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.

USD CLO AAA

Significant liquidity today with 75 trades and $433m of bonds changing hands, US LL Index -3bp dod, whilst BBB spreads saw the most pronounced softening effects.  Around half of today’s liquidity is AAA with BSL and MM CLOs trading, BSL trading range is 125dm-144dm with our AAA index remaining at 126dm, whilst 2 x MM CLOs trade in a 177dm-197dm range.  For BSLs the cash px basis is almost 1pt given the array of bond/deal profiles, with best execution favoured to the shorter wal bonds / shorter remaining reinvestment / post reinvestment.

USD CLO Mezz/Equity

20 x AA bonds trade in a 178dm-220dm range, our AA index is 182dm with today’s range distorted by higher coupon bonds and credit impacted fundamentals whilst the flight to quality remains in shorter wal bonds / long reinvestment with strong cushions given the market volatility, for instance ARES 2017-43A BR covers 99.5 at 178dm / 7.5y WAL (EoRP 2026) – 0.8 ADR, 5.5 Jnr OC Cushion and 128.5 MVOC.  At single-A there are 3 trades in a 233dm-254dm range, our single-A index is 235dm, BSP 2018-16A CR trades wide to this from a dm perspective, CVR 97.5 at 254dm / 5.2y WAL (EoRP 2022) with only the Sub80 bucket as a weak metric 2.4% whilst the coupon +200bps is not likely to reset in the near future with NC this June.  At BBB there are 24 trades in a 300dm-425dm range with a 3.6pt cash px dispersion given the spread of bond profiles.  Our BBB index is 351dm.  Best execution is BCC 2020-1A D CVR 99.98 at 425dm / 7.2y WAL (EoRP 2025) – high coupon +425bps with clean credit and MV metrics and a solid manager record.  At the other end of the scale is NEUB 2017-16SA DR CVR 96.35 at 345dm / 8.2y WAL (EoRP 2026) – lower coupon +290bps, lower MVOC 109.1, high ADR 1.6.  5 x BB trades 673dm – 815dm with a 3pt cash px dispersion, our BB index is 733dm which is in the middle of this range, BATLN 2017-11A ER trades at a low cash px (CVR 94.4) at 778dm / 9y WAL (EoRP 2026) – ADR elevated 0.9, Sub80 high 2.7 and other metrics broadly in line including a decent manager record.

USD CLO AAA

A fair level of liquidity today with $167m of trades across IG and SubIG, US LL Index softens for the second day running almost 50bp (-40bp dod) whilst mezz spreads widen a touch (A-BB).  At AAA our index remains at 126dm with trading dispersion 114dm-178dm whilst there are two well factored bonds that trade > 200dm given the very short wal (<0.4y) with very little dispersion amongst reinvesting bonds with cash px 99.1-99.5.

USD CLO Mezz/Equity

At AA there are 4 trades in a 179dm-191dm range, with our AA index 180dm, OCP 2020-18A BR has best execution at CVR 98.8 at 191dm / 5.7y WAL given the high coupon +170bps (MV and credit metrics clean).  At single-A there is significant basis between trades given the variety of profiles (long reinvestment v short reinvestment and high coupon v low coupon), trading range is 214dm-442dm with a 3.6pt cash px dispersion given the differing profiles, our single-A index is 233dm with best execution CFIP 2013-1A CR CVR 99.66 at 280dm / 3.7y WAL given post-reinvestment (EoRP 2021) and clean credit metrics and strong MVOC 122.5.  At BBB there is also significant basis similar to scenarios for single-A (cash px dispersion 5pts and dm range 340dm-464dm), our BBB index is 336dm with MVOCs pushing bonds wider across reinvesting bonds with weaker manager profiles impacting bonds at this level in the stack.  1 x BB trade CGMS 2015-1A ER CVR 94.27 at 837dm / 5.2y WAL with our BB index 741dm, this bond has a short wal (EoRP July 2022) but ADR is high 1.23, Sub80 bucket elevated 2.4, MVOC at the lower end 105.8 and Jnr OC cushion at low/mid end 2.9% with a coupon +694bps.

USD CLO AAA

Light flows at the senior end of the stack today, with 6 x AAA trades and US LL Index -42bps versus Friday close.  Little basis between the trades which are in a 128dm-138dm range, with emphasis in the first instance on NAVs (MVOC) and manager tiering with bonds from Columbia Management and Alcentra meeting weaker execution given their respective manager profiles, see PriceABS for trade history log.

