Market Commentaries



Eur/GBP

USD  

 

Feedback on Commentaries and Analysis is welcome
Sheil Aggarwal


select * from bbg_commentary where 1=1 order by date desc
  • 3 April 2024

    USD CLO AAA

    $73m of flow across IG and SubIG, CLO spreads flat, US LSTA 100 Index +2bp dod.  AAA trade 146dm-149dm with our AAA Index unchanged 144dm.

    USD CLO Mezz/Equity

    Few benchmarks to note in mezz trading, with BBs trading 698dm-812dm with no benchmark bonds (BB Index unchanged 677dm).

    EUR AAA CLO

    BOPHO 5X A1 (AAA) traded at 130 dm.

    EUR MEZZ/EQUITY CLO

    There are a number of BBB trades. The average traded spread is 370 dm which appears a little softer but we think it is explained by the number of bonds trading with low MVOCs.

    BBs have traded around 659 dm which is a little firmer.


  • 2 April 2024

    USD CLO AAA

    $57m of liquidity today, US LSTA 100 Index +14bp on last CLO trading date.  CLO spreads broadly unchanged.  AAA trade 111dm-150dm (AAA Index 144dm) with a 2nd pay KKR 32A A2 cover 100.08 at 188dm / 5.1y WAL (EoRP Jan-24).

    USD CLO Mezz/Equity

    Most of the flow is in BB and B today with few benchmarks trading, BB trade 718dm-910dm (BB Index 677dm) andf single-Bs trade 947dm-1070dm (Single-B Index 939dm) with benchmarks 947dm-969dm


  • 28 March 2024

    EUR MEZZ/EQUITY CLO

    Only 4 x BBB trades to look at. The Invesco bonds traded wider than their peers. To some extent this was due to their lower than normal MVOCs. The average spread on the day is +389.


  • 27 March 2024

    EUR AAA CLO

    It’s been an active day in secondary trading today. AAAs traded around 117 dm today.

    EUR MEZZ/EQUITY CLO

    AAs have traded in a wide range today – from 125 dm for the delevering AQUE 2017-2X B1 to 298 dm for the just reset VOYE 6X B.

    Single A’s traded around 243 dm, a few bps tighter.

    BBBs are steady at around 428 dm.

    BBs look a little softer on the day at around 681 dm.


  • 26 March 2024

    EUR AAA CLO

    Light trading ahead of the Easter break and spreads look rangebound. AAAs are around 143 dm today.

    EUR MEZZ/EQUITY CLO

    MECLO 2023-1X B1 (AA) at 284 dm and BBs around 711 dm.


  • 25 March 2024

    EUR AAA CLO

    Voya Euro VI, which just reset, traded at a premium (100.09).

    EUR MEZZ/EQUITY CLO

    HARVT 29X B (AA), a premium price bond traded at 318 dm.

    HARVT 12X CR (A) traded up at 190 dm. The deal is amortising and this bond has a good MVOC.

    CGMSE 2022-3X C (BBB) traded at 587 dm.


  • 22 March 2024

    EUR MEZZ/EQUITY CLO

    Very little activity today in the run up to Easter.

    CGMSE 2017-1X A2AR (AA) traded at 216 dm.

    A couple of single A’s also traded. AQUE 2017-1X CR is delevering and traded at 182 dm. CGMSE 2017-1X BR traded at 278 dm.


  • 21 March 2024

    USD CLO AAA

    $79m of flow, with some realignment once again in BB bonds with other levels broadly flat, US LSTA 100 Index saw a fall -20bp dod.  AAA trade 139dm-147dm with our AAA Index unchanged 144dm.

    USD CLO Mezz/Equity

    AA trade 179dm-207dm with all profiles non benchmark, there is a MM CLO AA GOCAP 2015-25A BR covers 100.02 in a small 1m clip at 212dm / 2y WAL (post reinvestment profile).  BBs trade 677dm-837dm with one benchmark SYMP 2020-22X E covers 99.19 at 677dm / 5.6y WAL (EoRP 2025) MVOC 105.5, coupon +625bps, clean credit and Symphony the manager, small clip 1.3m notional.  BB Index 679dm.

    EUR MEZZ/EQUITY CLO

    AA’s are unchanged at around 196 dm.

    RFTE 2019-1X C (A rated) traded at 269 dm.

    BBBs look like they are drifting slightly wider with today’s trades around 390 dm.

    BBs are steady at around 666 dm.

    Single B’s look a little firmer and traded today around 875 dm.


  • 20 March 2024

    EUR MEZZ/EQUITY CLO

    A handful of AA’s and A’s traded today. Spreads are unchanged. AA’s are around 198 over and single A’s around +239.


  • 19 March 2024

    USD CLO AAA

    $291m of flow today, CLO spreads flat on the day, US LSTA 100 Index +2bp dod.  $260m of flow in AAAs in a trading range 119dm-165dm, benchmarks 138dm-145dm (AAA Index 144dm).

