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.

AAA CLO

USD CLO AAA

$130m of trading today, spreads softer in mezz and US LSTA 100 +1bp dod.  AAA trades are all stressed bonds and trade wide of our AAA Index 208dm in a 240dm-274dm range.  The Junior OC cushion ranges on these bonds are cuspy (<1.75) and MVOCs are below 145.

Mezz/Equity CLO

USD CLO Mezz/Equity

BBB trade in a very wide dispersion 524dm-745dm versus our BBB Index 579dm, given a number of different profiles.  At the wide end is WINDR 2013-1A CR CVR 86.23 at 745dm / 4.8y WAL – bond is post reinvestment, cuspy Jnr OC cushion 1.75 and a low MVOC 104 (vs 106 benchmark).  The remaining trades wide of the index are driven by MVOC migration particularly south of 106 as mentioned.  BB trader 888dm-996dm with our BB Index 992dm with 3 trades inside the index 888dm-900dm driven by positive MVOC migration towards 103 (vs benchmark in 101 area).

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

AA trades today have firmed up by around another 10 bps. The average traded spread is 360dm.

Single A’s have traded around 465dm today. This is also around 10bps firmer.

By contrast BBBs have widened by around 40bps. Average spreads have been around the 700dm mark today.

BB’s are unchanged at 1138dm.

5 x single B’s have traded at an average spread of 1617dm. Two of these trades are in the M1700s dm, DRYD 2017-27X FR and HAYEM 1X FR. Both of these bonds have low MVOCs (93.25% and 91.60% respectively) which are in the bottom 10% of the single B cohort.

AAA CLO

USD CLO AAA

$100m of liquidity today across IG and SubIG with spreads firmer, US LSTA 100 +9bp dod.  AAA trade 204dm-222dm with our AAA Index 208dm, one outlier trade is BLUEM 2016-2A A1R2 CVR 96.56 at 222dm / 3.5y WAL – low MVOC 142.5, elevated ADR 1.02, Jnr OC cushion is low/mid end 3.6.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade 309dm-314dm with our AA Index 312dm.  10 x BBB trades in a 543dm-670dm wide dispersion today, with our BBB Index 588dm the benchmark names trade 545dm-606dm after filtering out post reinvestment bonds, high coupon and low MVOC bonds, or a combination of.  At BB the trading dispersion is 995dm-1195dm with our BB Index at the tighter end of this range 993dm, outlier bonds trade wide to the index (post-reinv, downgraded bonds and MVOCs <100) for example ARES 2017-42A E CVR 82 at 1195dm / 4.3y WAL – post reinvestment, MVOC 98.62, Jnr OC cushion low 1.5 and ADR is elevated at 0.94.

AAA CLO

EUR AAA CLO

AAAs continue to firm up. The 2 x AAA trades today are at around 240dm, about 5 bps tighter.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

BBBs have rallied as well, by around 10 – 15 bps. The average spread today is at 659dm. We were in the H600s to 700a only a few days ago.

There are 2 x BBs, at quite different spreads. CORDA 22X E covered at H77h / 1077dm while ICGE 2022-1X E is at H78h / 1204dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

3 trades today, firmer tone, US LSTA 100 +25bp dod.  1 x BBB PARL 2020-1A CR CVR 85.75 at 600dm / 8.1y WAL which is in line with our BBB Index 605dm.  2 x BB trades 942dm-1023dm with our BB Index slightly tighter at 997dm, at the tighter end of this range is SYMP 2021-29A E CVR 85.77 at 942dm / 6.9y WAL with clean credit and MV metrics / inside our index level.

AAA CLO

EUR AAA CLO

VOYE 3X A traded at 245dm which does look like a firming of AAA by around 10bps.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Single A’s have also firmed up by around 10bps. The average single A spread today is 481 dm excluding CONTE 2X CR which traded at 371dm but is heavily delevered. As an example of this rally VOYE 2X CR traded at 87.35 on 17 Oct and 87.88 today.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 6 x BBB trades today at an average spread of 684dm. MVOCs are falling rapidly as loan prices continue to fall. Average loan prices are about 88.44 now. A month ago they were 91.65 which is over a 3pt fall. BBB MVOCs have fallen by over 2 pts in less than a week.

