USD CLO AAA

Heavy liquidity today with 56 trades / $250m of bonds changing hands, US LL Index -3bp dod whilst CLO spreads continue their tightening theme.  AAA 1st pay trade 123dm-132dm for reinvesting bonds and we tighten our AAA index once again -1dm to 130dm.  MDPK 2016-22A A1R from CSAM with an EoRP 2025 sees best execution at 99.77 at 132dm / 4.4y WAL, bond coupon is strong +126bps, MVOC is high 154.34 and other metrics are clean.

USD CLO Mezz/Equity

$84m of AA bonds trade 158dm-193dm with our AA index tightens to 181dm, JPARK 2016-1A A2R is the outlier with an execution cover of 99.65 at 158dm / 2.8y WAL (post reinvestment) but notably the low coupon +145bps still meets strong execution.  At single-A the trading dispersion is 217dm-279dm centred around our single-A index 239dm, SPEAK 2019-1A C from Orix covers at par ceiling at 279dm / 5.4y WAL – the EoRP is 2024 but the bond coupon is high +280bps / MVOC 118.8 and credit metrics clean.  At BBB there is more than $50m of liquidity across 20 trades with a wide dispersion in terms of cash px (13pts) and dm range 262dm-682dm, our BBB index is 348dm.  2 notable outliers at the wide end are from Zais ZCLO3 2015-3A CR and HarbourView HARV7 7RA D with execution covers 87.13 and 86.88 respectively and dm range 625dm-682dm, their MVOC is low 105.7-106.1 and despite the higher coupons 336bps-373bps their ADRs are very high 2.6-2.9 whilst both are BB rated current.  $30m of BBs trade across 15 trades and a wide dispersion like BBB activity (cash px 8.5pts / dm range 649dm-916dm), our BB index remains at 729dm.  Best execution is NBCLO 2016-1A DR CVR 99.09 at 649dm / 4.6y WAL – post reinv / coupon +625bps / benchmark manager PGIM.  At the other end of the scale is COV 2017-1A E CVR 90.5 at 916dm / 4.6y WAL – post reinvestment as well with similar coupon +645bps but MVOC is much lower 102.4 (vs 104.8), manager Covenant Partners is inexperienced and this shows with a cuspy Jnr OC cushion 0.77.

USD CLO Mezz/Equity

$108m of liquidity across 25 trades today, CLO spreads continue to grind in whilst US LL Index is flat dod.  AA bonds trade 165dm-182dm inside our AA index, whilst discounting lower coupon AAs the trading range is 175dm-182dm with our index tightening 2dm to 183dm.  Single-As trade firmer 212dm-226dm tightening our single-A index to 244dm, best trade proxy is CGMS 2019-2A BR (Carlyle) CVR 99.73 at 226dm / 5.6y WAL – EoRP 2024, +220bps coupon, MVOC 119 and clean credit metrics.  At BBB the trading range is 299dm-364dm with the tight end of this range (299dm-326dm) driven by lower coupon BBBs (<300bps coupon) whilst WINDR 2019-1A DR CVR 98.75 at 364dm / 8.4y WAL which is wide to our BBB index 351dm given a high ADR 1.2, lower MVOC 109.3 and some reflection on First Eagle’s poor default record as a manager (despite other clean metrics).  BB trade 591dm-819dm, stripping out low coupons / bonds post reinvestment the trading range is 646dm-819dm centred around our BB index which is tighter at 729dm given the firmer execution levels.

EUR AAA CLO

The 3 x AAA trades today are at an average spread of +119. Even the short bond, Bosphorus 5, with 2 years to RPE traded at around +129. So taking yesterday and today together we can say AAA spreads are around +113a.

USD CLO AAA

36 trades today with $65m of liquidity, CLO spreads firmer and US LL Index +18bp dod.  AAA trades are grinding towards par with our AAA index 131dm.  A high coupon 2nd pay LCM 19A BR covers at par ceiling at 175dm / 1.8y WAL (post reinv / high coupon +175bps) which is the first AAA to trade at par ceiling since the Ukraine invasion. 

