Mezz/Equity CLO

USD CLO Mezz/Equity

The first trades since last Friday emerge today ($34m) and market has as expected softened significantly at BBB, with BB less so.  US LSTA is -156bps on last Friday's close.  BBB trade 530dm-844dm with benchmarks 530dm-539dm and we shift our BBB Index wider to 522dm, lower MVOC (105area) are hardest hit with dm's in 8-handle context.  BB trade 817dm-909dm with benchmarks 852dm-909dm and our BB Index softens slightly to 879dm, tight to our index is a Blackrock bond MAGNE 2021-29A E CVR 90.17 at 817dm/5.7y WAL - MVOC is strong 105 as well as other metrics and manager's track record is high quality hence trades tight.

Mezz/Equity CLO

USD CLO Mezz/Equity

Just one trade today at the BB level, US LSTA 100 Index -25bp dod.  BB trade is BTNY2 2018-1X D CVR 81.5 at 1088dm / 5.2y WAL, the MVOC 101.64 is at the lower end with Jnr OC cushion also in low/mid percentile at 2.9% and hence trades wide to our BB Index 877dm.

AAA CLO

USD CLO AAA

$116m of liquidity today with US LSTA 100 Index flat on the day, spreads marginally tighter at AAA.  AAA trade 151dm-176dm with benchmarks 151dm-158dm and our AAA Index tightening to 155dm, bonds that trade wide of the index today are high coupon / weaker MVOC (L140s context).

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just two BBs today, at around 840 dm. Spreads holding steady.

Mezz/Equity CLO

USD CLO Mezz/Equity

$28m of liquidity today in mid/low mezz, US LSTA 100 Index +9bp dod and CLO spreads flat/tighter.  BBB trade 388dm-777dm with benchmarks 441dm-450dm (BBB Index slightly tighter 453dm), post reinvestment bonds trade tight to the index 388dm-423dm and MVOC <108 profiles skews the tail of bonds that trade wide of the index with ADR and weaker manager profiles secondary driving these bonds as wide as 777dm.  BB trade 830dm-1123dm (BB Index 877dm) with the majority of bond profiles are weaker MVOC <102 that drive bonds well wide of the index level.

AAA CLO

EUR AAA CLO

A raft of AAAs have traded today. The average traded spread is 195 dm, which is certainly wider. But looking a bit more deeply we see that a lot of the bonds are from deals that have been callable for a long time and these have traded fully to maturity. For bonds where the call date is in the future there is still some refi likelihood getting priced in.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Two BBs have traded at around 835 dm. This is a little firmer than yesterday.

Single Bs have traded around 1283 dm which is also a little firmer.

AAA CLO

EUR AAA CLO

Just one AAA trade today, at 185 dm. AAA spreads seem rangebound at the moment.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

A raft of BBs have traded, at an average spread of 905 dm. After the recent widening this is at the expected levels.

There is one single B. DRYD 2020-89X F traded at 1496 dm. This is a very wide level for a single B but is justified because of its very low MVOC of 98.63%.

Two equity pieces traded via BWIC, both St Paul’s deals. The yields are 31% and 46%. The higher yield is for a deal that has entered amortisation. NAVs in both cases are around about zero.

AAA CLO

USD CLO AAA

$85m of liquidity across 15 trades AAA and mezz, US LSTA 100 Index bounces back +17bp since last set of CLO trades.  AAA trade 141dm-157dm with our AAA Index tightening to 156dm, the tight end of the range dominated by high MVOC trades with EoRP 2026 and a post reinvestment bond at the tight end.  OCP 2019-16A AR is the benchmark trade today CVR 98.65 at 157dm / 2.6y WAL (EoRP 2024) with clean metrics / Onex is the manager.

Mezz/Equity CLO

USD CLO Mezz/Equity

BBB trade 450dm-480dm with our BBB Index 456dm, a post reinvestment bond trades inside the index (450dm) and OCT43 2019-1A D trades wide of the index 480dm / 6.2y WAL given the higher coupon +390bps and elevated ADR 1%.  BB trade 869dm-1111dm with our BB Index 877dm, benchmark print today is VOYA 2020-2A ER CVR 88.42 at 871dm / 8.2y WAL – MVOC 104.1, EoRP 2026 and very clean metrics despite the manager’s slightly weaker record to its peers.

