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.

AAA CLO

USD CLO AAA

$140m of bonds changed hands today across 28 trades, US LL Index +20bp dod and CLO spreads stable on the whole with some equity on lists (however DNT) highlighting some stability signs.  25 of the 28 trades are AAA bonds, ignoring the extra short wal / high dm bonds the trading range is 124dm-154dm with our AAA index unchanged at 132dm.  Excluding any bonds with reinvestment end of this year, best execution is reserved for VENTR 2014-19A ARR CVR 99.1 at 154dm / 3.5y WAL (EoRP 2024 / high coupon +126bps) – despite the weaker manager profile (MJX AM) and weak metrics (Jnr OC cushion 1.5, ADR 2%, Sub80 3.3%) the MVOC is in the middle of the range but the high coupon trumps and highlights that investors are prepared to take some additional risk in return for a higher return for a callable bond.  On the other hand BRDGS 2021-1A A1A CVR is 98.53 at 150dm / 6y WAL (EoRP 2026 / coupon +123bps), despite the cleaner and stronger metrics versus the MJX bond the duration and inexperienced manager record to navigate complex markets impacts on execution.

Mezz/Equity CLO

USD CLO Mezz/Equity

1 x BBB trade NEUB 2016-21A DR2 CVR 98.29 at 356dm / 8.2y WAL which is close to our BBB index 365dm – the bond has a +330bps coupon, strong MVOC 110.4, elevated ADR 1%, strong Jnr OC cushion and benchmark manager.  1 x BB trade, STHWK 2019-4A ER CVR 96.11 at 700dm / 7.2y WAL (EoRP 2024 / +625bps coupon) versus our BB index 746dm – this trades inside our index given the excellent manager profile and clean metrics (ADR 0.39, Sub80 1.7, Jnr OC cushion 5.04 and MVOC 105.5).

AAA CLO

EUR AAA CLO

There are 15 x AAA trades today. Excluding the two that are amortising (Oak Hill 3 & Cairn 8) the average spread of the others is +121 over floored Libor. This contrasts with the +107 to +110 that the primary market seems to be at. Secondary spreads are normally, if anything, tighter than primary because of the shorter time to RPE and possibly because of the smaller volumes – but not in this case.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The only AA, Anchorage 2, traded at +204.

The only single A, Sculptor 9, traded at +274.

There are 5 x BBBs. Carlyle 2017-2 is from an amortising deal and traded at +386. The others traded at an average spread of +418.

All these mezz spreads are slightly inside new issue levels but all the bonds are shorter than new issue.

AAA CLO

USD CLO AAA

25 trades today with spreads stable, US LL Index +41bp dod.  AAA bonds trade 131dm-153dm in a variety of profiles, eg. High coupon, short wal, credit impacted.  Our AAA index remains at 132dm with best execution today CBAM 2019-9A A CVR 99.58 at 151dm / 1.9y WAL (EoRP was last month) and bond coupon is high +128bps and metrics are clean hence a much sought after bond at the moment.  At the other end is VENTR 2018-32A A1 CVR 98.75 at 153dm / 3.2y WAL (EoRP 2023) but coupon is lower +110bps, MVOC is 4pts lower (than CBAM) 144.9, ADR is high 1.2, Sub80 high 3.7 and Jnr OC cushion is towards the low/mid end of the scale 2.5.

Mezz/Equity CLO

USD CLO Mezz/Equity

At BBB a similar story, a variety of profiles trade (dm range 269dm-534dm) from post reinvestment to 5y reinvesting bonds from an array of credit profiles.  Our BBB index is largely unchanged 365dm (+1dm), weakest execution VENTR 2014-19A DRR CVR 91.25 at 534dm / 5.9y WAL (EoRP 2024) – MVOC is low 107.3, ADR high 2%, Sub80 high 3.4 and Jnr OC cushion cuspy at 1.5.  At BB there are 9 trades in a 588dm-805dm range with an 8pt cash px dispersion accounting for a variety of profiles.  Our BB index is 748dm (+1dm) so largely unchanged.   Best execution is reserved for short wal (post reinvestment clean bonds) or high coupon 3.0 bonds with strong cushions, eg. TRNTS 2020-12X E CVR 96.5 at 805dm / 8y WAL (MVOC 107.7, ADR 0.1, Jnr OC cushion 5.7).

