USD CLO Mezz/Equity

Only 4 trades today, all mezz. 1 x single-A trade VENTR 2013-15A CR3 covers 85.06 at 632dm / 5.2y WAL well wide to our single-A Index 312dm - ADR is >2%, MJX is a weaker manager, Jnr OC cushion is cuspy 1.6.  3 x BB trades 937dm-1077dm wide to our BB Index 808dm, given the high coupon structure of the bonds (>700bps margin) which is the key driver as opposed to credit / MV metrics, with SARAT 2013-1A ER3 at the wider end CVR 86.5 at 1077dm / 6.25y WAL - +750bps coupon and an elevated ADR 1.2 with all other metrics clean and the manager Saratoga Inv Corp is a relatively new manager so there is the new manager premium on top.

EUR AAA CLO

There are 2 AAA trades. Both have exited their RPE periods. CRNCL 2013-3X AR exited around 3 years ago, is heavily paid down and traded at 156dm. TCLO 1X AR exited its RPE 1 year ago and traded at 175dm.

EUR AAA CLO

Both AAA trades have traded at 177dm. ARESE 12X AR traded at 97.21. This bond traded at 94.57 on 19 July 2022 so it has rallied in price by over 2.5 pts in the last month.

USD CLO Mezz/Equity

$63m of predominantly mezz flow today, spreads moving sideways across mezz whilst US LL Index +13bp dod.  Single-A trade 306dm-382dm with our single-A Index 325dm which is a touch wider.  The one outlier trade is AWPT 2017-8A C CVR 93.8 at 382dm / 4y WAL, this ends reinvestment in 2.5 months and metrics are average-weak – Sub80 bucket is high 5.7%, MVOC is 113, ArrowMark has reasonable manager metrics and Jnr OC cushion is 3.4% / CCC is approaching 5%.  BBB trade 415dm-480dm with our BBB Index a touch tighter at 462dm, there are three trades with a 6-handle in dm terms, with one of them driven by a very high coupon (+428bps) but the other two are driven by MVOC <103, cuspy Jnr OC cushions, elevated ADRs at 1.5% and a weak manager record (Crescent Capital) with covers in mid-80s cash px context.

USD CLO Mezz/Equity

Just over $30m of liquidity today BBB and Equity, BBB spreads a touch softer whilst US LL Index +7bp dod.  BBB trade 484dm-682dm today with our BBB Index tighter 474dm.  Best execution is close to our index - PGIM’s DRSLF 2018-65A D CVR 92.5 at 484dm / 5.3y WAL (EoRP 2023 / Coupon +310bps profile), MVOC is healthy 107.8 and metrics are reasonable with only ADR elevated at 1.2 as the anomaly and explains the delta from the index.  The remaining 3 x BBB trades are a combination of high coupon scaling, high ADR (>1), lower Jnr OC cushion (3%) and weaker manager profiles which cause the drift from the index.

USD CLO AAA

Just one trade today, a MM CLO AAA from Golub Cap GOCAP 2018-36A A CVR 97.9 at 233dm / 2.2y WAL, which is tighter than a close comp GOCAP 2015-25A AR seen end of June in 250dm area, to pull into context the tightening theme. US LL Index is also +7bp on Friday close.

USD CLO AAA

$200m of liquidity today, with the positive after effect of the rate hike CLO spreads firmed up across the stack, although US LL Index -5bp dod.  AAA trade 168dm-186dm with our AAA Index tightening to 178dm (-2dm), trading activity today is concentrated towards the shorter end with the majority of trades inside the index given the shorter wal (EoRP 2023 predominantly) with a trading range of 168dm-174dm for 2-3y wal. 

USD CLO Mezz/Equity

AA trade 271dm-322dm wide of our AA Index 252dm, skewed by a post reinvestment bond and a recent vintage WINDR 2022-2A B1 with a high coupon +290bps, so neither representative of archetype AA.  Single-A trad 295dm-298dm with our single-A Index tightening to 310dm, both bonds today are clean bonds from a benchmark manager CIFC (MVOC 113.5 area, near zero ADR, Jnr OC cushion 5.5 rea and coupons >200bps) and hence trade inside the index given their relative risk adjusted return / profiles.  BBB trade 418dm-498dm with our BBB Index tightening to 460dm (-36dm), one outlier bond BLUEM 2014-2A DR2 CVR 87.05 at 609dm / 5.6y WAL trades wide of the index given high ADR 1.6, high Sub80 bucket 4.3, low Jnr OC cushion 1.75 and a cuspy MVOC 101.8 from Assured.  1 x BB trade is MAGNE 2020-25A E CVR 93.03 at 788dm / 6.3y WAL (BB Index 811dm), Blackrock bonds tend to trade tight to the index and this is no exception with clean metrics and a strong bond profile (coupon +635bps, short wal EoRP 2024) with MVOC 102.35.

