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.

AAA CLO

USD CLO AAA

$110m of liquidity today across 12 trades, US LL Index -5bp wow and spreads generally stable with a little softening at BBB.  At AAA our index widens to 126dm (+1 wow) with GALXY 2013-15A ARR the best market proxy CVR 99.37 at 124dm / 2.5y WAL (EoRP Oct 2022), clean metrics from a benchmark manager with a short wal so inside our index.  The remaining trades 129dm-148dm are a cocktail of post reinvestment bonds, high coupon bonds (>120bps) or credit related (high ADR / cuspy Jnr OC cushion) which do not provide a clear barometer as to market sentiment.

Mezz/Equity CLO

USD CLO Mezz/Equity

2 x BB trades 672dm-683dm, both are 3.0 bonds with very clean metrics / high coupons and trade inside our BB index 698dm.  CGMS 2020-2A DR (EoRP 2027) from Carlyle has a +670bps coupon and covers near par at 99.2 683dm / 9.7y WAL (MVOC 106.7, Jnr OC cushion 4.9, WARF 2666) and OCT55 2021-1A E from Octagon (EoRP 2026) with similar metrics (coupon +650bps, MVOC 107.4, Jnr OC cushion 5.6, WARF 2663) covers at 98.7 at 672dm / 9.1y WAL.  Both managers have similar records and scale but there is small tiering between these two names.

AAA CLO

USD CLO AAA

43 covers today with $218m of liquidity, US LL Index +4bps with CLO mezz spreads continuing to grind tighter.  16 x AAA 1st pay trades in a 101dm-143dm range, our AAA index remains 125dm, with sub 100bps coupon bonds dominating the tight end of this range 101dm-113dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

At single-A the trading range is 186dm-257dm with our single-A index 225dm, at the tight end is WINDR 2016-1A CR which hits its par ceiling at 186dm / 2.2y WAL, this is post reinvestment and carries a coupon north of 200bps (+210bps).  Post reinvestment bond trades are in a 207dm-242dm which is centred around our index.  At BBB there are two trades 322dm-325dm with our BBB index 344dm, both trades have sub300bps coupons with clean metrics (post reinvestment) hence trade inside our index.  $56m across 13 x BB trades in a 658dm-840dm range, our BB index 699dm.  At the wide end of the range is MP16 2019-2A ER (Marble Point) CVR 92 at 840dm / 9.4y WAL (EoRP 2026), clean metrics but has a high coupon +701bps.  Excluding another high coupon bond CATLK 2021-8A E (+749bps) with CVR 95.86 at 819dm the trading range for post reinvestment bonds is 658dm-783dm with a weak Octagon bond at the wide end OCT20 2019-4A E CVR 95 at 783dm / 6.9y WAL (ADR 1.9 / MVOC 105.3).  1 x single-B trade MAGNE 2015-14RA F CVR 93.8 at 924dm / 7.1y WAL, shorter WAL (EoRP 2023) with clean metrics from a benchmark manager Blackrock, our single-B index is sub 1000dm at 995dm.

AAA CLO

USD CLO AAA

48 trades with $330m of liquidity, spreads on underlying loans (US LL Index -1bp dod) and CLO liabilities generally stable.  $140m of AAA 1st pays trade 121dm-147dm with higher coupon bonds dominating the wide end of this dm range.  2 x 2nd pay AAAs trade in a 148dm-168dm range, our 1st pay AAA index remains 125dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

At AA there are 8 trades in a 175dm-198dm range with cash prices grinding towards par, wide of our AA index 174dm given the longer wals (EoRP 2026/2027) and higher margin profiles exchanging hands.  At single-A the trading range is 214dm-289dm with our single-A index 226dm, excluding 2 x higher coupon (>200bps) trades the range is 214dm-242dm which is centred around our index level.   4 x BB trades in a 678dm-807dm range (BB index 700dm).  At the wide end is OZLMF 2013-4A D1R (Sculptor) CVR 92.66 (downgraded to single-B) at 807dm / 5.6y WAL – ADR is high 1.1, Sub80 is elevated 2.2, Jnr OC cushion is cuspy 0.7 and MVOC is at the low end 104.5.  3 x rare single-B trades today which is encouraging as investors take more risk appetite, dm range is 917dm-1082dm with our single-B index 1010dm with very few trades since end of January.  Best execution is MDPK 2018-28A F (CSAM) CVR 92.1 at 917dm / 7.9y WAL with metrics overall clean and a benchmark manager with a shorter wal (EoRP 2023) this trades inside our index.