AAA CLO

USD CLO AAA

US LL Index +41bp wow whilst new issue starting to see 5y reinvestment periods accepted by investors (vs 3y last week).  2 x AAA bonds trade, both EoRP 2026 (coupons +112-113bps), clean metrics and in a 139dm-145dm range, with VENTR 2021-42A A1A at 98.31 at 145dm / 5.8y WAL at the wider end with the weaker manager profile appearing to impact execution.  Our AAA index shifts to 132dm. 

AAA CLO

EUR AAA CLO

We finish the week with 4 x AAA trades. Their average spread is +111, however 2 of the deals are in amortisation, Toro 4 and CGMSE 2015-3.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are also 2 x A trades which have traded around +245. This is way inside new issue levels but these two bonds have low margins.

AAA CLO

USD CLO AAA

Just shy of $100m of liquidity today following yesterday’s lull, US LL Index +29bp dod.  Our AAA index remains unchanged 128dm, with 2 short wal bonds (EoRP 2023) trading in 132dm-133dm context, furthermore 2 x rarer 2nd pay AAA trade 163dm-165dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

1 x AA trade BABSN 2018-3A B1 covers at 98h at 200dm / 2.9y WAL, this is post reinvestment with some credit issues (ADR 1.2, Sub80 2.7, CCC 7.9) and low Jnr OC cushion 2.5.  Our AA index is tighter at 184dm.  $60m of liquidity today all with short wal (EoRP 2023) is in single-A across 12 trades which a 236dm-286dm trading range whilst spreads overall widen our single-A index to 250dm.  At the BBB there are 2 barbelled trades, LCM 19A D (post reinv) covers near par 99.85 at 350dm / 3.1y WAL (high coupon +345bps,low Jnr OC cushion 1.9 offset by strong MVOC coverage 113.7) AND VENTR 2013-15A DR2 which is a longer wal (EoRP 2024) with high coupon +392bps and credit impaired (ADR 2.1, Sub80 4.7), low MVOC 108.2 and cuspy Jnr OC cushion 1.4 from a weaker manager profile (MJX AM).  Our BBB index is 363dm.  4 x BB trades in a wide dispersion (cash px 9pts and 688dm-1108dm) with our BB index 744dm.  PLSR 2019-1A D trades softest at CVR 87h at 1108dm / 7.7y WAL (EoRP 2025) – high ADR 2.5, Sub80 elevated 2.5, Jnr OC cushion is low 1.9 and manager profile (Vibrant) is weak to benchmark. 

AAA CLO

EUR AAA CLO

Some welcome AAA trading in secondary today. There are 6 trades to look at. The average secondary spread is +110. The increase in secondary visibility could be prompted by the new issue prints today at +110 for Harvest 28 and +107 for Hayfin 9. Since primary and secondary AAA spreads have finally converged it gives all participants a bit more visibility and confidence.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are also 2 x BBB trades which have traded at around +410. This compares with +470-475 for the new issues.

AAA CLO

USD CLO AAA

Only $50m of liquidity today after yesterday’s 10x, unsurprising given the Fed raised its benchmark rate by 25bp in a measure to control inflation which is close to 8%, furthermore more hikes have been signalled to bolster the US economy, along with possible progress on a Ukraine-Russia ceasefire.  US LL Index jumped +90bp dod.  There are 4 x AAA trades with little movement in spreads as we maintain our AAA index 128dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

1 x AA trade TREST 2018-2A A2 which has EoRP 2023 with CVR LM99h at 183dm / 4.4y WAL, this is right on our AA index 184dm, the MV and credit metrics on this Pacific AM bond are relatively clean (ADR 0.2, CCC 3.9, MVOC 130.9) with a +167bps coupon / post NC.  1 x BBB bond, also another short dated mezz, benchmark manager CIFC - CIFC 2018-4A C CVR 97.65 at  345dm / 5.4y WAL (EoRP 2023 / bond coupon +295bps), clean metrics and strong Jnr OC cushion 4.4, is inside our BBB index 364dm.