USD CLO Mezz/Equity

$18m of liquidity today across 12 mezz trades, spreads stable and US LL Index -17bp dod.  Single-A trade 317dm-357dm wrapped around our 329dm index with LCM 21A CR well inside this index at 276dm given post reinvestment / high MVOC profile.  BBB trade 425dm-536dm with our BBB Index 496dm with best execution reserved for a benchmark name Blackrock MAGNE 2021-30A D CVR 91.69 at 425dm / 8.6y WAL – high MVOC 105.9 and very clean credit metrics/cushions.  BB trade 785dm-1043dm with our BB Index 864dm, a Blackrock bond trading well inside our index at 785dm and 2 outlier bonds that trade north of 1000dm - OZLM 2019-23A ER (Sculptor) covers 94..9 at 1024dm / 8.6y WAL – MVOC shortfall 99.56 MVOC and a high Sub80 bucket 5.4% driving the execution.

EUR AAA CLO

A handful of amortising, short AAAs have traded today at 239dm with an average price of 97.37. Their WAL is around 1.7yrs and they exited their RPE around 6 months ago.

USD CLO AAA

$176m of liquidity across IG debt and 1 x Equity, spreads stable whilst US LL Index -9bp dod.  AAA trade in a wide dispersion 166dm-292dm across 31 trades, but reinvesting bonds trade 166dm-202dm with our AAA Index in the middle of this range at 180dm.  Best execution is PLMRS 2018-1A A1 CVR 98.44 at 166dm / 2.7y WAL – EoRP April 2023, +103bps coupon, strong Jnr OC cushion 5.3, MVOC 146.8 and clean credit metrics. 

USD CLO Mezz/Equity

Single-A trade 296dm-317dm with our single-A Index 339dm, both bonds are from benchmark managers (Oak Hill and Blackrock) with clean metrics and exceptional manager performance records which drive execution inside our index despite the longer wal (EoRP 2026) on both bonds which have the same coupons +190bps.  BBB trade 505dm-555dm which are wide to our BBB Index 496dm given weaker manager profiles (Sound Point, Trimaran) but also scaled by the higher coupons (+345-365bps).  1 x rare MM CLO BBB from Fortress FCO 2017-9A DR trades 580dm / 7.8y WAL.

USD CLO AAA

$71m of liquidity today across almost 30 trades, with CLO spreads stable with a firm tone whilst US LL Index +15bp dod.  AAA trade 170dm-206dm with our AAA Index 183dm, best execution is reserved for a benchmark name CIFC 2018-2A A1 CVR 98.35 at 170dm / 2.7y WAL with clean metrics all round and a short wal this trades well inside our index.  Closest trade to our Index is GNRT 4A A1R CVR 98.2 at 181dm / 2.7y WAL – ADR 0.4, Jnr OC cushion 5.7, coupon +109bps and MVOC 148.9.

USD CLO Mezz/Equity

AA trade 252dm-265dm close to our AA Index 255dm, one key outlier trade is a post reinvestment bond TCP 2016-1A A2 CVR 99.21 at 494dm / 0.4y WAL – EoRP 2020 and is a MM CLO hence the wider dm and a very short wal.  Single-A trade 328dm-351dm wrapped around our single-A Index 342dm.  BBB trade 429dm-545dm with our BBB Index 497dm, a number of Blackrock trades today which are inside our index given the manager’s clean and conservative record which their bonds trading in 430dm context for short wal bonds (up to 1y reinvestment).  1 x single-B trade, another clean Blackrock bond MAGNE 2020-26A ER CVR 89.09 at 787dm / 8.9y WAL well inside our BB Index 872dm (MVOC on this bond is 101.25, Sub80 bucket is low 1.45 and ADR is 0).

EUR AAA CLO

We have seen some tightening of AAA spreads today with average traded levels of 237dm. Perhaps the issuance of Clonmore Park at 170dm has spurred the secondary market to tighten.

USD CLO Mezz/Equity

Limited liquidity today with $15m across 5 trades, spreads at the single-A level a touch firmer whilst US LL Index is +32bp dod.  Single-A trade 315dm-355dm with our single-A Index 345dm, best execution is NEUB 2017-16SA CR (EoRP 2026) cover 92.64 at 315dm / 7.3y WAL – benchmark manager, +190bps coupon, ADR is high 1.4 and MVOC is at the low/mid end at 110.6 but Jnr OC cushion 5.2 is strong so the strength of the manager supports the execution here.  There is an outlier trade OZLM 2018-22A B (EoRP 2023) CVR 91.4 at 428dm / 4y WAL – weaker manager profile (Sculptor), ADR is high 1.3, Sub80 is high 5.4, MVOC is 110.6 (comparable to the Neuberger bond), but Jnr OC cushion is low 1.9.  There are 2 x BBB trades wide of our 501dm Index level, range is 551dm-661dm and this drift is due to a combination of weaker bond profiles and high margin scaling to dm.

