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).

EUR AAA CLO

There are 2 x AAA trades today, at around 254dm. It looks like the 250a spread levels of yesterday was not a one-off. If anything these levels are wider than they appear versus yesterday because both bonds are very short (JUBIL 2017-18X A is one year past its RPE date).

USD CLO AAA

A heavy day of liquidity with around $250m exchanging hands predominantly IG, US LL Index bounces +24bp dod with some positive signals in the broader market.  More than half of today’s liquidity is from AAA which trades 174dm-209dm with our AAA Index 178dm, a number of trades with dm’s north of 200dm are down to high margin scaling as opposed to credit.  Best execution is a trade near our index level NEUB 2021-40A A CVR 97.64 at 180dm / 3.5y WAL (EoRP 2024) – clean metrics, strong MVOC 151.2, +106bps margin and a benchmark name Neuberger.

USD CLO Mezz/Equity

AA trade 256dm-278dm with our AA Index 271dm, there is an outlier trade OZLMF 2013-4A A2R (Sculptor) CVR 95.05 at 325dm / 3.6y WAL – this bond is nearing the end of it’s reinvestment period (Oct-22), has an elevated ADR 1.1 but most pertinently the Jnr OC cushion is cuspy 0.67 so this does impact upon execution.  Single-A trade 353dm-380dm which are wide to our single-A Index 344dm, ADR’s on both trades are elevated at 1%, Sub80 bucket high at 3%+. MVOCs are at the lower end and Jnr OC cushions at 2-3% so in the lower/mid percentile.  BBB trade in a very wide dispersion 465dm-838dm with our BBB Index 472dm, with NAVs volatile the impact that lower MVOCs has on execution is pronounced with trades wide to our index accounted for by higher coupon bonds for the main part scaled further by MVOCs which are 104 or lower versus trades around the index with healthier MVOCs in 106-108 area.  BB trade 843dm-877dm wrapped around our BB Index 867dm, there is one outlier trade GALXY 2017-24A E CVR 80.5 at 1070dm / 5.4y WAL (Pinebridge) EoRP 2023, the MVOC is cuspy 100.5 and a low coupon +550bps so this does impact upon execution given the risk adjusted return is lower than competing bonds.

EUR AAA CLO

There are only 2 x AAA trades today but they both evidence that AAA spreads have gapped out again. The average cover spread is an eye-watering 249dm. This is around 30bps wider than the previous levels seen.

USD CLO AAA

$180m of much needed liquidity after the holiday weekend, spreads have a firmer feel whilst US LL Index -7bp dod.  AAA trade 169dm-204dm with our AAA Index 178dm, best execution is CRBN 2017-1A A1 CVR 98.35 at 184dm / 2.5y WAL (Invesco) – coupon +114bps, clean metrics and short wal whilst longer wal bonds in same dm context trade 2pts lower with stronger MVOC metrics (+6-12pts) and similar coupons. 

USD CLO Mezz/Equity

2 x Single-As trade 320dm-364dm wrapped around our single-A Index 336dm with a shorter wal (-3y) bond only 0.7pts more expensive with similar profile credit/MV metrics and coupon structure.  BB trade in a very wide dispersion given the volatility in NAVs meaning many bonds have cuspy MVOCs dm range is 841dm-1138dm with our BB Index towards the lower end of this range at 869dm.  There is tiering with bonds with MVOC >102 trading around the BB Index level with the remainder with MVOC 100-102 trading north of 1000dm.  At the wider end is KKR 14 ER CVR 80.00 at 1138dm / 5.6y WAL with MVOC 100.3 and otherwise reasonable credit metrics and strong JNr OC cushion 4.7.

EUR AAA CLO

There are 3 x AAA trades today. CORDA 5X ARR is the only one from an amortising deal and this traded at 209dm. The other two trades, which have not reached their RPE date yet, traded around 228dm.

EUR AAA CLO

Just one AAA trade today. SNDPE 7X A traded at a new wide of 220dm / 93h. This is fairly recently issued, has a 2027 RPE and a 6yr WAL. The last few days we have been around +210 for AAA.