AAA CLO

EUR AAA CLO

The two AAA trades today have both traded at +117. Toro 8 priced today at +105.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 3 x BB trades. Ares Euro 6 is amortising and the BB traded around +640. The other two traded around +665. Toro 8 priced at +775.

AAA CLO

USD CLO AAA

$500m of liquidity today with the vast majority AAA, US LL Index -57bp dod whilst spreads broadly flat with the continued weaker underlying tone.  $400m of AAA exchanged hands whilst our AAA index widens slightly to 128dm.  1 x outlier trade SYMP 2016-17A AR which is well past reinvestment (EoRP 2020) covers 99.51 at 245dm / 0.3y WAL, the factor on this bond is around 0.5 and the coupon is +88bps / MVOC 197.2. 

Mezz/Equity CLO

USD CLO Mezz/Equity

BBB liquidity us $94m with a trading range 331dm – 573dm and 7pt cash px dispersion given the array of profiles and market volatility.  Higher coupon 3.0 bonds with strong cushions / bonds post reinvestment with strong coupons are better bid, for instance OCT44 2019-1A DR covers 97.75 at 359dm / 8.7y WAL (EoRP 2026, +325bps coupon, MVOC 112.5) whilst BLACK 2017-1A C is post reinvestment and carries a +395bps coupon and strong MVOC 113.7 despite a high ADR 1.3 / high CCC 8.8.  3 x BB trades in a 675dm-822dm range, our BB index is 751dm so trades are centred around this level.  Execution levels are driven by coupon structure given the cushions are strong (ie. Jnr OC cushions > 5%) with almost a 4pt cash px dispersion between a high coupon bond +766bps and a low coupon BB bond +575bps with similar metrics.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

The one AA trade, Mackay Shields 1, traded at +226.

The 4 x BBB trades have traded between +372 and +471 with an average spread of +425. The spreads have followed the margins. None of them have any notable credit underperformance.

There are 2 x BBs. Toro 4 is in amortisation and has a low MVOC and traded at +725. Anchorage Europe 2021-4 is more of a regular deal and traded at +718.

Of the 4 single Bs three of them are from amortising deals. These three have traded around +900. The remaining bond, Carlyle Euro 2020-2, traded at +1030.

AAA CLO

USD CLO AAA

$350m of liquidity to kick start the week, US LL Index -46bps dod and a slightly weaker tone on spreads, but no material widening.  $311m of liquidity consists of AAA trades with best execution trending to shorter wal bonds (post reinvestment), however GLD10 2015-10A AR seeing best execution for a bond in reinvestment, CVR 99.45 at 131dm / 3.1y WAL (EoRP 2023) with clean credit metrics, +112bps coupon and 158.7 MVOC.  Our AAA index widens to 127dm.  TICP 2018-IA A1 covers at 99.41 at 187dm / 0.6y WAL, post reinvestment end and wide in dm terms given some credit weakness (ADR 2%, Jnr OC cushion 2.1) despite the short wal.

Mezz/Equity CLO

USD CLO Mezz/Equity

4 x AA trades in a 200dm-214dm range (EoRP 2025-2027) which is wider to our AA index 183dm given the longer wal, bonds are all clean and 3.0s with little creep to par for WELF 2019-XA A2R which has a NC in May despite the +175bps coupon this covers 98.25 at 208dm / 5.9y WAL.  1 x BBB bond within reinvestment trades, C4US 2021-1X D from Cap Four covers at 96h at 414dm / 8.7y WAL for a rare BBB bond with a reinvestment end of 2027, coupon is high at +362bps with a NC end of 2023 with no reporting given this is pre-trustee report, our BBB index is 360dm.

AAA CLO

EUR AAA CLO

The two AAA trades today are showing a firmer tone to the AAA sector. The cover floored DMs are +106 and +116 which are several basis points tighter than where secondary has been trading. Secondary, of course, was a lot wider than new issue but that disparity is being eliminated now with secondary tightening to primary levels. The +106 trade is the short, 1.9yr mat, static deal Palmer Square 2021-2.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just a few lower mezz trades today. The only BB trade is Toro 6, which traded at +796. Henley 7 priced its BB today at +775.