AAA CLO

EUR AAA CLO

The only AAA, Rockford Tower Europe 2018-1, traded at +112. Even though this doesn’t look that tight, bearing in mind the high margin of the bond we do think this is tighter than where New Issue has been pricing.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

3 x AAs traded at an average spread of +178. All of them are quite short.

3 x BBBs have traded around +374. After some recent wide trades at the BBB level these look like firmer levels.

6 x BBs have traded around +734. This looks like a softening compared to recent trades. CGMSE 2015-1 is notable for having traded at 90.75 / +729. This looks cheap when evaluated against our bond valuation algorithm.

The single Bs have traded around +938. Overall this is unchanged versus recent single B levels. However we highlight Ares 14 at +877 as looking on the rich side to us and Jubilee 2013-10 at +1022 as looking cheap.

AAA CLO

USD CLO AAA

$160m of liquidity today with spreads and leveraged loan prices both stable.  10 x AAA trades with a number of profiles exchanging hands, all coupons > 105bps with an average of +116bps and trading range 120dm-136dm with our AAA index 125dm.  One outlier trade JFIN 2013-1A A1NR CVR 99.67 at 157dm / 1.9y WAL (Apex) – high coupon +139bps margin but also tainted by a high ADR 3.1, high Sub80 3% with the deal post reinvestment.

Mezz/Equity CLO

USD CLO Mezz/Equity

3 x AA trades 178dm-211dm and our AA index 175dm with 2 trades at the wide end 210dm-211dm dominated by their high coupons +200bps and in the case of PAIA 2019-1A A2A a slightly lower CVR 99.52 at 211dm / 4.9y WAL given the high ADR 1.7.  1 x single-A trade WOODS 2019-18A CR CVR 98.13 at 265dm / 5.4y WAL (EoRP 2024) wide of our single-A index 226dm – ADR is high 1.24 whilst Angelo, Gordon’s manager profile is slightly back to benchmark.  At BBB there are 8 trades in a 279dm-363dm range with our BBB index 345dm, the tight end of today’s trading range 279dm-299dm driven by 3 trades post reinvestment 279dm-299dm with post reinvestment bonds trading 314dm-363dm which is centred around our BBB index level.

AAA CLO

EUR AAA CLO

There are 7 x AAA trades today. All except for Man GLG 6 have exited their RPE period. Therefore the levels are quite tight. The amortising deals have traded at an average of +102 and the Man GLG 6 traded at +109.

AAA CLO

USD CLO AAA

$84m of securities changing hands, US LL Index -2bp dod and CLO spreads stable.  AAA trade 132dm-143dm wide of our AAA index 125dm, the bonds have higher coupons (119bps-138bps) as opposed to credit issues.

Mezz/Equity CLO

USD CLO Mezz/Equity

5 x BBB trades 333dm-418dm with our BBB index 340dm.  APID 2019-32A D (CVC) hits par ceiling at 341dm / 6.9y WAL (strong coupon +350bps, MVOC 111.3, Jnr OC cushion 4.2).  SHACK 2014-5RA D trades wide of our index at CVR 96.5 at 399dm / 4.9y WAL (EoRP 2023) given its metrics are slightly weaker to benchmark – ADR 0.9, Sub80 2.7, MVOC 109.4 and Jnr OC cushion 2.9 with the +315bps coupon lower than the CVC bond.  At BB there are 3 trades in a 670dm-841dm range with our BB index 710dm.  AWPT 2013-1A D1R2 trades wide to the index at CVR 96.5 at 841dm / 6.4y WAL – Sub80 is elevated 2.6, Jnr OC cushion is low 2.6 whilst the bond coupon +765bps is also at the high end so the dm is scaled to the higher end above our index.

AAA CLO

USD CLO AAA

$306m of liquidity across 44 trades with spreads stable/firm across the stack, US LL Index -4bp dod.  With the majority of the liquidity in AAA 1st pay ($221m) execution levels continue to grind towards par and we maintain our AAA index at 124dm, best execution ELMW4 2020-1A A CVR 99.8 at 129dm / 4.6y WAL (EoRP 2025) – higher coupon +124bps, strong MVOC 153.3 and very clean credit metrics and cushions.  At the other end of the execution range (in terms of cash px) is ARES 2016-41A AR2 (EoRP 2026) CVR 99.09 at 125dm / 5.7y WAL which has a lower coupon +107bps and other metrics somewhat comparable but not as exceptional as the Elmwood bond, the margin structure drives execution here.