USD CLO AAA

Muted liquidity today given the holiday weekend looming and month end with %16m exchanging hands, spreads stable but US LL Index drops 37bp dod.  3 x AAA trade 182dm-188dm which is more or less centred around our AAA Index 182dm.

USD CLO Mezz/Equity

BB trade 868dm-887dm with our BB Index 867dm, there is one outlier trade ARES 2018-49A ECVR 83.15 at 983dm / 5.9y WAL - low coupon +570bps, lower Jnr OC cushion percentile 2.9, elevated Sub80 bucket 4% but the MVOC is the key driver here on execution level given it is close to 100 at 100.62.

USD CLO AAA

$87m of liquidity across senior and mezz with some softening in senior mezz as US LL Index -13bp dod.  AAA trade 176dm-207dm with our AAA Index 181dm.  There are two x shorter dated MM CLO AAAs that trade 253dm-256dm.

USD CLO Mezz/Equity

AA trade 264dm-324dm with the AA Index 265dm with some softening feel, best execution is AGL 2019-2A B CVR 95.55 at 296dm / 4.9y WAL – EoRP 2024, high coupon +190bps and clean metrics.  At single-A the trading range is 326dm-381dm centred around our single-A Index 352dm.  At BBB there are two outlier trades in the 80s cash px area with high dm’s (551/825dm) driven by credit factors / high coupon mainly with a little softer feel on the one trade that is near the index BALLY 2019-2A CR CVR 93.2 at 469dm / 5.5y WAL (EoRP Nov-22) with a coupon +315bps, strong MVOC 108 and clean metrics wide to the BBB Index 432dm.  At BB the trading dispersion is extremely wide given the impact of NAVs on MVOCs grinding towards 100.  The trading range is 799dm-1840dm with our BB Index 866dm.  At the wide end is SNDPT 2015-1RA E CVR 65 at 1840dm / 4.9y WAL – post reinv, ADR 1.4, Sub80 5.4, Jnr OC cushion cuspy 0.8 and MVOC <100 at 97.42 from Sound Point.  Best execution for a reinvesting BB is HARB 2018-1A E CVR 88.63 at 812dm / 6.4y WAL – EoRP 2024, +560bps coupon, credit metrics and cushions healthy and MVOC 103.9 which is towards the higher end.

EUR AAA CLO

There are 6 x AAA trades today. Their average traded spread is 209dm. Secondary AAA spreads have been consistently greater than +200 for about a week now.

USD CLO Mezz/Equity

$89m of liquidity today with a little spread softening at the BBB level, US LL Index +5bp dod.  AA trade 256dm-299dm with our AA Index 263dm, there are two outlier trades, one is CTWTR 2014-1A A2R which is well past reinvestment with CVR 99.81 with a very short wal 548dm / 0.05y WAL and the other is in reinvestment - SNDPT 2018-3A A2 CVR 93.52 at 346dm / 4.4y WAL – Jnr OC cushion is low 2.65, Sub80 is high 4.5 but MVOC is lagging at sub 120 at 119.9.  BBB trade 462dm-480dm with our BBB Index 431dm, bonds are higher coupon (+370-400bps) and longer wal (EoRP 2026) with no credit or MV issues to report.  There are two outlier trades with the wider one CGMS 2015-4A CR CVR 88.5 at 602dm / 6.7y WAL – ADR high 1.1, Sub80 3%, Jnr OC cushion low 1.8, MVOC at the lower end 106.7 with the manager’s record weaker to benchmark.  BB trade 834dm-900dm with our BB Index 868dm with no signs of widening at this level given the trade widest of the index is due to the high coupon - OCP 2020-20A E CVR 93.01 at 900dm / 8.4y WAL – strong metrics ADR 0, Sub80 1.4, Jnr OC cushion 5.3 and MVOC 104 whilst coupon is high at +766bps with EoRP 2026 and NC October this year so does reflect a good execution level.

USD CLO AAA

$122m of liquidity today across senior, senior mezz and equity with spreads stable/firm and US LL Index -25bp wow.  AAA trade 184dm-198dm which are wide to our AAA Index 183dm, with the wider levels driven by credit impacted bonds / higher coupon rather than spread widening.  For instance best execution is ROCKT 2017-3A A CVR 98.11 at 198dm / 2.6y WAL (EoRP 2023) with a high coupon +119bps, clean credit and strong Jnr OC cushion 5.3 / MVOC 147.   

