USD CLO Mezz/Equity

Limited activity today with 10 trades and $26m of liquidity, spreads moving sideway and US LL Index +12bp dod.  BBB trade 502dm-728dm which is far higher than our BBB Index 389dm, given an array of credit impacted bonds on offer, ADR distribution on these bonds is 0.6-1.8% with Jnr OC cushions <3% and elevated Sub80 priced buckets.  Best execution is CECLO 2020-29A D2R CVR 92.55 at 651dm / 5.3y WAL - very high coupon +525bps and clean MV and credit metrics whilst the manager Columbia has weak performance metrics.  2 x BB bonds trade 788dm-797dm with our BB index 784dm, best execution level is around our index level ARES 2019-53A E CVR 95.25 at 788dm / 6.5y WAL - ADR 0.94, Sub80 2.7, Jnr OC cushion 3.6, MVOC 102.7 and benchmark manager Ares.

USD CLO Mezz/Equity

28 trades today to round out the week with $71.5m of liquidity, BBB/BB exclusively with spreads continuing to grind tighter whilst US LL Index +123bp wow.  BBB trade 357dm-488dm with our BBB index 389dm, one outlier trade MCLO 2017-10A C CVR 88.39 at 691dm / 4.5y WAL – bond is post reinvestment, low MVOC 103.4 and cuspy Jnr OC cushion 0.3.  Best execution is APRES 2019-1A CR CVR at it’s par ceiling at 430dm / 1.9y WAL – post reinvestment bond, upgraded to single-A and has a high coupon +425bps, high MVOC 114.5 and high Jnr OC cushion 8.3.  Best execution for bond in reinvestment is AIMCO 2018-BA D CVR at 97 at 357dm / 6.5y WAL – MVOC 109.4, EoRP 2024, coupon +300bps, low ADR 0.2 and strong Jnr OC cushion 4.5 whilst the manager is inexperienced but has a good record.  17 x BB trades in a 720dm-884dm range with our BB index 779dm, one outlier trade AWPT 2017-6A E CVR 87.55 at 1035dm / 4.4y WAL (downgraded to single-B) – post reinvestment  with a cuspy MVOC 101.45 and otherwise average credit metrics with a +660bp coupon.  Best execution is NEUB 2019-35A E CVR 96 at 778dm / 7.5y WAL (EoRP 2025) – MVOC 102.4, high coupon +700bps and clean metrics/cushions and Neuberger is a benchmark manager name.

USD CLO AAA

$93m of liquidity today, spreads tighter across the board whilst US LL Index +42bp dod.  AAA trade 152dm-163dm with our AAA index now shifting to 164dm.  Best execution is OCP 2017-13A A1AR CVR 98.79 at 156dm / 2.1y WAL (EoRP Jul 2022) and very clean metrics with the short wal driving execution despite the +96bps coupon which is unlikely to refi in the short term.

USD CLO Mezz/Equity

Single-A trade 251dm-295dm with our single-A index shifting slightly tighter to 303dm, the tight end of the range 251dm is distorted by a short wal post reinvestment bond ARES 2016-40A BRR CVR 97.5 at 251dm / 3.9y WAL (EoRP 2021).  10 x BBB trade 343dm-504dm with our BBB index tightening to 398dm.  The outlier BBB is VENTR 2021-41A D CVR 93.135 at 504dm / 8y WAL – high coupon 387bps and clean metrics but the manager profile (MJX AM) is weaker to peers and does drive the execution level.  8 x BB trade 729dm-839dm with our BB index tightening to 780dm.  Best execution (inside our index) is TFLAT 2017-1A E CVR 95.65 at 743dm / 5.3y WAL – all metrics are clean and coupon is strong +635bps and TCI has an excellent manager profile despite being inexperienced with 5 x CLOs under management.  The two trades that are 8-handle dm are not driven by credit but mainly by coupon structure (>+650bps), see PriceABS trade listing for details.

USD CLO AAA

$27m of trading today, CLO liability spreads grinding in whilst US LL Index +31bp dod.  AAA trade 166dm-172dm inside our AAA index 174dm given the firmer environment, best execution is CGMS 2014-2RA A1 CVR 98.35 at 166dm / 2.9y WAL (EoRP 2023) in a small 400k clip despite weaker credit / manager metrics the MV metrics are strong and support the execution level.