There are 3 x single B trades which range from +858 to +1042 with an average of +925. Henley 7 priced at +1050. However the two tight secondary trades, in the +870 region, are quite short at around 6.3yrs WAL. Fair Oaks 3 is 8.8yrs and traded at +1042.

AAA CLO

USD CLO AAA

Almost 50 trades and $204m of liquidity today, US LL Index -23bp dod and spreads overall steady.  At AAA our index is unchanged at 126dm, 2 x rare 2nd pays trade 140dm-162dm whilst 1st pays trade 129dm-154dm which is wide to our index given a number of credit impaired bonds (9/32 trades carry an ADR >1%) and compound effect on dm’s for higher coupon bonds (>+120bps).

Mezz/Equity CLO

USD CLO Mezz/Equity

6 x AA trades in a 188dm-200dm range and cash px dispersion very tight, our AA index is unchanged at 182dm.  A high coupon +180bps bond GSM 2021-5A A2 covers 98.7 at 200dm / 7.5y WAL (EoRP 2026) with metrics clean but this is an inexperienced manager pushing the execution level wide of our index.  4 x BB trades 693dm-729dm, with our BB index 737dm, the profiles that trade are all EoRP 2026 with similar clean credit metrics and MVOC basis 106-107 and lower coupons +650bps hence trade inside our index level.

AAA CLO

EUR AAA CLO

There are 3 x AAA trades today. Spreads range from +107 to +122 with an average of +115. This compares with the latest px talk on Harvest 28 of 107-110. The widest secondary trade is the long AAA (4.8yrs) with a low margin (86bps), RRE 2.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 4 x BBB trades. We only have the big figure they traded at so it isn’t possible to precise about the traded spreads. However, approximately, the two low margin bonds have traded around +350a and the other two (closer to current par margins) at around +425a. Harvest 28 is talked at 415-425.

There are 3 x Bs which have traded from +1011 to +1051 with an average of +1036. Harvest 28 is talked 1025-1050.

AAA CLO

USD CLO AAA

Significant liquidity today with 75 trades and $433m of bonds changing hands, US LL Index -3bp dod, whilst BBB spreads saw the most pronounced softening effects.  Around half of today’s liquidity is AAA with BSL and MM CLOs trading, BSL trading range is 125dm-144dm with our AAA index remaining at 126dm, whilst 2 x MM CLOs trade in a 177dm-197dm range.  For BSLs the cash px basis is almost 1pt given the array of bond/deal profiles, with best execution favoured to the shorter wal bonds / shorter remaining reinvestment / post reinvestment.

Mezz/Equity CLO

USD CLO Mezz/Equity

20 x AA bonds trade in a 178dm-220dm range, our AA index is 182dm with today’s range distorted by higher coupon bonds and credit impacted fundamentals whilst the flight to quality remains in shorter wal bonds / long reinvestment with strong cushions given the market volatility, for instance ARES 2017-43A BR covers 99.5 at 178dm / 7.5y WAL (EoRP 2026) – 0.8 ADR, 5.5 Jnr OC Cushion and 128.5 MVOC.  At single-A there are 3 trades in a 233dm-254dm range, our single-A index is 235dm, BSP 2018-16A CR trades wide to this from a dm perspective, CVR 97.5 at 254dm / 5.2y WAL (EoRP 2022) with only the Sub80 bucket as a weak metric 2.4% whilst the coupon +200bps is not likely to reset in the near future with NC this June.  At BBB there are 24 trades in a 300dm-425dm range with a 3.6pt cash px dispersion given the spread of bond profiles.  Our BBB index is 351dm.  Best execution is BCC 2020-1A D CVR 99.98 at 425dm / 7.2y WAL (EoRP 2025) – high coupon +425bps with clean credit and MV metrics and a solid manager record.  At the other end of the scale is NEUB 2017-16SA DR CVR 96.35 at 345dm / 8.2y WAL (EoRP 2026) – lower coupon +290bps, lower MVOC 109.1, high ADR 1.6.  5 x BB trades 673dm – 815dm with a 3pt cash px dispersion, our BB index is 733dm which is in the middle of this range, BATLN 2017-11A ER trades at a low cash px (CVR 94.4) at 778dm / 9y WAL (EoRP 2026) – ADR elevated 0.9, Sub80 high 2.7 and other metrics broadly in line including a decent manager record.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are a handful of EUR trades today. The single A, Euro-Galaxy 5, traded at +288 over floored Libor.

