AAA CLO

USD CLO AAA

19 trades, $108m of liquidity, CLO spreads firmer and US LSTA 100 +5bp dod. 1 x AAA trade, a benchmark CIFC 2021-1A A1 CVR 97.96 at 187dm / 2.97y WAL (EoRP 2024) – clean metrics and benchmark manager (AAA Index 189dm).

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade 240dm-270dm with our AA Index 272dm, at the tight end is a Blackrock bond MAGNE 2020-26A BR CVR 95.63 at 240dm / 6.8y WAL – clean metrics and very conservative benchmark manager that traditionally trades inside the index.  1 x single-A REG20 2021-2A C CVR 93.7 at 314dm / 7.5y WAL with our single-A Index 344dm, he strong MVOC 116.9 and clean metrics / good coupon +205bps brings this inside the index.  BBB trade 407dm-716dm with benchmarks 463dm-529dm with our BBB Index tighter at 501dm, MIDO 2018-9A D trades wide to the index CVR 85.5 at 716dm / 5y WAL – MVOC 104 vs benchmark 106area.  BB trade 858dm-1124dm with our BB Index 929dm, all trades have idiosyncratic features that deviate it from the index – MVOC and coupon structure particularly strong in tiering impact.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Spreads seem quite stable at the moment. The three AA BWIC trades have come in around 307 dm today which is unchanged.

AAA CLO

USD CLO AAA

$116m of liquidity today with CLO spreads firm, US LSTA 100 -8bp dod.  AAA trade 184dm-240dm with benchmarks 184dm-195dm with our AAA Index middle of this range 190dm, bonds wide of the index are post reinvestment, high coupon or low MVOC profiles.  A benchmark bond is BALLY 2021-16A A1 (Fidelity) CVR 96.75 at 185dm / 5.3y WAL – MVOC 148.5, ADR 0, Jnr OC cushion 5.7 and coupon +113bps.

Mezz/Equity CLO

USD CLO Mezz/Equity

BBB trade 548dm-849dm which are all wide of our BBB Index 511dm given the entire trade list are from weaker MVOC profiles (<105.5 versus benchmark 106).  The ‘exception’ is STCR 2022-1A D CVR 86.5 at 631dm / 8.5y WAL (MVOC 106.9) but this has a high coupon +384bps and long wal from a weak manager First Eagle.  BB trade 822dm-932dm with benchmarks 909dm-932dm with our BB Index 930dm, bonds that are significantly tighter to this in early 800s dm context are driven by stronger MVOC profiles (102+) and strong credit metrics/Jnr OC cushions.

AAA CLO

USD CLO AAA

$193m of liquidity today, once again across the stack and spreads remain firm across the board, US LSTA -22bp dod.  AAA trade 177dm-300dm with some very short daters in high dm, benchmarks 178dm-204dm with our AAA Index 195dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade in a wide dispersion 218dm-313dm with benchmarks 267dm-295dm with our AA Index 277dm with bonds either side of the index post reinvestment / reflected in upgrades.  Single-A trade 321dm-382dm with benchmarks 343dm-348dm with our single-A Index 350dm, MVOC drives tiering here, WINDR 2019-3A CR CVR 93.09 at 382dm / 5.2y WAL – MVOC 111.3 vs 113.5 benchmarks and at the other end REG20 2021-2A C CVR 93.29 at 321dm / 7.5y WAL – MVOC 116.7.  16 x BB trades in a 806dm-1460dm range with benchmarks in far narrower range 918dm-963dm with our BB Index 952dm, once again those bonds wide to the index are acutely driven by MV shortfalls (with some downgrades evident) whilst those tight to the index are driven by progressive MVOC (101+).

AAA CLO

USD CLO AAA

$305m of liquidity across the stack, CLO spreads tighter and US LSTA 100 +1bp dod.  AAA trade 175dm-669dm with some very short dated paper and MM CLOs making up the tail, benchmarks trade 183dm-192dm with our AAA Index shifting to 194dm. 

