USD CLO AAA

Plenty of liquidity today with $124m trading, US LSTA 100 +2bp dod whilst spreads stable aside from a little softening at single-A.  2 x MM CLO AAA trade today 224dm-232dm (Monroe and Golub) which are in line with recent activity.

USD CLO Mezz/Equity

AA trade 241dm-315dm with the AA Index 246dm, credit / high coupon scale the wide end with benchmark names 241dm-276dm with MVOC influencing small tiering within this benchmark range.  Single-A trade 331dm-357dm for benchmark names which does push our single-A Index wider to 325dm.  There are a number of outliers that trade 358dm-537dm driven by lower MVOC and high ADR / low Jnr OC cushions, at the wide end is MCLO 2015-8A BR CVR 89.69 at 537dm / 4.4y WAL (EoRP 2023) – ADR 2.6, Sub80 bucket 7.6, MVOC 111.7 (versus benchmark in mid-115 area) and a cuspy Jnr OC cushion 1.1.  BBB benchmarks trade 429dm-487dm with our BBB Index in the middle of this range 450dm, a number of outlier trade 492dm-813dm with ADR, high coupon, low MVOC etc influencing factors.  Benchmark BB bonds trade 809dm-857dm with our BB Index in the middle of this range 837dm, non benchmarks trade 858dm-1092dm populated by high coupon bonds particularly along with bonds with some MVOC drift towards par.

USD CLO AAA

$35m of liquidity today, mainly mezz with spreads stable/slightly softer theme, US LSTA -8bp dod.  1 x AAA trade KKR 39A A CVR 96.95 at 181dm / 5.8y WAL wide of our AAA Index 166dm given the lower MVOC 148.1.

USD CLO Mezz/Equity

AA trade 243dm-304dm with the AA Index 246dm, the wider end 292dm-304dm are driven by weaker names with Jnr OC cushions <1.5 with benchmark names trading 243dm-260dm which is close to / slightly wide of our index.  Single-A benchmark names trade 320dm-358dm with our single-A Index 319dm so a softer theme here.  At the wider end is an outlier bond with a high coupon FEIM 2019-1A B CVR 96.26 at 404dm / 5.9y WAL – coupon +325bps with strong performance.  BBB trade 462dm-480dm wide of our BBB Index 450dm, MVOC on these trades are at the lower end 106.5-107.4 versus benchmark 108 so these are reflected in the execution price especially given key credit metrics are clean.  BB trade 899dm-1037dm with our BB Index far lower 837dm, MVOC distribution on trades today is 101.7-102.2 with benchmarks closer to 103 area, at the wide end is TSYMP 2017-1A E CVR 86.78 at 1037dm / 4.7y WAL – MVOC is cuspy at 101.7 and post reinvestment so the portfolio is static and hence reflected in the weaker execution.

USD CLO AAA

$84m of liquidity today across the stack, spreads a touch softer on mezz whilst US LSTA 100 -17bp dod.  AAA trade 164dm-189dm with our AAA Index 165dm, at the wide end of this range is a credit impacted bond GWOLF 2018-2A A1 CVR 98.05 at 189dm / 3y WAL – ADR 1.6, WARF 3010 whilst Greywolf has a weaker manager record versus peers.

USD CLO Mezz/Equity

AA trade 219dm-275dm with our AA Index around the middle of this range at 246dm, so little tiering today to note.  Single-A trade 313dm-405dm with our single-A Index wider at 310dm (from 305dm), trading activity scaled by some higher coupon bonds (>200bps) with trading trending wider into low-mid 300s context for benchmark names it feels.  BBB trade 426dm-559dm with our BBB Index 449dm, there are two outlier trades which would have otherwise made today’s trading range 426dm-498dm.  The outlier trades are high coupon bonds (>340bps) and both have a slightly weaker MVOC (106-107) to the mean (108) so there is some scaling effect there driven mainly by the margin structure.  BB trade 760dm-1013dm with our BB Index 835dm, at the wide end is ANCHC 2014-4RA E CVR 85.44 at 1013dm / 4.2y WAL – ADR is high 1.1, Sub80 bucket is high 4.4, MVOC is slightly lower (102.7) than the mean 103 whilst the Jnr OC cushion is cuspy 1.9 and WARF is high 3137.

EUR AAA CLO

BWIC trading volumes picked up today and from AAA to BBB spreads have generally firmed slightly. BECLO 4X A traded at 167dm because it is amortising. CRNCL 2021-14X A traded at 193dm.