Mezz/Equity CLO

USD CLO Mezz/Equity

At AA the trading range is 162dm-180dm with our AA index 176dm with bonds trading inside this dm carrying coupons <150bps with the other trades centred around our index level.  At single-A the trading range is 216dm-280dm with our single-A index 222dm, FLAT 2020-1A C hits its par ceiling – profile is EoRP 2025, coupon is high +245bps and all metrics are very clean (NC is August 2022 hence the creep to par).  STCR 2018-1A C trades wide to our index CVR 96.38 at 280dm / 4.6y WAL (EoRP 2023) – ADR is elevated 1.4, MVOC is at the lower end 115.6 and Jnr OC cushion is at the lower end 2.6 with the coupon < 200bps at +190bps not offsetting the inherent risks.  At BBB the trading range is 327dm-366dm centred around our BBB index of 340dm, there are 2 outlier trades not included, notably TELOS 2013-4A DR CVR 90.76 at 612dm / 4.1y WAL – ADR is high 1.2, Sub80 high 3.1, MVOC low 105.7 and Jnr OC cushion cuspy 0.6.  At BB there are 10 trades with trading range 661dm-778dm with our BB index 710dm, best execution is CIFC 2019-FAL E CVR 98.5 at 770dm / 7.6y WAL (EoRP 2025) – very clean credit and MV metrics (MVOC 106.2) but the margin structure (+741bps) dominates.  At the wider end in terms of cash px is BLUEM 2018-2A E (Assured IM) CVR 93.3 at 757dm / 5.9y WAL (EoRP 2023) – ADR is high 1.8, MVOC is low 103.75, Jnr OC cushion low 2.1 whilst the coupon is at the lower end +605 with the deal post NC.

AAA CLO

USD CLO AAA

19 trades $115m of liquidity and spreads are stable / firm across the stack, US LL Index -2bp dod.  AAA trade 118dm-144dm with our index tightening to 124dm.  BATLN 2020-15X A1 sees best execution (Brigade) with CVR 99.89 at 138dm / 4.5y WAL, metrics are reasonably clean but the +135bps coupon overrides these and drives execution.

Mezz/Equity CLO

USD CLO Mezz/Equity

At AA there are 5 trades in a 159dm-179dm range with our index 177dm, the tighter end of the range (from dm perspective) trades inside our index driven by margin structures <150bps and shorter wals.  The range for reinvesting longer wal bonds is centred around our index level 177dm.  1 x single-A trade COOK 2018-1A C CVR 98.5 at 212dm / 4.6y WAL vs single-A index 222dm – shorter wal (EoRP 2023) and +175bps (lower) margin account for the execution dm inside our index.  1 x BBB trade PAIA 2019-1A C CVR 98.5 at 416dm / 5.9y WAL vs BBB index 340dm – metrics are weaker (ADR 1.7, MVOC <110 at 109.5, Jnr OC cushion is low 2.2) but margin is high +385bps so the risk is offset to some extent by the return here so the execution level is not too steep a discount.

AAA CLO

USD CLO AAA

22 trades with $54m of liquidity across IG and SubIG, with CLO spreads continuing to firm and US LL Index +34bp wow.  AAA 1st pays trade 124dm-139dm with our AAA index 126dm, GSM 2020-IA A1 covers 99.94 at 139dm wider to our index given the scaling factor of the high coupon +137bps with all metrics clean. 

Mezz/Equity CLO

USD CLO Mezz/Equity

At AA there are 5 trades 162dm-202dm with reinvesting bonds trading 174dm-202dm wrapped around our AA index 179dm with again the scaling factor of another high coupon bond from Gulf Stream GSM 2020-IA B CVR 99.91 at 202dm / 6.1y WAL (coupon +200bps).  7 x single-As trade 209dm-242dm with our single-A index 223dm, SNDPT 2019-2A CR covers 98.89 at 242dm / 7.9y WAL wide of our index given the high coupon as well (+225bps) with all other metrics in line with benchmark.  Some mild tightening at BB with bonds trading 648dm-724dm with our BB index 711dm with the majority of bonds trading inside our index given bond coupons were for many of these bonds <+600bps, with the exception CSAM’s MDPK 2015-18X ER with best execution at cover 98.00 at 683dm / 5.4y WAL driven keenly by the short wal given EoRP October 2022 and bond coupon +635bps with a strong MVOC 105.2.  Whilst other key metrics are fairly average (CCC 6%, ADR 0.95, Jnr OC cushion 3.2).

