Market Commentaries



Eur/GBP

USD  

 

Feedback on Commentaries and Analysis is welcome
Sheil Aggarwal


select * from bbg_commentary where 1=1 order by date desc
  • 9 February 2023

    USD CLO AAA

    $110m of liquidity today with $100m of this AAA trading which have tightened on the day, US LSTA 100 Index +7bp dod.  AAA trade 131dm-146dm with benchmarks 141dm-146dm and our AAA Index tightening to 145dm as the broader market continues to rally and MVOCs strengthen.  1 x MM CLO AAA GOCAP 2013-16A A1R2 covers 98.39 at 207dm / 4y WAL which is tighter than the 218dm area for the last trading comps near the end of January.

    USD CLO Mezz/Equity

    BBB trade 397dm-580dm with our BBB Index unchanged at 434dm, trades wide of the index are exclusively weaker MVOC (<108) which supports our index level with the tight end driven by MVOCs around 110 (+2pts on benchmark).

    EUR AAA CLO

    There are 4 x AAA trades today, at an average spread of 157dm. This is in line with the print of Invesco Euro IX at +165 today.

    EUR MEZZ/EQUITY CLO

    There is one equity trade today. DRYD 2020-74X SUB traded at 44.13 / 20.76% yield. Its NAV is -14.31. It has a 2.2% CCC bucket.


  • 8 February 2023

    USD CLO AAA

    $142m of liquidity today, with US LSTA 100 flat dod and CLO spreads in high mezz tighter.  AAA trade 135dm-186dm with benchmarks 140dm-153dm with our AAA Index unchanged 148dm, high performing conservative managers trade inside the index (eg. Blackrock) and higher coupon bonds trade wide of the index today with our index unchanged.

    USD CLO Mezz/Equity

    AA trade 189dm-214dm with benchmarks 201dm-214dm and our AA Index tightens to 218dm as the market tightens with more liquidity at this rating level, trades inside the index are outperformers in terms of MVOC (>126).  Single-A trade 177dm-318dm with our single-A index tightening into 310dm, a Palmer Sq static CLO trade is at the tight end and a NY Life bond with a strong MVOC (118) trades inside the index.  BBB trade 329dm-615dm with benchmarks 419dm-473dm and our BBB Index unchanged 434dm as MVOC continues to drive tiering.  BB trade 730dm-1214dm with benchmarks 834dm-899dm and our BB Index tightens slightly to 863dm, trades wide of the index influenced by low MVOC/high coupon context.

    EUR MEZZ/EQUITY CLO

    Spreads are grinding tighter. A couple of AAs have traded, around 318dm mark. In New Issues Avoca 28 is talked at MH300s.

    BBBs have traded around 476dm. Of course these are older lower margin bonds. Avoca 28 is talked at M500s.

    BBs have traded around 817dm. Avoca 28 is talked at M800s.

    PRVD 7X F, a single B, traded at 1142dm. This does seem very tight. Obviously single B price discovery is hard to come by so we aren’t quite sure whether this is an outlier or all single B’s have rallied this much.


  • 7 February 2023

    USD CLO AAA

    $50m of liquidity today across the stack, spreads flat, US LSTA 100 Index +12bp dod.  AAA trade 138dm-153dm with our AAA Index unchanged at 148dm, a high performing benchmark Blackrock bond MAGNE 2021-31A A1 covers 98.76 at 138dm / 5.1y WAL inside our index.

    USD CLO Mezz/Equity

    Single-A trade 265dm-277dm inside our Index 314dm with MVOC driving the 2 trades 116.3-117 above benchmarks 115.7.  BBB trade 428dm-759dm with benchmarks 428dm-441dm and our BBB Index unchanged at 434dm.  At the wide end is STCR 2016-1A DR CVR 83.35 at 759dm / 4.7y WAL – ADR high 1.04, MVOC low 104.4 (benchmark 107.9) and Jnr OC cushion low 1.8.  BB trade 840dm-1028dm with our BB Index unchanged at 867dm with the wide end of trading driven by bonds with low MVOC 101-102 and lower Jnr OC cushions (around 3%).

    EUR MEZZ/EQUITY CLO

    Just one single A today. OTOPK 1X C traded at 377dm. This is in line with new issues talked in 390 – 400 area, bearing in mind this is a lower margin deal.

    BBBs have traded around 455dm. Of course this looks very tight compared to new issue levels of 600 – 625 dm but these are very old vintages with an average margin of 280 bps.

    In the BB space RPARK 1X ER traded very tight at 746dm but that is because it is very delevered and is only 4yr remaining maturity. CFOUR 1X E has not started paying down and traded at 928dm.


  • 6 February 2023

    USD CLO AAA

    $215m of liquidity today across the stack with the majority at AAA.  AAA trade 139dm-178dm with benchmarks 139dm-159dm and our AAA Index 148dm with WARF and high coupons pulling some 1st pays wide of the index, 2nd pay AAA trade 180dm-204dm.