USD CLO Mezz/Equity

1 x AA trade CIFC 2021-4A B CVR 96.94 at 225dm / 5.2y WAL (EoRP 2024) inside our AA index 240dm – very strong MV and credit metrics from a benchmark manager CIFC.  At single-A the trading range is 282dm-301dm once again inside our single-A index 305dm, once again these are general firmer market movements, best execution for a reinvesting bond is NEUB 2019-31A CR CVR 96.08 at 282dm / 5.2y WAL (EoRP 2024) – high coupon +195bps, strong MVOC 115.5 and healthy Jnr OC cushion 4.3 from a benchmark manager Neuberger.  BBB trade 374dm-503dm with our BBB index 416dm so there is a fair amount of dispersion today.  Best execution is DRSLF 2017-49A DR CVR 95.82 at 437dm / 5.2y WAL – wide to our index given the high coupon +340bps whilst other metrics are fairly good (MVOC 106.8 / ADR 0.75 / Jnr OC cushion 4).  At the wide end is MKS 2017-2A D CVR 90.5 at 497dm / 5y WAL (EoRP 2023) – metrics are good with only the coupon at the lower end of BBBs (+265bps) appearing to impact upon execution since the manager’s record is good.  1 x BB trade PIPK 2020-5A E CVR 92.26 at 819dm / 7.8y WAL versus our BB index 841dm – coupon is strong +670bps, ADR is low 0.3, Jnr OC cushion is strong 5.8 whilst MVOC is 103.6 which is at the low/mid end of BBs whilst Partners Group has a good manager record.

USD CLO Mezz/Equity

$47m of liquidity today all in mezz, muted slightly given month end.  Spreads continue to remain stable/firm with US LL Index +42bp dod.  At AA the trading range is 227dm-250dm centred around our AA index 242dm.  At single-A the trading range is 289dm-328dm (ignoring a very short wal/post reinvestment trade at 249dm) with our single-A index 311dm.  Best execution is around our index level KKR 12 CR2 CVR 96.91 at 309dm / 4.2y WAL – strong MVOC 118, ADR 0.7, Jnr OC cushion 3.7 and a strong coupon +225bps whilst KKR is a benchmark manager.  At BBB the trading range is 393dm-442dm with our BBB index 421dm, best execution is NEUB 2021-43A D cover 94.66 at 393dm / 8.5y WAL (high coupon +310bps / benchmark manager).  At BB the trading range is 765dm-875dm with our BB index 841dm, best execution is BCC 2020-4A E at 95.75 at 875dm / 8.3y WAL but this has a high coupon +795bps (EoRP 2025 / NC July this year) so this explains the better bid here along with the clean metrics on the bond (ADR 0, MVOC 106, Jnr OC cushion 5.5 and Bain Cap is a benchmark manager).

EUR AAA CLO

Just the one AAA trade. BECLO 11X A traded at 97.92 / +160. BlackRock is a manager that can trade tighter than many of their peers so this shows AAA spreads are very much in the 160’s range.

USD CLO AAA

$100m of liquidity today across 20 debt trades, middle mezz levels firmer and US LL Index +56bp dod.  AAA trading range is 166dm-189dm centred around our AAA index 176dm, best execution for a reinvesting security is VOYA 2019-2A A CVR 98.32 at 174dm / 3.9y WAL (EoRP2024) which is right at our index level – metrics are clean all round including 155.4 MVOC whilst the coupon is strong +127bps.

USD CLO Mezz/Equity

At AA the trading range is 231dm-297dm with our AA index tighter at 250dm, best execution is SPEAK 2019-1A B CVR 96.48 at 285dm / 4.8y WAL (EoRP 2024), this has clean metrics (MVOC 125, ADR 0.77, Jnr OC cushion 3.75) and a strong coupon (+200bps).  At single-A the trading range today is 308dm-339dm with our single-A index 327dm, weakest execution is ARES 2018-48A C CVR 93.5 at 339dm / 4.7y WAL – MVOC is at the lower end 114, Jnr OC cushion is at the lower end 2.3, coupon is <200bps at +180bps and WARF is >3000 at 3088 whilst cov lites are high at 81%.  BBB trade tighter 399dm-433dm with our BBB index 447dm, trades involve very high quality credits with strong cushions and credit metrics with best execution NEUB 2017-25A DR CVR 94.9 at 406dm / 5y WAL (EoRP Oct-22) – coupon +285bps, MVOC 108, Jnr OC cushion 3.3 and ADR 0.9 with the short wal dictating execution.

USD CLO AAA

Almost $150m of liquidity today across the stack, with spreads moving sideways, US LL Index -10bp dod.  At AAA, discounting the post reinvestment bonds (which trade way off index levels) the trading range is 174dm-176dm with our AAA index 176dm.