USD CLO Mezz/Equity

3 x single-As trade 250dm-254dm close to our our single-A index 248dm, the 3 trades are shorter dated (EoRP 2022-2023) and trade wide to our index given performance (ADRs 0.75-1.8), cuspy Jnr OC cushions (0.9-2.2) and coupons <200bps.  At BBB there are 10 trades in a 328dm-371dm range (our BBB index is in the middle of this range 354dm).  One outlier trade GLD11 2015-11A DR2 CVR 98.48 at 274dm / 5.1y WAL (EoRP 2023) with a low coupon+240bps.  At BB there are 5 trades in a 604dm-677dm range (our BB index 741dm) with trades carrying bond coupons as low as +530bps (range is +530bps-630bps) this accounts for execution inside our index.  Best execution level is driven by coupon HLM 2021-16A E covers 98.26 at 677dm / 9.7y WAL (EoRP 2027) with a +650bps coupon, MVOC 106.8 and strong Jnr OC cushion 5.2.

EUR AAA CLO

There are 7 x AAA trades today. The average traded spread is +107 which is about 10bps tighter on our AAA curve. In reality the AAA spreads have probably been tightening over a few days but we can measure it when we see a number of BWIC trades. Aurium 3 traded the tightest at +96 because it is amortising and has only a 1.7yr WAL. Even Voya Euro 4 with a 5.6yr WAL traded at +111.

EUR AAA CLO

Just 1 x AAA today. Madison Park 14 traded at +117 which is close to where the ICG Euro 2021-2 reset is talked.

USD CLO AAA

15 trades today as first day of the month with only $47m of liquidity, spreads are firmer with US LL Index +15bp dod.  AAA trading is close to 120dm territory for shorter wal bonds in reinvestment (with lower margin structures) as execution levels creep back towards par.  Our AAA index tightens to 131dm. 

USD CLO Mezz/Equity

3 x BBB trades with shorter wal trade 387dm-405dm which is wide to our index 356dm given these bonds are either high coupon (+360bps area) or have credit/MV issues (Jnr OC cushions cuspy, MVOC 107-108, ADR around 1%).  5 x BB bonds trade in a 660dm-770dm range with reinvesting bonds 660dm-766dm and our BB index is 744dm, bonds tight to this index are lower coupon (early 600s coupons) whilst TSYMP 2016-1A ER2 covers 98.08 at 714dm / 6.6y WAL – the MVOC is at the lower end 104.8 but other metrics are clean and trades in 2.5m.  1 x single-B trade which we have not seen for a while now, RSRVA 2016-3A FRR (Invesco) covers 93.27 at 975dm / 8.9y WAL – this bond is in reinvestment (EoRP 2026), +851bps coupon and generally clean metrics and is met with execution inside 1000dm proving there is some more risk appetite from investors.

USD CLO AAA

$101m of liquidity today (month end) with bonds from all rating categories trading, US LL Index +13bp dod.  CAVU 2019-1A A1 (Trimaran) covers near par 99.89 at 149dm / 4.1y WAL, this is a high coupon (+146bps) 1st pay AAA with EoRP 2024, strong MVOC 163.8 and clean metrics hence is well bid near par.  Our AAA index is 132dm as proxy for reinvesting 1st pay AAA.

USD CLO Mezz/Equity

AA bonds trade 149dm-170dm which is tighter to our AA index 185dm given the short nature of the bonds and low coupons on offer (+130-155bps).  Best execution for a reinvesting bond is MILOS 2017-1A BR CVR (Invesco) CVR 99.35 at 174dm / 3.6y WAL, wal is at the shorter end given EoRP is Oct 2022 whilst coupon is still towards the lower end +155bps and metrics are good.  Single-A bonds trade in a tight dispersion 198dm-217dm and 0.8pt cash px dispersion.  WALs are short with clean bond/deal metrics and coupons are towards the lower end (+180-205bps) hence trending inside our single-A index 249dm.  Best execution is reserved for the highest coupon on offer at the single-A level (+205bps) DRSLF 2017-47A CR CVR 99.7 at 214dm / 3.6y WAL with the bond post reinvestment (Jan-22).  BBB trade 323dm-523dm with our BBB index 356dm.  ANCHC 2020-16A DR covers at its par ceiling at 371dm / 8.7y WAL (EoRP 2027, high coupon +372bps, clean metrics – MVOC 112.8).  The outlier trades in terms of dm driven by a combination of higher coupon bonds with lower MVOC, eg. MVW 2013-1A DR (Seix) CVR 95.66 at 523dm / 4.9y WAL with a +415bps coupon but low MVOC 105.8 and elevated ADR 2.1 with Sub80 bucket high at 3.2 / Jnr OC cushion cuspy 1.1.  At BB the trading range is 761dm-858dm with our BB index 746dm, bonds that executed today wide of this index level have lower MVOC levels (102.8-104.7) and low coupons (+570-665bps).  However AWPT 2021-12A E covers at 96.16 at 806dm / 6.9y WAL – MVOC is 104.7 and metrics are clean, coupon is relatively high +727bps but ArrowMark’s manager record which is only slightly below benchmark appears to impact upon execution.