USD CLO Mezz/Equity

AA trade 263dm-310dm with our AA Index 258dm with the array of trading in higher coupon bonds (+170-180bps) with longer wals.  Best execution TICP 2018-12A BR CVR 263dm / 7.2y WAL – EoRP 2026, clean credit, coupon +165bps, MVOC 123 and Jnr OC cushion 5.1.  Single-A trade 323dm-351dm wrapped around our single-A Index 332dm, best execution for a reinvesting bond is TICP 2017-7A CR CVR 94.35 at 323dm / 6.4y WAL (EoRP 2025) – strong MVOC 115.2, ADR 0.7, low Sub80 1.6, Jnr OC cushion 3.8, +215bps coupon and a strong manager in Sixth Street.

EUR AAA CLO

Just the two AAA trades today. At an average spread of +200, this is slightly firmer than the previous day’s +208.

USD CLO AAA

$66m of liquidity today, spreads stable with US LL Index -12bp dod.  AAA trade 179dm-209dm with our AAA Index 184dm, there is an outlier trade VENTR 2018-31A A1 (EoRP 2023) CVR 97.33 at 209dm / 2.7y WAL with weaker metrics (MVOC 144, ADR 0.9, Sub80 4.5, Jnr OC cushion 2.5).  CIFC 2014-4RA A1AR covers with a lower px 96.69 at 179dm / 6.3y WAL – longer WAL (EoRP 2027), ADR is high 1.3 but MVOC is strong 150 and Jnr OC cushion is strong 5.6 whilst coupon is ‘high’ +117bps and a benchmark manager CIFC.

USD CLO Mezz/Equity

At AA the trading range is 262dm-271dm with our AA Index 262dm.  At BBB the dispersion of dm is wide with a range 411dm-747dm, our BBB Index is 425dm.  The majority of trades are high coupon (>300bps margin) which scales the dm’s wide of our index for these bonds.  The BB dispersion is wide also with almost half of today’s liquidity trading 851dm-1173dm with our BB Index 862dm.  At the wide end is OCP 2014-7A DRR CVR 82.03 at 1173dm / 4.1y WAL – ADR is high 1.6, Sub80 3.9, MVOC is cuspy 101.2, coupon is low +583bps and Jnr OC cushion is low 2.8 and the bond is post reinvestment.  In terms of best execution, this is BCC 2020-1A E CVR 95.33 at 920dm / 7.7y WAL – high coupon +825bps, clean credit and MV metrics whilst Bain is a benchmark manager (the dm is scaled by the high coupon here naturally).

EUR AAA CLO

Eve though the whole stack has widened out again today the most notable move is in the AAA sector. There are 5 x AAA trades at an average spread of 208dm. Two days previously the average spread was +178 and the day before that it was +159. The average traded price is 94.41.

USD CLO AAA

$235m of liquidity today across the stack with spreads tighter at the senior end whilst a touch softer at the lower mezz end, US LL Index -16bp dod.  AAA trade 176dm-193dm centred around our AAA Index 185dm, furthermore a rare MM CLO AAA trades GOCAP 2017-34A AR covers 98.01 at 257dm / 2.5y WAL with an EoRP mid-2023 from a benchmark manager Golub. 

