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.

USD CLO AAA

$200m of liquidity today, with the positive after effect of the rate hike CLO spreads firmed up across the stack, although US LL Index -5bp dod.  AAA trade 168dm-186dm with our AAA Index tightening to 178dm (-2dm), trading activity today is concentrated towards the shorter end with the majority of trades inside the index given the shorter wal (EoRP 2023 predominantly) with a trading range of 168dm-174dm for 2-3y wal. 

USD CLO Mezz/Equity

AA trade 271dm-322dm wide of our AA Index 252dm, skewed by a post reinvestment bond and a recent vintage WINDR 2022-2A B1 with a high coupon +290bps, so neither representative of archetype AA.  Single-A trad 295dm-298dm with our single-A Index tightening to 310dm, both bonds today are clean bonds from a benchmark manager CIFC (MVOC 113.5 area, near zero ADR, Jnr OC cushion 5.5 rea and coupons >200bps) and hence trade inside the index given their relative risk adjusted return / profiles.  BBB trade 418dm-498dm with our BBB Index tightening to 460dm (-36dm), one outlier bond BLUEM 2014-2A DR2 CVR 87.05 at 609dm / 5.6y WAL trades wide of the index given high ADR 1.6, high Sub80 bucket 4.3, low Jnr OC cushion 1.75 and a cuspy MVOC 101.8 from Assured.  1 x BB trade is MAGNE 2020-25A E CVR 93.03 at 788dm / 6.3y WAL (BB Index 811dm), Blackrock bonds tend to trade tight to the index and this is no exception with clean metrics and a strong bond profile (coupon +635bps, short wal EoRP 2024) with MVOC 102.35.

USD CLO Mezz/Equity

$18m of liquidity today across 12 mezz trades, spreads stable and US LL Index -17bp dod.  Single-A trade 317dm-357dm wrapped around our 329dm index with LCM 21A CR well inside this index at 276dm given post reinvestment / high MVOC profile.  BBB trade 425dm-536dm with our BBB Index 496dm with best execution reserved for a benchmark name Blackrock MAGNE 2021-30A D CVR 91.69 at 425dm / 8.6y WAL – high MVOC 105.9 and very clean credit metrics/cushions.  BB trade 785dm-1043dm with our BB Index 864dm, a Blackrock bond trading well inside our index at 785dm and 2 outlier bonds that trade north of 1000dm - OZLM 2019-23A ER (Sculptor) covers 94..9 at 1024dm / 8.6y WAL – MVOC shortfall 99.56 MVOC and a high Sub80 bucket 5.4% driving the execution.

EUR AAA CLO

A handful of amortising, short AAAs have traded today at 239dm with an average price of 97.37. Their WAL is around 1.7yrs and they exited their RPE around 6 months ago.

USD CLO AAA

$176m of liquidity across IG debt and 1 x Equity, spreads stable whilst US LL Index -9bp dod.  AAA trade in a wide dispersion 166dm-292dm across 31 trades, but reinvesting bonds trade 166dm-202dm with our AAA Index in the middle of this range at 180dm.  Best execution is PLMRS 2018-1A A1 CVR 98.44 at 166dm / 2.7y WAL – EoRP April 2023, +103bps coupon, strong Jnr OC cushion 5.3, MVOC 146.8 and clean credit metrics. 

USD CLO Mezz/Equity

Single-A trade 296dm-317dm with our single-A Index 339dm, both bonds are from benchmark managers (Oak Hill and Blackrock) with clean metrics and exceptional manager performance records which drive execution inside our index despite the longer wal (EoRP 2026) on both bonds which have the same coupons +190bps.  BBB trade 505dm-555dm which are wide to our BBB Index 496dm given weaker manager profiles (Sound Point, Trimaran) but also scaled by the higher coupons (+345-365bps).  1 x rare MM CLO BBB from Fortress FCO 2017-9A DR trades 580dm / 7.8y WAL.

USD CLO AAA

$71m of liquidity today across almost 30 trades, with CLO spreads stable with a firm tone whilst US LL Index +15bp dod.  AAA trade 170dm-206dm with our AAA Index 183dm, best execution is reserved for a benchmark name CIFC 2018-2A A1 CVR 98.35 at 170dm / 2.7y WAL with clean metrics all round and a short wal this trades well inside our index.  Closest trade to our Index is GNRT 4A A1R CVR 98.2 at 181dm / 2.7y WAL – ADR 0.4, Jnr OC cushion 5.7, coupon +109bps and MVOC 148.9.