    USD CLO Mezz/Equity

    $30m of mezz flow, the majority in BB bonds, trading range 657dm-1459dm, one benchmark trade to note AIMCO 2019-10X ER cover 98 at 680dm / 5.2y WAL (EoRP Jul-24), MVOC 105.2 and clean credit metrics with the manager AIMCO.  

    EUR AAA CLO

    AAAs traded a few bps firmer at 131 dm in secondary.

    EUR MEZZ/EQUITY CLO

    AAs are steady at 211 dm.

    CGMSE 2018-2X B2 (A rated) traded at 231 dm.

    BBBs trade around 314 dm but VOYE 1X D trades a lot tighter due to the combination of low margin and high MVOC.

    BBs look a few bps softer today at around 641 dm.

    Single B’s trade around 1027 dm mainly driven by DRYD 2017-27X FR at 1176 dm which is due to its low MVOC of 102.15% and its downgrade to C.


  • 18 March 2024

    USD CLO AAA

    Subdued flow with $48m of liquidity, mostly high grade, US LSTA +6bp on last CLO trading day.  AAA trade 140dm-209dm with benchmarks 140dm-149dm and a high coupon bond HLSY 2023-7A A covering at 101.08 at 209dm (+225bps coupon) with EoRP 2026.  AAA Index 143dm.  There is a 2nd pay bond APID 2021-36A A2 cover 100.02 at 168dm / 4.2y WAL (EoRP 2026) which is tight to other 2nd pays seen earlier this year, rare trade.

    USD CLO Mezz/Equity

    Most of the mezz flow is in AA bonds with $15m across 8 bonds trading in a 183dm-233dm range, benchmarks trading 194dm-198dm (AA Index 194dm).  


  • 15 March 2024

    USD CLO AAA

    $31m of flow, BB spreads tighten slightly and US LSTA 100 Index +1bp dod.  1 x AAA trade post reinvestment bond VENTR 2017-29A AR covers 100a at 132dm inside our AAA Index 144dm.

    USD CLO Mezz/Equity

    Most of the flow is in single-A and BB, single-As trade 213dm-258dm with virtually all post reinvestment non-benchmarks (single-A dm 242dm).  10 x BB trade 604dm-980dm, our BB Index 677dm with some weaker MVOC bonds (104-105 area) holding up on a dm basis firmer so have tightened our index slightly.


  • 14 March 2024

    USD CLO AAA

    $157m of flow, CLO spreads broadly flat with some mild compression at single-A, US LSTA 100 Index +3bp dod.  AAA bonds all non benchmarks index unchanged 144dm.

    USD CLO Mezz/Equity

    Good single-A flow with a trading range 223dm-385dm with benchmarks 224dm-256dm and our single-A Index 242dm.  BBB bonds trade 325dm-589dm with benchmarks 325dm-359dm (BBB Index 343dm).  Plenty of BB flow with $23m across 12 trades, trading range 671dm-1283dm with one benchmark bond TREST 2017-1A DR covers 99.51 at 671dm / 4.9y WAL - MVOC strong 106.9, coupon +625bps, clean credit and APC the manager (EoRP April 2024) with the shorter wal pulling this slightly inside our BB index 696dm.

    EUR AAA CLO

    AAAs are steady in secondary at around 129 dm.

    EUR MEZZ/EQUITY CLO

    AAs look like they have firmed up a few basis points, even though this has not been reflected in recent primary pricing. Trades today are around 200 dm.

    CIFCE 4X E (BB) traded at 631 dm.


  • 13 March 2024

    USD CLO AAA

    $248m of flow with CLO spreads generally flat with some modest tightening at BBB.  AAA trade 140dm-144dm with these bonds all benchmarks (AAA Index 144dm).

    USD CLO Mezz/Equity

    AA trade 170dm-208dm with benchmarks 189/190dm (AA Index 194dm).  $45m of BBB liquidity with a trading range of 307dm-519dm with benchmarks 333dm-348dm, our BBB Index 342dm), bonds wide of the index are typically scaled back given MVOCs are lower than benchmark level of 111% whilst there are some high coupon / reinvesting deals also wide of the index.  BB bonds trade 609dm-937dm, all non-benchmark profiles.

    EUR MEZZ/EQUITY CLO

    INVSC 1X BRE (AA) traded at 206 dm. PURP 1X B which is an orig AA but AAA now and paying down traded at 130 dm.

    Single A’s traded around 248 dm, in line with new issue spreads.

    BBBs traded around 352 dm.

    BBs are around 655 dm.

    Single B’s around 914 dm.

    Both equity trades are in the 15% to 17% yield range.