USD CLO Mezz/Equity

At AA the trading range is 250dm-263dm with our AA index 262dm, LCM 20A BR is post reinvestment (also upgraded to AAA) and covers 98.25 at 250dm / 1.9y WAL inside our index given the wal.  Reinvesting bonds are centred around our index level.  At single-A the trading range for reinvesting bonds is 308dm-364dm centred around our single-A index 328dm.  Best execution is PLMRS 2018-1A B cover 94.8 at 308dm / 4.5y WAL – strong metrics: ADR 0.5, Sub80 2.3, MVOC 116 and Jnr OC cushion 5.3.  At BBB the trading range is 401dm-802dm with the wide end 707dm-802dm made up of credit impacted bonds where ADRs are >1%, Sub80 buckets >3%, MVOC <105 and cuspy Jnr OC cushions (circa 1%).  Ignoring these bonds the trading range is 401dm-479dm with our BBB index 456dm.  At BB the trading range is 760dm-783dm which is made up of high quality bonds (strong coupons and strong metrics) which are tight to our BB index 872dm, eg. STHWK 2019-4A ER has best execution CVR 92.5 at 777dm / 7y WAL – ADR 0.36, Sub80 1.5, Jnr OC cushion 5.1, coupon +625bps and a benchmark manager Blackstone.

USD CLO Mezz/Equity

Thin liquidity today with only 9 trades (all lower mezz), US LL Index -14bp dod.  BBB trade 459dm-650dm versus our BBB index 464dm, as NAVs continue to fall these have an impact upon execution since MVOCs are depressed <110 for the large part on today's executed trades.  Best execution is NEUB 2017-25A DR CVR 92.77 at 459dm / 4.98y WAL which is near our index, this has a short wal (EoRP Oct this year) balanced by fairly average metrics (MVOC 109, ADR 0.93, Jnr OC cushion 3.3 and coupon +285bps).  BB trade 881dm-969dm with our BB index 885dm, all trades today are hampered by lower NAVs with MVOCs at 104 or below, with MILOS 2017-1A ER (Invesco) at the wide end with a CVR 86.52 at 969dm / 5.2y WAL (EoRP 2022) - MVOC low at 103.4, Jnr OC cushion at the low/mid end 3.6 whilst other metrics average.

USD CLO Mezz/Equity

$22m of liquidity today, all BBB with spreads continuing to be stable, US LL Index -39bp wow / +21bp dod.  BBB trading range is 395dm-550dm with our BBB index tighter at 461dm, best execution is CIFC 2019-3A CR CVR 94.2 at 395dm / 8.5y WAL (EoRP 2026) – benchmark manager, clean metrics (ADR 0.2, MVOC 111.5, Jnr OC cushion 5.7) and strong coupon +305bps.  1 x MM CLO BBB today, GOCAP 2021-57A D covers 91.2 at 516dm / 7.5y WAL (EoRP 2025) which is roughly where BSL CLO BBBs were trading a week ago to give an idea of the tightening theme.

EUR AAA CLO

The week finished on a weak note. There are 2 x AAA trades, both around +156. This is about 10bps wider than on the beginning of the week.

USD CLO Mezz/Equity

$51m of liquidity today, all in mezz with spreads stable and US LL Index -75bp dod.  AA bonds trade 264dm-302dm with our AA Index 262dm, best execution is for shortest wal CLRCK 2015-1A BR with EoRP Oct-22 covers 95.83 at 293dm / 3.5y WAL - metrics are average including a low Jnr OC cushion 1.95 and lower MVOC 125.6 than benchmark, coupon is +160bps.  At single-A there are 7 trades in a 303dm-371dm range centred around our single-A index 330dm, best execution is for a Blackrock bond MAGNE 2016-17A CR CVR 95.35 at 303dm / 4.7y WAL – clean metrics, benchmark manager and as such inside our index.  A tighter feel to BBB with a trading range 407dm-486dm with our index 506dm, all the trades are high quality and trade inside our index given strong MVOC (>110), high Jnr OC cushions (>4.5), low ADRs and healthy coupons.  2 x BB trade 822dm-886dm with both trades around our BB index 886dm, RRAM 2017-2A DR trades slightly inside our index at CVR 86.5 at 822dm / 8.8y WAL – strong Jnr OC cushion 5.1, strong MVOC 105.8, +580bps coupon and Apollo is a benchmark name.