USD CLO Mezz/Equity

$45m of liquidity across 22 mezz trades, US LL Index continues to rebound and is +34bp dod.  AA trade 265dm-312dm with our AA Index 270dm with trades wide of the index driven by longer wal / reinvestment period remaining.  At single-A the trading range is 330dm-368dm wrapped around our single-A Index 350dm, the outlier trade is DRSLF 2018-55A C CVR 91.8 at 414dm / 4.3y WAL – very high ADR 1.9, MVOC <110 at 109.8 and a low Jnr OC cushion 2.7 all despite the shorter wal (EoRP 2023).  BBB trade in a very wide dispersion 453dm-790dm with our BBB Index 501dm, bonds wide of the index are driven primarily by MVOC which are <104 with bonds around/tight to the index with MVOCs in the 105 area.  At the wide end is Marble Point’s MP11 2017-2A D CVR 81.2 at 790dm / 4.8y WAL with a short reinvestment period remaining (Jan-23) but cuspy MVOC 100.6, downgraded to BB and an elevated ADR 1.1.  BB trade 863dm-1175dm with our BB Index 885dm, 2 bonds well wide of the index (1119-1175dm) have a MVOC shortfall (circa 2pts) and as such trade well wide of the index, at the wide end is OCP 2014-5A DR CVR 77.35 at 1175dm / 5.6y WAL – ADR 1.4 but MVOC 97.7 and a lower coupon +570bps so risk adjusted return is weak.

USD CLO Mezz/Equity

With the SF Vegas Conference there are only 3 x BBB trades today with a dm range 485dm-531dm with our BBB Index 513dm, US LL Index +55bp dod.  Best execution is BCC 2022-2A D1 CVR 91.9 at 492dm / 8.9y WAL – EoRP 2027 (NC 2024 / margin +365bps) and with clean 3.0 metrics from a benchmark manager Bain Cap.

EUR AAA CLO

There are a bunch of AAA trades today at an average spread of 265dm. This is where AAA secondary spreads have been hanging out for about a week now.

EUR AAA CLO

Just 4 x AAA trades today in Las Vegas conference week. The average traded spread is 261dm. Noteworthy is the OHECP 2015-3X A1R trade at 279dm which looks cheap given it has substantially delevered, has a 184% MVOC and only a 1.1yr WAL.

USD CLO AAA

Larger ticket sizes today, 32 trades and $180m of liquidity.  CLO spreads overall stable and US LL Index +1bp dod.  AAA trade 180dm-248dm with a large handful of trades >200dm with the demographics of these weaker from a credit point of view and weaker OC cushions.  Our AAA Index is 182dm which is representative of benchmark levels with clean metrics, whilst Manager profiles continue to influence the direction of AAA bonds.

USD CLO Mezz/Equity

AA trade 281dm-382dm well wide of our AA Index 268dm, the bonds that trade today have elevated ADRs and lower Jnr OC cushions at the wide end of the dm range with these beginning to normalise as you get closer to our index level.  Single-A trade 326dm-425dm with our single-A Index 345dm, there are two bonds north of 400dm which are essentially driven by either higher margin scaling (no credit/MV issues) or weaker MV metrics/cushion.   Benchmark bonds trade 326dm-383dm which is wrapped around our index level.  2 x BBB trade 745dm-760dm (BBB Index 524dm) with weak profiles – both downgraded to current BB, MVOC <106 with the weaker bond in terms of cash px OZLM 2017-16X C CVR 85.19 at 745dm / 4.9y WAL where ADR is high 1.4, Sub80 high 5.4, post reinvestment and Jnr OC cushion low at 2.2.  1 x BB trade SNDPT 2015-1RA R2D2 cover 83.5 at 980dm / 4.8y WAL wide to our BB Index 877dm given the elevated ADR 1.4, high Sub80 5.5, cuspy MVOC 100.5, cuspy Jnr OC cushion 0.8 and the bond is post reinvestment so cannot be proactively cured.

EUR AAA CLO

There are 3 x AAA trades today. PSTET 2021-2X A, a static deal by Palmer Square Capital, traded particularly wide at 95.77 / 311dm. The other two more regular managed deals traded around 270dm which is still wider again than the 250a we had been seeing in secondary.