AAA CLO

EUR AAA CLO

Just the one AAA today. RRME 3X A traded at 185 dm which may indicate that AAAs, after recent widening, have stabilised.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

BBBs traded around 550 dm. Its been a while since BBBs traded on BWICs and when they did they were at around 520 dm. This softening is in line with primary spreads pushing out to a 6 handle, although the most recent, Voya Euro VI, came at +585.

BBs have traded around +870. This is unchanged for secondary. In Primary Voya Euro VI came at +840 which may be due to the greater number of buyers for Primary paper.

AAA CLO

EUR AAA CLO

There are a lot of AAA trades today. Secondary spreads are definitely wider. The average traded level is +193 which is about 10 bps softer. This hasn’t been reflected in the New Issue market where we learned that ICG Euro 2023-1 priced its AAA yesterday at +175.

AAA CLO

USD CLO AAA

$150m of liquidity today with the first trading activity of the month, US LSTA 100 Index -14bp on month end and spreads continue to soften in high grade / senior.  AAA trade 147dm-176dm with benchmarks 155dm-168dm with our AAA Index shifting to 160dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

$50m of AA trade 200dm-268dm with benchmarks 234dm-250dm and our AA Index softening to 236dm, trades well wide of the index 263dm-268dm have low MVOC 122-123% which is lower than benchmarks in 125-126% range.  BBB trade in a very wide basis 458dm-934dm (456dm BBB Index) with no benchmarks, at the tight end is REGT9 2017-1A D which is post reinvestment / strong MVOC as a result 109.75, the remaining trades are stressed bonds with MVOC ranging from 101-105% (with much credit deterioration too)  which is well south of benchmarks in 108-109% range.  2 x BB trade 1100dm-1306dm well wide of our BB Index 884dm given low MVOC, with a MV shortfall on ICG 2016-1A DRR which trades at the wide end CVR 77.5 at 1306dm / 7y WAL (ICG) – MVOC 99.27.

AAA CLO

EUR AAA CLO

AAAs have traded around +180 today. Feels a little softer.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

After yesterday’s day of weakness in BBs, today they look firmer. Two have traded, around 817 dm.

AAA CLO

EUR AAA CLO

3 x AAAs traded today at around 175dm. Given the low margin on the bonds this is a slight softening and we see that also in the Primary market where Tikehau IX priced at +180.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

One AA, BLUME 5X B, traded at 279 dm. This is in line with our previous spread curves, although again Tikehau IX priced wider at +325.

BBB trading is interesting today. Secondary has traded around 520 dm, which is a firm level while at the same time Tikehau IX priced wider at +640. We can see the overall tightening that has taken place in the market from Jan to now because PENTA 2018-5X DR traded at 92.00 on 23 Jan and at 93.06 today.

BBs, all Carlyle bonds, have traded around 950 dm. This feels softer and Tikehau IX priced a little wider at +865. But, again, the rally since Jan has been significant. CGMSE 2014-1X ER traded at 80.19 on 10 Jan and at 84.78 today.

Single B’s have traded around 1277 dm in secondary. This is definitely softer, by maybe 30 – 40 bps. Tikehau IX priced at +1250.

Contego equity, CONTE 6X SUBR, traded at 46.67 / 17.7%. It has a NAV of 5.19.

Mezz/Equity CLO

USD CLO Mezz/Equity

Just 2 trades today, subdued with the SF Vegas conference starting on the weekend.  US LSTA 100 Index -6bp dod and CLO spreads softer.  The BBB trade is BSP 2021-23A D CVR 93.84 at 478dm / 7.5y WAL - MVOC is strong 109.6, EoRP 2026, strong manager and coupon is at benchmark, we shift our BBB Index wider to 450dm.  The BB trade is BLUEM 2021-32A E CVR 86.27 at 934dm / 8.5y WAL - metrics are fairly good with only the weaker manager record dragging this bond wide to our BB Index 870dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

It’s a light day’s trading today. Just a few junior mezz trades. From BBB to single B we see spreads very slightly drifting wider in secondary.