USD CLO Mezz/Equity

AA trade 252dm-299dm with our AA Index 261dm, best execution is AMMC 2015-16A BR2 CVR 97.66 at 252dm / 2.4y WAL – post reinvestment / high MVOC 140.1.  At the wider end of the dm scale with weakest execution is OAKCL 2019-3A BR CVR 92.66 at 299dm / 7.4y WAL – high ADR 1.8, high Sub80 bucket 5.3 with other metrics broadly in line / weaker manager record for OakTree pulling this wider.  BBB trade in a wide dispersion 411dm-589dm with our BBB Index 425dm, best execution is NEUB 2020-37A DR CVR 93.79 inside our index at 411dm / 6.2y WAL – strong MVOC 109.4, short wal (EoRP 2023), clean credit metrics and a benchmark manager.  At the wide end are 2 outliers, with one of them VENTR 2017-28AA DR CVR 86.5 at 589dm / 8.7y WAL – high ADR 1.5, high Sub80 4.7, MVOC at the low/mid end 107.8, high margin +362bps but a weaker manager record contributes to the weaker execution.  BB trade 756dm-996dm with our BB Index 856dm.  Best execution is FLAT 2020-1A E CVR 95 at 881dm / 8.3y WAL (EoRP 2025) – clean credit, high coupon +785bps and higher percentile MVOC 105.3 with a strong manager record from NY Life IM makes this a choice bond.  Weakest execution is REG14 2018-3A E CVR 86.5 at 921dm / 5.9y WAL (EoRP 2023) – ADR 0.9, Sub80 high 3.7. MVOC cuspy 101.9, Jnr OC cushion cuspy 1.2, coupon is low +595bps whilst Napier Park has a decent track record as a manager so it is this deal’s metrics (some of which are fixed like coupon) that are impacting upon execution.

USD CLO Mezz/Equity

With the short week ahead of Independence Day next Monday there is limited liquidity, with $20m exchanging hands, all mezz with spreads overall remaining firm / stable with US LL Index +13bp dod.  At single-A MDPK 2016-22A CR covers 93.51 at 365dm / 4.6y WAL which is around our single-A Index level 361dm – benchmark manager CSAM and clean metrics with EoRP 2025 / coupon +200bps.  At BBB the trading range is 403dm-410dm with our BBB Index 421dm, with trades with shorter wals (EoRP 2023/2024) and again benchmark managers (Blackrock/CSAM) with clean metrics trading inside the index.  There are two outlier trades which trade well wide of the index 613dm-676dm with weaker MV/credit metrics – for instance at the wide end is MP3 2013-1A DR CVR 84.68 at 676dm / 5.4y WAL – this is an original BBB downgraded to BB with a low MVOC 105.2 and cuspy Jnr OC cushion 1.1, coupon +305bps and EoRP October this year.  At BB the trading range is 843dm-871dm with our BB Index 846dm, the two trades wide of the index are either high coupon (+710bps) / long wal or in the case of the weakest execution MDPK 2018-30A E CVR 88.5 at 871dm / 3.9y WAL which has a low coupon (+495bps) and downgraded to single-B.

EUR AAA CLO

After a long lull EUR CLO secondary trading has resumed. AAA spreads have opened much wider than they left off. The two trades today are at an average spread of +178. This is 15 – 20 bps wider than before Barcelona. And the OCPE 2017-2X A trade is amortising and still traded at +171. ARBR 7X A traded at 98.43 on 12 May 2022 and at 96.95 today, a point and a half lower in price over the last month.

USD CLO AAA

$133m of liquidity today across the stack, spreads continue their tightening theme across the board, US LL Index -2bp dod.  AAA trade 149dm-166dm with our AAA index 162dm, the vast majority of bonds today are shorter wal (EoRP 2022/2023) so trade inside our index.  Best execution is CIFC 2017-5A A1 CVR 99.14 at 157dm / 2.4y WAL – low ADR 0.4, coupon +118bps, Jnr OC cushion 4% and a benchmark manager in CIFC. 

USD CLO Mezz/Equity

1 x AA trade ICG 2014-2X BRR which covers at 96.29 at 251dm / 3.9y WAL (EoRP 2023) which is wide to our AA index 238dm – elevated ADR 1.1, high Sub80 4.6, low/mid Jnr OC cushion 2.97, low coupon +145bps.  5 x Single-A trade in a tight dispersion 272dm-291dm with our single-A index 296dm, bonds are typically shorter maturities (EoRP 2022-2024) so inside our index.  BBB trade once again in a wide dispersion 353dm-574dm with our BBB Index 389dm, those bonds well wide of the index are characterised by lower MVOC (105 area), high ADRs 1.2-1.3 and low Jnr OC cushions <2%.  B trade 787dm-1338dm with our BB index 784dm, at the wider end of the range today the MVOCs are very cuspy at around 100 whilst accentuated by the fact that many of these bonds have poor credit (eg. High ADRs) and higher Sub80 buckets (>3.5%), risk adjusted returns are weak with a current rated BB OFSBS 2018-1X E cover at 73 at 1338dm / 5.7y WAL – ADR 1.1, MVOC 99.84, coupon +600 and Jnr OC cushion 2.2 whilst the manager OFS has a weak performance record.