USD CLO Mezz/Equity

AA trade 252dm-265dm close to our AA Index 255dm, one key outlier trade is a post reinvestment bond TCP 2016-1A A2 CVR 99.21 at 494dm / 0.4y WAL – EoRP 2020 and is a MM CLO hence the wider dm and a very short wal.  Single-A trade 328dm-351dm wrapped around our single-A Index 342dm.  BBB trade 429dm-545dm with our BBB Index 497dm, a number of Blackrock trades today which are inside our index given the manager’s clean and conservative record which their bonds trading in 430dm context for short wal bonds (up to 1y reinvestment).  1 x single-B trade, another clean Blackrock bond MAGNE 2020-26A ER CVR 89.09 at 787dm / 8.9y WAL well inside our BB Index 872dm (MVOC on this bond is 101.25, Sub80 bucket is low 1.45 and ADR is 0).

EUR AAA CLO

We have seen some tightening of AAA spreads today with average traded levels of 237dm. Perhaps the issuance of Clonmore Park at 170dm has spurred the secondary market to tighten.

USD CLO Mezz/Equity

Limited liquidity today with $15m across 5 trades, spreads at the single-A level a touch firmer whilst US LL Index is +32bp dod.  Single-A trade 315dm-355dm with our single-A Index 345dm, best execution is NEUB 2017-16SA CR (EoRP 2026) cover 92.64 at 315dm / 7.3y WAL – benchmark manager, +190bps coupon, ADR is high 1.4 and MVOC is at the low/mid end at 110.6 but Jnr OC cushion 5.2 is strong so the strength of the manager supports the execution here.  There is an outlier trade OZLM 2018-22A B (EoRP 2023) CVR 91.4 at 428dm / 4y WAL – weaker manager profile (Sculptor), ADR is high 1.3, Sub80 is high 5.4, MVOC is 110.6 (comparable to the Neuberger bond), but Jnr OC cushion is low 1.9.  There are 2 x BBB trades wide of our 501dm Index level, range is 551dm-661dm and this drift is due to a combination of weaker bond profiles and high margin scaling to dm.

USD CLO Mezz/Equity

$45m of liquidity across 22 mezz trades, US LL Index continues to rebound and is +34bp dod.  AA trade 265dm-312dm with our AA Index 270dm with trades wide of the index driven by longer wal / reinvestment period remaining.  At single-A the trading range is 330dm-368dm wrapped around our single-A Index 350dm, the outlier trade is DRSLF 2018-55A C CVR 91.8 at 414dm / 4.3y WAL – very high ADR 1.9, MVOC <110 at 109.8 and a low Jnr OC cushion 2.7 all despite the shorter wal (EoRP 2023).  BBB trade in a very wide dispersion 453dm-790dm with our BBB Index 501dm, bonds wide of the index are driven primarily by MVOC which are <104 with bonds around/tight to the index with MVOCs in the 105 area.  At the wide end is Marble Point’s MP11 2017-2A D CVR 81.2 at 790dm / 4.8y WAL with a short reinvestment period remaining (Jan-23) but cuspy MVOC 100.6, downgraded to BB and an elevated ADR 1.1.  BB trade 863dm-1175dm with our BB Index 885dm, 2 bonds well wide of the index (1119-1175dm) have a MVOC shortfall (circa 2pts) and as such trade well wide of the index, at the wide end is OCP 2014-5A DR CVR 77.35 at 1175dm / 5.6y WAL – ADR 1.4 but MVOC 97.7 and a lower coupon +570bps so risk adjusted return is weak.

USD CLO Mezz/Equity

With the SF Vegas Conference there are only 3 x BBB trades today with a dm range 485dm-531dm with our BBB Index 513dm, US LL Index +55bp dod.  Best execution is BCC 2022-2A D1 CVR 91.9 at 492dm / 8.9y WAL – EoRP 2027 (NC 2024 / margin +365bps) and with clean 3.0 metrics from a benchmark manager Bain Cap.

EUR AAA CLO

There are a bunch of AAA trades today at an average spread of 265dm. This is where AAA secondary spreads have been hanging out for about a week now.

EUR AAA CLO

Just 4 x AAA trades today in Las Vegas conference week. The average traded spread is 261dm. Noteworthy is the OHECP 2015-3X A1R trade at 279dm which looks cheap given it has substantially delevered, has a 184% MVOC and only a 1.1yr WAL.