Mezz/Equity CLO

USD CLO Mezz/Equity

AA paper trade 197dm-344dm with benchmarks trading 254dm-277dm with our AA Index tightening to 278dm, at the wide end today is OFSBS 2018-1A B CVR 94.09 at 344dm / 4y WAL – ADR is elevated 1.15, MVOC is low 117.8 and Jnr OC cushion is at the low end 2.8%.  Single-As trade 336dm-373dm with benchmarks trading 336dm-340dm with our single-A Index shifting tighter to 352dm.  BBB trade 451dm-667dm with benchmarks 503dm-545dm and our BBB Index 515dm, at the wide end are post reinvestment bonds that trade 6-handle on dm with low MVOCs (103area vs benchmark 106area).  BB trade 812dm-1192dm with our BB Index 955dm, MVOC (>101) shifts those bonds inside the index and tiers the tail wide of the index given MVOC shortfalls, for example BATLN 2015-9A ER CVR 78.95 at 1192dm / 5.8y WAL – MVOC is 98.08 with other metrics broadly in line, manager is Brigade which has a good enough performance record.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just a couple of mezz trades today. JUBIL 2014-12X DR (BBB) traded at 596 dm. This is tighter than recently by around 20 bps. Edmondstown Park has tightened its BBB guidance to 580 – 590 dm.

SPAUL 4X DRRR (BB) traded at 1003 dm which considering the deal is in amortisation does not look like a tighter BB level. Edmondstown Park however is out with tighter BB guidance as well, in the 975 – 990 dm range.

AAA CLO

USD CLO AAA

$111m of liquidity across mainly mezz bonds today, CLO spreads firm and US LSTA 100 +22bp dod.  1 x AAA trade today ARES 2021-61A A CVR 96.62 at 187dm / 5.6y WAL which is inside our AAA Index 200dm given the clean MV and credit metrics from a benchmark manager.

Mezz/Equity CLO

USD CLO Mezz/Equity

Single-As trade 344dm-493dm with benchmarks 344dm-356dm and our single-A Index tightening slightly to 360dm, at the wide end is MCLO 2019-2A BA CVR 92.5 at 493dm / 6y WAL – acutely the ADR is high 1.1 and MVOC is at the lower end 111.6 whilst the manager has a weak record.  BBB bonds trade in a wide dispersion 438dm-739dm with benchmarks 512dm-526dm and our BBB Index tightening very slightly to 517dm, bonds wide to the index are driven by MVOC and coupon structure along with some high ADR levels.  BB trade 836dm-1090dm with our BB Index 954dm (flat dod) with benchmarks in the middle of the trading range 931dm-985dm, once again as bonds are so cuspy for MV shortfalls the MVOC is the key driver here of tiering today, eg. CANYC 2019-1A ER CVR 85.12 at 1090dm / 6.3y WAL – ADR high 1.3, coupon high +715bps, Jnr OC cushion low/mid end 3%, MVOC 99.5 and Canyon has a weaker manager records versus peers.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Spreads are just holding steady at the moment. AAs have traded today at around 303 dm.

Single As have traded around 395 dm.

CRNCL 2019-11X D (BBB) traded at 652 dm.

JUBIL 2014-11X FR (Single B) traded at 1448 dm which we believe is wider than a generic single B level because, even though the deal is amortising, its Junior OC cushion is low at 1.17% (a more normal metric is around 4%).

Mezz/Equity CLO

USD CLO Mezz/Equity

$21m of trades all in BBB or below today across 24 small tickets, spreads tighter and US LSTA 100 +37bp dod.  BBB trade 433dm-621dm with our BBB Index 518dm, at the wide end is ATRM 9A DR CVR 89.75 at 621dm / 5.1y WAL (CSAM) – low MVOC 104.8, elevated ADR 1% and higher coupon +360bps whilst the trade is post reinvestment.  At the other end of the scale is another CSAM bond MDPK 2021-38A D CVR 91.69 at 433dm / 8y WAL – MVOC is higher 105.4 (in line with benchmarks), ADR is lower 0.27, Jnr OC cushion is strong 5.5 and coupon is lower +290bps so this has a little scaling effect.  BB trade 917dm-1093dm with our BB Index tighter at 954dm with benchmarks 931dm-999dm, bonds at this level sensitive to MVOC with SNDPT 2021-1A E at the wide end CVR 80.77 at 1093dm / 8.3y WAL – MVOC 99.55 and other metrics broadly in line, with MVOC for benchmarks in mid100s area.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just one AA today, AVOCA 24X B1R, at 304 dm which is an unchanged AA level.