USD CLO Mezz/Equity

$22m of liquidity today, all mezz with spreads stable.  US LSTA 100 +22bp dod.  1 x AA trade REG14 2018-3A B CVR 97.26 at 260dm / 4.2y WAL which is wide to our AA Index 245dm – coupon is at the higher end +185bps which scales the dm and Jnr OC cushion is a little low 2.4.  1 x single-A trade AIMCO 2018-AA C CVR 94.67 at 323dm / 4.2y WAL wide of our single-A Index 305dm – Allstate is an inexperienced manager with 5 deals under management albeit good performance whilst performance metrics are fairly middle ground with a lower coupon +175bps.  BBB trade 459dm-552dm with our BBB Index 440dm, a number of high coupon bonds distort the dm’s today (>345bps coupon structures), RRAM 2018-4A C with a more ‘normal’ coupon +295bps covers at 91.88 at 483dm / 5.4y WAL – ADR is high 1.5 and MVOC at the lower end 106.3.  3 x BB trades 820dm-1053dm with our BB Index 832dm, the wider end of the range driven by 2 bonds that have cuspy MVOC (<102), coupons <575bps and elevated ADRs 0.9-1.4 territory and Jnr OC cushions <3.7.

EUR AAA CLO

Just one AAA trade today. BAST 2020-3X A traded at 97.58 / 188dm, which is an unchanged AAA level.

USD CLO Mezz/Equity

Just the one trade today at the end of the week, US LSTA 100 +16bp dod.  HLM 13A-18 C (EoRP 2023) covers 93.66 at 377dm / 4.7y WAL which is wide to our single-A Index 341dm - ADR is elevated 1%, HPS has a slightly weaker manager profile, MVOC is at the lower end of the scale for single-A and Jnr OC cushion is cuspy 1.56 whilst the coupon structure is relatively strong +215bps.

USD CLO AAA

$220m of liquidity today across the stack, US LSTA 100 +6bp dod.  There are a number of short wal trades today (post reinvestment bonds) which don’t impact our index but trades within reinvestment trade 164dm-201dm with our AAA Index 165dm.  The wide end of today’s trades are credit impaired (ADR 1%+ / Jnr OC cushions <2% / Sub80 bucket as high as 6.6%).

USD CLO Mezz/Equity

2 x AA trades are post reinvestment and trade in a 244dm-287dm range (both bonds MJX AM), our AA Index is 245dm.  Single-A trade 323dm-376dm with our Single-A Index 330dm.  BBB trade 413dm-505dm with our BBB Index 438dm.  At the wide end of today’s range is ANCHC 2018-10A D CVR 91.8 at 505dm / 5.4y WAL – ADR is 1%, Jnr OC cushion is at the lower end 2.7, MVOC is low/mid 108.7 and the manager Anchorage has a weaker track record versus peers.  BB trade in a very wide dispersion 803dm-1321dm with our BB Index 833dm, the trades are dominated by a number of weaker credits with MVOC’s close to 100 and Jnr OC Cushions pulling towards 2% particularly with the wider end dominated by those post reinvestment where the manager does not have the ability to proactively manage MV metrics.  Nonetheless our index is stable dod with a +1dm move.

USD CLO AAA

Surplus to $200m exchanging hands today, US LSTA 100 -6bp dod and spreads moving sideways.  AAA trade 160dm-200dm with our AAA Index 166dm, furthermore ABPCI 2020-9A A1R which is a MM CLO from Alliance Bernstein  covers at 97.77 at 226dm / 2.8y WAL, an outlier BSL trade is FCBSL 2021-1A A CVR 97.91 at 200dm / 4.5y WAL – metrics are clean and coupon is in the higher percentile level at +147bps which has a little scaling effect on dm as opposed to credit/MV driven away from the index. 

USD CLO Mezz/Equity

BBB trades 405dm-467dm with our BBB Index slotting into the middle at 435dm, one outlier trade is MDPK 2013-11A DR (CSAM) but is post reinvestment and downgraded to BB with a CVR 93.5 at 512dm / 4.2y WAL, since the manager is unable to actively manage the deal there is some migration with ADR elevated 1.11, Sub80 bucket 3.7, MVOC at the lower end 107.9 and Jnr OC cushion at the lower end 2.5.  BB trade in a wide dispersion given the array of profiles 762dm-1383dm with our BB Index 832dm, at the wide end is VIBR 2017-7A D CVR 76.35 at 1383dm / 4.9y WAL – ADR is elevated 1.1, Sub80 6.3, MVOC has a shortfall 99.92 and Jnr OC cushion is 1.9 whilst the deal is shortly to exit reinvestment.

