarks 169dm-187dm with our AAA Index tightening to 180dm, high coupon AAAs (>200bps) dominate the wide end of the trading range today.

USD CLO Mezz/Equity

AA trade 231dm-252dm with our AA Index unchanged at 245dm.  Single-As tightened, trading range today 278dm-352dm with benchmarks 318dm-329dm with our single-A Index tightening to 331dm, OCT33 2017-1A B trades wide to the index CVR 94.41 at 352dm / 3.9y WAL – ADR is elevated 1.3, MVOC is 111.9 which is a point below benchmark and Junior OC cushion is also at the low end 2.4.  BB trade 904dm-1116dm with very few benchmark bonds trading, our BB Index is 923dm with the majority of bonds trading wide to the index given MVOC migration below 101 which is where we see benchmark bonds.  2 x equity trade with yields 17.5% to 25%, cover prices in low-mid 50s context, eg. MP17 2020-1A SUB (Marble Point) covers 51.38 which equates to a 24.75% yield accounting for asset level haircuts and our respective call assumption.