There are a few BBs. Overall they look a little wider, especially OCPE 2020-4X ER at 1097 dm, but this doesn’t really fit in with the BB levels being tested for Edmondstown Park which is testing tighter at 1000 – 1025 dm. Loan prices have been on a steady trend up and in the last month have gone up by around 1.5 points.

AAA CLO

EUR AAA CLO

There is a good flow in AAA trades today. Spreads have ratcheted in by around 10 bps to an average AAA spread of 208 dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

It’s a similar story at the AA level. CONTE 6X B2R has traded 20 bps tighter at 307dm.

DRYD 2016-46X CRR, a single A bond, also traded 20 bps tighter, at 415 dm.

SPAUL 12X D (BBB rated) traded at 611 dm.

AAA CLO

USD CLO AAA

$62m of flow today, spreads firmer off the back of inflation data, US LSTA 100 +15bp dod.  AAA trade 188dm-190dm with our AAA Index tightening in to 203dm with both trades today of high quality inside the index.

Mezz/Equity CLO

USD CLO Mezz/Equity

BBB trade 429dm-840dm with our BBB Index tightening in to 536dm.  MVOC fundamentally drives tiering either side of the index along with high coupon, this is evidenced in ATCLO 2019-15A D CVR 82.66 at 840dm / 6.5y WAL – MVOC is low 102.4, ADR is high 1% whilst the coupon is high at +445bps so this compounds the dm.  6 x BB trade 880dm-1074dm with our BB Index tightening in to 966dm, closest trade to the index today is RRAM 2019-6A DR (Apollo) CVR 83.3 at 923dm / 8.3y WAL with a lower coupon structure (+585bps) scaling this bond inside the index whilst ADR is a little on the high side 1.2 and MVOC 100.22 is broadly in line / slightly back to benchmarks whilst Jnr OC cushion is strong 4.4.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

A lot of AA’s have traded – fixed rate and floaters. The floaters have traded around 327dm which is about 5 -10 bps firmer than the last few days.

BBBs have traded around 647dm which is also firmer.

BBs have traded around 1033dm. New issue levels are around 1100dm although tighter levels are being tested and if they are achieved we can expect secondary BBs to tighten from these levels.

AAA CLO

USD CLO AAA

$86m of liquidity today across the stack, spreads firmer in mezz, US LSTA 100 -1bp dod.  2 x AAAs trade 214dm-226dm with the wider end a post reinvestment bond, our AAA Index is tighter at 206dm, the BCC 2019-2A AR CVR 97.02 at 214dm / 3.4y WAL is wide to the index given the weaker MVOC 143.7.

Mezz/Equity CLO

USD CLO Mezz/Equity

10 x single-A trades 339dm-458dm with our single-A Index 365dm with benchmarks trading 355dm-387dm, bonds that trade wide to the index today are a combination of post reinvestment, low MVOC and high coupon.  11 x BBBs trade 487dm-736dm, the wide dispersion of BBB dm’s is a familiar recent theme given the array of bond profiles that trade, benchmarks trade 517dm-543dm with our BBB Index tightening in to 540dm, at the wide end is WINDR 2018-2A D CVR 83.13 at 736dm / 5.3y WAL – low MVOC 103.3, low Jnr OC cushion 2.9 and a high ADR 1.73.  4 x BBs trade 917dm-1256dm with our BB Index 977dm, the tail trade well wide to the index given MV shortfalls at this end of the capital structure, in this case the MVOC is 98.38 on this bond.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

A raft of single A’s have traded today. The average spread is 442dm which sees single A’s drifting slightly wider in secondary. In Primary Napier Park 9 (a static deal) priced at 515dm for the single A.