EUR AAA CLO

There are 9 x AAA trades today. The average traded spread is +159. If you just look at the 8 bonds that are not amortising their average spread is +163. The widest spread is BOPHO 4X A, at +182. All these trades are for short, high quality bonds and are much wider than where new issues are printing.

USD CLO Mezz/Equity

$91m of liquidity today – all mezz/equity, spreads continue to remain stable with a tightening bias, US LL Index +7bp dod.  1 x single-A trade today MDPK 2018-27A B CVR 96.63 at 266dm / 4.4y WAL inside our single-A Index 301dm – wal is short (EoRP 2023), performance is good and MVOC is healthy 115 from a benchmark manager CSAM.  BBB trade 350dm-651dm with our BBB Index 390dm, trades tight to this are wal driven with bonds post reinvestment and two outliers that are well wide of the index trade 589dm-651dm with performance slightly impaired (ADRs > 1, MVOC <106, Jnr OC cushion <1.5.  Excluding these the trading range is 363dm-423dm which is centred around our BBB Index.  At BB the trading range is well dispersed 624dm-1170dm with our BB Index 786dm, best execution for a reinvesting bond is RAD 2019-6A E CVR 98.5 which is right at our index at 783dm / 7.2y WAL – reasonably average metrics (eg. MVOC at the lower end 103.3), EoRP 2024 but the high coupon +753bps drives the execution level.  At the wide end are two downgraded (to single-B) bonds which trade 1166dm-1170dm with cash px in very low 80s context as performance metrics are weak from all angles including MVOC <100.

USD CLO AAA

A far more active day with $202m of liquidity given the stable spreads environment and US LL Index +2bp dod.  At AAA the trading range is 149dm-171dm with our AAA Index 163dm.  Best execution for a reinvesting bond is DRSLF 2015-37A AR CVR 98.96 inside our index 153dm / 2.6y WAL given the short wal predominantly and clean metrics from a benchmark manager PGIM.  BALLY 2021-16X A1 from Fidelity (EoRP 2026) covers at the lowest level today 97.25 at 167dm / 5.8y WAL – driven here by wal but also the inexperienced manager despite the clean metrics (MVOC 149.4, ADR 0, Jnr OC cushion 5.3) impact upon execution.

USD CLO Mezz/Equity

At AA the trading range is 232dm-278dm with our AA Index at the tight end of this range at 237dm, 2 x higher coupon bonds (+180-185bps) / longer wal (EoRP 2026) make up the wide end in terms of dm as metrics are clean as investors favour shorter wal / more experienced benchmark manager names.  20 x BBB names trade in a wide dispersion 359dm-603dm with our BBB Index 391dm.  Best execution is reserved for CGMS 2021-10A D CVR 96.7 at 380dm / 8.8y WAL – ADR 0, Sub80 low 1.2, MVOC strong 107.2, Jnr OC cushion high 4.6, Carlyle is a benchmark manager and strong risk adjusted cashflows given the high coupon +330bps is attractive.  At the wider end is ATCLO 2018-12A D CVR 86.88 at 603dm / 5.7y WAL – weaker manager (Crescent),, high ADR 1.5, high Sub80 5.8, low Jnr OC cushion 1.6 and a low MVOC 103.2.  At BB the trading range is 740dm-876dm with our BB Index 784dm, the wider end of the trading range today is high coupon related rather than credit or market driven factors so have left our index flat dod.  There is one outlier trade SHACK 2017-11A E (Alcentra) which is a downgraded BB to B CVR 81.55 at 1154dm / 5y WAL (EoRP Aug-22) – elevated ADR 0.9, high Sub80 3.9, Jnr OC cushion is low 2.7 but the MVOC is the driving factor as it is below 100 at 98.76 where it is rare to see bonds shift hands.

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.