AAA CLO

USD CLO AAA

Heavy liquidity today with 56 trades / $250m of bonds changing hands, US LL Index -3bp dod whilst CLO spreads continue their tightening theme.  AAA 1st pay trade 123dm-132dm for reinvesting bonds and we tighten our AAA index once again -1dm to 130dm.  MDPK 2016-22A A1R from CSAM with an EoRP 2025 sees best execution at 99.77 at 132dm / 4.4y WAL, bond coupon is strong +126bps, MVOC is high 154.34 and other metrics are clean.

Mezz/Equity CLO

USD CLO Mezz/Equity

$84m of AA bonds trade 158dm-193dm with our AA index tightens to 181dm, JPARK 2016-1A A2R is the outlier with an execution cover of 99.65 at 158dm / 2.8y WAL (post reinvestment) but notably the low coupon +145bps still meets strong execution.  At single-A the trading dispersion is 217dm-279dm centred around our single-A index 239dm, SPEAK 2019-1A C from Orix covers at par ceiling at 279dm / 5.4y WAL – the EoRP is 2024 but the bond coupon is high +280bps / MVOC 118.8 and credit metrics clean.  At BBB there is more than $50m of liquidity across 20 trades with a wide dispersion in terms of cash px (13pts) and dm range 262dm-682dm, our BBB index is 348dm.  2 notable outliers at the wide end are from Zais ZCLO3 2015-3A CR and HarbourView HARV7 7RA D with execution covers 87.13 and 86.88 respectively and dm range 625dm-682dm, their MVOC is low 105.7-106.1 and despite the higher coupons 336bps-373bps their ADRs are very high 2.6-2.9 whilst both are BB rated current.  $30m of BBs trade across 15 trades and a wide dispersion like BBB activity (cash px 8.5pts / dm range 649dm-916dm), our BB index remains at 729dm.  Best execution is NBCLO 2016-1A DR CVR 99.09 at 649dm / 4.6y WAL – post reinv / coupon +625bps / benchmark manager PGIM.  At the other end of the scale is COV 2017-1A E CVR 90.5 at 916dm / 4.6y WAL – post reinvestment as well with similar coupon +645bps but MVOC is much lower 102.4 (vs 104.8), manager Covenant Partners is inexperienced and this shows with a cuspy Jnr OC cushion 0.77.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Only BBs traded by BWIC today. Levels are tighter. The average spread is +646. BECLO 13 priced today. The BB has 715dm. Prior to this new issue BB levels were more like 760 – 780dm. BECLO 13 is tighter across the stack – refer to our CLO Markets briefing for full details.

Mezz/Equity CLO

USD CLO Mezz/Equity

$108m of liquidity across 25 trades today, CLO spreads continue to grind in whilst US LL Index is flat dod.  AA bonds trade 165dm-182dm inside our AA index, whilst discounting lower coupon AAs the trading range is 175dm-182dm with our index tightening 2dm to 183dm.  Single-As trade firmer 212dm-226dm tightening our single-A index to 244dm, best trade proxy is CGMS 2019-2A BR (Carlyle) CVR 99.73 at 226dm / 5.6y WAL – EoRP 2024, +220bps coupon, MVOC 119 and clean credit metrics.  At BBB the trading range is 299dm-364dm with the tight end of this range (299dm-326dm) driven by lower coupon BBBs (<300bps coupon) whilst WINDR 2019-1A DR CVR 98.75 at 364dm / 8.4y WAL which is wide to our BBB index 351dm given a high ADR 1.2, lower MVOC 109.3 and some reflection on First Eagle’s poor default record as a manager (despite other clean metrics).  BB trade 591dm-819dm, stripping out low coupons / bonds post reinvestment the trading range is 646dm-819dm centred around our BB index which is tighter at 729dm given the firmer execution levels.

