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.

USD CLO AAA

$142m of trades today across IG and subIG, spreads stable and US LSTA virtually flat dod.  AAA trade 169dm-231dm with benchmarks 175dm-180dm with our AAA Index tightening slightly to 182dm.  There is a rare 2nd pay AAA WINDR 2018-2A A2 CVR 96.29 at 221dm / 5.8y WAL.

USD CLO Mezz/Equity

AA trade 225dm-321dm with our AA Index towards the tighter end 245dm, one outlier trade at the wide end WELF 2017-3A A2 CVR 95.25 at 321dm / 3.2y WAL – one month from end of reinvestment period end, low MVOC 118.3 (v 123 benchmark), WARF > 3000 and Junior OC cushion low at 2.4.  Single-A trade 328dm-340dm wrapped around our single-A Index 334dm.  BBB trade 457dm-549dm with benchmarks 466dm-538dm with our BBB Index 483dm.  KKR 27A DR trades slightly wide to the index cover 90.2 at 538dm / 6.4y WAL – MVOC is largely in line, EoRP is 2024, WARF is only a touch high 2958, manager has a good profile, Jnr OC cushion is strong 5.9 and ADR is low 0.47, the only metric which is elevated is CCC at 6.2% which may explain some of the basis to the index but not all.  BB trade 900dm-1181dm with benchmarks 900dm-968dm and our BB Index drifting slightly to 928dm.  Bonds wide to the index are MVOC led with the exception of ANCHC 2016-9A ER2 CVR 85.05 at 1041dm / 6.4y WAL – the MVOC is in more or less line with benchmarks 101.22 but WARF is high 3148, ADR is elevated at 1%, Jnr OC cushion is low 2.7 and the manager Anchorage has a slightly weaker profile versus its peers.

EUR AAA CLO

Just 2 x AAA trades today. Spreads are flat on the day. These trades have come in around + 200 bps, which optically look a little wider but in fact they have margins that are on the high side and these spreads are to be expected.

USD CLO Mezz/Equity

$58m of liquidity today, all mezz, spreads continue to grind tighter and US LSTA 100 -3bp dod.  AA bonds trade 236dm-285dm with benchmarks 239dm-268dm and our AA Index 245dm, wide of the index is LCM 16A BR2 CVR 96.06 at 285dm / 4.2y – weak MVOC 119.5 (vs benchmark 123a) and , Junior OC cushion is low 2.1.  BBB trade 450dm-702dm with benchmarks 450dm-502dm with our BBB Index 482dm which is in the middle of this range.  Bonds wide of the index are MVOC influenced primarily with some scaling from slightly weaker manager profiles including Wellfleet and Voya.  BB trade 820dm-1307dm with benchmarks 899dm-924dm with our BB Index tightening to 924dm, CGMS 2021-6A E covers right on our index with cover 85.84 at 924dm / 8.5y WAL – MVOC 101, EoRP 2026, ADR 0.09, Jnr OC cushion 5.8 and coupon +646bps which are benchmark levels.

EUR AAA CLO

AAAs looked to have moved wider last Thursday but now look to have tightened back to where they were before that. The moves on Thursday may not have been representative of the broader market.

USD CLO AAA

$137m of liquidity today with mainly IG bonds trading with spreads continuing to remain firm, US LSTA 100 +5bp dod.  AAA trade 148dm-248dm for BSLs with MM CLOs trading 262dm-265dm, there is a wide range for BSLs given the array of profiles.  Our AAA Index tightens to 185dm with benchmarks trading 179dm-192dm today, those trades wide of the index are driven by high coupon, low MVOC and combinations of cuspy Junior OC cushion / elevated ADRs, eg. At the wide end is OCT17 2013-1A A1R2 CVR 97.11 at 248dm / 2.1y WAL (EoRP next month) – ADR 1.14, Jnr OC cushion 2.4 with MVOC 151.

USD CLO Mezz/Equity

Single-As trade 263dm-360dm with benchmarks 321dm-352dm with our single-A Index tighter at 335dm, MDPK 2019-33A CR trades inside the index CVR 98.27 at 263dm / 5.7y WAL – MVOC is strong 115.4 and metrics/tests are all clean/healthy whilst the manager CSAM is a benchmark name.  BBB trade in a characteristically wide dispersion 340dm-640dm with benchmarks 448dm-509dm and our BBB Index 486dm (-3dm dod), MVOC drives tiering inside the index with the market grinding in this direction for CLO spreads.  Bonds wide of the index are driven by manager metrics particularly with all other variables largely in line aside from MVOC.

