Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 3 x A trades today, at an average spread of +368. This is unchanged on recent secondary levels. Primary has caught up with CELF 2022-3 printing the single A at +370 today. It is worth noting that BECLO 9X C traded at +355 even though it has a very low MVOC. MVOCs have been falling across the board but its value of 119.33% is particularly low (the other two single A’s were around 123.5%).

The only BBB, BLUME 2016-1X DR, traded at H90H / approx. +452. Superficially this looks a very tight level but is in fact in line with recent secondary levels given the low margin of the bond and its Apr 2022 RPE. Primary widened out from +525 to +600 via CELF 2022-3 but again this was just catching up with secondary levels.

The only single B, SNDPE 4X F, traded at +1202. The last EUR single B trade on a BWIC was 9 May so, for us, this is quite a big change in spread level. However we suspect active secondary participants will have seen these kind of levels for some time. Primary is in the same ballpark as well with CELF 2022-3 printing at +1250.

Mezz/Equity CLO

USD CLO Mezz/Equity

Thin liquidity today with only 9 trades (all lower mezz), US LL Index -14bp dod.  BBB trade 459dm-650dm versus our BBB index 464dm, as NAVs continue to fall these have an impact upon execution since MVOCs are depressed <110 for the large part on today's executed trades.  Best execution is NEUB 2017-25A DR CVR 92.77 at 459dm / 4.98y WAL which is near our index, this has a short wal (EoRP Oct this year) balanced by fairly average metrics (MVOC 109, ADR 0.93, Jnr OC cushion 3.3 and coupon +285bps).  BB trade 881dm-969dm with our BB index 885dm, all trades today are hampered by lower NAVs with MVOCs at 104 or below, with MILOS 2017-1A ER (Invesco) at the wide end with a CVR 86.52 at 969dm / 5.2y WAL (EoRP 2022) - MVOC low at 103.4, Jnr OC cushion at the low/mid end 3.6 whilst other metrics average.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are only 3 x BB trades today. The average traded spread is +918. These levels are approximately unchanged on the last few trading sessions. HAYEM 3X ER traded at 83.36 on 18 May and today it is at 83.25 so it has dropped 11 cents. However HARVT 21X E shows how much the market has moved in the last 6 weeks. It traded at 95.81 on 4 Apr and today at 85.16, a drop of over 10 points. We note that loan prices have been falling for a while and this is now reflected in MVOCs in Investor Reports. At the BB level MVOCs are getting reported that are about 1 – 1.5 pts lower.

Mezz/Equity CLO

USD CLO Mezz/Equity

$22m of liquidity today, all BBB with spreads continuing to be stable, US LL Index -39bp wow / +21bp dod.  BBB trading range is 395dm-550dm with our BBB index tighter at 461dm, best execution is CIFC 2019-3A CR CVR 94.2 at 395dm / 8.5y WAL (EoRP 2026) – benchmark manager, clean metrics (ADR 0.2, MVOC 111.5, Jnr OC cushion 5.7) and strong coupon +305bps.  1 x MM CLO BBB today, GOCAP 2021-57A D covers 91.2 at 516dm / 7.5y WAL (EoRP 2025) which is roughly where BSL CLO BBBs were trading a week ago to give an idea of the tightening theme.

AAA CLO

EUR AAA CLO

The week finished on a weak note. There are 2 x AAA trades, both around +156. This is about 10bps wider than on the beginning of the week.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only AA trade, Jubilee 2014-11 traded at 233dm which is quite strong given what is happening elsewhere in CLOs. But this deal is one year past the end of its RPE and is only a 3yr WAL.