AAA CLO

EUR AAA CLO

The 3 x AAA trades today are at an average spread of +119. Even the short bond, Bosphorus 5, with 2 years to RPE traded at around +129. So taking yesterday and today together we can say AAA spreads are around +113a.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only AA, Blackrock 11, traded at +184.

BBBs seem to be grinding tighter. 5 trades have taken place at an average spread of +343.

BBs are steady with the two trades today at around +700.

Single B’s are also steady with today’s trading at +945 (for bonds with around 2yrs to RPE left).

AAA CLO

USD CLO AAA

36 trades today with $65m of liquidity, CLO spreads firmer and US LL Index +18bp dod.  AAA trades are grinding towards par with our AAA index 131dm.  A high coupon 2nd pay LCM 19A BR covers at par ceiling at 175dm / 1.8y WAL (post reinv / high coupon +175bps) which is the first AAA to trade at par ceiling since the Ukraine invasion. 

Mezz/Equity CLO

USD CLO Mezz/Equity

3 x single-As trade 250dm-254dm close to our our single-A index 248dm, the 3 trades are shorter dated (EoRP 2022-2023) and trade wide to our index given performance (ADRs 0.75-1.8), cuspy Jnr OC cushions (0.9-2.2) and coupons <200bps.  At BBB there are 10 trades in a 328dm-371dm range (our BBB index is in the middle of this range 354dm).  One outlier trade GLD11 2015-11A DR2 CVR 98.48 at 274dm / 5.1y WAL (EoRP 2023) with a low coupon+240bps.  At BB there are 5 trades in a 604dm-677dm range (our BB index 741dm) with trades carrying bond coupons as low as +530bps (range is +530bps-630bps) this accounts for execution inside our index.  Best execution level is driven by coupon HLM 2021-16A E covers 98.26 at 677dm / 9.7y WAL (EoRP 2027) with a +650bps coupon, MVOC 106.8 and strong Jnr OC cushion 5.2.

AAA CLO

EUR AAA CLO

There are 7 x AAA trades today. The average traded spread is +107 which is about 10bps tighter on our AAA curve. In reality the AAA spreads have probably been tightening over a few days but we can measure it when we see a number of BWIC trades. Aurium 3 traded the tightest at +96 because it is amortising and has only a 1.7yr WAL. Even Voya Euro 4 with a 5.6yr WAL traded at +111.

AAA CLO

EUR AAA CLO

Just 1 x AAA today. Madison Park 14 traded at +117 which is close to where the ICG Euro 2021-2 reset is talked.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

2 x BBs have traded, both around +710 which compares with M700s talk on ICG Euro 2021-2. These levels indicate a tightening in the BB space of 20 to 30 bps, albeit based on 2 trades.

AAA CLO

USD CLO AAA

15 trades today as first day of the month with only $47m of liquidity, spreads are firmer with US LL Index +15bp dod.  AAA trading is close to 120dm territory for shorter wal bonds in reinvestment (with lower margin structures) as execution levels creep back towards par.  Our AAA index tightens to 131dm. 

Mezz/Equity CLO

USD CLO Mezz/Equity

3 x BBB trades with shorter wal trade 387dm-405dm which is wide to our index 356dm given these bonds are either high coupon (+360bps area) or have credit/MV issues (Jnr OC cushions cuspy, MVOC 107-108, ADR around 1%).  5 x BB bonds trade in a 660dm-770dm range with reinvesting bonds 660dm-766dm and our BB index is 744dm, bonds tight to this index are lower coupon (early 600s coupons) whilst TSYMP 2016-1A ER2 covers 98.08 at 714dm / 6.6y WAL – the MVOC is at the lower end 104.8 but other metrics are clean and trades in 2.5m.  1 x single-B trade which we have not seen for a while now, RSRVA 2016-3A FRR (Invesco) covers 93.27 at 975dm / 8.9y WAL – this bond is in reinvestment (EoRP 2026), +851bps coupon and generally clean metrics and is met with execution inside 1000dm proving there is some more risk appetite from investors.