USD CLO AAA

$64m of liquidity today across the stack, CLO spreads firmer and US LL Index +18bp dod.  2 x AAA trades today in a 126dm-130dm range with both bonds in reinvestment, the manager is Carlyle on both bonds.  We maintain our AAA index firm at 132dm given the clips are fairly small ($8.5m).

USD CLO Mezz/Equity

Firmer AA trading with $37M of liquidity in a 177dm-202dm range whilst our AA index tightens to 189dm, best execution for a reinvesting bond is WOODS 2019-18A BR CVR 99.21 at 202dm / 5.2y WAL (Angelo, Gordon) with an EoRP 2024, strong coupon +185bps and Jnr OC cushion 4.3 despite an elevated ADR 1.2 and mid end MVOC 126.  2 x BBB trades with only one in reinvestment, SYMP 2021-26A DR CVR near par 99.76 at 345dm / 6.4y WAL (TIAA is the manager) with an EoRP 2024 and coupon >300bps (+340bps) and extremely strong metrics (Jnr OC cushion 5.9, MVOC 109) - we shift our BBB index -1dm to 356dm.  $14m of BB trading in a 573dm-773dm range with our BB index tighter at 744dm with bonds in reinvestment trading around our index 696dm-773dm with CANYC 2021-1A E seeing the most impressive execution at CVR 96.69 at 696dm / 8.9y WAL (EoRP 2026) - Jnr OC cushion 5.3, MVOC 104.6, ADR 0.4 and bond coupon +641bps.

EUR AAA CLO

Just 2 x AAAs today. They are both very short and from amortising deals so their traded spreads of around +100 are to be expected.

USD CLO AAA

Limited trading today with 10 trades and $40m of liquidity, US LL Index bounces back +24bp dod and CLO spreads are firmer.  AAA trading is creeping towards par with benchmark bonds now trading at a small discount with shorter wal bonds with coupons >100bps better bid and within half a point of par.  To highlight this CEDF 2016-6A ARR (EoRP 2026) with a +105bps coupon covers 98.9 at 126dm / 5.8y WAL, all metrics are clean but it is the wal and lower coupon that push this to a lower execution price.

USD CLO Mezz/Equity

1 x BBB and 1 x BB trade with levels firmer.  RSRVA 2016-3A DRR (BBB) covers at 99.07 at 340dm / 7.9y WAL (coupon +325bps), metrics are strong 108.9 MVOC, Jnr OC cushion 5.1.  Since this trade has a coupon >+300bps and clean metrics the execution price is strong with dm inside our index 357dm.  At BB 2.5m of ARES 2019-53A E covers 98.53 at 715dm / 6.7y WAL (EoRP 2024) - metrics are fairly average and given the positive execution level we shift our BB index slightly tighter to 747dm.

EUR AAA CLO

There are 5 x AAA trades today. Three of the deals are amortising: Jubilee 2014-11, Aqueduct Euro 1-2017 & Contego 4. These three AAAs have traded around +107. The other two trades are Invesco Euro 1, which is callable and traded at +112 and Segovia 6-2019 at +124.

USD CLO Mezz/Equity

$12.5m of liquidity today across 13 x BBB trades, with US LL Index +3bp dod.  Trades are all from reinvesting bonds and in a 323dm-350dm range, we shift our BB index tighter to 359dm (-6dm) given the execution levels on clean bonds with MVOC 107.5-110, coupons +285bps-310bps and Jnr OC cushions >3%.