    USD CLO Mezz/Equity

    At BBB MDPK 2019-34A DR covers 96.5 at 408dm / 6.1y WAL which is inside our BBB Index 434dm, the MVOC 109.7 outperforms.  BBs trade 738dm-909dm with our BB Index 867dm, with bonds from a tier 1 manager Blackrock with strong MVOC (105area) trading 738dm-753dm inside the index.

    EUR MEZZ/EQUITY CLO

    Just 2 equity trades today. Both pieces traded in the L20s %Yield. NAVs are heading back to positive territory. Both these deals had small positive NAVs and in general European equity NAVs are mostly in the range from -10 to +10.


  • 3 February 2023

    USD CLO AAA

    4 x AAA trades only today 21.4m of notional with spreads firm, US LSTA 100 Index +16bp dod.  AAA trade 142dm-144dm with our AAA Index tightening (-1dm) to 146dm, all trades are in reinvestment (EoRP 2023-2024) with shorter wals and are benchmarks with clean metrics.

    EUR MEZZ/EQUITY CLO

    A good number of BB trades today. They have traded around 830 dm. The last BBs in secondary were about a week ago at around 900 dm. It did look like the market had tightened when Capital Four V priced at 830 dm but the print of Barings Euro 2023-1 at 900 dm has thrown this into doubt. It will be interesting to see where BBs go from here.


  • 2 February 2023

    USD CLO Mezz/Equity

    $110m of liquidity today, predominantly BBB and Equity with spreads remaining firm and US LSTA 100 +20bp dod.  BBB trade 385dm-474dm with benchmarks 418dm-441dm and our BBB Index unchanged at 434dm.  MVOC > 108 drives those trades inside the index.  At the wide end is TCW 2021-2A D CVR 91.5 at 474dm / 7.8y WAL (EoRP 2026) – MVOC is lower than benchmark 106.7 and the manager TCW has a weaker profile so execution is wide to our index.

    EUR MEZZ/EQUITY CLO

    Just one BBB trade. DRYD 2015-39X DRR traded at 538dm showing BBBs still grinding tighter.


  • 1 February 2023

    USD CLO Mezz/Equity

    $90m of liquidity, with the majority BBB/BB with spreads firmer at BBB, US LSTA flat dod.  BBB trade 371dm-448dm with benchmarks 406dm-448dm and our BBB Index tighter at 434dm, strong MVOC (>110) and low coupon (<300bps) drive trades inside the index.  15 x BB trades today, all wide of the index 970dm-1282dm given MVOCs on these trades are close to shortfall (average MVOC 100.7 today) with benchmarks in 102.70 context but the positive market dynamic does allow for execution wide of the index in a number of weaker names proving liquidity is strong.

    EUR AAA CLO

    Spreads continue to grind tighter today. AAAs have traded around 163dm, a recent tight. This is helped by AQUE 2021-6X A, a deal with good credit fundamentals.

    EUR MEZZ/EQUITY CLO

    AAs have ratcheted in to 275dm.

    Single A’s have traded at 354dm

    Just one single B traded. HAYEM 8X F is at 1781dm which is very wide for a single B but this bond has a very low MVOC of 95.96%, one of the very lowest of its cohort.


  • 31 January 2023

    USD CLO Mezz/Equity

    Less than $10m exchanged hands today given month end, US LSTA saw it’s first day on day drop this year -1bp on yesterday’s close.  2 x AA trades in a 263dm-279dm range which are wide of our AA Index 234dm – one bond is high coupon and the other is post reinvestment.  2 x BB trades 791dm-960dm range and our BB Index 870dm, MAGNE 2015-15A ER is at the tight end with CVR 89.11 at 791dm / 5.6y WAL – very clean metrics and a benchmark manager Blackrock which usually trades inside our index, CGMS 2019-1A D (EoRP 2024) trades wide to the index CVR 88.15 at 960dm / 6.1y WAL – MVOC 101.23 which is lower than benchmarks like the Blackrock bond which is the key driver to execution whilst other metrics are in line.

    EUR AAA CLO

    The only AAA, CRNCL 2014-4A ARRR, traded at 169dm, in line with recent days.

    EUR MEZZ/EQUITY CLO

    A lot of AAs have traded. Their average spread is 289dm.

    2 x BBBs have traded at around 561dm, which does look softer to us, by around 20 bps.


  • 30 January 2023

    USD CLO AAA

    $113m of liquidity today, all IG with spreads firm, US LSTA 100 Index +8bp dod.  AAA trade 137dm-162dm with benchmarks 141dm-148dm and our AAA Index shifting to 144dm.

    USD CLO Mezz/Equity

    There are 2 x post reinvestment AA and single-A trades which execute inside the index given the very short wals, whilst BBB trade 391dm-458dm with benchmarks 437dm-446dm and our BBB Index in the middle of this range 443dm, NEUB 2016-21A DR2 covers 96.5 at 391dm / 7.6y WAL which is inside the index given the strong MVOC 108.64 (versus 107.6 benchmark), top tier manager name Neuberger and clean metrics.

    EUR AAA CLO

    Just the one AAA trade today. CLRPK 1X A1RR traded at 169dm, an unchanged level for AAAs.

    EUR MEZZ/EQUITY CLO

    INVSC 2X B1R, a AA, traded at 277dm, also unchanged.