EUR AAA CLO

A raft of AAAs have traded today. AAAs look to have moved wider. The average spread on the floaters is 232 dm which is 20 bps, or more, softer.

USD CLO Mezz/Equity

A trickle of liquidity post Opal CLO conference with 4 mezz trades and $4.5m of notional, with US LSTA 100 +2bp on last CLO trading day and spreads remaining firm.  1 x BBB APID 2019-31A DR CVR 92.93 at 458dm / 6.2y WAL (CVC, EoRP 2024, coupon +310bps) – strong MVOC 107.07 but low-mid Jnr OC cushion 2.8 and does trade inside our BBB Index 489dm given the overall profile.  2 x BB trade 894dm-980dm with our BB Index 935dm, WHTPK 2021-1A E CVR 85.12 at 894dm / 9y WAL trades inside the index given clean metrics (MVOC 101.1, Jnr OC cushion 4.4, benchmark manager Blackstone) and the scaling factor of the lower coupon structure +615bps.  1 x rare single-B MDPK 2018-28A F CVR 80.47 at 1222dm / 7.2y WAL, this is inside our single-B Index 1386dm given the strong MVOC 101.21 (at BB levels) and overall clean metrics from a benchmark manager CSAM.

EUR AAA CLO

Just a handful of AAA trades today. Market feels a little firmer, with an average traded spread of 194 dm.

USD CLO AAA

Only $16m of liquidity today, AAA and BBB with spreads stable and US LSTA 100 +10bp dod.  AAA trade 186dm-232dm with our AAA Index unchanged at 188dm, the outlier trade is VENTR 2017-29A AR CVR 97.81 at 232dm / 1.8y WAL – post reinvestment (EoRP Sep 22), ADR elevated 1.26, Jnr OC cushion low 2.2, MVOC low end 138.2 and manager MJX has a weaker profile.

USD CLO Mezz/Equity

BBB trade 443dm-583dm with our BBB Index 493dm, benchmarks trade themselves in a wide dispersion 443dm-539dm with tiering due to slightly lower MVOC (106.2), higher coupon (+365bps) and shorter wal (EoRP 2025) on KKR 38A D which covers 91.57 at 539dm / 7y WAL versus a Carlyle BBB CGMS 2019-3A CR CVR 93.69 at 443dm / 6.7y WAL – coupon +320bps, MVOC 106.6 and EoRP 2024.  But little in this with our BBB Index the near mid point between these two trades.

USD CLO AAA

Plenty of liquidity today, $242m exchanging hands with CLO spreads stable and US LSTA 100 +17bp dod.  AAAs trade in a wide dispersion 170dm-244dm, the profiles of these AAA are not considered benchmarks given the majority are post reinvestment, low MVOC or low coupon structures, our AAA Index is unchanged 188dm.

USD CLO Mezz/Equity

AA trade 242dm-269dm with GLM 2018-3A B1 (GoldenTree) at the wider end CVR 96.56 at 269dm / 3.4y WAL, metrics are reasonable whilst Jnr OC cushion is cuspy 1.55 and ADR is elevated and close to 1% (0.9%).  Our AA Index is 252dm.  Single-As trade 311dm-359dm with benchmarks 344dm-359dm and our single-A Index 343dm, bonds tight to the index have short wal with low coupons (<200bps).  3 x BBB trade 519dm-614dm which is well wide to our BBB Index 494dm, influenced by lower MVOCs (<106) versus benchmark (106.6) compounded with some scaling factors from weaker managers, eg. PARL 2021-1A D CVR 85.31 at 614dm / 8y WAL – metrics are clean and MVOC is only slightly back to benchmark 106.2 but the manager’s weak performance record drives execution wide on this bond.  24 x BB trade in a very wide dispersion 808dm-1255dm with benchmarks 902dm-984dm and our BB Index 940dm, bonds inside the index are NAV driven and the same for those wide of the index today.