USD CLO AAA

A quiet end to the week with just 7 covers today.  US LL Index +3bp dod.  At AAA there is 1 x 2nd pay trade, CGMS 2014-3RA A1B CVR 98.2 at 162dm / 6.5y WAL (EoRP 2023) and is in the range recent 2nd pay AAA trading range 160dm-170dm albeit the high ADR 2.2 with other metrics broadly in line.  2 x long wal AAAs (EoRP 2025-2026) trade 136dm-143dm, with best execution reserved for a high coupon bond from a Sixth St 3.0 CLO TICP 2020-15A A CVR 99.25 at 143dm / 4.8y WAL (coupon +128bps) with clean deal metrics.  Our AAA index ends the week at 134dm.

USD CLO Mezz/Equity

At the BBB level there are two trades in a 390dm-424dm range, both are outlier trades, the outlier trade within reinvestment phase is OZLM 2014-6A CS CVR 95a at 424dm / 5.4y WAL (Sculptor) with an EoRP 2023 and metrics are weak (MVOC at the lower end 108.7, ADR elevated 1.03, Jnr OC cushion cuspy 1.4).  Our BBB index is 365dm.  There are 2 x BB trades in a 709dm-752dm range with our BB index 749dm, CRBN 2017-1A D trades inside the index with a low cash px at CVR 95 at 709dm / 5.4y WAL (EoRP 2023), low coupon +590bps and average metrics, eg. MVOC 103.7, Jnr OC cushion 3.1.

USD CLO AAA

$190m of liquidity across 36 trades, US LL Index fell -13bp but CLO spreads stayed firm with trades across the stack.  Reinvesting 1st pay AAAs trade 128dm-162dm with the wide end distorted by high coupon bonds rather than credit impacted bonds, AAAs with coupons <+120bps trade 128dm-145dm which is centred around our AAA index 134dm.

USD CLO Mezz/Equity

AA bonds trade 187dm-192dm near our AA index level 185dm.  At single-A our index is 252dm with a post reinvestment bond MVW 2015-10A CR with short wal CVR 99.32 at 213dm / 2.6y WAL whilst a high coupon bond with clean metrics WOODS 2020-22A C (coupon +313bps) covers near par 99.996 at 313dm / 4.8y WAL (EoRP 2023) with strong execution given the risk adjusted return with short wal.  At the BBB level there are 8 trades in a 350dm-414dm range with our BBB index tightening slightly to 361dm given execution levels today are closer to par and reinvesting BBB bonds trade 350dm-370dm, whilst we see a BBB trade at its par ceiling after some time - NEUB 2020-39A D at 350dm / 6.2y WAL – EoRP 2024, high coupon +360bps and very clean metrics given a 3.0 CLO.  3 x BB trades in a 697dm-823dm range with our BB index 749dm, TRNTS 2018-8A E sees weakest execution CVR 89.83 at 823dm / 5.9y WAL (EoRP 2023) given the low coupon +590bps, low MVOC 103.7, lower percentile Jnr OC cushion 3.5 despite the reasonable manager record.

EUR AAA CLO

There are 2 x AAA trades today. AAA spreads in secondary do not look like they are getting any tighter. In fact these are drifting wider at +119 and +129.

USD CLO AAA

$130m of liquidity across 40 trades today, US LL Index +2bp today.  17 x 1st pay AAA trades with our AAA index widening to 134dm given execution levels for clean bonds within reinvestment periods have widened.  There are 6 x 2nd pay AAAs that trade 160dm-173dm with coupon structures +130bps to 145bps, with best execution limited to short wal (post reinvestment) and higher coupon bonds eg. CIFC 2014-3A A2R2 CVR 98.63 at 169dm / 6.4y WAL – coupon +145bps and best execution level for a reinvesting bond despite an elevated ADR 1.2 which has little impact at the AAA level.

USD CLO Mezz/Equity

9 x BBBs trade in a 318dm-622dm range, our BBB index is 363dm with best execution for reinvesting bonds with coupons > +300bps with strong Jnr OC cushions, AGL 2020-3X D CVR 99.57 at 338dm / 6.9y WAL - +330bps coupon, MVOC 111.7, low ADR 0.69, low Sub80 1.5 and strong Jnr OC cushion 4.3 from a new CLO manager entrant with excellent performance to date.  At BB there are 7 trades in a 712dm-997dm range, our BB index widens to 749dm.  The outlier trade is VENTR 2016-24A E (MJX) CVR 89.55 at 997dm / 4.1y WAL – ADR is high 1.4, Sub80 is high 3.8, Jnr OC cushion is cuspy 1.5 and the bond is post reinvestment so these metrics will unlikely improve dramatically.  Ignoring a high coupon BB bond trade JFIN 2013-1A DR +737bps at CVR 96.73 831dm / 4.4y WAL the trading range is 712dm-795dm which is centred around our 749dm index level.