  • 12 March 2024

    USD CLO AAA

    $200m of flow today, US LSTA 100 Index continues to tighten +5bp dod and CLO spreads remain firm but flat on the day.  AAA saw most liquidity with $170m of liquidity with a trading range 126dm-174dm with benchmarks 141dm-150dm (AAA Index 144dm).

    USD CLO Mezz/Equity

    Most of the flow was in AA bonds, $11m across 7 bonds trading 196dm-216dm but small clips post reinvestment (AA Index 193dm) with weaker managers trading wide of the Index, WBOX 2021-3A B covers 100.03 at 213dm / 5.7y WAL with Whitebox the manager.  BB bonds trade 693dm-734dm post reinvestment profiles (BB Index 696dm).


  • 11 March 2024

    USD CLO Mezz/Equity

    $68m of flow in mezz, US LSTA 100 Index +9bp dod and CLO spreads flat.  All non-benchmarks trade today with the vast majority post reinvestment profiles, with those bonds in RPE high coupon profiles off index.


  • 8 March 2024

    USD CLO AAA

    Little flow today with $25m exchanging hands, CLO spreads flat.  US LSTA 100 Index +3bp dod.  $20m of AAA across 12 clips trade 130dm-215dm with benchmarks 141dm-152dm (AAA Index 144dm).

    USD CLO Mezz/Equity

    Little flow in mezz with $5m trading across 7 small clips, with non benchmark profiles.


  • 7 March 2024

    USD CLO AAA

    $217m of flow today, CLO spreads flat and US LSTA 100 Index +14bp dod.  AAA 1st pays trade 125dm-144dm with benchmarks 142-144dm (AAA Index 144dm), a second pay CATSK 2017-1A A1B covers 100.08 at 165dm / 3.1y WAL (post-reinv).

    USD CLO Mezz/Equity

    Single-A and AA trades are all non-benchmarks, post reinvestment bonds for the main part.  17 x BB trades in a 632dm-952dm range, benchmark bond trade TICP 2016-6A ER2 CVR 99.17 at 676dm / 6.5y WAL (Sixth St managed), EoRP 2026, MVOC 105.6 with clean credit metrics.  BB Index 695dm.

    EUR MEZZ/EQUITY CLO

    AAs have drifted a little wider with today’s trades at an average spread of 228 dm. Both NWEST trades did look cheap relative to our algorithm pricing.

    BECLO 9X C (A rated) traded at 292 dm.

    BBBs are steady at 401 dm in secondary.

    BBs are firm today at around 683 dm.

    Single B’s are also steady at 979 dm.

    There are two equity trades. PRVD 1X SUB traded at 15.9% yield. ARMDA 2X SUB traded at 14% yield because of its high NAV.


  • 6 March 2024

    USD CLO AAA
    $42m of flow across the stack, CLO spreads flat whilst US LSTA 100 Index continues to outperform at all time highs.  AAA post reinvests trade 94dm-122dm with no effect on the benchmark index 144dm.

    USD CLO Mezz/Equity

    AA trade 175dm-202dm (AA Index 193dm) with bonds post reinvestment, with non benchmarks trading at BBB and BB in small size.  Single-B trade 988dm-1040dm, GLM 2021-11A F at the tight end of the range today and a benchmark bond - 90.75 CVR at 988dm / 7.7y WAL (EoRP 2026), GoldenTree the manager, MVOC slightly back from benchmarks at 103.25 but all other metrics are clean so does trade 40dm wide to our single-B Index 945dm.

    EUR AAA CLO

    CABPK 1X A, a discount AAA, traded at 130 dm. Premium AAAs traded around 178 dm.

    EUR MEZZ/EQUITY CLO

    AAs have traded at 199 dm.

    BBs have traded around 732 dm.

    ARESE 9X F (B) traded at 748 dm.


  • 5 March 2024

    EUR AAA CLO

    Secondary AAAs are still at 134 dm.

    EUR MEZZ/EQUITY CLO

    BBB spreads are unchanged and they traded around 354 dm today.

    BBs traded at an average spread of 633 dm.

    Single B’s traded around 958 dm.

    There are two equity trades. SPAUL 10X SUB traded at 17.7% yield and the cover notified for CONTE 6X SUBR comes out to 7% yield – which does seem remarkably tight.


  • 1 March 2024

    USD CLO AAA

    $144m of flow today, some rebalancing tighter of low mezz whilst IG spreads remain unchanged, US LSTA 100 Index +3bp dod.  AAA 1st pays trade 102dm-145dm with benchmarks 142dm-145dm (AAA Index 144dm) with a 5m 2nd pay trade 182dm.

    USD CLO Mezz/Equity

    AA trade 177dm-193dm with benchmarks 185dm-193dm (AA Index 193dm).  BBs trade 685dm-897dm, no benchmarks (BB Index 696dm).  Single-B's trade 894dm-915dm (EoRP 2026) with our single-B Index 945dm.