USD CLO AAA

Larger ticket sizes today, 32 trades and $180m of liquidity.  CLO spreads overall stable and US LL Index +1bp dod.  AAA trade 180dm-248dm with a large handful of trades >200dm with the demographics of these weaker from a credit point of view and weaker OC cushions.  Our AAA Index is 182dm which is representative of benchmark levels with clean metrics, whilst Manager profiles continue to influence the direction of AAA bonds.

USD CLO Mezz/Equity

AA trade 281dm-382dm well wide of our AA Index 268dm, the bonds that trade today have elevated ADRs and lower Jnr OC cushions at the wide end of the dm range with these beginning to normalise as you get closer to our index level.  Single-A trade 326dm-425dm with our single-A Index 345dm, there are two bonds north of 400dm which are essentially driven by either higher margin scaling (no credit/MV issues) or weaker MV metrics/cushion.   Benchmark bonds trade 326dm-383dm which is wrapped around our index level.  2 x BBB trade 745dm-760dm (BBB Index 524dm) with weak profiles – both downgraded to current BB, MVOC <106 with the weaker bond in terms of cash px OZLM 2017-16X C CVR 85.19 at 745dm / 4.9y WAL where ADR is high 1.4, Sub80 high 5.4, post reinvestment and Jnr OC cushion low at 2.2.  1 x BB trade SNDPT 2015-1RA R2D2 cover 83.5 at 980dm / 4.8y WAL wide to our BB Index 877dm given the elevated ADR 1.4, high Sub80 5.5, cuspy MVOC 100.5, cuspy Jnr OC cushion 0.8 and the bond is post reinvestment so cannot be proactively cured.

EUR AAA CLO

There are 3 x AAA trades today. PSTET 2021-2X A, a static deal by Palmer Square Capital, traded particularly wide at 95.77 / 311dm. The other two more regular managed deals traded around 270dm which is still wider again than the 250a we had been seeing in secondary.

USD CLO AAA

$75m of supply today across high grade, US LL Index +10bp dod with CLO spreads stable.  AAA trade 176dm-207dm with our AAA Index 181dm, with the wide end of this range CIFC 2017-3X A1 207dm / 2.1y WAL driven keenly by the lower MVOC 140 and scaled to a lesser extent by the higher coupon +122bps. 

USD CLO Mezz/Equity

AA trade 308dm-315dm which are far higher than our AA Index 266dm, OZLMF 2013-4A A2R CVR 95.61 at 308dm / 3.6y WAL has some credit (ADR 1.1, Jnr OC cushion 0.7) and MV weakness (121.3) whilst CIFC 2013-1X A2R CVR 95.84 at 315dm / 3.3y WAL also has an elevated ADR 1%, high Sub80 3.7 and similar MVOC 121.9 but has a stronger Jnr OC cushion (but in general AAs aren’t too sensitive to Jnr OC cushions) whilst both bonds are close to their end of reinvestment periods so won’t have the benefit to managing out of this inflationary environment.  Single-A trade 354dm-384dm with our single-A Index 358dm, both bonds that trade wide to the index are scaled by their high coupons (+250bps) and not credit or NAV metrics with other single-A carrying coupons in the late 100s context.

USD CLO AAA

$120m of trading today across the stack, spreads remain choppy within certain lower rating categories as NAVs are stretched, US LL Index +13bp dod.  AAA trade in a wide dispersion 161dm-203dm wrapped around our AAA Index 182dm.

USD CLO Mezz/Equity

Significant AA supply today with $52m of liquidity across 19 trades with a dm range 257dm-379dm with our AA Index 266dm, at the wider end manager profiles are scaling the dm wider with the exception of OAKCL 2018-1A A2 which covers at the lowest price 92.78 at 379dm / 4.3y WAL – high ADR 1.5, high Sub80 4.6, low MVOC 119.3 and cuspy Jnr OC cushion 1.8.  Single-A trade 354dm-416dm with our single-A Index 352dm, trades are around the index with one outlier ARES 2018-28RA C CVR 91.85 at 416dm / 4.8y WAL – elevated ADR 1.2, high Sub80 4%, low MVOC 110.1 and Jnr OC cushion 0.8.  At BBB the trading dispersion is 467dm-556dm with our BBB Index 524dm.  At the BB level the dispersion is extremely wide with NAVs stretching MVOCs below 100m trading levels are 875dm-1581dm with our BB Index 877dm, trades with an MVOC with at least a 2pt cushion to par trade near our index with those trades around/below par well wide to the index with a cliff effect on dm, at the wide end is OFSBS 2017-1X E CVR 72.61 at 1581dm / 4.3y WAL – Sub80 bucket is high at 5.8 which correlates to a low MVOC 98.1 and low Jnr OC cushion 1.7 with this bond already downgraded to single-B.