    Single A’s have traded around 355dm.

    BBBs have traded around 540dm.

    BBs are around 913dm.


  • 27 January 2023

    EUR AAA CLO

    Just 4 x AAAs today. They have traded at 171dm. They are all very seasoned deals, past their NC end periods and with low margins. We believe these spreads are in line with recent days.


  • 26 January 2023

    EUR AAA CLO

    Just 2 x AAAs today and both of them Sculptor deals. They have traded around 183dm which is exactly in line with AAA spreads.

    EUR MEZZ/EQUITY CLO

    3 equity pieces traded via BWIC today. They all traded between 35h to 41h in price which in yield terms is between mid-teens to L30s. They all have CCC buckets between 3% and 4.5%.


  • 25 January 2023

    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.

    EUR MEZZ/EQUITY CLO

    2 x BBBs have traded. They are both relatively recent issues at current margins in 600s. Both have traded just below par which is around 650dm.

    BBs have traded at 905dm which is unchanged.

    Two single B’s have traded at around 1297dm. This is about 70 bps tighter than the previous day even allowing for the different bond characteristics. Both bonds have very good MVOC levels.


  • 24 January 2023

    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.

    EUR MEZZ/EQUITY CLO

    AAs are steady. They have traded at 267dm.

    Single A’s have traded around 342dm. This looks a little softer in longer dated bonds.

    BBBs look like they have rallied considerably, trading at an average spread of 501dm. But many of these are lower margin bonds so we see BBBs as having firmed up slightly.

    BBs definitely look firmer, at 866dm.

    There is one single B trade. BECLO 8X FR traded at 1397dm which is in line with our prediction for this rating level.


  • 23 January 2023

    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.

    EUR MEZZ/EQUITY CLO

    AAs are steady. They traded at 269dm today, the same as the previous day.

    Single A’s have traded around 354dm. This is also flat on the day.

    BBBs have traded at 548dm, again steady.


  • 20 January 2023

    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.

    EUR MEZZ/EQUITY CLO

    Just the one AA today. BLUME 2021-1X BE traded at 269dm which is unchanged for AAs.

    Single A’s have traded around 346dm which looks around 10 bps tighter to us.

    BBBs look to have faded slightly, perhaps by as much as 20 bps. Both Carlyle trades were from weaker deals however.

    Just the one BB. FICLO 2021-1X E traded in the 930s dm area which is a good level and shows BBs are staying firm.


  • 19 January 2023

    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.

    EUR MEZZ/EQUITY CLO

    AAs have traded around 300dm on the day. This feels softer.

    There are 2 x single A trades, at around 424dm. This is unchanged.

    A raft of BBBs have traded, around 522dm, which is unchanged.

    DRYD 2015-39A ERR, a BB, traded at 996dm which is also unchanged.

    RFTE 2021-1X F, a single B, traded at 1403dm, also as expected.


  • 18 January 2023

    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.

    EUR MEZZ/EQUITY CLO

    The two AA trades are around 273dm. This is a handful of basis points firmer than the previous day.

    Single A’s have traded around 369dm. This is unchanged to slightly softer.

    BBBs have traded around 534dm but with some dispersion. HAYEM 6X D traded at 633dm because of its low MVOC of 103.03%. AQUE 2019-4X DR traded very tight at 454dm because of its high MVOC of 109.17%. Overall BBB spreads look steady to us.

    BBs have traded at 939dm which could be a handful of bps softer.


  • 17 January 2023

    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 MEZZ/EQUITY CLO

    The only AA, DRYD 2015-44X B1RR, traded at 279dm. We see new issue AA levels as being LM300s.

    In the single A’s we have a few trades in the 327dm area. Again these are seasoned, low margin deals. We see new issue at MH400s.

    There are a lot of BBB trades and these appear to have tightened significantly from the last time we saw them trade, about a week ago. Today’s trades are around 526dm. We see new issue at L600a.

    Secondary BBs have not tightened. These seasoned bonds have traded around 941dm. According to the calibration of our models we see new issue levels around L1000s, but Penta 14 is talked 900 – 925.

    Single Bs have not traded today and we have not seen any in a long time. Single B levels remain very opaque but we think new issue could still be in the 1450 – 1500 dm range.


  • 16 January 2023

    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.


  • 13 January 2023

    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.

    EUR MEZZ/EQUITY CLO

    Just one BB trade today. BECLO 1X ER traded at 858dm. BABSE 2021-2X E was a DNT but best bid was 82.50.


  • 12 January 2023

    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.

    EUR MEZZ/EQUITY CLO

    Another strong day for secondary EUR CLOs. The only AA trade, EGLXY 2019-7X B1R, traded at 274dm. Even allowing for its low margin which means it traded at the tight end of the AA range we still see this as another 15 – 20 bps tightening of AA spreads.

    Single A’s have traded around +386, which is the same as the previous day but according to our model these are bonds that should have traded at the wide end of the single A range. Therefore, here also, we see around 30 bps tightening in single A spreads.

    BBs have traded around +909. This is about 20 – 30 bps tighter on the levels seen a couple of days ago.