AAA CLO

USD CLO AAA

$100m of liquidity today, US LSTA +14bp dod but CLO spreads continue to soften at the senior end.  AAA trade 145dm-185dm with benchmarks 147dm-159dm and our AAA Index softening to 150dm with those trades well wide to the index scaled by high coupon context bonds.  STHWK 2019-4A A1R covers 98.77 at 150dm / 3.1y WAL (EoRP 2024) with MVOC 148 and clean metrics managed by Blackstone and is proxy for benchmark.

Mezz/Equity CLO

USD CLO Mezz/Equity

1 x single-A trade in reinvestment CANYC 2019-1A CR cover 95.22 at 327dm / 5y WAL (EoRP 2024) – MVOC at benchmark 116.3 managed by Canyon Capital and trades near our single-A Index 322dm.  BBB trade 444dm-469dm with 2 of these post reinvestment bonds and the other is ANCHC 2020-15A DR CVR 92.8 at 469dm / 7.8y WAL – MVOC 111.8 but high WARF 3217 and weaker manager record (Anchorage) pull this wide of the BBB Index 427dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Feels like Jnr mezz spreads are drifting wider. Two BBs have traded around 925 dm. This is wider than recent days and DRYD 2020-89X E is particularly wide at 976 dm. PSTET 2023-1 priced its BB at 850 dm today.

Two single B CVC Cordatus bonds have traded, around 1246 dm. This also feels a little softer on the day.

AAA CLO

USD CLO AAA

$275m of liquidity today across the stack, with US LSTA continuing to soften -13bp dod.  AAA soften too, trading range today is 143dm-175dm with benchmarks 143dm-158dm and our AAA Index shifting to 145dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

In mezz, most of the activity is in BB with 18 trades in a 761dm-1040dm range with benchmarks 851dm-935dm and our BB Index shifting wider to 872dm, the wider end of the trading range (wide of index) includes a MM CLO and credits with weaker MVOCs (<103) whilst the tighter end of the range is dominated by credits with strong MVOCs (>104.5).

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only AA trade, CRNCL 2017-8X B1, traded at 287 dm. Considering this is a low margin bond paying just 130 bps this is a widening in AA levels. We see that also in Bosphorus VIII pricing at +315 today.

A lot of single A’s traded today, at around the 366 dm level. Again, given the low margin on the bonds, this is a widening by about 10bps on average. Bosphorus VIII priced at +440, which is 15 bps wider than Trinitas IV but 70 bps wider than Bushy Park.

There are a lot of BBB trades. Their average stated margin is 320 bps and they traded at around 518 dm. Given their characteristics this is also a widening in BBB levels. Bosphorus VIII priced at +660 which is a lot wider than recent deals. Two of today’s trades also traded on 15 Feb. CORDA 22X D traded at 88.11 today and 91.13 on 15 Feb. HNLY 6X D traded at 91.03 today and 92.06 on 15 Feb.

ANCHE 6X E, a BB, traded at 851 dm today – in line with our model prediction. Bosphorus VIII priced at +900, about 75 bps wider than recent new issues.

In single B MROPK 1X E has traded at 1167 dm, again as expected. We have a single B new issue pricing point because Bosphorus VIII printed at +1249.

There are 4 equity trades. All traded with a 5 handle in price and between 23% and 25% in yield. NAVs ranged from -4 to +20.

Mezz/Equity CLO

USD CLO Mezz/Equity

Just one trade today post holiday, US LSTA 100 Index -17bp on 17th close.  TRNTS 2020-12X E covers at 90.87 at 944dm / 7y WAL - strong MVOC 105 with high coupon +740bps and otherwise clean metrics and a good manager record, the coupon drags this wide to the BB Index 852dm

AAA CLO

EUR AAA CLO

AAAs have traded around 174 dm. Bushy Park priced at +170. The BWIC trades are mostly amortising deals with low margins which we could have expected to trade tighter. This might indicate that AAAs have reached a level which is resistant to a further rally.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The two AAs are both fixed rate. The coupons are much lower than is being paid by floaters currently. As a spread over Euribor they have traded at +300 but the buyers for these bonds probably have different yield targets. Bushy Park priced its FRNs at +305.

The only BB, CORDA 16X E, traded at 893 dm. This compares to the +825 of Bushy Park.

There are 4 single B trades. Three of them are grouped around 1179 dm, which fits in with Trinitas IV pricing of 1150 dm. One of the BWIC trades however, MDPKE 15X FR, has traded at 1328 dm. Even taking into account the high bond margin our model does indicate this is a cheap level.