Mezz/Equity CLO

USD CLO Mezz/Equity

$51m of liquidity today, all in mezz with spreads stable and US LL Index -75bp dod.  AA bonds trade 264dm-302dm with our AA Index 262dm, best execution is for shortest wal CLRCK 2015-1A BR with EoRP Oct-22 covers 95.83 at 293dm / 3.5y WAL - metrics are average including a low Jnr OC cushion 1.95 and lower MVOC 125.6 than benchmark, coupon is +160bps.  At single-A there are 7 trades in a 303dm-371dm range centred around our single-A index 330dm, best execution is for a Blackrock bond MAGNE 2016-17A CR CVR 95.35 at 303dm / 4.7y WAL – clean metrics, benchmark manager and as such inside our index.  A tighter feel to BBB with a trading range 407dm-486dm with our index 506dm, all the trades are high quality and trade inside our index given strong MVOC (>110), high Jnr OC cushions (>4.5), low ADRs and healthy coupons.  2 x BB trade 822dm-886dm with both trades around our BB index 886dm, RRAM 2017-2A DR trades slightly inside our index at CVR 86.5 at 822dm / 8.8y WAL – strong Jnr OC cushion 5.1, strong MVOC 105.8, +580bps coupon and Apollo is a benchmark name.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only single A trade is from CGMSE 2016-2. It has traded very wide at +382 but it has a very low MVOC of only 120% when 126% is in a more normal range. Therefore its wide spread is justified and this trade alone doesn’t tell us much about overall single A spread levels.

There are 2 x BBB trades. GLG Euro 4 traded wide at +601. This deal is not performing well. Interestingly Barings Euro 2018-2 traded at 90.90 / +516 and this is a more representative BBB bond. This traded level does indicate continued weakness in the mezz sector.

The only BB trade, Jubilee 2015-16, traded at +852 which shows mezz bonds are not tightening at all.

AAA CLO

USD CLO AAA

$73m of bonds exchanging hands today, spreads starting to find a level ground in some rating categories, US LL Index -20bp dod.  AAAs trade 173dm-192dm with our AAA index maintained at 175dm, OHALF 2016-1A AR has the best execution and covers at 98.13 at 173dm / 4.5y WAL (EoRP 2025) and trades slightly inside our index level given very clean metrics (MVOC 153, ADR 0.26, Jnr OC cushion 5.2, coupon +126bps).

Mezz/Equity CLO

USD CLO Mezz/Equity

At AA the trading range is 246dm-292dm (8 x trades 25m) which is largely centred around our AA index 261dm.  At single-A the trading range is 312dm-331dm with our index wider at 337dm, with all today’s trades of high quality eg. TICP 2016-5A CR has best execution with CVR 95.82 at 322dm / 4.7y WAL – MVOC 120.6, ADR 0.6, benchmark manager Sixth St, coupon +220bps.  At BBB there are 10 small ticket trades with combined notional of 10m with trading range 433dm-704dm with an 8pt cash px dispersion (BBB index 515dm), with weakest execution in those bonds where MVOC <110 with cover prices <90 and dm wide to our index, SHACK 2014-5RA D covers 85.3 at 704dm / 4.8y WAL – MVOC 108.8, Jnr OC cushion 2.9, ADR 0.9, Sub80 bucket 2.8 whilst Alcentra’s manager record weaker to benchmark and NAV suffers.  At BB the trading range is 817dm-860dm with our BB index tighter at 887dm, today’s trades are high quality bonds from benchmark managers and trade inside our index (See PriceABS trade listing).

AAA CLO

EUR AAA CLO

Just 1 x AAA trade today. Sculptor 6 traded at 97.56 / 158dm. All the Sculptor shelves trade on the wide side so we don’t think this is giving us much information on whether AAAs have softened again or not.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 2 x BB trades. Both have traded quite wide. Henley 1 is at +867 which is around recent levels. Hayfin Emerald 3 traded at +942 but it has a low MVOC of 104.63% and we believe this justifies its wide spread.

Mezz/Equity CLO

USD CLO Mezz/Equity

$25m of liquidity today, all in AAs with spreads continuing their softening theme, US LL Index +18bp dod.  AA bonds trade 246dm-286dm with our index 255dm.  Shorter wal bonds (EoRP 2023) see best execution with covers >95 cash px, whilst longer wal (EoRP 2026/2027) cover with cash prices 94-95.  Best execution is TICP 2016-5A BR at CVR 96.55 at 267dm / 4.2y WAL (EoRP 2023) with average metrics (MVOC 129, Jnr OC cushion 3, ADR 0.6, coupon +175bps) whilst weakest execution is WINDR 2019-2A BR at CVR 94.05 at 286dm / 7.8y WAL (EoRP 2027) – MVOC 128.4, Jnr OC cushion 5.6, ADR 0.4, coupon +195bps and the manager only has 5 x CLOs under management with a weaker default record to benchmark.