AAA CLO

USD CLO AAA

$101m of liquidity today (month end) with bonds from all rating categories trading, US LL Index +13bp dod.  CAVU 2019-1A A1 (Trimaran) covers near par 99.89 at 149dm / 4.1y WAL, this is a high coupon (+146bps) 1st pay AAA with EoRP 2024, strong MVOC 163.8 and clean metrics hence is well bid near par.  Our AAA index is 132dm as proxy for reinvesting 1st pay AAA.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA bonds trade 149dm-170dm which is tighter to our AA index 185dm given the short nature of the bonds and low coupons on offer (+130-155bps).  Best execution for a reinvesting bond is MILOS 2017-1A BR CVR (Invesco) CVR 99.35 at 174dm / 3.6y WAL, wal is at the shorter end given EoRP is Oct 2022 whilst coupon is still towards the lower end +155bps and metrics are good.  Single-A bonds trade in a tight dispersion 198dm-217dm and 0.8pt cash px dispersion.  WALs are short with clean bond/deal metrics and coupons are towards the lower end (+180-205bps) hence trending inside our single-A index 249dm.  Best execution is reserved for the highest coupon on offer at the single-A level (+205bps) DRSLF 2017-47A CR CVR 99.7 at 214dm / 3.6y WAL with the bond post reinvestment (Jan-22).  BBB trade 323dm-523dm with our BBB index 356dm.  ANCHC 2020-16A DR covers at its par ceiling at 371dm / 8.7y WAL (EoRP 2027, high coupon +372bps, clean metrics – MVOC 112.8).  The outlier trades in terms of dm driven by a combination of higher coupon bonds with lower MVOC, eg. MVW 2013-1A DR (Seix) CVR 95.66 at 523dm / 4.9y WAL with a +415bps coupon but low MVOC 105.8 and elevated ADR 2.1 with Sub80 bucket high at 3.2 / Jnr OC cushion cuspy 1.1.  At BB the trading range is 761dm-858dm with our BB index 746dm, bonds that executed today wide of this index level have lower MVOC levels (102.8-104.7) and low coupons (+570-665bps).  However AWPT 2021-12A E covers at 96.16 at 806dm / 6.9y WAL – MVOC is 104.7 and metrics are clean, coupon is relatively high +727bps but ArrowMark’s manager record which is only slightly below benchmark appears to impact upon execution.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

A good number of mezz bonds have traded today. There are 2 x A trades. Oak Hill 3 traded at +230. This deal is amortising. Albacore 3 traded at +273. The new issue market edged wider with the single A’s off BCCE 2022-1 pricing at +350. After a month or two where the secondary market was leading the primary market in going wider it is now signalling that there is scope for the new issue market to start tightening in the near future.

The 2 x BBB trades are at +390 and +410. Both of these are short bonds and one deal is amortising. But this compares with +460 on BCCE 2022-1.

The 3 x BB trades have traded in a +630 to +710 range. Again these are all fairly short bonds but for comparison BCCE 2022-1 priced at +760.

The 4 x B trades are between +860 and +1010. BCCE 2022-1 priced at +1050.

AAA CLO

USD CLO AAA

$64m of liquidity today across the stack, CLO spreads firmer and US LL Index +18bp dod.  2 x AAA trades today in a 126dm-130dm range with both bonds in reinvestment, the manager is Carlyle on both bonds.  We maintain our AAA index firm at 132dm given the clips are fairly small ($8.5m).

Mezz/Equity CLO

USD CLO Mezz/Equity

Firmer AA trading with $37M of liquidity in a 177dm-202dm range whilst our AA index tightens to 189dm, best execution for a reinvesting bond is WOODS 2019-18A BR CVR 99.21 at 202dm / 5.2y WAL (Angelo, Gordon) with an EoRP 2024, strong coupon +185bps and Jnr OC cushion 4.3 despite an elevated ADR 1.2 and mid end MVOC 126.  2 x BBB trades with only one in reinvestment, SYMP 2021-26A DR CVR near par 99.76 at 345dm / 6.4y WAL (TIAA is the manager) with an EoRP 2024 and coupon >300bps (+340bps) and extremely strong metrics (Jnr OC cushion 5.9, MVOC 109) - we shift our BBB index -1dm to 356dm.  $14m of BB trading in a 573dm-773dm range with our BB index tighter at 744dm with bonds in reinvestment trading around our index 696dm-773dm with CANYC 2021-1A E seeing the most impressive execution at CVR 96.69 at 696dm / 8.9y WAL (EoRP 2026) - Jnr OC cushion 5.3, MVOC 104.6, ADR 0.4 and bond coupon +641bps.