USD CLO AAA

A more buoyant day with $212m of liquidity across 44 trades across the capital structure, BB spreads softening most in relative terms, US LL Index +4bp dod.  16 x AAAs trade at a discount in a 121dm-139dm range with our AAA index in the middle of this range 126dm.

USD CLO Mezz/Equity

At AA there are seven trades in a 158dm-191dm range with our AA index 179dm.  COOK 2018-1A B trades at the lowest cash price 98.8 at 168dm / 4.7y WAL given the low coupon +140bps and the bond still in reinvestment for another year whilst the Jnr OC cushion is at the lower end 3.4%.  At single-A the trading range is 212dm-310dm across 10 trades with two very short wal bonds which are 4y post reinvestment end and carry coupons > +230bps.  At BBB there are 6 trades in a 288dm-457dm range with our BBB index 332dm, best execution remains in post reinvestment bonds just like for single-A with the outperformer NWSTR 2015-1RA DR CVR 99.89 at 400dm / 1.1y WAL (EoRP 2019, high coupon +390bps and MVOC 294).  At the other end of the scale is VIBR 2018-8A C CVR 93.37 at 448dm / 4.7y WAL (EoRP 2023, coupon +285bps) – MVOC is low 108.7, ADR is high 1.35, Sub80 bucket is high 3.6 and Jnr OC cushion low at 1.3.  At BB the trading range is 706dm-820dm with our BB index 725dm, CANYC 2020-3X E with a high coupon +725bps covers 99.55 at 732dm / 8.7y WAL close to our index level – EoRP 2026 with very clean credit and MV metrics despite the modest manager record.

USD CLO AAA

More than $120m of liquidity today across 36 x IG trades with spreads largely flat on the day, US LL Index also flat dod.  AAA trade 112dm-134dm with a short dated trade CIFC 2013-2A A1L2 covers MH99h at 112dm / 2.6y WAL (EoRP 2022), whilst our AAA index in the middle of this range 125dm, so some early signs of stabilisation at least today. 

USD CLO Mezz/Equity

At the AA level there are 9 trades in a 164dm-196dm range, with our AA index again in the middle of this range 181dm, with tiering driven keenly by wal and MVOC given metrics are relatively clean on the bonds on lists today.  WINDR 2021-1X B1 experiences weak execution in terms of cash px CVR 97.75 at 181dm / 7.2y WAL given the low coupon +145bps but with clean metrics this trade is in line with our index.  At single-A there are 16 trades in a 198dm-295dm range with our single-A index 220dm.  There are more variables in terms of tiering with low coupon bonds (<200bps) notoriously weakest in terms of cash px with shorter wal bonds with low coupons (ie. post reinvestment) trading closer to par.  For reinvesting bonds with clean metrics and coupons > 200bps the trading range is 215dm-248dm which is wrapped around our index level.  At BBB there are 5 trades which are all post reinvestment and in a 328dm-351dm range with our BBB index 332dm.

USD CLO AAA

22 trades today with >$77m of liquidity across the stack, US LL Index +2bp dod with a number of short dated bonds offered.  AAA continue to trade at a discount and dm's softened a touch on reinvesting bonds as our AAA BSL index moves to 126dm.  There is one rare reinvesting MM CLO GOCAP 2014-21X AR covers at 99.35 at 173dm / 2.6y WAL (EoRP 2023), this is the first AAA MM CLO trade of the year with dm's around year end in the L160s to put into context the softening since.

USD CLO Mezz/Equity

At the AA level there are four trades in a 184dm-196dm range, with our AA index at the tight end of this 181dm, so a continued softening feel given all the trades are reinvesting and at the short end of that (EoRP within 2y).  MVOC drives tiering with ALLEG 2017-2X B from AXA IM CVR at the wide end 98.31 at 196dm / 4y WAL (MVOC 126.8 vs benchmark 128-130) with other metrics largely in line.  At BBB there are 4 trades in a 246dm-502dm range with all but one bond post reinvestment . static CLO from day one, eg. PSTAT 2020-1A C CVR 100.13 at 246dm / 3.3y WAL.  The one reinvesting bond is AWPT 2017-8A D which covers at 95.1 at 396dm / 5.2y WAL - MVOC is very low 109.9, Sub80 bucket is high at 3% and the bond carries a low coupon +287bps whilst the manager ArrowMark's record is back from benchmark levels.  At the BB level there are a number of trades at the short end in a 569dm-700dm range with our BB index 713dm, the one reinvesting bond to trade is BLUEM 2018-22A E CVR 91.37 at 685dm / 6.2y WAL (EoRP 2023) which has average metrics across the board whilst the manager (Assured) record is a touch back from benchmark levels with a low coupon +505bps driving the dm level inside our index.