EUR AAA CLO

The 2 x AAA trades are at 206dm. It feels like AAAs are trying to go tighter, but without much conviction.

USD CLO Mezz/Equity

Month end so liquidity is a little subdued with only $81m of mezz trading, spreads are stable and US LSTA 100 +3bp dod.  AA bonds trade 248dm-259dm wrapped neatly around our AA Index 253dm.  11 x BB trade 861dm-1380dm with benchmarks trading 906dm-966dm and our BB Index 937dm, at the lower end of this scale is GLM 2017-2A E CVR 85.29 at 861dm / 5.2y WAL – low coupon +470bps and strong MVOC 102.04 with clean credit metrics.  Wide of the index are bonds with cuspy MVOC (<101 and some with MV shortfalls) that are key drivers of the tiering away from our Index, whilst ADRs are elevated for this cohort of bonds wide of the index (average 1.5% with max 3.9%).

EUR AAA CLO

Just one AAA today. FOAKS 2X AR traded at 215 dm, which reverses the modest AAA tightening we saw 2 days ago.

USD CLO AAA

$224m of trading today, right across the stack from AAA to Equity, spreads firmer in high grade whilst US LSTA 100 is flat dod.  21 x AAA trade 174dm-320dm with benchmarks 174dm-193dm and our AAA Index unchanged 188dm, trades wide of the index are driven by high coupon, post reinvestment bonds and credit factors.

USD CLO Mezz/Equity

AA trade 189dm-318dm with benchmarks 242dm-264dm with our AA Index tighter at 255dm, MVOC drives tiering wide of the index as we have seen of late, whilst credit factors have a smaller influence but ADR does seem to drive the wide end.  BBB bonds trade 424dm-711dm with benchmarks 490dm-541dm with our BBB Index towards the tighter end of this at 494dm which is where we see higher quality BBB benchmarks, MDPK 2021-52A D covers 89.79 at 490dm / 8.3y WAL right near our Index – manager is CSAM, ADR is 0, MVOC is 105.2, coupon +315bps and Jnr OC cushion is strong 5.1.  BB bonds trade 775dm-985dm with benchmarks towards the wider end of this range 933dm-985dm with our BB Index 931dm, bonds tight to the index have a far higher MVOC (103+) than the wider benchmark (mid-101s) and hence drive execution levels.

USD CLO AAA

First trades trickle through post Thanksgiving, US LSTA is +7bp wow and CLO spreads remain flat to pre-holidays.  5 x AAA trade 188dm-255dm with high coupon bonds monopolising the majority of this range, APID 2019-31A A1R is representative of sentiment (EoRP 2024 / coupon +110bps) covers 97.97 at 188dm / 2.9y WAL – clean metrics with only Jnr OC cushion a slight weakness (2.8) but benchmark manager CVC nonetheless this trades right on our AAA Index 188dm.

USD CLO Mezz/Equity

4 x BB trade 1005dm-1125dm with Assured IM’s BLUEM 2019-25A ER at the wide end, CVR 81.05 at 1125dm / 8.5y WAL – ADR 1.02, MVOC is cuspy 100.5 (vs benchmarks now in mid-101s) and high coupon scaling +725bps margin.  With the other trades wide of the BB Index 929dm due to a variety of variables including manager profile, high coupon, cuspy MVOC or combination thereof.

EUR AAA CLO

It has been an active day’s trading today, after the US holiday weekend, with 32 EUR covers from AAA to BB. Overall the credit curve looks to have steepened a little with AAAs a little firmer and sub-IG a little softer. The 6 x AAAs have traded at an average spread of 203 dm.

USD CLO AAA

Day before Thanksgiving so liquidity is typically muted, we observed 2 trades both are AAA with spreads remaining robust.  US LSTA 100 +5bp dod.  2 x AAA trades either side of our AAA Index 188dm (range 176dm-194dm) with clean metrics on both and coupon structure the key variable in the small tiering effect.

USD CLO AAA

$156m of liquidity today, spreads stable and US LSTA 100 -1bp dod.  A large number of AAA trades today with the large majority off our AAA Index 189dm, with MM CLOs, post reinvestment bonds, high WARF, high coupon etc.  Fundamentally our AAA Index is unchanged dod.  MM CLOs trade 257dm-284dm which is tighter than late 200s/300a context seen middle of this month.