AAA CLO

USD CLO AAA

Only $22m of trading today, all high grade, spreads softer, US LSTA 100 +20bp dod.  AAA trade 213dm-228dm with our AAA Index widening to 213dm.  BSP 2018-14A A1 trades wide to the index CVR 97.14 at 228dm / 2.5y WAL - ADR elevated 0.9, MVOC <150 at 148.9 and coupon is +100bps (low end).  2 x 2nd pay AAAs trade 217dm-262dm with a 7% difference in MVOC explaining the tiering here given the WAL difference is small, the Ares bond ARES 2019-53A A2 is a truer likeness to 2nd pay given the coupon is more in line with 2nd pays whilst the CSAM MDPK 2018-27A A1B bond's coupon is more in line with 1st pays so the dm is scaled lower accordingly.

Mezz/Equity CLO

USD CLO Mezz/Equity

3 x AA trade 318dm-358dm with our AA Index in the middle 336dm, with very little tiering between the bonds to highlight.

AAA CLO

USD CLO AAA

CLO spreads are wider across the board today in line with broader market sentiment, US LSTA 100 -40bp dod and $53m of CLO trades.  AAA trade 215dm context with our AAA Index widening to 211dm, a benchmark name CIFC 2019-1A AR covers 97.02 at 215dm / 3.2y WAL with clean metrics / EoRP 2024 and tier 1 manager CIFC.

Mezz/Equity CLO

USD CLO Mezz/Equity

BBB trade 581dm-720dm with our BBB Index widening significantly to 606dm, benchmark names trade 581dm-648dm.  There are 3 outlier trades wide to the index driven by MVOC compression and cuspier Jnr OC cushions, at the wide end is HLM 13A-18 D CVR 83.4 at 720dm / 5.3y WAL - ADR 1.1, MVOC 103.7 (vs benchmark 105 area), Jnr OC cushion 1.5.  BBs widened too as our BB Index is now 1000dm which is the widest all year with once again MVOCs on BBs close to or in shortfall for some bonds, trading activity today is 1034dm-1310dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

All of today’s trades have resumed a widening trend. The 2 x AAs have traded around 399dm.

Single A’s are around 503dm.

The only BBB, CGMSE 2021-2X C, traded at 708dm. It does however have a fairly low MVOC at 104.21%.

BBs have traded around 1117dm. BLUME 2021-1X E traded yesterday, 12 Oct, at 77h and today at 75.10. Similarly HNLY 4X E traded yesterday at 76h and today 74.22.

The only single B trade, OCPE 2017-2X F, is at 1571dm. This is around 100bps wider than the last single B BWIC trades we saw a week ago.

AAA CLO

USD CLO AAA

$120m of liquidity today, CLO spreads are softer and US LSTA 100 -2bp dod.  AAA trade 218dm-255dm with our AAA Index widening to 209dm, trades today are wide to the index given high coupon bond structure or very low MVOC, whilst MDPK 2017-26A AR covers 98.21 at 218dm / 2y WAL wide to the index – soon to be post reinvestment bond so will lose flexibility to navigate out of these markets as the deal goes static. 

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trade 354dm-357dm with our AA Index widening to 332dm, both bonds are either post reinv or soon to be.  1 x single-A CGMS 2015-5A BRR CVR 92.5 at 405dm which is wide to our single-A Index 386dm (Jnr OC cushion is cuspy 0.98, MVOC is low 112.2).  BBB trade 514dm-666dm with our BBB Index widening to 502dm, at the wide end are post reinv bonds / credit impaired / low MVOC, at the tight end is GLM 2020-8A DR CVR 88.2 at 514dm / 8.4y WAL – clean metrics with only MVOC slightly lower than benchmark at 105.  At BB the trading range is 964dm-1323dm with our BB Index widening to 961dm, at the wide end is an outlier ICG 2015-1A DR CVR 81.66 at 1323dm / 3.3y WAL – post reinvestment, high ADR 1.3 and cuspy MVOC 100.07.

AAA CLO

EUR AAA CLO

HARVT 25A AR traded at 92.94 / 253dm.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

BECLO 2X BRR, AA rated, traded at 89.51 / 386dm.

There are 5 x A trades, at an average spread of 499dm.

BBBs have traded around 686dm. We’re seeing MVOCs fall very quickly at the moment as loan prices have fallen by around 1 point in the last month.

There are a raft of BBs. Average spread is 1122dm. The average is widened by a few bonds from weaker shelves / managers eg OCPE 2019-3X ER, RFTE 2021-1X E, NWDSE 2021-23X E & NWDSE 2020-21X ER which all traded wide to generic BB levels by around 100bps. NEUBE 2021-2X E traded today at 77h and on 7 Sep at 82.61, so in the last 5 weeks BBs look to have fallen by around 5 points.