USD CLO Mezz/Equity

$37m of trading today post Labor day, all mezz.  US LSTA 100 -55bp wow with a slightly softer tone today.  Single-A trade 297dm-346dm with our single-A Index 300dm, at the wide end is a shorter dated CRBN 2017-1A B CVR 94.35 at 346dm / 3.9y WAL (EoRP 2023) with a lower MVOC 115.5, Jnr OC cushion at the lower/mid end 3.25 and a high cov-lite balance at 54.8%.  At BBB the trading range is 392dm-476dm with our BBB Index near to the middle of this range 426dm which is flat/slightly inside month end levels.  At the wide end is ABBSL 2021-2A D CVR 91.8 at 476dm / 8y WAL (AllianceBernstein) – an inexperienced manager with only 7 x CLOs issued and the WARF is elevated 3201 which is also reflected in the margin +335bps / EoRP 2026.   BB trade 769dm-951dm with our BB Index towards the tighter end of this range 833dm, the trades that are wide of the Index are dominated by weaker profile managers (Octagon and Anchorage) with ANCHC 2016-9A ER2 propping up the wide end CVR 88.05 at 951dm / 6.7y WAL – Jnr OC cushion low/mid end 3.2, elevated WARF 3148, high coupon +682bps.

USD CLO AAA

$17m of bonds change hand today, month end across the capital stack whilst US LSTA 100 Index -12bp dod.  There is a little softness going into month end.  AAA trade 165dm-173dm with our AAA Index +2dm to 165dm.

USD CLO Mezz/Equity

1 x AA BSP 2015-6BR B covers 95.65 at 256dm / 7y WAL (EoRP 2026 / Benefit St) which is wide to our AA Index 240dm – the ADR is elevated at 0.94 and manager record is good with other metrics relatively clean.  BBB trade 403dm-448dm with our BBB Index 432dm, the tight end has a Blackrock bond which notoriously trades tight to the Index whilst SYMP 2021-29A D covers 92.89 at 448dm / 7y WAL (Nuveen / EoRP 2025) with clean metrics but an inexperienced manager with good metrics.  At BB there is one trade PIPK 2021-9A E CVR 88.5 at 868dm / 9y WAL with our BB Index wider at 842dm – clean credit and MV metrics all round and a benchmark manager.

USD CLO Mezz/Equity

Just 3 trades today $4.25m notional across BBB and BB, US LSTA 100 Index -15bps wow with some weaker sentiment in the index given the Fed's recent stance.  BBB trade 433dm-507dm with our BBB Index 433dm, the outlier trade is PARL 2021-1A D (DoubleLine) CVR 90.36 at 507dm / 8.3y WAL (EoRP 2026) - an inexperienced manager scaling the dm along with the higher coupon +345bps.  1 x BB trade STRAS 2021-2A E CVR 92.42 at 794dm / 4.5y WAL, this bond is post reinvestment (shorter wal) and has a reasonable MVOC 103.43 with no material credit issues so does trade inside our index 824dm.

USD CLO AAA

Limited liquidity today with $24m exchanging hands amongst AAA and AA.  AAA 1st pay trade 157dm-161dm with our AAA Index nestled among this at 158dm.

USD CLO Mezz/Equity

2 x AA trade 243dm-248dm with our AA Index 245dm, both trades are from benchmark managers with clean credit/MV metrics and relatively short wals (4y / EoRP 2023).

EUR AAA CLO

Just 2 x AAA trades today. The average spread of 176dm is a basis point or two firmer.

USD CLO Mezz/Equity

Only $21m of liquidity today, all high grade mezz.  AA trade 231dm-244dm with our AA Index 244dm, with BCC 2020-1A B CVR 97.04 at 231dm / 5.7y WAL trading inside our index given the affirmative MVOC (127.3), benchmark manager Bain and clean credit metrics.  Single-A trade 284dm-391dm with our single-A Index 298dm, the wide end dominated by a number of bonds that are either past reinvestment end or soon to be with low Junior OC cushions, lower percentile MVOCs and high ADRs which will not have the luxury of a manager’s ability to navigate these market conditions.  Bonds firmly in reinvestment trade 284dm-336dm which is generally tighter and is wrapped around our Index level with the wide end scaled by higher dm rather than credit impacted bonds given the clean metrics.