AAA CLO

USD CLO AAA

Circa $200m of supply today in secondary with spreads stable with a tighter tone, US LSTA 100 +21bp dod.  AAA trade 199dm-246dm with our AAA Index tightening to 206dm with benchmarks trading 199dm-210dm today, 3 x higher coupon/low MVOC combo bonds trade wide to the index.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade 258dm-312dm with our AA Index 285dm with benchmarks 264dm-286dm so tighter than the index, at the tight end is ELMW5 2020-2A BR CVR 94.93 at 258dm / 7.1y WAL – MVOC is very progressive 124.8 (vs benchmark 122 area), Jnr OC cushion strong 6.3, ADR low 0.16 and other metrics clean.  There are 21 x BBB trades which are dispersed in a wide range 410dm-800dm with benchmarks 497dm-572dm with our BBB Index 5dm tighter and in the middle of this range at 542dm.  Notably MVOC features heavily with bonds either side of the index driven keenly by this metric, whilst there is a rare MM trade in the BBB context ANTR 2017-2A DR CVR 84.5 at 683dm / 7.6y WAL which is wide to the last comp in July which was 100dm tighter when the BBB BSL Index was in the late 400s context so there has been some relative widening here.

AAA CLO

EUR AAA CLO

There are 5 x AAA trades today, at an average spread of 230dm. We think the AAA sector is unchanged.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

AA’s have traded at 334dm. This is tighter than we had seen previously in secondary but is in fact in line with recent primary pricing in 400 – 420 bps region.

AAA CLO

USD CLO AAA

$153m of trades today, all IG and spreads moving sideways but stable and US LSTA 100 +19bp dod.  AAA trade 195dm-223dm with our AAA Index in the middle of this range 209dm for reinvesting bonds.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade 260dm-327dm with our AA Index 286dm, best execution is ARES 2013-2A BR2 CVR 94.75 at 260dm / 7.1y WAL – MVOC 122, Jnr OC cushion 6.3 so strong metrics and a benchmark manager hence is inside our index, trades wide to our index are generally bonds with depressed MVOC (which have some credit weakness too) or higher coupon bonds.  Single-A trade 294dm-351dm with our single-A Index 375dm with a static deal PSTAT 2021-4A B well inside the index CVR 93.5 at 294dm / 7y WAL.  BBB trade 470dm-549dm with our BBB Index 547dm, the tighter end of this range dominated by lower coupon bonds with GALXY 2015-21X DR trading near our index at CVR 88.5 549dm / 5.3y WAL – MVOC 105.2, Jnr OC cushion 3.5 and a low ADR 0.3.

AAA CLO

USD CLO AAA

$42m of trades today, US LSTA 100 +12bps dod and CLO spreads stable.  3 x AAA trade 202dm-226dm with our AAA Index 206dm, NMC CLO-1A AR is wide to the index CVR 95.21 at 226dm / 5.6y WAL with the high coupon +120bps scaling the dm a touch wider.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade 259dm-261dm with our AA Index wider 289dm, both trades today are clean and low coupons (+160-165bps).  At single-A the only trade is SRANC 2020-8A CN CVR 90 at 504dm / 5.9y WAL well wide to our single-A Index 377dm given the high coupon +280bps (vs. 230bps benchmarks) and MVOC is 112.67 just below benchmark 113% whilst Canaras has a weaker manager record.  At BBB there is also one trade VENTR 2017-28AA DR CVR 82.31 at 693dm / 8.3y WAL wide to our BBB Index 546dm with the MVOC 104.15 almost 2pt below benchmark whilst the manager's performance record is weaker to peers.  At BB there is one trade APID 2015-23A ER CVR 81.63 at 1036dm / 7.3y WAL a touch wide to our BB Index 984dm with the MVOC cuspy and slightly below peers at 100.2.

AAA CLO

EUR AAA CLO

Just the one AAA today. PRVD 6X A traded at 220dm. In Primary Dryden 103 2021 priced at 229dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The single A’s traded around 396dm. Dryden 103 2021 priced at 515dm. The secondary market tightened by 20bps but this was not reflected in the Dryden pricing.