The 3 x BBB trades have traded at an average of +369 over floored Libor. We can see the impact of lower loan pricing feeding through as the BBB MVOC has fallen by around 2pts in the last month for all 3 bonds. These levels do indicate a firmer tone than existed when CVC Cordatus 23 priced.

The two BBs have very different margins and so traded at very different spreads ie +636 and +748. It is hard to draw any conclusions about where the secondary market for BBs is from these two data points.

The single B, Dryden 59 2017, traded at 89.55 / +819, but it has a low margin and therefore isn’t telling us much about where a par bond would trade.

AAA CLO

USD CLO AAA

A fair level of liquidity today with $167m of trades across IG and SubIG, US LL Index softens for the second day running almost 50bp (-40bp dod) whilst mezz spreads widen a touch (A-BB).  At AAA our index remains at 126dm with trading dispersion 114dm-178dm whilst there are two well factored bonds that trade > 200dm given the very short wal (<0.4y) with very little dispersion amongst reinvesting bonds with cash px 99.1-99.5.

Mezz/Equity CLO

USD CLO Mezz/Equity

At AA there are 4 trades in a 179dm-191dm range, with our AA index 180dm, OCP 2020-18A BR has best execution at CVR 98.8 at 191dm / 5.7y WAL given the high coupon +170bps (MV and credit metrics clean).  At single-A there is significant basis between trades given the variety of profiles (long reinvestment v short reinvestment and high coupon v low coupon), trading range is 214dm-442dm with a 3.6pt cash px dispersion given the differing profiles, our single-A index is 233dm with best execution CFIP 2013-1A CR CVR 99.66 at 280dm / 3.7y WAL given post-reinvestment (EoRP 2021) and clean credit metrics and strong MVOC 122.5.  At BBB there is also significant basis similar to scenarios for single-A (cash px dispersion 5pts and dm range 340dm-464dm), our BBB index is 336dm with MVOCs pushing bonds wider across reinvesting bonds with weaker manager profiles impacting bonds at this level in the stack.  1 x BB trade CGMS 2015-1A ER CVR 94.27 at 837dm / 5.2y WAL with our BB index 741dm, this bond has a short wal (EoRP July 2022) but ADR is high 1.23, Sub80 bucket elevated 2.4, MVOC at the lower end 105.8 and Jnr OC cushion at low/mid end 2.9% with a coupon +694bps.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

At last we have a resumption of liquidity in the EUR CLO market. There are 24 trades from AA to BB. The only AA trades, Carlyle 2017-3, traded at +193 over floored Libor. Even though this is considerably inside recent new issue levels because this bond has a low margin it is actually in line with the new issue market.

There are 6 x single A trades with an average spread of +301. The last Primary deals were at +315.

There are 3 x BBB trades. All 3 deals are in amortisation but against that one of them is Man GLG 3 which always trades wide. So with those provisos, the average traded spread is +396 versus primary  at +415.

There are 14 x BB trades. These have traded at an average spread of +765 versus new issues at +750 and +775.

AAA CLO

USD CLO AAA

Light flows at the senior end of the stack today, with 6 x AAA trades and US LL Index -42bps versus Friday close.  Little basis between the trades which are in a 128dm-138dm range, with emphasis in the first instance on NAVs (MVOC) and manager tiering with bonds from Columbia Management and Alcentra meeting weaker execution given their respective manager profiles, see PriceABS for trade history log.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 3 x AA trades today. They have traded at an average spread of +227 over floored libor. This is right in the context of the recent pricing of Otranto Park and CVC Cordatus 23.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Just 4 x AA trades today. Only two of them are floaters. These two are wider than the previous day’s trading. On Thu the average AA spread was +183 (over floored Libor). Today the average is +199 (Toro 4 at +193 and Segovia Euro 5 2018 at +205). This compares with new issue pricing today of +215 for Otranto Park and +230 for CVC Cordatus 23 at the AA level. Given that the secondary pieces are shorter and in the case of Toro 4 the deal is amortising this gives confidence that the new issue spread is clearing one for the AA tranche. The same cannot be said at the AAA level where these deals are priced at +96 and +100 respectively. This is around 15bps to 20bps tighter than where secondary AAAs are trading – but then there are a lot of AAA buyers who only buy in primary.