AAA CLO

EUR AAA CLO

Just 1 x AAA trade today. Dryden 56 2017, a short bond past its Jan 2022 RPE date, traded at 98.77 / +146.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 3 x BB trades. We look to have the first tentative signs in a recovery in the mezz space as these BB prices look 1-2pts higher. The average traded spread is +854. This compares with MH800s last week for BBs.

Mezz/Equity CLO

USD CLO Mezz/Equity

$22m of bonds changed hands today, US LL Index +17bp dod whilst spreads continue to soften as single-As now traded and found their settling levels.    Single-As trade 287dm-432dm with our single-A index shifting wider to 338dm.  Best execution is ARES 2019-54A C cover 97.76 at 331dm / 5.8y WAL (EoRP 2024) with a high coupon +285bps and clean metrics with MVOC 118.1.  The other single-As are clustered in the early-mid 90s area cash px and have coupon structures in early-mid 200s bps context which really drives execution price since DEN16 2018-1A C (EoRP 2023 and coupon +185bps) covers 91.03 at 432dm / 4.2y WAL albeit a weak Jnr OC cushion 1.7 / weak manager record.  1 x BBB trade ELMW1 2019-1A DR cover 97.3 at 488dm / 7.5y WAL which is inside our BBB index 535dm, given the strong coupon (+440bps), clean metrics (ADR 0.2, Sub80 0, Jnr OC cushion 4.8, MVOC 111.7) from an inexperienced manager with good track record to date (Elmwood).

AAA CLO

EUR AAA CLO

Just one AAA trade to start the week. Dartry Park traded at 97.62 / +137, for a 2025 RPE. Invesco Euro 8 priced its AAA today at +120. Primary continues to price way inside where secondary is trading.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just one AA trade today as well. Cairn 10 traded at 95.54 / +256. This is a wider level than we have seen with secondary recently and wider than Invesco Euro 8 at +225. The Cairn 10 bond is short with a 2023 RPE and is performing well. At the AA level as well it is possible that secondary is trading wider than primary.

AAA CLO

USD CLO AAA

$134m of liquidity today across the stack with spreads softening significantly, US LL Index -210bps wow.  AAAs now well into the 170s dm range (AAA index 175dm) with a trading range of 166dm-188dm with the wide end dominated by slightly credit impacted bonds, WELF 2017-3A A1 covers at 98.22 at 188dm / 2.6y WAL (EoRP 2023) – MVOC is <150 at 147.4, Sub80 bucket high 3.3 with other metrics fairly benign despite the manager Wellfleet’s record fairly good.

Mezz/Equity CLO

USD CLO Mezz/Equity

At AA the trading range is 220dm-286dm with our AA index shifting to 248dm, best execution reserved for shorter WAL bonds with clean metrics and benchmark managers, eg. MAGNE 2015-14RA B covers at 97 at 235dm / 4.5y WAL (inside our index given clean manager profile - Blackrock) and MDPK 2017-26A BR covers at 97 at 248dm / 3.8y WAL (CSAM / EoRP Oct 2022) despite the elevated ADR 1.6 the MVOC is strong 129.6 as well as manager record.  At BBB prices have migrated into the mid 80s with a trading range 578dm-725dm (netting out downgraded / upgraded orig-BBBs) with our BBB index wider at 538dm.  Bond trades today are wider to this index since MVOCs are <110 whilst credit metrics are weaker on the 4 bonds (in the 1-1.4% region) along with weaker Jnr OC cushions (<2.4) whilst the coupons are at the higher end (360bps-390bps) so these account for the wider dm levels to our BBB index.

AAA CLO

EUR AAA CLO

 We finish a turbulent week with a quiet day. There is just one AAA trade. BlueMountain Fuji 2, which is in amortisation and has only a 1.6yr WAL, traded at 98.84 / +138. This is steady versus the widening we had seen earlier in the week. Northwoods Capital 26 priced its AAA today at +112. This deal has a shortened 1yr NC / 2yr RPE but still, if the AAA tranche cleared at these levels, then there is a significant discontinuity between the primary and secondary markets.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 4 x BBB trades. Jubilee 2016-17 and Bosphorus 6 have relatively low MVOCs (around 112.5%) and traded around +532. Aurium 8 and Voya 2 have more MVOC coverage (around 114%) and traded around +480. These are unchanged secondary trading levels and Northwoods Capital 26 has reflected wider BBB levels by pricing at +525 (Capital Four 4 priced a week ago at +459).