AAA CLO

USD CLO AAA

9 covers today post holiday weekend, with $27m exchanging hands with US LSTA 100 -14bps on the prior day of CLO trading.  At AAA there are 4 x 1st pay MM CLOs that trade 306dm-328dm, which is wider to previous context in mid-200s with bonds of good quality so there is some widening effect here.

Mezz/Equity CLO

USD CLO Mezz/Equity

At BB the trading range is 952dm-1155dm with our BB Index 949dm, AGL 2021-12X E covers near our index level 83.00 at 952dm / 8.7y WAL (EoRP 2026) with clean metrics with a low MVOC 100.94, nonetheless we have observed a softening in loan prices in line with market sentiment as mentioned above so this is reflected in this MVOC for a benchmark bond.

AAA CLO

USD CLO AAA

$60m of trades today, all high grade, US LSTA 100 +4bp dod whilst spreads continue their tightening tone.  At AAA the trading range is 192dm-251dm with our AAA Index 196dm (-4dm), at the wide end today are 2nd pay AAA, post reinvestment bonds and high coupon AAAs which account for this.  At the tight end is a benchmark trade GLM 2021-10A A CVR 96.2 at 192dm / 5.5y WAL (EoRP 2026) – very clean metrics all round (MVOC 153.1 / ADR 0.2 / Jnr OC cushion 5.5, coupon +110bps) from a benchmark manager Goldentree.

Mezz/Equity CLO

USD CLO Mezz/Equity

At AA there are 4 trades in a 271dm-352dm range with our AA Index 291dm, the benchmark trade today is MDPK 2014-14A BRR CVR 95.35 at 295dm / 4.4y WAL – MVOC 124.2, coupon +170bps with a slightly elevated ADR 1.1 and low/mid end Jnr OC cushion 2.4 and WARF > 3000 at 3007 with the manager a benchmark name keeping this close to the index.

AAA CLO

USD CLO AAA

$250m of liquidity today, the highest in some time and no coincidence that markets have a firmer tone, US LSTA 100 +12bp today and CLO spreads are slightly firmer across the board.  32 x AAA trade 191dm-344dm, a very wide dispersion given the array of profiles.  At the wide end 307dm-344dm are 2 post reinvestment bonds with weaker MVOCs, ADRs around 1% and Jnr OC cushions 3% and coupons around +100bps.  Thereafter there are 2 x 2nd pay AAA that trade 252dm-265dm which trade at a premium to 1st pay, our AAA 1st pay Index is 200dm.  Whilst benchmark AAAs trade 191dm-206dm which is wrapped around our AAA Index level. 

Mezz/Equity CLO

USD CLO Mezz/Equity

10 x single-A trade 362dm-480dm with bonds with lower MVOCs dominating the wide end since our single-A Index is 378dm and benchmarks today trade 362dm-385dm.  A rare MM CLO single-A ANTR 2017-2A CR covers 87.66 at 510dm / 6.6y WAL, first one since June (trade was 435dm when BSL AAA 1st pays were trading in 180s context).  BBB trade 512dm-586dm well wide to our BBB Index 491dm, trades are weaker profiles (MVOCs 106 area vs benchmarks 107+).  Same story with BB with a trading range 975dm-1588dm with our BB Index 944dm, the trades have cuspy MVOCs with some in MVOC shortfall, eg. At the wide end HLM 11A-17 E CVR 70.84 at 1588dm / 4.7y WAL, this is a post reinvestment bond with MVOC 98.51 and Jnr OC cushion 1.6 so has an equity type return profile with the benefit of a promised coupon, so far no deferred.

AAA CLO

USD CLO AAA

$130m of liquidity today across the stack, US LSTA continues to firm +29bps dod as CLO spreads remain stable.  AAA trade 191dm-230dm with our AAA Index 202dm, at the wider end of today’s range a cluster of bonds with weaker MVOCs, elevated ADRs and higher coupons to a smaller extent scaling the dm higher than the index on some bonds. 

Mezz/Equity CLO

USD CLO Mezz/Equity

1 x rare MM CLO AA trade today, GRTLK 2019-1A BR CVR 92.8 at 393dm / 4.1y WAL (EoRP 2023) which is a BMO managed CLO, the last comp was in May when markets were tighter at 311dm.  4 x distressed BB trades 1402dm-1801dm with all of these bonds with MV shortfalls (MVOC 97.3-99.99) which heavily impacts upon execution levels since the BB Index is 951dm.