AAA CLO

USD CLO AAA

A more buoyant day with $212m of liquidity across 44 trades across the capital structure, BB spreads softening most in relative terms, US LL Index +4bp dod.  16 x AAAs trade at a discount in a 121dm-139dm range with our AAA index in the middle of this range 126dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

At AA there are seven trades in a 158dm-191dm range with our AA index 179dm.  COOK 2018-1A B trades at the lowest cash price 98.8 at 168dm / 4.7y WAL given the low coupon +140bps and the bond still in reinvestment for another year whilst the Jnr OC cushion is at the lower end 3.4%.  At single-A the trading range is 212dm-310dm across 10 trades with two very short wal bonds which are 4y post reinvestment end and carry coupons > +230bps.  At BBB there are 6 trades in a 288dm-457dm range with our BBB index 332dm, best execution remains in post reinvestment bonds just like for single-A with the outperformer NWSTR 2015-1RA DR CVR 99.89 at 400dm / 1.1y WAL (EoRP 2019, high coupon +390bps and MVOC 294).  At the other end of the scale is VIBR 2018-8A C CVR 93.37 at 448dm / 4.7y WAL (EoRP 2023, coupon +285bps) – MVOC is low 108.7, ADR is high 1.35, Sub80 bucket is high 3.6 and Jnr OC cushion low at 1.3.  At BB the trading range is 706dm-820dm with our BB index 725dm, CANYC 2020-3X E with a high coupon +725bps covers 99.55 at 732dm / 8.7y WAL close to our index level – EoRP 2026 with very clean credit and MV metrics despite the modest manager record.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

We saw a resumption of some liquidity in the EUR CLO market today, with some mezz bonds trading. 3 x AAs traded with spreads over floored Libor from +174 to +195 with an average of +183. This compares well with px talk on CVC Cordatus 23 which had the AA tranche talked at 170-175 on 22 Feb and is now at H100s.

There are 7 x single A trades. The spread over floored Libor ranges from +270 to +298 with an average of +287. This compares with CVC Cordatus 23 talk which was at 245-255 at the beginning of marketing and is now at MH200s.

AAA CLO

USD CLO AAA

More than $120m of liquidity today across 36 x IG trades with spreads largely flat on the day, US LL Index also flat dod.  AAA trade 112dm-134dm with a short dated trade CIFC 2013-2A A1L2 covers MH99h at 112dm / 2.6y WAL (EoRP 2022), whilst our AAA index in the middle of this range 125dm, so some early signs of stabilisation at least today. 

Mezz/Equity CLO

USD CLO Mezz/Equity

At the AA level there are 9 trades in a 164dm-196dm range, with our AA index again in the middle of this range 181dm, with tiering driven keenly by wal and MVOC given metrics are relatively clean on the bonds on lists today.  WINDR 2021-1X B1 experiences weak execution in terms of cash px CVR 97.75 at 181dm / 7.2y WAL given the low coupon +145bps but with clean metrics this trade is in line with our index.  At single-A there are 16 trades in a 198dm-295dm range with our single-A index 220dm.  There are more variables in terms of tiering with low coupon bonds (<200bps) notoriously weakest in terms of cash px with shorter wal bonds with low coupons (ie. post reinvestment) trading closer to par.  For reinvesting bonds with clean metrics and coupons > 200bps the trading range is 215dm-248dm which is wrapped around our index level.  At BBB there are 5 trades which are all post reinvestment and in a 328dm-351dm range with our BBB index 332dm.

AAA CLO

USD CLO AAA

22 trades today with >$77m of liquidity across the stack, US LL Index +2bp dod with a number of short dated bonds offered.  AAA continue to trade at a discount and dm's softened a touch on reinvesting bonds as our AAA BSL index moves to 126dm.  There is one rare reinvesting MM CLO GOCAP 2014-21X AR covers at 99.35 at 173dm / 2.6y WAL (EoRP 2023), this is the first AAA MM CLO trade of the year with dm's around year end in the L160s to put into context the softening since.