EUR AAA CLO

Just the one AAA trade today. CORDA 10X A1 traded at 96.88 / 248dm which is wider than expected given that it has exited its RPE period and is only 1.85 yrs mat.

USD CLO Mezz/Equity

$44m of supply today, predominantly low mezz, US LL Index +21bp dod.  1 x AA trade GRIPP 2017-1A B CVR 96.58 at 298dm / 2.8y WAL – post reinvestment bond which trades wide to our AA Index 263dm.  BBB trade 519dm-642dm with NAVs drifting the execution levels reflect with our BBB Index 546dm, the majority of bonds trade today wide of this given their high coupons (>300bps), eg. MP8 2015-2A DRR CVR 84.75 at 618dm / 8.2y WAL (EoRP 2026) – MVOC 106.8, coupon +350bps and Sub80 elevated 3.3 with other metrics clean.  BB trade in a very wide dispersion given the mix of bonds have extremely cuspy MVOCs 916dm-1418dm, with a MM CLO MCMML 2019-2A E CVR 78.55 at 1466dm / 5.9y WAL with an MVOC 107.8 representing a significant premium on BSL BBs (our BB Index 879dm).  Best execution is AIMCO 2015-AA ER2 CVR 86.03 at 916dm / 9.2y WAL (EoRP 2026) – MVOC 100.3, coupon +660bps and metrics clean.

EUR AAA CLO

For the first trading session in a long time AAA spreads have tightened. Today’s AAA trades are around 242dm (was 254dm yesterday). In spite of today’s rally we can see how much the market has moved recently because HNLY 1X AR traded today at 93.80 / 238dm but also last traded on 23rd June at 95.20. In the new issue market revised price talk has been released for Jubilee XXVI. The AAA tranche is talked at L200s now (from 160a only recently) which is now a lot more realistic (see SCI CLO Markets for all the details).

EUR AAA CLO

There are 2 x AAA trades today, at around 254dm. It looks like the 250a spread levels of yesterday was not a one-off. If anything these levels are wider than they appear versus yesterday because both bonds are very short (JUBIL 2017-18X A is one year past its RPE date).

USD CLO AAA

A heavy day of liquidity with around $250m exchanging hands predominantly IG, US LL Index bounces +24bp dod with some positive signals in the broader market.  More than half of today’s liquidity is from AAA which trades 174dm-209dm with our AAA Index 178dm, a number of trades with dm’s north of 200dm are down to high margin scaling as opposed to credit.  Best execution is a trade near our index level NEUB 2021-40A A CVR 97.64 at 180dm / 3.5y WAL (EoRP 2024) – clean metrics, strong MVOC 151.2, +106bps margin and a benchmark name Neuberger.

USD CLO Mezz/Equity

AA trade 256dm-278dm with our AA Index 271dm, there is an outlier trade OZLMF 2013-4A A2R (Sculptor) CVR 95.05 at 325dm / 3.6y WAL – this bond is nearing the end of it’s reinvestment period (Oct-22), has an elevated ADR 1.1 but most pertinently the Jnr OC cushion is cuspy 0.67 so this does impact upon execution.  Single-A trade 353dm-380dm which are wide to our single-A Index 344dm, ADR’s on both trades are elevated at 1%, Sub80 bucket high at 3%+. MVOCs are at the lower end and Jnr OC cushions at 2-3% so in the lower/mid percentile.  BBB trade in a very wide dispersion 465dm-838dm with our BBB Index 472dm, with NAVs volatile the impact that lower MVOCs has on execution is pronounced with trades wide to our index accounted for by higher coupon bonds for the main part scaled further by MVOCs which are 104 or lower versus trades around the index with healthier MVOCs in 106-108 area.  BB trade 843dm-877dm wrapped around our BB Index 867dm, there is one outlier trade GALXY 2017-24A E CVR 80.5 at 1070dm / 5.4y WAL (Pinebridge) EoRP 2023, the MVOC is cuspy 100.5 and a low coupon +550bps so this does impact upon execution given the risk adjusted return is lower than competing bonds.