AAA CLO

EUR AAA CLO

 A quiet day in EUR CLO trading at last. Just one AAA trade. Arbour 7 traded at 98.43 / 141dm which is no further change on yesterday’s spread levels.

AAA CLO

EUR AAA CLO

The spread moves in the EUR AAA sector today are genuinely dramatic. Far from AAAs finding a bottom after last week’s widening they have instead taken another leg down. There are 6 trades with an average spread of +142. Redding Ridge 12 priced today in the Primary market but no prices or DMs were disclosed. We see today’s trading as another 15-20 bps wider than the BWIC levels we had last seen on 5 May.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 6 x AA trades, at an average spread of +226. Even though this headline number doesn’t look that wide, a number of today’s trades are quite short. We think 4-5yr WAL bonds have widened by 20bps.

There are 5 x single A trades at an average spread of +309. In terms of just the BWIC market these spread levels are catching up with spread widening we have seen over the last few trading days because AAA to single A bonds last traded via BWIC on 5 May.

A raft of BBs have traded. They traded on 9 May as well so we are not playing catch up here. Still BBs have widened again. Their average traded spread is +904. Longer maturity bonds are more like +917. Seeing another 20+bps widening in this sector.

Mezz/Equity CLO

USD CLO Mezz/Equity

$103m of liquidity today with accounts under selling pressure, US LL Index -103bp dod and BBB and BB indices wider 89dm and 121dm respectively.  BBB trade 498dm-658dm with cash prices down as low as mid-high 80s.  GWOLF 2015-1A CR sees best execution at CVR 92.5 at 498dm / 4.5y WAL – coupon is +300bps and despite the weaker credit metrics (ADR 1.5, Sub80 4.4) the Jnr OC cushion is strong 5.04 and MVOC is most robust of all trades at 110 but likely to be off this number tomorrow.  BB also gapped out and trade 801dm-1374dm with our BB index wider at 857dm, cash prices falling into mid-70s.  BRDGS 2020-1A D (EoRP 2023) covers 93.07 at 879dm / 8.6y WAL, this is a 3.0 with a strong coupon +750bps and clean metrics and achieves best execution (MVOC 108.4).  At the other end of the scale is ATCLO 2019-13A E which covers at 75 at 1374dm / 5.8y WAL – EoRP 2022, coupon comparable at +695bps but ADR is high 1.8. Sub80 is high 3.4, Jnr OC cushion is cuspy 1.5 and MVOC is also cuspy at 101.9.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Today’s BWIC trades indicate the market has taken a leg down. The 3 x BBB trades have traded at an average spread of +497, which is considerably wider than the recent Capital Four 4 print at +459 and the secondary trades are much shorter and not impaired for credit at all. Even a bond like Arbour 6, from a top manager like OakTree, traded at 94.50 / +502 which is a good 2 - 3 points lower than we expected.

Similarly the 4 x BB trades indicate a step change in widening spreads. BBs widened on Friday in line with the Capital Four 4 pricing but today they have widened again. Their average traded spread is +867 which superficially looks close to Capital Four 4 pricing at +857 but 2 of these bonds have already passed their RPE and they traded around +829. The other two, which still only have 2025 RPE, traded around +905, much wider than Capital Four 4.

There is only one single B trade. Ares 9 traded at 84.05 / +972, with an Apr 2022 RPE.