USD CLO Mezz/Equity

AAs trade 232dm-282dm with our AA Index tighter at 267dm with benchmarks 252dm-263dm today, low MVOC bonds drifting into early 280s context.  BBB trade 423dm-577dm with our BBB Index 501dm, a benchmark trade today is GALXY 2017-24A D CVR 90.5 at 509dm / 4.5y WAL – low ADR 0.2, strong MVOC 106.2, Jnr OC cushion 3.4 and benchmark manager Pinebridge.  BBs trade 826dm-1010dm with our BB Index 929dm with benchmarks trading 880dm-962dm today, at the wide end is DRSLF 2018-57A E CVR 81.5 at 1010dm / 5.6y WAL – elevated ADR 1.1, MV shortfall with MVOC 99.8 and Jnr OC cushion < 3%.

USD CLO AAA

19 trades, $108m of liquidity, CLO spreads firmer and US LSTA 100 +5bp dod. 1 x AAA trade, a benchmark CIFC 2021-1A A1 CVR 97.96 at 187dm / 2.97y WAL (EoRP 2024) – clean metrics and benchmark manager (AAA Index 189dm).

USD CLO Mezz/Equity

AA trade 240dm-270dm with our AA Index 272dm, at the tight end is a Blackrock bond MAGNE 2020-26A BR CVR 95.63 at 240dm / 6.8y WAL – clean metrics and very conservative benchmark manager that traditionally trades inside the index.  1 x single-A REG20 2021-2A C CVR 93.7 at 314dm / 7.5y WAL with our single-A Index 344dm, he strong MVOC 116.9 and clean metrics / good coupon +205bps brings this inside the index.  BBB trade 407dm-716dm with benchmarks 463dm-529dm with our BBB Index tighter at 501dm, MIDO 2018-9A D trades wide to the index CVR 85.5 at 716dm / 5y WAL – MVOC 104 vs benchmark 106area.  BB trade 858dm-1124dm with our BB Index 929dm, all trades have idiosyncratic features that deviate it from the index – MVOC and coupon structure particularly strong in tiering impact.

USD CLO AAA

$116m of liquidity today with CLO spreads firm, US LSTA 100 -8bp dod.  AAA trade 184dm-240dm with benchmarks 184dm-195dm with our AAA Index middle of this range 190dm, bonds wide of the index are post reinvestment, high coupon or low MVOC profiles.  A benchmark bond is BALLY 2021-16A A1 (Fidelity) CVR 96.75 at 185dm / 5.3y WAL – MVOC 148.5, ADR 0, Jnr OC cushion 5.7 and coupon +113bps.

USD CLO Mezz/Equity

BBB trade 548dm-849dm which are all wide of our BBB Index 511dm given the entire trade list are from weaker MVOC profiles (<105.5 versus benchmark 106).  The ‘exception’ is STCR 2022-1A D CVR 86.5 at 631dm / 8.5y WAL (MVOC 106.9) but this has a high coupon +384bps and long wal from a weak manager First Eagle.  BB trade 822dm-932dm with benchmarks 909dm-932dm with our BB Index 930dm, bonds that are significantly tighter to this in early 800s dm context are driven by stronger MVOC profiles (102+) and strong credit metrics/Jnr OC cushions.

USD CLO AAA

$193m of liquidity today, once again across the stack and spreads remain firm across the board, US LSTA -22bp dod.  AAA trade 177dm-300dm with some very short daters in high dm, benchmarks 178dm-204dm with our AAA Index 195dm.

USD CLO Mezz/Equity

AA trade in a wide dispersion 218dm-313dm with benchmarks 267dm-295dm with our AA Index 277dm with bonds either side of the index post reinvestment / reflected in upgrades.  Single-A trade 321dm-382dm with benchmarks 343dm-348dm with our single-A Index 350dm, MVOC drives tiering here, WINDR 2019-3A CR CVR 93.09 at 382dm / 5.2y WAL – MVOC 111.3 vs 113.5 benchmarks and at the other end REG20 2021-2A C CVR 93.29 at 321dm / 7.5y WAL – MVOC 116.7.  16 x BB trades in a 806dm-1460dm range with benchmarks in far narrower range 918dm-963dm with our BB Index 952dm, once again those bonds wide to the index are acutely driven by MV shortfalls (with some downgrades evident) whilst those tight to the index are driven by progressive MVOC (101+).