AAA CLO

EUR AAA CLO

Just 2 x AAAs today. They are both very short and from amortising deals so their traded spreads of around +100 are to be expected.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 4 x BBB trades, all of them tranches from different Carlyle deals. The three lower margin bonds have traded around +345 with around 5yr WALs. Carlyle 2015-1 has a higher margin and traded at 399dm / 6.5yr. Taking the four trades as a whole these spreads look like a firming of the BBB sector, by around 10-20 bps.

AAA CLO

USD CLO AAA

Limited trading today with 10 trades and $40m of liquidity, US LL Index bounces back +24bp dod and CLO spreads are firmer.  AAA trading is creeping towards par with benchmark bonds now trading at a small discount with shorter wal bonds with coupons >100bps better bid and within half a point of par.  To highlight this CEDF 2016-6A ARR (EoRP 2026) with a +105bps coupon covers 98.9 at 126dm / 5.8y WAL, all metrics are clean but it is the wal and lower coupon that push this to a lower execution price.

Mezz/Equity CLO

USD CLO Mezz/Equity

1 x BBB and 1 x BB trade with levels firmer.  RSRVA 2016-3A DRR (BBB) covers at 99.07 at 340dm / 7.9y WAL (coupon +325bps), metrics are strong 108.9 MVOC, Jnr OC cushion 5.1.  Since this trade has a coupon >+300bps and clean metrics the execution price is strong with dm inside our index 357dm.  At BB 2.5m of ARES 2019-53A E covers 98.53 at 715dm / 6.7y WAL (EoRP 2024) - metrics are fairly average and given the positive execution level we shift our BB index slightly tighter to 747dm.

AAA CLO

EUR AAA CLO

There are 5 x AAA trades today. Three of the deals are amortising: Jubilee 2014-11, Aqueduct Euro 1-2017 & Contego 4. These three AAAs have traded around +107. The other two trades are Invesco Euro 1, which is callable and traded at +112 and Segovia 6-2019 at +124.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only AA trade is from BlackRock 5. It is a short (4.45yr) bond which has been callable for over 2 years. It traded at LM97h / around 173 over.

Mezz/Equity CLO

USD CLO Mezz/Equity

$12.5m of liquidity today across 13 x BBB trades, with US LL Index +3bp dod.  Trades are all from reinvesting bonds and in a 323dm-350dm range, we shift our BB index tighter to 359dm (-6dm) given the execution levels on clean bonds with MVOC 107.5-110, coupons +285bps-310bps and Jnr OC cushions >3%.

AAA CLO

USD CLO AAA

A quiet end to the week with just 7 covers today.  US LL Index +3bp dod.  At AAA there is 1 x 2nd pay trade, CGMS 2014-3RA A1B CVR 98.2 at 162dm / 6.5y WAL (EoRP 2023) and is in the range recent 2nd pay AAA trading range 160dm-170dm albeit the high ADR 2.2 with other metrics broadly in line.  2 x long wal AAAs (EoRP 2025-2026) trade 136dm-143dm, with best execution reserved for a high coupon bond from a Sixth St 3.0 CLO TICP 2020-15A A CVR 99.25 at 143dm / 4.8y WAL (coupon +128bps) with clean deal metrics.  Our AAA index ends the week at 134dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

At the BBB level there are two trades in a 390dm-424dm range, both are outlier trades, the outlier trade within reinvestment phase is OZLM 2014-6A CS CVR 95a at 424dm / 5.4y WAL (Sculptor) with an EoRP 2023 and metrics are weak (MVOC at the lower end 108.7, ADR elevated 1.03, Jnr OC cushion cuspy 1.4).  Our BBB index is 365dm.  There are 2 x BB trades in a 709dm-752dm range with our BB index 749dm, CRBN 2017-1A D trades inside the index with a low cash px at CVR 95 at 709dm / 5.4y WAL (EoRP 2023), low coupon +590bps and average metrics, eg. MVOC 103.7, Jnr OC cushion 3.1.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are a bunch of BBB trades. Two of them, Toro 4 & St Pauls 8, are in amortisation and traded around +350. The other 5 traded around +415, which could be a 5-10bps firmer in secondary. There is some New Issue pricing today at +485 and +460 which is where Primary BBBs have been for a while now. We have seen New Issue AAA levels finally widen to meet secondary levels. Dryden 91-2022 priced its AAA at +120.