Mezz/Equity CLO

USD CLO Mezz/Equity

At the AA level there are four trades in a 184dm-196dm range, with our AA index at the tight end of this 181dm, so a continued softening feel given all the trades are reinvesting and at the short end of that (EoRP within 2y).  MVOC drives tiering with ALLEG 2017-2X B from AXA IM CVR at the wide end 98.31 at 196dm / 4y WAL (MVOC 126.8 vs benchmark 128-130) with other metrics largely in line.  At BBB there are 4 trades in a 246dm-502dm range with all but one bond post reinvestment . static CLO from day one, eg. PSTAT 2020-1A C CVR 100.13 at 246dm / 3.3y WAL.  The one reinvesting bond is AWPT 2017-8A D which covers at 95.1 at 396dm / 5.2y WAL - MVOC is very low 109.9, Sub80 bucket is high at 3% and the bond carries a low coupon +287bps whilst the manager ArrowMark's record is back from benchmark levels.  At the BB level there are a number of trades at the short end in a 569dm-700dm range with our BB index 713dm, the one reinvesting bond to trade is BLUEM 2018-22A E CVR 91.37 at 685dm / 6.2y WAL (EoRP 2023) which has average metrics across the board whilst the manager (Assured) record is a touch back from benchmark levels with a low coupon +505bps driving the dm level inside our index.

AAA CLO

USD CLO AAA

With month end today and the inherent volatility in markets there is no surprise that there is little liquidity, one trade today at AAA.  US LL Index +9bp dod but -8bp on Fri 18th Feb close.  OCP 2020-8RA A1 from Onex which is a benchmark manager covers at 99.61 at 134dm / 3.5y WAL (EoRP 2024 / +122 coupon) which is a relatively clean bond with good credit metrics (ADR 0.4 / Sub80 bucket 1.5 / WARF 2786), strong MVOC 156.5 and strong Jnr OC cushion 4.3.  Our AAA index shifts wider to 125dm. 

AAA CLO

EUR AAA CLO

Secondary market is still paused. Just 2 x AAA trades today. They have taken place at an average spread over floored Libor of 110bps. Not as wide as the 120bps that many believe the AAA market is really at. But of course this is just two trades.

AAA CLO

USD CLO AAA

20 trades today, virtually all AAA, US LL Index -51bp dod with the softer tone given the ripple effect of the Russian invasion of Ukraine on world markets into credit.  AAA bonds trade in a wide dispersion 123dm-213dm with the tail 149dm-213dm (123dm-144dm for reinvesting bonds) post-reinvestment / original static CLO bonds and perhaps weaker given their inability to reinvest / trade the underlying credits into cheaper bonds or out of credit impaired sectors/names.  Our AAA index widens to 116dm.

Mezz/Equity CLO

USD CLO Mezz/Equity

1 x BB trade today, PSTAT 2019-1A D which is a static CLO (2019 vintage) and has a +580bps coupon but short wal with CVR at par ceiling 578dm / 2.7y WAL – metrics are strong MVOC 115.3, ADR low 0.3, Sub80 low 1.7 and Jnr OC cushion high 13.7.  At this level the credit and MV metrics are more relevant and despite the inability to trade the underlying the execution level is good.

AAA CLO

EUR AAA CLO

Today has been an important day’s trading on EUR CLO bwics. Even though there have only been a handful of trades they have all taken place at decisively wider levels indicating there are a few holders willing to sell at these levels and also how far back the best bid is. The 2 x AAA trades are both MH98h which is a spread of around 120bps over floored Libor. It’s only 2 trades but these levels are around another 8bps wider on the day.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are 3 x BB trades. These are up to 3-4pts lower than our previous calibration and 60-70bps wider. The range of spreads over floored Libor is from 643bps to 782bps with an average of 734bps.

The sole single B trade, Aurium 3, took place at 85 / 1033bps over floored Libor.

AAA CLO

USD CLO AAA

32 trades today with $96m of liquidity, US LL Index is flat day on day whilst spreads showed a slightly weaker tone at mid-mezz levels.  1 x AAA trade today NEUB 2015-20A ARR which covers at 99.5 at 125dm / 6.1y WAL (EoRP 2026) and with a coupon +116 it does not execute at par ceiling given the softer tone. 