AAA CLO

USD CLO AAA

$163m of bonds exchanged hands today, all IG with a tighter feel on spreads, US LSTA 100 -16bp dod.  AAA trade 194dm-260dm with benchmarks 194dm-213dm and our AAA Index 206dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

2 x AA trade 272dm-376dm with our AA Index 288dm, MP11 2017-2A B trades at the wider end CVR 93.89 at 366dm / 3.3y WAL – low MVOC 117.2 and cuspy Jnr OC cushion 1.4 which drives execution.  Single-A trade 355dm-480dm with benchmarks 355dm-396dm with our single-A Index 377dm, bonds wide of this are MVOC driven with one high coupon bond WELF 2019-1A BR CVR 91.63 at 422dm / 5.8y WAL – MVOC in line 113.1 whilst coupon is at the higher end +235bps which scales the dm slightly wide to the index.  BBB trade 475dm-653dm with our BBB Index 553dm with benchmarks trading 525dm-588dm today.

AAA CLO

EUR AAA CLO

There are a raft of AAA trades in secondary. Average traded spreads in secondary have widened a little to 232dm. Ares 16 priced in Primary today at 220dm, slightly tighter than the last New Issue levels.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There is one AA trade, BABSE 2018-2X B1A, at 378dm. Ares 16 priced at 410dm.

Single A’s have traded around 440dm in secondary. Ares 16 priced at +500.

BBB’s have traded around 664dm in secondary. Ares 16 priced at +700.

BB’s have traded around 1029dm in secondary. Ares 16 priced at +1025.

AAA CLO

USD CLO AAA

$43m of liquidity today, CLO spreads stable and US LSTA 100 +25bp dod.  AAA trade 221dm-242dm with our AAA Index drifting to 220dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade 263dm-320dm nestled amongst our AA Index 290dm with benchmarks 268dm-287dm as trades with lower coupons/lower MVOCs making up the wide/tight end.  BB trade 851dm-1258dm with our BB Index slightly tighter 984dm with the tail of today’s trades 1121dm-1258dm in bonds that have MV shortfalls whilst a low coupon static CLO bond SSTAT 2021-1A E1 covers inside our index 851dm / 7.1y WAL.

AAA CLO

EUR AAA CLO

There are 2 x AAA trades and both of them are Man Group bonds. For shelves that traditionally trade a little wider than the rest of the market these have traded well at around 224dm, further indications of the (relative) strength of the market.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are a raft of BBB trades, averaging around 654dm. This is in line with Ares 16 in the Primary Market  where a level of +700 is being checked on the BBBs, which of course will be for a longer bond.

AAA CLO

USD CLO AAA

$158m of liquidity today despite the sheer number of DNTs that haven’t been included in this number, US LSTA 100 +32bp dod with no obvious signals of large CLO spread movements.  AAA trade 228dm-263dm with the tail post reinvestment bonds with our AAA Index widening slightly to 219dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

At the BBB level the trading dispersion is 381dm-723dm with post reinvestment / low MVOC cohorts the tight and front end of this range with benchmarks trading 542dm-559dm with our BBB Index 566dm with the longest wal today 6.3y (EoRP 2024).  At BB there are 7 trades in a 881dm-1062dm range with low/high coupon bonds taking up either end of this range with MVOCs on the trades largely in line with benchmark levels (101 area or marginally below), benchmark trades 984dm-1018dm with our BB Index 987dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 4 x BBB trades today, at an average spread of 640dm. Oaktree 11 priced yesterday at 690dm and Neuberger Berman 5 at 730dm. These are much firmer levels, in line with many risk assets including leveraged loans which are over 0.5 pts higher over the last few days.

The only BB trade, INVSC 1X E, traded at 1057dm. Oaktree 11 priced at 1025dm and NB 5 at 1100dm. Only yesterday BB’s were trading in secondary in LM1100s range.

AAA CLO

USD CLO AAA

Given month end, flows are a little subdued with only $40m exchanging hands, US LSTA 100 +1.6% on September month end.  AAA trading range is 211dm-265dm with post reinvestment bonds pushing out the tail of this range, our AAA Index is 209dm. 

Mezz/Equity CLO

USD CLO Mezz/Equity

BB bonds trade 733dm-1000dm with our BB Index 983dm, the bonds tight to this Index level are post reinvestment with the exception of NEUB 2021-40A E CVR 86.02 at 918dm / 6.3y WAL – EoRP 2024 with strong metrics and a progressive MVOC 101.8 up to a point higher than benchmarks.

