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January CLO Market Trends
October 20, 4 PM EST / 1 PM PST
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Each month KopenTech provides a complete picture of trends
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Get full current data from the CLO market and performance: BWIC/TRACE volumes, DNT rates, dealer’s inventory, new issues, prices across the stack, and more. Discover perspectives and analysis on the trading activity, market health indicators and trends that shape the CLO market.
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Explore monthly highlights and commentary from our experts and buy-side professionals. Gain a complete view of the CLO market takeaways at a glance.
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KopenTech has partnered with Fixed Income Investor Network (FIIN) to provide market commentary and analysis by senior industry practitioners. Market experts’ participation offers valuable insights into the CLO industry trends.
2022 Year in Review: Key Takeaways
- US BWIC volumes are driven by AAA tranches: up 92% from 2021.
- Equity trading decreased YOY, but up 99% from 2020.
- DNT% exceeds prior years, except for B/Equity.
- Collateral quality drives CLO price dispersion (BBs range 40 pnts).
- IG new issue tranche basis widens; AAA spreads finish at the wides.
- Refis/resets disappeared post April; total issuance still +24% vs. 2020.
- CLO Equity IRRs are 31% higher YOY, with a median of 16.33%.
Guest Speaker
Ian Gilbertson,
INVESCO
Key takeaways from November
- Traded US BWIC volumes continue to increase. EUR volumes are back to LTM averages.
- IG share in US BWICs stays at 85%.
- TRACE volumes are down 9% to $20.8BN; largest HY month with $6.9BN.
- TRACE shows 10 days > $1BN, 2 days > $2BN.
- Dealer buying continues banks buy $500mm from clients.
- K-Indicator, Barometer of CLO Market Stress, is in the negative territory.
- CLO equity trading volume rises to $178mm, with 35 deals traded.
- Of the 35 trades, 19 showed color: median IRR is 22.71%.
- BWIC Secondary prices are off the year’s lows, with median AAA at 97.57.
- New issue volumes stay at $8.6Bn. New issue AAAs spreads are at 220-250 bps.
Guest Speaker
Michelle Liu,
KKR
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