Mezz/Equity CLO

USD CLO Mezz/Equity

$50m of liquidity today, 12 x lower mezz bonds.  US LL Index -77bp wow and -32bp dod with spreads finishing the week along their softer tone.  BBB bonds trade 444dm-632dm (BBB index 362dm), with the tighter end of this range 444dm-606dm accounting for credit impaired bonds where ADRs are well in excess of 1% with VENTR 2015-22X DR CVR 86.75 at 606dm / 5y WAL with a very high ADR 3.7.  COV 2017-1A D (Cov Credit) covers 91.05 at 632dm / 4.25y WAL – this bond has a high margin +375bps and weak credit (ADR 0.9, Jnr OC cushion 0.8, MVOC <110 at 109.3) whilst this is a new manager with little track record.  8 x BB trade 716dm-993dm  with our BB index 736dm with downgraded (to single-B) bonds post reinvestment typically with coupons <600bps trading wide to the index.  The only bond in reinvestment is a 3.0 CLO OAKC 2021-16A E CVR 92.15 at 742dm / 9.3y WAL (EoRP 2026) with a +610bps coupon and clean metrics.  1 x single-B trades at a cover 87.00 at 993dm / 4.5y WAL which is right at our single-B index 992dm.  This bond is post reinvestment with clean metrics (MVOC 105.3, ADR 0.5, Jnr OC cushion 4%) so archetype for single-B execution.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just 2 x BB trades today. Anchorage 3 is short with a 2024 RPE and traded at +795. Dryden 79 2020 has a 2027 RPE and is therefore like a new issue profile. It traded at 88.63 / +837, which is in line with the BB new issue widening seen in the Capital Four 4 print of +857 at the BB level.

Mezz/Equity CLO

USD CLO Mezz/Equity

$44m of liquidity today across 22 trades, all mezz/equity.  US LL Index +4bp and CLO spreads continue the drift we have seen over the past week.  Single-A trade 238dm-271dm with our single-A index 232dm.  The majority of trading today has been in higher coupon profiles (>200bps) which continue to drive execution, however RRAM 2018-3A BR2 which has a coupon <200bps (+180bps) covers 97.8 at 238dm / 4.3y WAL which is closest to our index level, slightly wider given the elevated ADR 1.1 and Sub80 bucket 3.4 with other metrics clean.  BBB trade 349dm-518dm with our BBB index 362dm, stripping away higher coupon bonds the execution dispersion is 349dm-357dm which is close to our index, HLM 2013-2A CR is the outlier with CVR 91.03 at 518dm / 4.8y WAL (EoRP Oct-22) – 290bps coupon with a low MVOC 108.4 and cuspy Jnr OC cushion 1.5 whilst HPS’s manager profile is slightly weaker to benchmark.  BB trade 713dm-809dm with our BB index 720dm, trades wide to the index are APID 2022-39A E CVR 95.39 at 772dm / 9.9y WAL which carries a high coupon +700bps, whilst PIPK 2019-4A ER (Partners) covers at 91.57 at 809dm / 9.1y WAL with relatively clean metrics and a reasonably strong coupon +661bps with the manager less experienced perhaps influencing execution.

AAA CLO

EUR AAA CLO

Just the one AAA trade today. Tikehau 6 traded at 98.56 / +126 for a 2026 RPE.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The 2 x AA trades today are around +225, and these are for 1yr and 2yr RPE dates.

The single A, Phoenix Park, traded at 97.79 / +294. It does have, in our opinion, a slightly low MVOC of 124%.

The 4 x BBs have traded at an average spread of +782, wider again than recent days. This is in spite of 2 of the bonds having passed their RPE date, Aurium 3 and Carlyle 2017-2.

The 5 x single Bs traded quite weakly at an average spread of +1011. Out of these five the two longer bonds, Bilbao 3 and Adagio 9, with 2026 RPE traded around +1078, again wider than recent new issue prints.

There are two equity trades. RRE 6 traded at 75 / 18% yield. Its NAV is 70. Arbour 4 traded at 55.05 / 22% yield with an NAV of 38.

AAA CLO

USD CLO AAA

$85m of liquidity across 34 trades, the softer feel on liabilities continues whilst US LL Index stabilises +4bp dod.  2 x AAA trades 139dm-145dm versus our AAA index 130dm.  Both trades are close to end of reinvestment periods and carry low coupons (+97-100bps) so execute at a discount given prevailing levels for a reset are much wider.