USD CLO AAA

$73m of bonds exchanging hands today, spreads starting to find a level ground in some rating categories, US LL Index -20bp dod.  AAAs trade 173dm-192dm with our AAA index maintained at 175dm, OHALF 2016-1A AR has the best execution and covers at 98.13 at 173dm / 4.5y WAL (EoRP 2025) and trades slightly inside our index level given very clean metrics (MVOC 153, ADR 0.26, Jnr OC cushion 5.2, coupon +126bps).

USD CLO Mezz/Equity

At AA the trading range is 246dm-292dm (8 x trades 25m) which is largely centred around our AA index 261dm.  At single-A the trading range is 312dm-331dm with our index wider at 337dm, with all today’s trades of high quality eg. TICP 2016-5A CR has best execution with CVR 95.82 at 322dm / 4.7y WAL – MVOC 120.6, ADR 0.6, benchmark manager Sixth St, coupon +220bps.  At BBB there are 10 small ticket trades with combined notional of 10m with trading range 433dm-704dm with an 8pt cash px dispersion (BBB index 515dm), with weakest execution in those bonds where MVOC <110 with cover prices <90 and dm wide to our index, SHACK 2014-5RA D covers 85.3 at 704dm / 4.8y WAL – MVOC 108.8, Jnr OC cushion 2.9, ADR 0.9, Sub80 bucket 2.8 whilst Alcentra’s manager record weaker to benchmark and NAV suffers.  At BB the trading range is 817dm-860dm with our BB index tighter at 887dm, today’s trades are high quality bonds from benchmark managers and trade inside our index (See PriceABS trade listing).

EUR AAA CLO

Just 1 x AAA trade today. Sculptor 6 traded at 97.56 / 158dm. All the Sculptor shelves trade on the wide side so we don’t think this is giving us much information on whether AAAs have softened again or not.

USD CLO Mezz/Equity

$25m of liquidity today, all in AAs with spreads continuing their softening theme, US LL Index +18bp dod.  AA bonds trade 246dm-286dm with our index 255dm.  Shorter wal bonds (EoRP 2023) see best execution with covers >95 cash px, whilst longer wal (EoRP 2026/2027) cover with cash prices 94-95.  Best execution is TICP 2016-5A BR at CVR 96.55 at 267dm / 4.2y WAL (EoRP 2023) with average metrics (MVOC 129, Jnr OC cushion 3, ADR 0.6, coupon +175bps) whilst weakest execution is WINDR 2019-2A BR at CVR 94.05 at 286dm / 7.8y WAL (EoRP 2027) – MVOC 128.4, Jnr OC cushion 5.6, ADR 0.4, coupon +195bps and the manager only has 5 x CLOs under management with a weaker default record to benchmark.

EUR AAA CLO

Just 1 x AAA trade today. Dryden 56 2017, a short bond past its Jan 2022 RPE date, traded at 98.77 / +146.

USD CLO Mezz/Equity

$22m of bonds changed hands today, US LL Index +17bp dod whilst spreads continue to soften as single-As now traded and found their settling levels.    Single-As trade 287dm-432dm with our single-A index shifting wider to 338dm.  Best execution is ARES 2019-54A C cover 97.76 at 331dm / 5.8y WAL (EoRP 2024) with a high coupon +285bps and clean metrics with MVOC 118.1.  The other single-As are clustered in the early-mid 90s area cash px and have coupon structures in early-mid 200s bps context which really drives execution price since DEN16 2018-1A C (EoRP 2023 and coupon +185bps) covers 91.03 at 432dm / 4.2y WAL albeit a weak Jnr OC cushion 1.7 / weak manager record.  1 x BBB trade ELMW1 2019-1A DR cover 97.3 at 488dm / 7.5y WAL which is inside our BBB index 535dm, given the strong coupon (+440bps), clean metrics (ADR 0.2, Sub80 0, Jnr OC cushion 4.8, MVOC 111.7) from an inexperienced manager with good track record to date (Elmwood).

EUR AAA CLO

Just one AAA trade to start the week. Dartry Park traded at 97.62 / +137, for a 2025 RPE. Invesco Euro 8 priced its AAA today at +120. Primary continues to price way inside where secondary is trading.

USD CLO AAA

$134m of liquidity today across the stack with spreads softening significantly, US LL Index -210bps wow.  AAAs now well into the 170s dm range (AAA index 175dm) with a trading range of 166dm-188dm with the wide end dominated by slightly credit impacted bonds, WELF 2017-3A A1 covers at 98.22 at 188dm / 2.6y WAL (EoRP 2023) – MVOC is <150 at 147.4, Sub80 bucket high 3.3 with other metrics fairly benign despite the manager Wellfleet’s record fairly good.