AAA CLO

USD CLO AAA

$85m of liquidity today, mezz spreads firmer and US LSTA 100 +5bp dod.  2 x AAA trade with one a very short WAL well wide to the index whilst BCC 2018-2A A2 covers 95.00 at 233dm / 5.9y WAL (EoRP 2023) which is wide to our AAA Index 203dm – MVOC is low 141.2, Jnr OC cushion is low at 2% whilst the coupon is at the high end 130bps. 

Mezz/Equity CLO

USD CLO Mezz/Equity

9 x AA trade 270dm-367dm with benchmark trading 270dm-299dm with our AA Index tightening to 282dm, those bonds wide of the index 365dm-367dm are driven by low MVOC 119-121 which is below benchmark 122+.  2 x single-As trade 417dm-454dm wide to our single-A Index 390dm – MVOCs on these bonds are 110area which are -2pts off benchmark driving execution.  BBB trade in a wide dispersion 464dm-686dm with our BBB Index 567dm with benchmarks trading 551dm-562dm tightening our index.  $25m of liquidity across 25 x BB bonds today which trade 922dm-1714dm with benchmarks trading 922dm-1034dm which is a fairly wide dispersion in itself, our BB Index tightens to 977dm.  The tail of bonds that trade wide to the index have profiles of post reinvestment bonds, MVOC shortfalls and weaker Jnr OC cushions, at the wide end is ATCLO 2018-11A E CVR 62.66 at 1714dm / 5.8y WAL – ADR high 1.4, MVOC 95.42 (almost 6pt shoftfall), Jnr OC cushion 1.7 whilst the manager Crescent Capital has a weaker profile.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

OCPE 2017-2X B, a AA rated bond, traded at 362dm which is an unchanged AA level.

Single A’s have tightened by around 15bps. The average spread for today is 431dm.

There are 2 equity trades. Both have traded in MH50s which is around 30% yield. Loan prices have been steadily falling for months now and equity NAVs are around -55.00.

AAA CLO

USD CLO AAA

$200m of bonds exchanged hands today, US LSTA 100 -1bp dod and CLO spreads moved sideways with a little softening at BBB.  AAA trade 196dm-291dm with benchmark trading 196dm-205dm with our AAA Index in the middle of this range at 203dm.  Weaker bond profiles including post reinvestment / MVOC and cuspy Jnr OC cushions drive bonds wide to the index, eg. At the wide end is JTWN 2018-6RA A1 CVR 97.34 at 291dm / 1.6y WAL – post reinvestment, MVOC low 141.8, Jnr OC cushion 1.8.

Mezz/Equity CLO

USD CLO Mezz/Equity

4 x rare single-As trade after some time 376dm-462dm with our single-A Index 390dm as benchmark trade 376dm-406dm with post-reinvestment bond profiles trading wide to the index.  At BBB the trading range is 587dm-689dm with benchmark 587dm-598dm slightly wide to our BBB Index 573dm so a little softening here, an outlier is LNGPT 2017-1X C CVR 82.91 at 689dm / 5.1y WAL – MVOC is low 102.5, Jnr OC cushion low 2.3 but also the coupon is very low +240bps so risk adjusted return on this bond is weak hence impacting execution.  1 x BB bond FLAT 2017-1A ER CVR 964dm / 5.1y WAL – post reinvestment with reasonable MV and credit metrics hence trades near the BB index 988dm.

AAA CLO

EUR AAA CLO

There are a lot of AAA trades. BABSE 2014-2X A1R is significantly delevered and traded at 200dm. The others traded around 228dm. These are unchanged levels for AAA.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

AA’s have traded around 350dm which is also unchanged.

Single A’s have traded around 451dm. This is a slight tightening, especially in the longer part of the curve.

There is one BBB trade today. TIKEH 2015-1X DRRE has traded very wide at 786dm. We’re not sure if this is a one-off or is representative of overall BBB widening. This level is around 100bps wider than where BBBs were traded even just yesterday.