EUR AAA CLO

Just 4 x AAA trades today. Two are in amortisation, Toro 4 and Cairn 8, and traded at +107 for 1.6yr WALs. The other two, Bosphorus 5 and Henley 1, with WALs of 3.7yr and 5.1yr traded at +125, substantially wider than new issue levels.

USD CLO AAA

$140m of bonds changed hands today across 28 trades, US LL Index +20bp dod and CLO spreads stable on the whole with some equity on lists (however DNT) highlighting some stability signs.  25 of the 28 trades are AAA bonds, ignoring the extra short wal / high dm bonds the trading range is 124dm-154dm with our AAA index unchanged at 132dm.  Excluding any bonds with reinvestment end of this year, best execution is reserved for VENTR 2014-19A ARR CVR 99.1 at 154dm / 3.5y WAL (EoRP 2024 / high coupon +126bps) – despite the weaker manager profile (MJX AM) and weak metrics (Jnr OC cushion 1.5, ADR 2%, Sub80 3.3%) the MVOC is in the middle of the range but the high coupon trumps and highlights that investors are prepared to take some additional risk in return for a higher return for a callable bond.  On the other hand BRDGS 2021-1A A1A CVR is 98.53 at 150dm / 6y WAL (EoRP 2026 / coupon +123bps), despite the cleaner and stronger metrics versus the MJX bond the duration and inexperienced manager record to navigate complex markets impacts on execution.

USD CLO Mezz/Equity

1 x BBB trade NEUB 2016-21A DR2 CVR 98.29 at 356dm / 8.2y WAL which is close to our BBB index 365dm – the bond has a +330bps coupon, strong MVOC 110.4, elevated ADR 1%, strong Jnr OC cushion and benchmark manager.  1 x BB trade, STHWK 2019-4A ER CVR 96.11 at 700dm / 7.2y WAL (EoRP 2024 / +625bps coupon) versus our BB index 746dm – this trades inside our index given the excellent manager profile and clean metrics (ADR 0.39, Sub80 1.7, Jnr OC cushion 5.04 and MVOC 105.5).

EUR AAA CLO

There are 15 x AAA trades today. Excluding the two that are amortising (Oak Hill 3 & Cairn 8) the average spread of the others is +121 over floored Libor. This contrasts with the +107 to +110 that the primary market seems to be at. Secondary spreads are normally, if anything, tighter than primary because of the shorter time to RPE and possibly because of the smaller volumes – but not in this case.

USD CLO AAA

25 trades today with spreads stable, US LL Index +41bp dod.  AAA bonds trade 131dm-153dm in a variety of profiles, eg. High coupon, short wal, credit impacted.  Our AAA index remains at 132dm with best execution today CBAM 2019-9A A CVR 99.58 at 151dm / 1.9y WAL (EoRP was last month) and bond coupon is high +128bps and metrics are clean hence a much sought after bond at the moment.  At the other end is VENTR 2018-32A A1 CVR 98.75 at 153dm / 3.2y WAL (EoRP 2023) but coupon is lower +110bps, MVOC is 4pts lower (than CBAM) 144.9, ADR is high 1.2, Sub80 high 3.7 and Jnr OC cushion is towards the low/mid end of the scale 2.5.

USD CLO Mezz/Equity

At BBB a similar story, a variety of profiles trade (dm range 269dm-534dm) from post reinvestment to 5y reinvesting bonds from an array of credit profiles.  Our BBB index is largely unchanged 365dm (+1dm), weakest execution VENTR 2014-19A DRR CVR 91.25 at 534dm / 5.9y WAL (EoRP 2024) – MVOC is low 107.3, ADR high 2%, Sub80 high 3.4 and Jnr OC cushion cuspy at 1.5.  At BB there are 9 trades in a 588dm-805dm range with an 8pt cash px dispersion accounting for a variety of profiles.  Our BB index is 748dm (+1dm) so largely unchanged.   Best execution is reserved for short wal (post reinvestment clean bonds) or high coupon 3.0 bonds with strong cushions, eg. TRNTS 2020-12X E CVR 96.5 at 805dm / 8y WAL (MVOC 107.7, ADR 0.1, Jnr OC cushion 5.7).