Mezz/Equity CLO

USD CLO Mezz/Equity

2 x AA trades 198dm-204dm both wide of our AA index 188dm with average metrics on the 2 bonds.  Single-A trade 224dm-286dm with our single-A index 231dm.  Trades carry higher coupon profiles (>200bps) which has a skew on dm execution rather than credit impact.  BBB trade 355dm-417dm with our BBB index 360dm with best execution reserved for those bonds that carry coupons >300bps with those wide of the index carrying coupons < 300bps.  There is an outlier trade GWOLF 2015-1A CR CVR 95.5 at 417dm / 4.5y WAL (EoRP 2023) – ADR is high 1.5, Sub80 bucket is high 3.96 and coupon is +300 and the manager Greywolf’s profile weaker to benchmark.  BB trade 705dm-855dm with our BB index 720dm with execution wide of the index driven particularly by coupon profile (typically <600bps) with best execution ARES 2019-54A E CVR 95.5 at 827dm / 7.1y WAL (EoRP 2024) – MVOC 106, high coupon +734bps, Jnr OC cushion 3.9 and it is the coupon profile that drives the execution level.

AAA CLO

EUR AAA CLO

There are 4 x AAA trades today. There are 3 short bonds with 2yr WAL. These have traded around +115. The one longer bond, Ares Euro 15, with a 5.6yr WAL and July 2026 RPE traded at +125. Today’s spreads are steady now at the wider levels we have seen over the last few trading sessions.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 3 x AA trades. The average traded spread is +214 which is a lot wider than the last AA trades we saw via BWICs, about 2 weeks ago.

The 5 x BBBs have traded at an average spread of +461. These are wider than new issue levels for 2024 and 2025 RPEs. To highlight the wide levels available in secondary, Arbour 7 which is managed by OakTree (highly regarded) traded at 95.60 / +457 for a 2024 RPE.

In BBs there are 3 trades and 4 x DNTs. The 3 trades are at an average spread of +746. The DNTs are about 50bps back of these levels. Overall, the traded levels look about 15-20bps wider to us.

AAA CLO

USD CLO AAA

$112m of liquidity across 19 trades along the stack, US LL Index continues to slide -11bp dod and liability spreads continue their softer theme over the past few days.  AAA trading range is 136dm-148dm with our AAA index widening to 130dm, an outlier trade is SHACK 2017-11A AR CVR 99.14 at 148dm / 2.3y WAL (EoRP Aug-22) – ADR high 0.9, Sub80 high 3.1, MVOC low 148 and Jnr OC cushion at the lower end 2.7 whilst Alcentra’s manager profile is a touch back from benchmark. 

Mezz/Equity CLO

USD CLO Mezz/Equity

4 x AA trades 198dm-208dm with our AA index 188dm with an outlier trade at the wide end - APID 2017-26A A2R CVR 98.03 at 208dm / 3.8y WAL – ADR 1.02 and Jnr OC cushion low 2.2.  6 x single-As trade 232dm-273dm with our single-A index 233dm (one outlier trade 273dm at the wide end APID 2013-15A CR).  3 x BB trades in a 784dm-793dm range (BB index 713dm), an outlier trade is JFIN 2013-1A DR CVR 96.03 at 856dm / 4.3y WAL – ADR high 3.1, Sub80 3% and the bond is post reinvestment so credit migration is unlikely to be materially mitigated.

AAA CLO

EUR AAA CLO

There are 5 x AAA trades. Four of them have exited their RPE and the other one, OZLME 4, exits later this year. In spite of them all being very short they have traded at an average spread of +114, which still shows that the market is not firming up at all.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 2 x orig BBB trades. Both of them are unusual bonds in different ways. Jubilee 2015-15 is a heavily amortising deal. The orig BBB has been upgraded to single A. Its MVOC is very high at 140%. It traded at 99.32 / +320. Segovia 4 2017 (formerly Halcyon 2017-2) has just exited its RPE, not amortised yet but has a very low MVOC at 111.7%. It traded at 94.10 / +414.

AAA CLO

USD CLO AAA

$55m of liquidity with a softer tone on execution levels, US LL Index -74bp wow.  1 x AAA GOCAP 2015-25A AR which is a MM CLO with CVR 99.25 at 180dm / 1.9y WAL (post-reinv).