AAA CLO

USD CLO AAA

$190m of liquidity across 36 trades, US LL Index fell -13bp but CLO spreads stayed firm with trades across the stack.  Reinvesting 1st pay AAAs trade 128dm-162dm with the wide end distorted by high coupon bonds rather than credit impacted bonds, AAAs with coupons <+120bps trade 128dm-145dm which is centred around our AAA index 134dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

AA bonds trade 187dm-192dm near our AA index level 185dm.  At single-A our index is 252dm with a post reinvestment bond MVW 2015-10A CR with short wal CVR 99.32 at 213dm / 2.6y WAL whilst a high coupon bond with clean metrics WOODS 2020-22A C (coupon +313bps) covers near par 99.996 at 313dm / 4.8y WAL (EoRP 2023) with strong execution given the risk adjusted return with short wal.  At the BBB level there are 8 trades in a 350dm-414dm range with our BBB index tightening slightly to 361dm given execution levels today are closer to par and reinvesting BBB bonds trade 350dm-370dm, whilst we see a BBB trade at its par ceiling after some time - NEUB 2020-39A D at 350dm / 6.2y WAL – EoRP 2024, high coupon +360bps and very clean metrics given a 3.0 CLO.  3 x BB trades in a 697dm-823dm range with our BB index 749dm, TRNTS 2018-8A E sees weakest execution CVR 89.83 at 823dm / 5.9y WAL (EoRP 2023) given the low coupon +590bps, low MVOC 103.7, lower percentile Jnr OC cushion 3.5 despite the reasonable manager record.

AAA CLO

EUR AAA CLO

There are 2 x AAA trades today. AAA spreads in secondary do not look like they are getting any tighter. In fact these are drifting wider at +119 and +129.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 4 x BB trades. The long maturity, Barings Euro 2020-1, traded L90s / MH700s for an 8.3yr. The others which are between 5 and 6yrs mat traded around +690. Carlyle Euro 2017-2 is amortising.

The only single B trade, CVC Cordatus 11 traded at +879, considerably inside new issue levels of +1050 but then it is only a 6.4yr mat and is just coming up to the end of the NC date.

Reported MVOCs continue to fall. The average BB MVOC of today’s trades is around 106.5% (from around 108% last month) and for single B it has gone from 105% to 103.5%.

AAA CLO

USD CLO AAA

$130m of liquidity across 40 trades today, US LL Index +2bp today.  17 x 1st pay AAA trades with our AAA index widening to 134dm given execution levels for clean bonds within reinvestment periods have widened.  There are 6 x 2nd pay AAAs that trade 160dm-173dm with coupon structures +130bps to 145bps, with best execution limited to short wal (post reinvestment) and higher coupon bonds eg. CIFC 2014-3A A2R2 CVR 98.63 at 169dm / 6.4y WAL – coupon +145bps and best execution level for a reinvesting bond despite an elevated ADR 1.2 which has little impact at the AAA level.

Mezz/Equity CLO

USD CLO Mezz/Equity

9 x BBBs trade in a 318dm-622dm range, our BBB index is 363dm with best execution for reinvesting bonds with coupons > +300bps with strong Jnr OC cushions, AGL 2020-3X D CVR 99.57 at 338dm / 6.9y WAL - +330bps coupon, MVOC 111.7, low ADR 0.69, low Sub80 1.5 and strong Jnr OC cushion 4.3 from a new CLO manager entrant with excellent performance to date.  At BB there are 7 trades in a 712dm-997dm range, our BB index widens to 749dm.  The outlier trade is VENTR 2016-24A E (MJX) CVR 89.55 at 997dm / 4.1y WAL – ADR is high 1.4, Sub80 is high 3.8, Jnr OC cushion is cuspy 1.5 and the bond is post reinvestment so these metrics will unlikely improve dramatically.  Ignoring a high coupon BB bond trade JFIN 2013-1A DR +737bps at CVR 96.73 831dm / 4.4y WAL the trading range is 712dm-795dm which is centred around our 749dm index level.

AAA CLO

EUR AAA CLO

Just 4 x AAA trades today. Two are in amortisation, Toro 4 and Cairn 8, and traded at +107 for 1.6yr WALs. The other two, Bosphorus 5 and Henley 1, with WALs of 3.7yr and 5.1yr traded at +125, substantially wider than new issue levels.