USD CLO AAA

$75m of supply today across high grade, US LL Index +10bp dod with CLO spreads stable.  AAA trade 176dm-207dm with our AAA Index 181dm, with the wide end of this range CIFC 2017-3X A1 207dm / 2.1y WAL driven keenly by the lower MVOC 140 and scaled to a lesser extent by the higher coupon +122bps. 

USD CLO Mezz/Equity

AA trade 308dm-315dm which are far higher than our AA Index 266dm, OZLMF 2013-4A A2R CVR 95.61 at 308dm / 3.6y WAL has some credit (ADR 1.1, Jnr OC cushion 0.7) and MV weakness (121.3) whilst CIFC 2013-1X A2R CVR 95.84 at 315dm / 3.3y WAL also has an elevated ADR 1%, high Sub80 3.7 and similar MVOC 121.9 but has a stronger Jnr OC cushion (but in general AAs aren’t too sensitive to Jnr OC cushions) whilst both bonds are close to their end of reinvestment periods so won’t have the benefit to managing out of this inflationary environment.  Single-A trade 354dm-384dm with our single-A Index 358dm, both bonds that trade wide to the index are scaled by their high coupons (+250bps) and not credit or NAV metrics with other single-A carrying coupons in the late 100s context.

USD CLO AAA

$120m of trading today across the stack, spreads remain choppy within certain lower rating categories as NAVs are stretched, US LL Index +13bp dod.  AAA trade in a wide dispersion 161dm-203dm wrapped around our AAA Index 182dm.

USD CLO Mezz/Equity

Significant AA supply today with $52m of liquidity across 19 trades with a dm range 257dm-379dm with our AA Index 266dm, at the wider end manager profiles are scaling the dm wider with the exception of OAKCL 2018-1A A2 which covers at the lowest price 92.78 at 379dm / 4.3y WAL – high ADR 1.5, high Sub80 4.6, low MVOC 119.3 and cuspy Jnr OC cushion 1.8.  Single-A trade 354dm-416dm with our single-A Index 352dm, trades are around the index with one outlier ARES 2018-28RA C CVR 91.85 at 416dm / 4.8y WAL – elevated ADR 1.2, high Sub80 4%, low MVOC 110.1 and Jnr OC cushion 0.8.  At BBB the trading dispersion is 467dm-556dm with our BBB Index 524dm.  At the BB level the dispersion is extremely wide with NAVs stretching MVOCs below 100m trading levels are 875dm-1581dm with our BB Index 877dm, trades with an MVOC with at least a 2pt cushion to par trade near our index with those trades around/below par well wide to the index with a cliff effect on dm, at the wide end is OFSBS 2017-1X E CVR 72.61 at 1581dm / 4.3y WAL – Sub80 bucket is high at 5.8 which correlates to a low MVOC 98.1 and low Jnr OC cushion 1.7 with this bond already downgraded to single-B.

EUR AAA CLO

Just the one AAA trade today. CORDA 10X A1 traded at 96.88 / 248dm which is wider than expected given that it has exited its RPE period and is only 1.85 yrs mat.

USD CLO Mezz/Equity

$44m of supply today, predominantly low mezz, US LL Index +21bp dod.  1 x AA trade GRIPP 2017-1A B CVR 96.58 at 298dm / 2.8y WAL – post reinvestment bond which trades wide to our AA Index 263dm.  BBB trade 519dm-642dm with NAVs drifting the execution levels reflect with our BBB Index 546dm, the majority of bonds trade today wide of this given their high coupons (>300bps), eg. MP8 2015-2A DRR CVR 84.75 at 618dm / 8.2y WAL (EoRP 2026) – MVOC 106.8, coupon +350bps and Sub80 elevated 3.3 with other metrics clean.  BB trade in a very wide dispersion given the mix of bonds have extremely cuspy MVOCs 916dm-1418dm, with a MM CLO MCMML 2019-2A E CVR 78.55 at 1466dm / 5.9y WAL with an MVOC 107.8 representing a significant premium on BSL BBs (our BB Index 879dm).  Best execution is AIMCO 2015-AA ER2 CVR 86.03 at 916dm / 9.2y WAL (EoRP 2026) – MVOC 100.3, coupon +660bps and metrics clean.

EUR AAA CLO

For the first trading session in a long time AAA spreads have tightened. Today’s AAA trades are around 242dm (was 254dm yesterday). In spite of today’s rally we can see how much the market has moved recently because HNLY 1X AR traded today at 93.80 / 238dm but also last traded on 23rd June at 95.20. In the new issue market revised price talk has been released for Jubilee XXVI. The AAA tranche is talked at L200s now (from 160a only recently) which is now a lot more realistic (see SCI CLO Markets for all the details).