AAA CLO

USD CLO AAA

Limited liquidity today given the holiday weekend with only 2 trades.  US LSTA 100 Index -18bp dod given the market's uncertainty on the peak of interest rate timing.  CIFC 2015-1A ARR covers 99.45 at 141dm / 1.9y WAL and is post reinvestment so trades inside the AAA Index.

Mezz/Equity CLO

USD CLO Mezz/Equity

1 x AA trade REG12 2019-1A BR cover 98.15 at 206dm / 4.7y WAL, low coupon +160bps but MVOC is in line and does trade inside the AA Index as a result with all metrics clean.

AAA CLO

EUR AAA CLO

It is a light day in secondary BWICs since two deals priced in Primary. One AAA bond has traded, CRNCL 2022-15X A, which even though it is 171 dm, it is a low margin bond and we see this a slight softening in AAA levels. The New Issues priced at +175.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The two single A’s traded around 367 dm. We also see this as a softening given the characteristics of these secondary bonds. Avoca XXVIII priced at 360 dm.

AAA CLO

EUR AAA CLO

Only one AAA traded today. BRGPT 1X A traded at 179dm. This is slightly softer than our model predicted given its low margin, but still within the range of current price talk.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The three single A trades are all very seasoned deals, two of them are amortising. They have traded around 327dm, as expected for current spread levels.

BBBs have traded around 552 dm, again as expected.

BBs have traded around 872 dm, again as expected. The wide trade is NWDSE 2019-19X E, at 1001 dm which is due to its low MVOC of 101.96%. TIKEH 2X ER traded at 87.61 and on 10 Jan 2023 it traded at 83.50 which shows the rally in BBs in the last month.

Two single B trades have taken place, around 1182 dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

It’s been a busy day in secondary BWICs. Three AAs have traded. There are all from more recent deals with higher margins – around 370 bps. They have all traded just above par. Given that the Non-Call End date is in 2024 for two of them our model predicted a greater premium for them. As a consequence of the par CVRs the spreads are very high at around 369 dm.

The same thing applies for FICLO 2022-1A C at the single A level. It has a margin of 439 bps but still only traded at 100.06 which is around 438 dm.

A lot of BBBs have traded. These are all lower margin, seasoned bonds. The average spread is 483 dm, which even though it looks tight is in line with what we would expect for bonds with these characteristics.

BBs have traded around 913 dm. This compares with 850a talk for Trinitas Euro IV.

The two single B’s have traded at different spreads: AVOCA 13X FRR at 1200 dm and DRYD 2021-91A F at 1360 dm. Trinitas Euro IV is talked within this range at 1200 – 1275 dm.

AAA CLO

USD CLO AAA

$110m of liquidity today with $100m of this AAA trading which have tightened on the day, US LSTA 100 Index +7bp dod.  AAA trade 131dm-146dm with benchmarks 141dm-146dm and our AAA Index tightening to 145dm as the broader market continues to rally and MVOCs strengthen.  1 x MM CLO AAA GOCAP 2013-16A A1R2 covers 98.39 at 207dm / 4y WAL which is tighter than the 218dm area for the last trading comps near the end of January.

Mezz/Equity CLO

USD CLO Mezz/Equity

BBB trade 397dm-580dm with our BBB Index unchanged at 434dm, trades wide of the index are exclusively weaker MVOC (<108) which supports our index level with the tight end driven by MVOCs around 110 (+2pts on benchmark).

AAA CLO

EUR AAA CLO

There are 4 x AAA trades today, at an average spread of 157dm. This is in line with the print of Invesco Euro IX at +165 today.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There is one equity trade today. DRYD 2020-74X SUB traded at 44.13 / 20.76% yield. Its NAV is -14.31. It has a 2.2% CCC bucket.