Mezz/Equity CLO

USD CLO Mezz/Equity

More than $110m of liquidity with CLO spreads remaining firm, despite US LSTA 100 -11bp dod.  AA trade 290dm-312dm with our AA Index tightening to 294dm.  10 x BBB trades in a 557dm-844dm range, our BBB Index 564dm with trades wide of the index a mix of post reinvestment bonds, high coupon or low MVOC (<105), at the tight end is VOYA 2021-1A D CVR 86.63 at 557dm / 8.1y WAL – ADR 0, MVOC 105.7, EoRP 2026, coupon +315bps and strong Jnr OC cushion 5.8.  20 x BB trade 967dm – 1303dm with our BB Index at the tighter end 990dm with benchmark trades today 967dm-995dm with MVOC shortfall driving the tail of bonds well wide to our index, at the wide end HLM 3A-2014 DR CVR 77.75 at 1303dm / 5.3y WAL (post-reinv) – MVOC 98.66 and Jnr OC cushion 1.3. 2 x post reinvestment single-B trade 1611dm-1637dm whilst a distressed bond SYMP 2015-16A FR trades with equity type dynamics – CVR 55 at 2294dm / 6.6y WAL – MVOC 95.89 / WARF 3044.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Single A’s have rallied by around 20 bps. Average traded spreads today are 463dm. HARVT 11X CR traded wide at 503dm because it has a low MVOC (109.37%) and low Jnr OC cushion (1.27%).

Overall it also looks like BBBs have rallied a little. The average spread for the day of 676dm is distorted by HAYEM 1X DR which traded wide at LM79h / 728dm due to a very low MVOC (98.98%).

BBs have also tightened with a spread for the day of 1064dm.

Single B’s buck the trend by widening. Today’s two trades are around 1710dm. We had previously seen trades in the 1500 – 1600 dm area.

AAA CLO

USD CLO AAA

$53m of liquidity today with spreads firmer, US LSTA -7bp dod.  1 x AAA REG12 2019-1A AR CVR 96.91 at 205dm / 3.7y WAL which is right on our AAA Index 205dm – MV and credit metrics are clean for a bond with 2y remaining reinvestment so a good indicator of market.

Mezz/Equity CLO

USD CLO Mezz/Equity

BBB trade 554dm-828dm with our BBB Index tightening to 561dm, OCP 2020-19A DR covers at 86.53 at 554dm / 8.4y WAL – benchmark bond from Onex with EoRP 2026 and is close to our index level.  All the remaining bonds that trade wide to the index are post reinvestment with weaker metrics – MVOC <105, Jnr OC cushions 3.5 and higher WARF.  BB trade 1027dm-1346dm with virtually all these bonds post reinvestment and MV shortfalls, with the exception of BALLY 2019-2A DR CVR 86.53 at 1027dm / 5.2y WAL which is close to our BB Index 992dm – MVOC is at benchmark 101.5, ADR is 0.33, Jnr OC cushion is healthy 4.6 and coupon is +650bps which is benchmark whilst the manager Fidelity is rather new with only a few CLOs under management and perhaps has a impact upon execution pushing it slightly wide to the index.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Two single A’s today have traded at 452dm (CADOG 6X CRE which is amortising) and 513dm (INVSC 5X C which is a 2025 RPE). Overall single A spreads look unchanged to us.

BBBs have traded around 652dm. ARMDA 2X DE and CORDA 9X DR traded tight versus generic BBB levels and may indicate BBBs are rallying slightly.

Likewise for BBs, which have traded around 1093dm, which is also firmer on the day.

The only single B trade, CORDA 9X FR, traded at 1487dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

$20m of liquidity at the end of this week, US LSTA 100 -18bp dod.  BBB bonds are  post reinvestment and trade wide to our BBB Index 579dm in a 692dm-757dm range - ADRs on these bonds are high 1.4-1.6 and Jnr OC cushions are cuspy 1-2% but MVOCs are not in shortfall hence there is some demand from the market.  BB bonds trade 1020dm-1390dm wide of our BB Index 992dm, again a cluster of post-reinvestment bonds here some with cuspy MVOCs dominating supply whilst 2 x Fortress managed bonds still in reinvestment phase do trade 1039dm-1129dm wide to the index given the manager's weak overall default record (>1.3%) and higher WARFs 2844-3098 on these bonds.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just one AA trade today. CGMSE 2020-1X A2A traded at 358dm showing that spreads are still grinding in.