USD CLO AAA

US LL Index +41bp wow whilst new issue starting to see 5y reinvestment periods accepted by investors (vs 3y last week).  2 x AAA bonds trade, both EoRP 2026 (coupons +112-113bps), clean metrics and in a 139dm-145dm range, with VENTR 2021-42A A1A at 98.31 at 145dm / 5.8y WAL at the wider end with the weaker manager profile appearing to impact execution.  Our AAA index shifts to 132dm. 

EUR AAA CLO

We finish the week with 4 x AAA trades. Their average spread is +111, however 2 of the deals are in amortisation, Toro 4 and CGMSE 2015-3.

USD CLO AAA

Just shy of $100m of liquidity today following yesterday’s lull, US LL Index +29bp dod.  Our AAA index remains unchanged 128dm, with 2 short wal bonds (EoRP 2023) trading in 132dm-133dm context, furthermore 2 x rarer 2nd pay AAA trade 163dm-165dm.

USD CLO Mezz/Equity

1 x AA trade BABSN 2018-3A B1 covers at 98h at 200dm / 2.9y WAL, this is post reinvestment with some credit issues (ADR 1.2, Sub80 2.7, CCC 7.9) and low Jnr OC cushion 2.5.  Our AA index is tighter at 184dm.  $60m of liquidity today all with short wal (EoRP 2023) is in single-A across 12 trades which a 236dm-286dm trading range whilst spreads overall widen our single-A index to 250dm.  At the BBB there are 2 barbelled trades, LCM 19A D (post reinv) covers near par 99.85 at 350dm / 3.1y WAL (high coupon +345bps,low Jnr OC cushion 1.9 offset by strong MVOC coverage 113.7) AND VENTR 2013-15A DR2 which is a longer wal (EoRP 2024) with high coupon +392bps and credit impaired (ADR 2.1, Sub80 4.7), low MVOC 108.2 and cuspy Jnr OC cushion 1.4 from a weaker manager profile (MJX AM).  Our BBB index is 363dm.  4 x BB trades in a wide dispersion (cash px 9pts and 688dm-1108dm) with our BB index 744dm.  PLSR 2019-1A D trades softest at CVR 87h at 1108dm / 7.7y WAL (EoRP 2025) – high ADR 2.5, Sub80 elevated 2.5, Jnr OC cushion is low 1.9 and manager profile (Vibrant) is weak to benchmark. 

EUR AAA CLO

Some welcome AAA trading in secondary today. There are 6 trades to look at. The average secondary spread is +110. The increase in secondary visibility could be prompted by the new issue prints today at +110 for Harvest 28 and +107 for Hayfin 9. Since primary and secondary AAA spreads have finally converged it gives all participants a bit more visibility and confidence.

USD CLO AAA

Only $50m of liquidity today after yesterday’s 10x, unsurprising given the Fed raised its benchmark rate by 25bp in a measure to control inflation which is close to 8%, furthermore more hikes have been signalled to bolster the US economy, along with possible progress on a Ukraine-Russia ceasefire.  US LL Index jumped +90bp dod.  There are 4 x AAA trades with little movement in spreads as we maintain our AAA index 128dm.

USD CLO Mezz/Equity

1 x AA trade TREST 2018-2A A2 which has EoRP 2023 with CVR LM99h at 183dm / 4.4y WAL, this is right on our AA index 184dm, the MV and credit metrics on this Pacific AM bond are relatively clean (ADR 0.2, CCC 3.9, MVOC 130.9) with a +167bps coupon / post NC.  1 x BBB bond, also another short dated mezz, benchmark manager CIFC - CIFC 2018-4A C CVR 97.65 at  345dm / 5.4y WAL (EoRP 2023 / bond coupon +295bps), clean metrics and strong Jnr OC cushion 4.4, is inside our BBB index 364dm.

EUR AAA CLO

The two AAA trades today have both traded at +117. Toro 8 priced today at +105.