Mezz/Equity CLO

USD CLO Mezz/Equity

At AA the trading range is 200dm-236dm with the wide end driven by credit issues eg. ATCLO 2019-13A BNR (Crescent Cap) CVR 97.11 at 236dm / 4.3y WAL (EoRP 2023) – ADR 1.8, Sub80 3.6 and MVOC 124.4.  Our AA index is 186dm.  BBB trading range is 347dm-520dm with our BBB index 355dm.  Excluding the credit impaired bonds that trade 406dm-520dm the trading range is 347dm-370dm which is close to our index level.  The outlier trade is LCM 16A DR2 CVR 92.02 at 520dm / 5.5y WAL – low MVOC 108.3, low Jnr OC cushion 2.2 whilst LCM has a weaker manager profile.  BB trading range is 769dm-808dm versus BB index 710dm, 2 trades today with low coupons 530bps-565bps with relatively clean metrics (MVOC 105.6-105.9) but execution has a softer feel.

Mezz/Equity CLO

USD CLO Mezz/Equity

$106m of bonds exchanging hands today (Mezz/Equity), with sentiment a touch softer in mezz, whilst US LL Index -5bp dod.  AA trading today 189dm-207dm wide of our AA Index 179dm, with sentiment a little softer.  At the wide end of this range accounted for by a credit impacted bond - BLUEM 2013-2A BR CVR 98.39 at 207dm / 3.8y WAL – ADR 1.7, Sub80 2.6, MVOC at the lower end 127.8 and a cuspy Jnr OC cushion 1.8 whilst the manager Assured IM’s default record worse than it’s peers.  BBB trading is 322dm-389dm wrapped around our BBB Index 351dm, one outlier trade VOYA 2016-3A CR CVR 93.14 at 483dm / 5.3y WAL – ADR is high 1.1, Sub80 is high 2.8, MVOC is low 107.3, Jnr OC cushion is cuspy 1.5 whilst the manager’s record is weaker to peers so this accounts for the cash px and execution level well wide of our index.  At BB the trading range is 672dm-934dm and excluding high coupon bonds/post reinvestment bonds and credit impacted bonds the trading range is 672dm-740dm which is wrapped around our BB index 702dm.

AAA CLO

EUR AAA CLO

The 4 x regular AAAs have traded around +121. Another day with a widening bias. One junior AAA traded, from Ares Euro 11, at 99.41 / +124.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

2 x single A trades have traded around +286. These levels continue the weakness of the last several days.

The 3 x BBs have traded around +736. The long bond which has more like a new issue profile, Carlyle Euro 2021-2, and has a 2026 RPE traded at +799 which is wider than recent new issue pricing.

The two single B trades have traded pretty wide at +1021. These are both 2025 RPE so shorter than new issue bonds.

There are two equity trades. OZLME 4 has a low NAV of 34. It traded at 43.32 / 19%. Sound Point 4 has an NAV of 64 and traded at 69.07 / 14%.

AAA CLO

USD CLO AAA

$126m of supply today with some spread softening on the asset (US LL Index -11bp) and CLO liability side across the stack.  Just one AAA trade OAKC 2021-16A A CVR 98.85 at 136dm / 6.1y WAL – EoRP 2026 with a mid-case coupon +115bps / strong manager with clean metrics wide to our AAA index 127dm. 

Mezz/Equity CLO

USD CLO Mezz/Equity

2 x AA trades 189dm-205dm wide of our AA index 176dm, both trades carry clean metrics and coupon structures are +145-160bps / MVOC 130.   At single-A the trading range is 234dm-391dm wide of our single-A index 228dm with mid-range coupon structures (+175-195bps), at the wide end is MCLO 2018-11A B CVR 92.75 at 375dm / 4.3y WAL (EoRP 2023) – high ADR 2.3, low MVOC 115.6 and cuspy Jnr OC cushion 0.7.  There is one MM CLO single-A trade AUDAX 2020-4A C CVR 99.56 at 391dm / 4.8y WAL – high coupon +380bps with clean metrics driving execution near to par.  At BBB the trading range is 347dm-431dm with a 5pt cash px dispersion, our BBB index is 352dm.  Trades wide of this range carry an ADR of 1%+, MVOC >110 and lower percentile Jnr OC cushions (>3%) and coupons <300bps.  At BB there are 15 trades in a 612dm-807dm range centred around our BB index 700dm.  REG10 2017-3A E covers 92.51 at 739dm / 5.3y WAL (Napier) with EoRP 2023, low coupon +555bps and average metrics with generally the coupon driving execution here given similar coupon profile bonds have a shorter WAL and better execution.