USD CLO AAA

$130m of liquidity today across IG and SubIG.  At AAA the trading range is 155dm-200dm for BSL AAA which has a softer feel, with our AAA Index at the tight end of this range 156dm, high coupon bonds tend to dominate the wide end as opposed to credit impacted bonds.  Furthermore there are 2 x MM CLO AAAs which trade 244dm-257dm which are wider than recent context in 230dm area, so the basis between MM and BSL seems to have widened a touch.

USD CLO Mezz/Equity

BBB trade 409dm-453dm which is wrapped around our BBB Index 434dm, there is one outlier bond MIDO 2014-3A DR which is now downgraded at BB and covers 83.5 at 760m / 5y WAL – ADR is high 1.2, MVOC is depressed 102.6, Jnr OC cushion is cuspy 1.18 and MidOcean’s manager record is a touch wide to benchmark, so this bond does trade closer to BB construct.  BB trade 793dm-869dm with our BB Index 818dm, one outlier trade ICG 2014-1A DR2 CVR 87.67 at 1077dm / 9y WAL from ICG – ADR is very high 1.5, Sub80 bucket is high 5.2, MVOC is cuspy 101.1 and the dm is scaled higher further given the high coupon +835bps hence trades well wide to our index.

EUR AAA CLO

There are 4 x AAA trades today. Spreads seem a little softer, by around 10bps. The average traded spread is 179dm.

USD CLO Mezz/Equity

Only 4 trades today, all mezz. 1 x single-A trade VENTR 2013-15A CR3 covers 85.06 at 632dm / 5.2y WAL well wide to our single-A Index 312dm - ADR is >2%, MJX is a weaker manager, Jnr OC cushion is cuspy 1.6.  3 x BB trades 937dm-1077dm wide to our BB Index 808dm, given the high coupon structure of the bonds (>700bps margin) which is the key driver as opposed to credit / MV metrics, with SARAT 2013-1A ER3 at the wider end CVR 86.5 at 1077dm / 6.25y WAL - +750bps coupon and an elevated ADR 1.2 with all other metrics clean and the manager Saratoga Inv Corp is a relatively new manager so there is the new manager premium on top.

EUR AAA CLO

There are 2 AAA trades. Both have exited their RPE periods. CRNCL 2013-3X AR exited around 3 years ago, is heavily paid down and traded at 156dm. TCLO 1X AR exited its RPE 1 year ago and traded at 175dm.

EUR AAA CLO

Both AAA trades have traded at 177dm. ARESE 12X AR traded at 97.21. This bond traded at 94.57 on 19 July 2022 so it has rallied in price by over 2.5 pts in the last month.

USD CLO Mezz/Equity

$63m of predominantly mezz flow today, spreads moving sideways across mezz whilst US LL Index +13bp dod.  Single-A trade 306dm-382dm with our single-A Index 325dm which is a touch wider.  The one outlier trade is AWPT 2017-8A C CVR 93.8 at 382dm / 4y WAL, this ends reinvestment in 2.5 months and metrics are average-weak – Sub80 bucket is high 5.7%, MVOC is 113, ArrowMark has reasonable manager metrics and Jnr OC cushion is 3.4% / CCC is approaching 5%.  BBB trade 415dm-480dm with our BBB Index a touch tighter at 462dm, there are three trades with a 6-handle in dm terms, with one of them driven by a very high coupon (+428bps) but the other two are driven by MVOC <103, cuspy Jnr OC cushions, elevated ADRs at 1.5% and a weak manager record (Crescent Capital) with covers in mid-80s cash px context.

USD CLO Mezz/Equity

Just over $30m of liquidity today BBB and Equity, BBB spreads a touch softer whilst US LL Index +7bp dod.  BBB trade 484dm-682dm today with our BBB Index tighter 474dm.  Best execution is close to our index - PGIM’s DRSLF 2018-65A D CVR 92.5 at 484dm / 5.3y WAL (EoRP 2023 / Coupon +310bps profile), MVOC is healthy 107.8 and metrics are reasonable with only ADR elevated at 1.2 as the anomaly and explains the delta from the index.  The remaining 3 x BBB trades are a combination of high coupon scaling, high ADR (>1), lower Jnr OC cushion (3%) and weaker manager profiles which cause the drift from the index.

USD CLO AAA

Just one trade today, a MM CLO AAA from Golub Cap GOCAP 2018-36A A CVR 97.9 at 233dm / 2.2y WAL, which is tighter than a close comp GOCAP 2015-25A AR seen end of June in 250dm area, to pull into context the tightening theme. US LL Index is also +7bp on Friday close.