USD CLO AAA

$500m of liquidity today with the vast majority AAA, US LL Index -57bp dod whilst spreads broadly flat with the continued weaker underlying tone.  $400m of AAA exchanged hands whilst our AAA index widens slightly to 128dm.  1 x outlier trade SYMP 2016-17A AR which is well past reinvestment (EoRP 2020) covers 99.51 at 245dm / 0.3y WAL, the factor on this bond is around 0.5 and the coupon is +88bps / MVOC 197.2. 

USD CLO Mezz/Equity

BBB liquidity us $94m with a trading range 331dm – 573dm and 7pt cash px dispersion given the array of profiles and market volatility.  Higher coupon 3.0 bonds with strong cushions / bonds post reinvestment with strong coupons are better bid, for instance OCT44 2019-1A DR covers 97.75 at 359dm / 8.7y WAL (EoRP 2026, +325bps coupon, MVOC 112.5) whilst BLACK 2017-1A C is post reinvestment and carries a +395bps coupon and strong MVOC 113.7 despite a high ADR 1.3 / high CCC 8.8.  3 x BB trades in a 675dm-822dm range, our BB index is 751dm so trades are centred around this level.  Execution levels are driven by coupon structure given the cushions are strong (ie. Jnr OC cushions > 5%) with almost a 4pt cash px dispersion between a high coupon bond +766bps and a low coupon BB bond +575bps with similar metrics.

USD CLO AAA

$350m of liquidity to kick start the week, US LL Index -46bps dod and a slightly weaker tone on spreads, but no material widening.  $311m of liquidity consists of AAA trades with best execution trending to shorter wal bonds (post reinvestment), however GLD10 2015-10A AR seeing best execution for a bond in reinvestment, CVR 99.45 at 131dm / 3.1y WAL (EoRP 2023) with clean credit metrics, +112bps coupon and 158.7 MVOC.  Our AAA index widens to 127dm.  TICP 2018-IA A1 covers at 99.41 at 187dm / 0.6y WAL, post reinvestment end and wide in dm terms given some credit weakness (ADR 2%, Jnr OC cushion 2.1) despite the short wal.

USD CLO Mezz/Equity

4 x AA trades in a 200dm-214dm range (EoRP 2025-2027) which is wider to our AA index 183dm given the longer wal, bonds are all clean and 3.0s with little creep to par for WELF 2019-XA A2R which has a NC in May despite the +175bps coupon this covers 98.25 at 208dm / 5.9y WAL.  1 x BBB bond within reinvestment trades, C4US 2021-1X D from Cap Four covers at 96h at 414dm / 8.7y WAL for a rare BBB bond with a reinvestment end of 2027, coupon is high at +362bps with a NC end of 2023 with no reporting given this is pre-trustee report, our BBB index is 360dm.

EUR AAA CLO

The two AAA trades today are showing a firmer tone to the AAA sector. The cover floored DMs are +106 and +116 which are several basis points tighter than where secondary has been trading. Secondary, of course, was a lot wider than new issue but that disparity is being eliminated now with secondary tightening to primary levels. The +106 trade is the short, 1.9yr mat, static deal Palmer Square 2021-2.

USD CLO AAA

Almost 50 trades and $204m of liquidity today, US LL Index -23bp dod and spreads overall steady.  At AAA our index is unchanged at 126dm, 2 x rare 2nd pays trade 140dm-162dm whilst 1st pays trade 129dm-154dm which is wide to our index given a number of credit impaired bonds (9/32 trades carry an ADR >1%) and compound effect on dm’s for higher coupon bonds (>+120bps).

USD CLO Mezz/Equity

6 x AA trades in a 188dm-200dm range and cash px dispersion very tight, our AA index is unchanged at 182dm.  A high coupon +180bps bond GSM 2021-5A A2 covers 98.7 at 200dm / 7.5y WAL (EoRP 2026) with metrics clean but this is an inexperienced manager pushing the execution level wide of our index.  4 x BB trades 693dm-729dm, with our BB index 737dm, the profiles that trade are all EoRP 2026 with similar clean credit metrics and MVOC basis 106-107 and lower coupons +650bps hence trade inside our index level.

EUR AAA CLO

There are 3 x AAA trades today. Spreads range from +107 to +122 with an average of +115. This compares with the latest px talk on Harvest 28 of 107-110. The widest secondary trade is the long AAA (4.8yrs) with a low margin (86bps), RRE 2.