AAA CLO

EUR AAA CLO

There are 2 x AAA trades today. The shorter bond, Avoca 21, traded at +113. Cairn 12 being 2 years longer traded at +121. Another soft day for Eur AAA CLOs.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Another soft day across the whole mezz stack. There are 13 x BBB trades. A number of trades are from short bonds where the deal has passed its RPE date. The average spread of these trades is +363. The other BBB bonds have an average spread of +401.

The only BB, Anchorage 3, traded at +733.

The 5 x single B’s are all shorter than new issue deals with RPE dates in 2025 but in spite of that have traded with an average spread of +997.

AAA CLO

USD CLO AAA

$190m of liquidity today, US LL Index -5bp dod with a little softness in execution levels.  AAA trade 133dm-143dm with our index 126dm.  AMMC 2016-19A AR is at the wide end CVR 99.55 at 163dm / 0.9y WAL – post reinvestment bond with a high ADR 0.93 ex-managed by AMMC.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA trades are in a 185dm-215dm range with our AA index 174dm, MSEV 2022-16A B is at the wide end CVR 98.7 at 215dm / 8.1y WAL – high coupon +195bps managed by Eaton Vance (EoRP 2027).  Single-A trade 226dm-278dm with our index 227dm with again a higher coupon bond GCBSL 2020-50A CR CVR 97.02 at 278dm / 8.4y WAL – EoRP 2027 / coupon +235bps with clean metrics.  BBB trade 306dm-385dm centred around our BBB index 350dm.  BB trading is 755-758dm wide to our BB index 699dm with ICG 2015-1A DR at the wide end CVR 94.5 at 758dm / 3.8y WAL – post reinv with weaker credit metrics (ADR 1.2) whilst KKR 2013-1A DR CVR 94.5 at 755dm / 4.8y WAL – cleaner metrics but a lower MVOC percentile at 105.1 impacting execution (coupon +608bps).

AAA CLO

EUR AAA CLO

There are 3 x AAA trades today. They are all longer bonds with RPE dates in 2025 & 2026. Average traded spreads are around +115. These bonds are a little closer to new issue maturities and tend to show that the AAA spreads from the deals currently in marketing may struggle to get much tighter than Dryden 96.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only single A trade, St Pauls 6, traded at +294, which looks a little softer to us.

There are 4 x BBB trades. Of these the long bond is Cabinteely Park with a 2026 RPE. This traded at +389. The other three traded around +380 but the wide trade was Jubilee 2016-17 at +425 due to its weaker credit metrics versus the other bonds.

There are 4 x BB trades. There is one short bond, BNPP Euro 2018, with a 2022 RPE that traded at +650. The other three traded around +746. Again these levels do not indicate any firming of the junior mezz market.

There are four equity trades today. ALME 4, Clontarf Park and Marlay Park have all traded in the 12% to 13% yield range. Dryden 52 2017 traded wider at 49.21 / 19%. This is primarily because it has a low NAV of around 28 and this is because of past defaults (0.64% pa) which is relatively high.

Mezz/Equity CLO

USD CLO Mezz/Equity

A more subdued day with $40m of trading, US LL Index -17bp dod.  All trades are high dm based and trade wide to our indices, for a variety of reasons.  At BBB there is one trade SRANC 2018-6A D CVR 88 at 647dm / 5.2y WAL (Canaras Cap) – this is current BB and has a high ADR 1.4, high Sub80 5.8, low MVOC 106.9 and manager profile has a weaker record to peers.  The 8 x BBs trade 729dm-1122dm, wide to our BB generic index 698dm – reasons are high coupons (>650bps) for the main coupled with poor credit, eg. SNDPT 2015-1RA E CVR 83.5 at the wide end is 1122dm / 5y WAL (current B), post reinvestment, ADR 1.5, Sub80 3.4, MVOC cuspy 101.6 and Jnr OC cushion 0.9.

AAA CLO

EUR AAA CLO

There are 9 AAA trades. A lot of them have passed their RPE date. Shorter maturity bonds have traded around +100. Longer maturity around +118.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only BB, Newhaven 2, traded at H80s / approx. 681 over. This deal has also just exited its RPE.