EUR AAA CLO

There are only 2 x AAA trades today but they both evidence that AAA spreads have gapped out again. The average cover spread is an eye-watering 249dm. This is around 30bps wider than the previous levels seen.

USD CLO AAA

$180m of much needed liquidity after the holiday weekend, spreads have a firmer feel whilst US LL Index -7bp dod.  AAA trade 169dm-204dm with our AAA Index 178dm, best execution is CRBN 2017-1A A1 CVR 98.35 at 184dm / 2.5y WAL (Invesco) – coupon +114bps, clean metrics and short wal whilst longer wal bonds in same dm context trade 2pts lower with stronger MVOC metrics (+6-12pts) and similar coupons. 

USD CLO Mezz/Equity

2 x Single-As trade 320dm-364dm wrapped around our single-A Index 336dm with a shorter wal (-3y) bond only 0.7pts more expensive with similar profile credit/MV metrics and coupon structure.  BB trade in a very wide dispersion given the volatility in NAVs meaning many bonds have cuspy MVOCs dm range is 841dm-1138dm with our BB Index towards the lower end of this range at 869dm.  There is tiering with bonds with MVOC >102 trading around the BB Index level with the remainder with MVOC 100-102 trading north of 1000dm.  At the wider end is KKR 14 ER CVR 80.00 at 1138dm / 5.6y WAL with MVOC 100.3 and otherwise reasonable credit metrics and strong JNr OC cushion 4.7.

EUR AAA CLO

There are 3 x AAA trades today. CORDA 5X ARR is the only one from an amortising deal and this traded at 209dm. The other two trades, which have not reached their RPE date yet, traded around 228dm.

EUR AAA CLO

Just one AAA trade today. SNDPE 7X A traded at a new wide of 220dm / 93h. This is fairly recently issued, has a 2027 RPE and a 6yr WAL. The last few days we have been around +210 for AAA.

USD CLO AAA

Muted liquidity today given the holiday weekend looming and month end with %16m exchanging hands, spreads stable but US LL Index drops 37bp dod.  3 x AAA trade 182dm-188dm which is more or less centred around our AAA Index 182dm.

USD CLO Mezz/Equity

BB trade 868dm-887dm with our BB Index 867dm, there is one outlier trade ARES 2018-49A ECVR 83.15 at 983dm / 5.9y WAL - low coupon +570bps, lower Jnr OC cushion percentile 2.9, elevated Sub80 bucket 4% but the MVOC is the key driver here on execution level given it is close to 100 at 100.62.

USD CLO AAA

$87m of liquidity across senior and mezz with some softening in senior mezz as US LL Index -13bp dod.  AAA trade 176dm-207dm with our AAA Index 181dm.  There are two x shorter dated MM CLO AAAs that trade 253dm-256dm.

USD CLO Mezz/Equity

AA trade 264dm-324dm with the AA Index 265dm with some softening feel, best execution is AGL 2019-2A B CVR 95.55 at 296dm / 4.9y WAL – EoRP 2024, high coupon +190bps and clean metrics.  At single-A the trading range is 326dm-381dm centred around our single-A Index 352dm.  At BBB there are two outlier trades in the 80s cash px area with high dm’s (551/825dm) driven by credit factors / high coupon mainly with a little softer feel on the one trade that is near the index BALLY 2019-2A CR CVR 93.2 at 469dm / 5.5y WAL (EoRP Nov-22) with a coupon +315bps, strong MVOC 108 and clean metrics wide to the BBB Index 432dm.  At BB the trading dispersion is extremely wide given the impact of NAVs on MVOCs grinding towards 100.  The trading range is 799dm-1840dm with our BB Index 866dm.  At the wide end is SNDPT 2015-1RA E CVR 65 at 1840dm / 4.9y WAL – post reinv, ADR 1.4, Sub80 5.4, Jnr OC cushion cuspy 0.8 and MVOC <100 at 97.42 from Sound Point.  Best execution for a reinvesting BB is HARB 2018-1A E CVR 88.63 at 812dm / 6.4y WAL – EoRP 2024, +560bps coupon, credit metrics and cushions healthy and MVOC 103.9 which is towards the higher end.

EUR AAA CLO

There are 6 x AAA trades today. Their average traded spread is 209dm. Secondary AAA spreads have been consistently greater than +200 for about a week now.