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. 

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.

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.

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. 

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.

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.

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.

EUR AAA CLO

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

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. 

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.

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.

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.

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.

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).

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.

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.

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.

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.

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.

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.

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.

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.

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.

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. 

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.

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.

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.

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. 

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.

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.

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.

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.

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. 

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.

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. 

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.

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.

USD CLO Mezz/Equity

16 trades today, all mezz with a softer feel at AA, A and BB, US LL index -19bp dod.  3 x AA trades in a 165dm-191dm range, our AA index widens to 165dm as we observe the impact that softer loan prices are having on NAVs with tiering driven by MVOC, Blackrock’s MAGNE 2016-18A BR the pick of the trades at 99.58 at our index level 165dm / 3.1y WAL but this is post reinvestment and strong MVOC 130.3.  At single-A there is $39m of liquidity with 10 trades in a 210dm-301am range and a 1.5pt cash px dispersion, our single-A index is 209dm.  The trading range is distorted by a number of high coupon bonds as opposed to for credit reasons, the impact of softer loan prices impacts trades at this level too.  2 x BBB trades, RAD 2021-15A D covers at 99.16 at 319dm / 7y WAL which is close to our BBB index 326dm, whilst APID 2019-32A D covers nearer to par at 99.5 at 359dm / 7y WAL given a higher coupon +350bps.  1 x BB trade WELF 2019-1X D CVR 94h at 797dm / 7.3y WAL (Wellfleet) which has a coupon +690bps (close to our BB index 694dm) but also a mediocre MVOC 106.5 and manager record close to benchmark.

EUR AAA CLO

There are 5 x AAA trades today. The market looks softer again with most trades taking place 2-3 bps wider than our model predicted. Barings 2014-2 and Avoca 11 are in amortisation. The average traded spread is 107dm.

USD CLO Mezz/Equity

There is only one trade today at the BBB level.  US LL Index -7bp dod.  Blackstone's GILBT 2017-1A D covers 99.49 at 307dm / 5y WAL (EoRP 2022), which is close to our generic BBB index 327dm, credit metrics are clean and Jnr OC cushion is strong 4.4 whilst MVOC is healthy 113.

EUR AAA CLO

There are 2 x AAA trades today. For the first time in several days there are signs of firmness in AAA levels. Barings Euro 2019-1 traded well at 99.96 / 118dm. Anchorage 2021-4 traded at 105dm.