AAA CLO

EUR AAA CLO

There are 2 AAA trades today. HAYEM 6X A traded at 250dm and GLGE 6X AR at 308dm. AAA spreads are struggling to come down. We understood the blow out at the end of Sep was due to LDI funds having to raise liquidity from their senior assets due to the disorderly market in gilts. Gilts, we believe, have stabilised, with the intervention of the BoE, but AAA CLO spreads in secondary remain stubbornly wide.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The same can be said for AAs. There is only one trade with a disclosed cvr price today. CRNCL 2013-3X BR traded at 343dm which might look a bit tighter but this deal is heavily amortised. The orig AA has been upgraded to AAA and has an MVOC higher than a regular AAA. So, in other words, it doesn’t look like AAs have tightened at all. This bond traded at 97.63 on 21 Sep, so it has widened by round about 90bps in the last 2 weeks.

The only single A disclosed trade is NEUBE 2021-2X C at 496dm. We think this represents an unchanged range for single As.

Two BBs have traded, at around 1092dm. This is right in the middle of our BB spread range.

AAA CLO

USD CLO AAA

11 trades $25m of flow today, US LSTA 100 bounces back +81bp dod.  1 x AAA trade which is post reinvestment CIFC 2017-3A A1 CVR 98.4 at 216dm / 1.8y WAL – the MVOC is in a lower percentile 142.7 and Jnr OC cushion is low-mid end 3.25 so trades slightly wide of our AAA Index 201dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

7 x AA trades in a 298dm-495dm range with our AA Index 303dm, the majority of bonds are post reinvestment, low MVOC / Jnr OC cushion and hence trade wide to the index, FLAT 2018-1A B trades near the index CVR 94.9 at 298dm / 3.6y WAL (EoRP 2023) with clean credit / test metrics and healthy MVOC 124.7.  3 x BBB trades 622dm-678dm all well wide to the BBB Index 494dm given observed MVOC levels (105 area) are lower than benchmark which is 107+ along with some weaker credit metrics (ADRs near 1%) and low Jnr OC cushions (3.2%).

AAA CLO

EUR AAA CLO

Just one AAA trade today. INVSC 3X A traded at 262dm. The Penta 12 New Issue priced at 220dm – so that is the AAA range right now.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The 8 x AA trades today are at around 386dm. A number of them are quite short (around 3.5yrs) but even AVDPK 1X B1R at 6.4yrs traded at 368dm. This time Primary has priced wider; Penta 12 came at 450dm. The secondary market does look a little firmer than recent days.

There is one Orig single A trade which is now rated AAA because the whole of the Orig AAA has paid down. CONTE 2X CR traded at 371dm which reflects the fact that it is now a 1.5yr AAA but with a 200bps margin.

Mezz/Equity CLO

USD CLO Mezz/Equity

A string of BBs trade today with market direction flat, US LSTA 100 +13bp dod.  BB trade 949dm-1277dm with the BB Index 951dm, the BB trades wide to the index are driven by MVOC migration for these bonds with those cuspy and close to a shortfall enduring higher ADRs (>1%), eg. BABSN 2018-3A E CVR 79.55 at 1277dm / 4.1y WAL – MVOC 100.72 / ADR 1.02, Jnr OC cushion low 2.6, WARF toppy 3000 and the bond post reinvestment this has been downgraded to single-B territory.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

We see a slight firming of AA spreads today. There are 6 trades at an average spread of 391dm. However 5 of them have passed their RPE date and are only about 3yr WAL which also goes some way to explaining these slightly tighter levels. The one long bond, AVOCA 25X B1, at 6.4yrs also traded well at 381dm however.

Mezz/Equity CLO

USD CLO Mezz/Equity

Limited activity with month end as there is only $42m of flow today, US LSTA 100 is also flat dod and spreads feel softer at the end of the quarter.  BBB trade 486dm-514dm wrapped our BBB Index 494dm, at the wide end is EATON 2013-1A C3R CVR 90.5 at 514dm / 7.7y WAL (EoRP 2026) – ADR is a little elevated 0.9, coupon is >300bps and Eaton Vance is an inexperienced manager so there is a small impact upon execution taking it over our index level.  BB trade 967dm-1237dm with our BB Index at the tighter end 952dm, the MVOCs on today’s trades are at the lower end of the scale (in some case very cuspy near par) so trades are wide to our index today.

AAA CLO

USD CLO AAA

5 x trades today for $50m notional, markets rocky as US LSTA is down 26bps dod with a softening theme for CLO liabilities.  2 x AAA trade 262dm-270dm well wide of our AAA Index 197dm, one trade is post reinvestment and the other is in reinvestment WOODS 2018-12BA A2 CVR 97.38 at 262dm / 2.7y WAL (Angelo, Gordon & Co) but the ADR is very high 1.23 whilst MVOC is at the lower end of the scale for comps 143.08 so execution is wide to the index.