USD CLO Mezz/Equity

At AA the trading range is 220dm-286dm with our AA index shifting to 248dm, best execution reserved for shorter WAL bonds with clean metrics and benchmark managers, eg. MAGNE 2015-14RA B covers at 97 at 235dm / 4.5y WAL (inside our index given clean manager profile - Blackrock) and MDPK 2017-26A BR covers at 97 at 248dm / 3.8y WAL (CSAM / EoRP Oct 2022) despite the elevated ADR 1.6 the MVOC is strong 129.6 as well as manager record.  At BBB prices have migrated into the mid 80s with a trading range 578dm-725dm (netting out downgraded / upgraded orig-BBBs) with our BBB index wider at 538dm.  Bond trades today are wider to this index since MVOCs are <110 whilst credit metrics are weaker on the 4 bonds (in the 1-1.4% region) along with weaker Jnr OC cushions (<2.4) whilst the coupons are at the higher end (360bps-390bps) so these account for the wider dm levels to our BBB index.

EUR AAA CLO

 We finish a turbulent week with a quiet day. There is just one AAA trade. BlueMountain Fuji 2, which is in amortisation and has only a 1.6yr WAL, traded at 98.84 / +138. This is steady versus the widening we had seen earlier in the week. Northwoods Capital 26 priced its AAA today at +112. This deal has a shortened 1yr NC / 2yr RPE but still, if the AAA tranche cleared at these levels, then there is a significant discontinuity between the primary and secondary markets.

EUR AAA CLO

 A quiet day in EUR CLO trading at last. Just one AAA trade. Arbour 7 traded at 98.43 / 141dm which is no further change on yesterday’s spread levels.

EUR AAA CLO

The spread moves in the EUR AAA sector today are genuinely dramatic. Far from AAAs finding a bottom after last week’s widening they have instead taken another leg down. There are 6 trades with an average spread of +142. Redding Ridge 12 priced today in the Primary market but no prices or DMs were disclosed. We see today’s trading as another 15-20 bps wider than the BWIC levels we had last seen on 5 May.

USD CLO Mezz/Equity

$103m of liquidity today with accounts under selling pressure, US LL Index -103bp dod and BBB and BB indices wider 89dm and 121dm respectively.  BBB trade 498dm-658dm with cash prices down as low as mid-high 80s.  GWOLF 2015-1A CR sees best execution at CVR 92.5 at 498dm / 4.5y WAL – coupon is +300bps and despite the weaker credit metrics (ADR 1.5, Sub80 4.4) the Jnr OC cushion is strong 5.04 and MVOC is most robust of all trades at 110 but likely to be off this number tomorrow.  BB also gapped out and trade 801dm-1374dm with our BB index wider at 857dm, cash prices falling into mid-70s.  BRDGS 2020-1A D (EoRP 2023) covers 93.07 at 879dm / 8.6y WAL, this is a 3.0 with a strong coupon +750bps and clean metrics and achieves best execution (MVOC 108.4).  At the other end of the scale is ATCLO 2019-13A E which covers at 75 at 1374dm / 5.8y WAL – EoRP 2022, coupon comparable at +695bps but ADR is high 1.8. Sub80 is high 3.4, Jnr OC cushion is cuspy 1.5 and MVOC is also cuspy at 101.9.

USD CLO Mezz/Equity

$50m of liquidity today, 12 x lower mezz bonds.  US LL Index -77bp wow and -32bp dod with spreads finishing the week along their softer tone.  BBB bonds trade 444dm-632dm (BBB index 362dm), with the tighter end of this range 444dm-606dm accounting for credit impaired bonds where ADRs are well in excess of 1% with VENTR 2015-22X DR CVR 86.75 at 606dm / 5y WAL with a very high ADR 3.7.  COV 2017-1A D (Cov Credit) covers 91.05 at 632dm / 4.25y WAL – this bond has a high margin +375bps and weak credit (ADR 0.9, Jnr OC cushion 0.8, MVOC <110 at 109.3) whilst this is a new manager with little track record.  8 x BB trade 716dm-993dm  with our BB index 736dm with downgraded (to single-B) bonds post reinvestment typically with coupons <600bps trading wide to the index.  The only bond in reinvestment is a 3.0 CLO OAKC 2021-16A E CVR 92.15 at 742dm / 9.3y WAL (EoRP 2026) with a +610bps coupon and clean metrics.  1 x single-B trades at a cover 87.00 at 993dm / 4.5y WAL which is right at our single-B index 992dm.  This bond is post reinvestment with clean metrics (MVOC 105.3, ADR 0.5, Jnr OC cushion 4%) so archetype for single-B execution.