Mezz/Equity CLO

USD CLO Mezz/Equity

At single-A there are 9 trades in a 214dm-312dm range, our single-A index shifts wider to 213dm given execution levels are softer from clean bonds at this rating level for bonds within reinvestment phase.  At the weaker end of execution is MPCF 2021-1A B CVR 97.5 at 312dm / 8.3y WAL (EoRP 2026) but despite clean metrics the longer wal and the inexperience of the manager pull this bond wider in terms of cash px.  At BBB there is good liquidity with 15 trades in a 266dm–479dm range, our BBB index is 325dm which is relatively unchanged given the days trades are dominated by bonds post reinvestment, bonds within reinvestment with coupons in VH200s/300area trend towards L300s dm range with clean metrics (MVOC > 112).  At BB there are 6 trades in a 634dm-768dm range, our BB index is 694dm so there is a cluster around this, at the weaker end of execution is APID 2013-12A ER CVR 89.65 at 768dm / 6y WAL (EoRP 2023), there is a low coupon +540 and cuspy MVOC 103.7 and Jnr OC cushion 2% does account for the execution level.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

There are only a few mezz trades today but they all show the continuing weaker tone of the market. The two BBBs have traded at very different spreads because of their different margins (326dm and 403dm) but this is another 5 -10 bps wider on the day.

The two BBs have traded at 598dm and 699dm which is at least 10bps softer. The tighter of the two trades is Newhaven 2, again because of its low margin, but this BB has weak credit quality with a low MVOC of 107.12%.

AAA CLO

USD CLO AAA

With the holiday weekend behind us now we start to see a trickle of liquidity, 12 trades today across the stack, $65m of trading whilst US LL Index -7bp dod.  AAA trades continue to trade below par with bonds with coupons < 100bps and post reinvestment included in this cohort.  We maintain our AAA index at 112dm. 

Mezz/Equity CLO

USD CLO Mezz/Equity

At single-A there are 3 trades in a 184dm-206dm range, these bonds are post reinvestment and trend very close to par trading at a slight discount.  Our single-A index is 208dm which is more reflective of bonds within reinvestment and hence wider than the trades seen today, BSMC 2013-1A CR has a coupon of +180bps / EoRP 2020 and covers at 99.90 at 184dm / 2.7y WAL – ADR is high 2%, Sub80 2.7% but cushions are strong Jnr OC cushion 5.3% with MVOC 155.6 noting that the bond has been upgraded to Aa3.  At BBB there is one trade which is post reinvestment TRMPK 2015-1A DRR with a coupon +265bps and cover price 99.93 at 267dm / 3.5y WAL – metrics are strong all round hence the execution price near par despite the ‘lower coupon’ given the short wal.  Our BBB index is 326dm.  3 x BB trades in a 781dm-901dm range, these bonds have weaker credit (ADR 1.1%-2%, Sub80 1.7-5.4)and MV metrics (MVOC 104-106) with coupon structures 680dm-720dm from weaker managers (See PriceABS trade history).  At the wide end is VENTR 2016-25A E which is post reinvestment (EoRP 2021), coupon +720bps, ADR 1.5, Sub80 very high 5.4 and Jnr OC cushion 1.8 with a low MVOC 104.3 and CVR 93.89 at 901dm / 4.2y WAL.  Our BB index is 694dm which does highlight the impact weaker credits have at this point.

AAA CLO

EUR AAA CLO

Just a few trades to look at today. The three AAAs have all traded around 116dm, which is unchanged on recent levels. Cairn 7 is amortising and traded at M99h which seemed quite cheap to us given it has only 1.5yrs WAL left to mat.

Mezz/Equity CLO

EUR MEZZ/EQUITY CLO

Both AAs have traded LM97h which is around 260dm for both of them. These are the first single As we have seen trade on a bwic for a while and while a catch up in the widening that took place last week is definitely part of the picture it is hard to tell if there has been recent further widening.

The 2 x BBBs have traded around 380dm which we definitely think is another 10-15bps of further widening in the last day or two.