Mezz/Equity CLO

USD CLO Mezz/Equity

3 x mezz trades, all post reinvestment and upgraded bonds, for instance at BBB SYMP 2016-17A DR CVR 94.43 at 490dm / 2.8y WAL - ADR is 1 whilst other metrics are in line and the manager has a good track record however that is immaterial given the bond is post reinvestment, the bond is upgraded at single-A and yet trades very close to our BBB Index 479dm.

AAA CLO

EUR AAA CLO

The secondary market has gapped out today. There are 4 x AAA trades today, at average spread of 281dm. This exceeds the all time wides we saw back in July. CGMSE 2015-3X A1AR did trade in July at a price of 97.17. Today it has traded at 96.61 / 321dm for a 1.4yr WAL bond that finished its RPE in Jan 2022.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 2 x AA trades, around 410dm. Over the last few days AA spreads, in secondary, have been creeping up from L300s to M300s but now we seem to be at 400a.

There are 6 x A trades at around 540dm. Contego 10 printed only a week ago at 450dm.

These spreads are in line with where Citi are talking CVC Cordatus XXV.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There is only one trade today but it is a significant one. ARBR 10X D, a BBB, traded at 752dm. This is considerably wider than where New Issues are printing (650a). OakTree is a top tier manager and the secondary bond is performing well so this shows the dislocation between secondary and primary. It may be a sign that Primary will have to go wider or pause issuing again.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 5 x AA trades today. DRYD 2017-56X B2NE is a fixed rate bond. The 4 floaters traded at an average spread of 359dm. This is in line with New Issue levels. The cheapest trade of the bunch looks to be FOAKS 4X B which is at 384dm for a 6.7yr WAL.

There are 2 x BB trades, at an average spread of 1202dm. This is considerably wider than recent Primary at 1000a and both of the secondary trades have passed their RPE date and the deals are amortising which makes them a lot shorter than Primary.

Average loan prices continue to fall – they are about 1point lower than they were 2 weeks ago.

AAA CLO

EUR AAA CLO

We have 13 x AAA trades to look at today. The average traded spread for secondary, via BWIC, is 234dm which is a lot wider than the 200a prints in the new issue market. Also a number of today’s bonds are quite short and are amortising and they still had an average spread of 234dm. Recent relative weakness is demonstrated by DRYD 2016-46X ARR which traded today at 94.26, but last traded on 10 Aug at 95.93.

Mezz/Equity CLO

USD CLO Mezz/Equity

Limited liquidity today once again with the uncertainty following the Fed hike and likelihood of future hikes to stem inflation, only USD 23m of liquidity today in mezz, US LSTA 100 -21bp dod whilst CLO mezz spreads widened.  BBB trade 467dm-490dm with our BBB Index widening to 467dm (+14dm), with 2 x Octagon managed CLOs propping up the wider end 474dm-490dm with the bonds seeing good performance but the manager has a slightly weaker record versus benchmark.  At BB the trading range is 878dm-955dm with our BB Index widening to 849dm (+8dm), at the wide end is an outlier trade OCT53 2021-1A E CVR 84.7 at 955dm / 8.4y WAL which is another Octagon managed deal with the MVOC at the lower end 102.5 impacting upon execution.

AAA CLO

USD CLO AAA

$33m of trades today, US LSTA 100 -9bp following news today of the Fed rate hike as CLO spreads drift a shade wider.  AAA trade 173dm-201dm for very short wal as bonds are either post reinvestment or soon to be with our AAA Index 171dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

BBB trade 443dm-583dm with the BBB Index 453dm, the outlier trade is ALLEG 2018-2A D CVR 89.07 at 583dm / 5.1y WAL – MVOC is lower (106.8) to benchmark (107.5) whilst metrics like Jnr OC cushion (2.7) are weaker than benchmark levels of 4.4 and Axa’s manager record is weak versus peers.  BB trade 905dm-1579dm in a very wide dispersion given the MV shortfall for a number of bonds that trade with equity type returns as a result.  Stripping these away the trading range is 905dm-988dm (BB Index 841dm) for cleaner bonds in reinvestment, so there is a softer feel to execution today at the very cuspy level of the stack.  At the tight end is CSAM’s MDPK 2021-38A E CVR 84.15 at 905dm / 8.7y WAL – ADR 0.3, MVOC 103.5, Jnr OC cushion 5.5, WARF 2822 and coupon +600bps so fairly clean / benchmark metrics.