USD CLO AAA

$305m of liquidity across the stack, CLO spreads tighter and US LSTA 100 +1bp dod.  AAA trade 175dm-669dm with some very short dated paper and MM CLOs making up the tail, benchmarks trade 183dm-192dm with our AAA Index shifting to 194dm. 

USD CLO Mezz/Equity

AA paper trade 197dm-344dm with benchmarks trading 254dm-277dm with our AA Index tightening to 278dm, at the wide end today is OFSBS 2018-1A B CVR 94.09 at 344dm / 4y WAL – ADR is elevated 1.15, MVOC is low 117.8 and Jnr OC cushion is at the low end 2.8%.  Single-As trade 336dm-373dm with benchmarks trading 336dm-340dm with our single-A Index shifting tighter to 352dm.  BBB trade 451dm-667dm with benchmarks 503dm-545dm and our BBB Index 515dm, at the wide end are post reinvestment bonds that trade 6-handle on dm with low MVOCs (103area vs benchmark 106area).  BB trade 812dm-1192dm with our BB Index 955dm, MVOC (>101) shifts those bonds inside the index and tiers the tail wide of the index given MVOC shortfalls, for example BATLN 2015-9A ER CVR 78.95 at 1192dm / 5.8y WAL – MVOC is 98.08 with other metrics broadly in line, manager is Brigade which has a good enough performance record.

USD CLO AAA

$111m of liquidity across mainly mezz bonds today, CLO spreads firm and US LSTA 100 +22bp dod.  1 x AAA trade today ARES 2021-61A A CVR 96.62 at 187dm / 5.6y WAL which is inside our AAA Index 200dm given the clean MV and credit metrics from a benchmark manager.

USD CLO Mezz/Equity

Single-As trade 344dm-493dm with benchmarks 344dm-356dm and our single-A Index tightening slightly to 360dm, at the wide end is MCLO 2019-2A BA CVR 92.5 at 493dm / 6y WAL – acutely the ADR is high 1.1 and MVOC is at the lower end 111.6 whilst the manager has a weak record.  BBB bonds trade in a wide dispersion 438dm-739dm with benchmarks 512dm-526dm and our BBB Index tightening very slightly to 517dm, bonds wide to the index are driven by MVOC and coupon structure along with some high ADR levels.  BB trade 836dm-1090dm with our BB Index 954dm (flat dod) with benchmarks in the middle of the trading range 931dm-985dm, once again as bonds are so cuspy for MV shortfalls the MVOC is the key driver here of tiering today, eg. CANYC 2019-1A ER CVR 85.12 at 1090dm / 6.3y WAL – ADR high 1.3, coupon high +715bps, Jnr OC cushion low/mid end 3%, MVOC 99.5 and Canyon has a weaker manager records versus peers.

USD CLO Mezz/Equity

$21m of trades all in BBB or below today across 24 small tickets, spreads tighter and US LSTA 100 +37bp dod.  BBB trade 433dm-621dm with our BBB Index 518dm, at the wide end is ATRM 9A DR CVR 89.75 at 621dm / 5.1y WAL (CSAM) – low MVOC 104.8, elevated ADR 1% and higher coupon +360bps whilst the trade is post reinvestment.  At the other end of the scale is another CSAM bond MDPK 2021-38A D CVR 91.69 at 433dm / 8y WAL – MVOC is higher 105.4 (in line with benchmarks), ADR is lower 0.27, Jnr OC cushion is strong 5.5 and coupon is lower +290bps so this has a little scaling effect.  BB trade 917dm-1093dm with our BB Index tighter at 954dm with benchmarks 931dm-999dm, bonds at this level sensitive to MVOC with SNDPT 2021-1A E at the wide end CVR 80.77 at 1093dm / 8.3y WAL – MVOC 99.55 and other metrics broadly in line, with MVOC for benchmarks in mid100s area.

EUR AAA CLO

There is a good flow in AAA trades today. Spreads have ratcheted in by around 10 bps to an average AAA spread of 208 dm.