AAA CLO

USD CLO AAA

$142m of liquidity today, with US LSTA 100 flat dod and CLO spreads in high mezz tighter.  AAA trade 135dm-186dm with benchmarks 140dm-153dm with our AAA Index unchanged 148dm, high performing conservative managers trade inside the index (eg. Blackrock) and higher coupon bonds trade wide of the index today with our index unchanged.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade 189dm-214dm with benchmarks 201dm-214dm and our AA Index tightens to 218dm as the market tightens with more liquidity at this rating level, trades inside the index are outperformers in terms of MVOC (>126).  Single-A trade 177dm-318dm with our single-A index tightening into 310dm, a Palmer Sq static CLO trade is at the tight end and a NY Life bond with a strong MVOC (118) trades inside the index.  BBB trade 329dm-615dm with benchmarks 419dm-473dm and our BBB Index unchanged 434dm as MVOC continues to drive tiering.  BB trade 730dm-1214dm with benchmarks 834dm-899dm and our BB Index tightens slightly to 863dm, trades wide of the index influenced by low MVOC/high coupon context.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Spreads are grinding tighter. A couple of AAs have traded, around 318dm mark. In New Issues Avoca 28 is talked at MH300s.

BBBs have traded around 476dm. Of course these are older lower margin bonds. Avoca 28 is talked at M500s.

BBs have traded around 817dm. Avoca 28 is talked at M800s.

PRVD 7X F, a single B, traded at 1142dm. This does seem very tight. Obviously single B price discovery is hard to come by so we aren’t quite sure whether this is an outlier or all single B’s have rallied this much.

AAA CLO

USD CLO AAA

$50m of liquidity today across the stack, spreads flat, US LSTA 100 Index +12bp dod.  AAA trade 138dm-153dm with our AAA Index unchanged at 148dm, a high performing benchmark Blackrock bond MAGNE 2021-31A A1 covers 98.76 at 138dm / 5.1y WAL inside our index.

Mezz/Equity CLO

USD CLO Mezz/Equity

Single-A trade 265dm-277dm inside our Index 314dm with MVOC driving the 2 trades 116.3-117 above benchmarks 115.7.  BBB trade 428dm-759dm with benchmarks 428dm-441dm and our BBB Index unchanged at 434dm.  At the wide end is STCR 2016-1A DR CVR 83.35 at 759dm / 4.7y WAL – ADR high 1.04, MVOC low 104.4 (benchmark 107.9) and Jnr OC cushion low 1.8.  BB trade 840dm-1028dm with our BB Index unchanged at 867dm with the wide end of trading driven by bonds with low MVOC 101-102 and lower Jnr OC cushions (around 3%).

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just one single A today. OTOPK 1X C traded at 377dm. This is in line with new issues talked in 390 – 400 area, bearing in mind this is a lower margin deal.

BBBs have traded around 455dm. Of course this looks very tight compared to new issue levels of 600 – 625 dm but these are very old vintages with an average margin of 280 bps.

In the BB space RPARK 1X ER traded very tight at 746dm but that is because it is very delevered and is only 4yr remaining maturity. CFOUR 1X E has not started paying down and traded at 928dm.

AAA CLO

USD CLO AAA

$215m of liquidity today across the stack with the majority at AAA.  AAA trade 139dm-178dm with benchmarks 139dm-159dm and our AAA Index 148dm with WARF and high coupons pulling some 1st pays wide of the index, 2nd pay AAA trade 180dm-204dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

At BBB MDPK 2019-34A DR covers 96.5 at 408dm / 6.1y WAL which is inside our BBB Index 434dm, the MVOC 109.7 outperforms.  BBs trade 738dm-909dm with our BB Index 867dm, with bonds from a tier 1 manager Blackrock with strong MVOC (105area) trading 738dm-753dm inside the index.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just 2 equity trades today. Both pieces traded in the L20s %Yield. NAVs are heading back to positive territory. Both these deals had small positive NAVs and in general European equity NAVs are mostly in the range from -10 to +10.

AAA CLO

USD CLO AAA

4 x AAA trades only today 21.4m of notional with spreads firm, US LSTA 100 Index +16bp dod.  AAA trade 142dm-144dm with our AAA Index tightening (-1dm) to 146dm, all trades are in reinvestment (EoRP 2023-2024) with shorter wals and are benchmarks with clean metrics.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

A good number of BB trades today. They have traded around 830 dm. The last BBs in secondary were about a week ago at around 900 dm. It did look like the market had tightened when Capital Four V priced at 830 dm but the print of Barings Euro 2023-1 at 900 dm has thrown this into doubt. It will be interesting to see where BBs go from here.