CLO equity ‘top trade’ could reach mid-teens returns, says JP Morgan
CLOs’ strong start to the year, in which the asset class has asset class has made gains against a sell off in government and corporate bonds, has put equity tranches on course for double digit returns in 2021, according to JP Morgan strategists

UN PRI's upcoming report on ESG in CLOs finds bar is very low
In a preview of the upcoming report, Carmen Nuzzo, head of fixed income at UN Principles for Responsible Investment, reveals to Creditflux key highlights from its ESG in securitisation report

BofA forecasts record European CLO volume in 2021 as another reset prices
Carlyle Group has become the first manager in March to reset a European CLO, while BofA estimates the European CLO market might break a new record in 2021

Rates moves points to credit improvement, say BofA strategists
Focus on the rates market and the future direction of central banks has brought jitters back to credit in recent weeks and had a chilling affect on bond total returns. But higher government yields could end up being good for credit, say Bank of America strategists

ESG growth in CLOs has momentum in 2021, say JPM strategists
ESG investing in securitised products such as CLOs have 'momentum for growth in 2021' despite very slow volume growth and lack of progress in standardised scoring over the past year, say JP Morgan strategists in a research note

Buy CLO equity to capitalise on reflation, says JP Morgan
CLO equity stands out in a tightly priced market as offering up to double digit yields, say JP Morgan structured credit strategists, who posit it as their top trade

Bet on beta compression - except in sub fin CDS, say BofA strategists
Beta compression will be a dominant theme in 2021 for high yield versus investment grade CDS and bonds, financial versus non-financial credit and subordinated versus senior financial bonds, say Bank or America strategists in a research note. Short volatility positions are also attractive, they add, while cautioning sub versus senior financial CDS could buck the trend

Robots rise for credit ratings
A fintech platform is launching this month that aims to use artificial intelligence to democratise credit ratings.

Go long index mezz tranches to pick up spread: Citi
Citi research has outlined some of the opportunities that have arisen in the index tranche market as a result of elevated correlation

Green credit advocate launches research body
Stockholm-based portfolio manager and green credit advocate Ulf Erlandsson has today announced the launch of research body Anthropocene Fixed Income Institute (AFII)

European CLO portfolio overlap increases by 3%: S&P
European CLO portfolio overlap for new issue deals since mid-March has increased to 37.73%, according to a recent report by S&P, around 3% higher than the average of 36% for all European CLOs rated by S&P

Barclays increases European loan and CLO issuance forecasts
Barclays has increased its European leveraged loans issuance expectations due to “better than expected recovery in issuance from M&A and LBO activity”, while its European CLO 2020 issuance forecast increased to  €15 billion-€18 billion, up from a previous estimate of €12-15 billion

Private debt secondaries volume nosedives 81% in H1
Global private debt fund secondaries volume nosedived 81.8% during the first half of 2020 as the effects of coronavirus began to surface, according to a recently released report by Setter Capital

Governance has greatest impact on short-term changes in company valuation out of ESG factors, finds MSCI
Governance has more impact than environmental and social factors on company financial fundamentals and stock price in the short term, but ‘E’ and ‘S’ play their part over the long term, according to analysis from MSCI

Go for short-duration and high-end CLO paper, says JP Morgan
This year is shaping up to be nearly as weak for CLO new issuance as 2008, according to JP Morgan strategists, who recommend investors seek value in short duration double/triple A paper or in higher-tier triple/double B

CLO and distressed fund recovery disparity could grow, say Barclays
CLO investors should apply a haircut to the $55-60 loan recovery range to better estimate recoveries in CLO models, as the disparity between how distressed debt funds and CLOs extract value in a loan restructuring is expected to widen

Leveraged loan spreads to widen to March levels, warn UBS strategists
US leveraged loan spreads could widen back to March levels of 825 basis points as default risk increases, according to strategists at UBS.

Autos dominate in BofA €25 billion fallen angel watchlist
Downgrade impact for fallen angels in the coming months could be more extreme than during the 2008 financial crisis, Bank of America strategists have warned, as they identified €25 billion worth of debt at European investment grade companies most at risk of falling into high yield territory

US CLOs did not lose par in March, finds JP Morgan
A research paper from JP Morgan has estimated there was no US CLO par burn in March, although loss of par for the first quarter was 11%

CLO managers favour tech, cable and healthcare as loan downgrade fears dominate, finds JP Morgan
Picking safe sectors to buy in the coronavirus crisis is a tough call, but CLO managers variously favour technology, cable/satellite and healthcare, according to a JP Morgan survey. There is much more consensus on dumping autos, energy, gaming/lodging/leisure and retail

Sovereign borrowing will crowd out corps and produce fallen angels, warns BofA
Investors should be wary of buying coporate credit that yields less than sovereign debt, Bank of America strategists have warned, predicting €20-30 billion of European fallen angel volume lies ahead as the market cycle turns

Fed cut triggers Libor floors on third of US loans
Roughly a third of US loans effectively became fixed rate investments this week as Libor edged below 1% for the first time since January 2017

Hedge against coronavirus, says JP Morgan, naming 40 most exposed credits
With novel coronavirus cases rising at what looks to be an exponential rate, JP Morgan strategists have proposed a high yield hedge to address the rising threat to European credit spreads and listed 40 borrowers they think are most exposed to impact

Euro CLO volume could beat €25 billion consensus in 2020, says TwentyFour
Current spread tightening in Europe’s CLO market could boost issuance beyond the widely anticipated €25 billion for 2020, according to a note from TwentyFour Asset Management

Ratio of CLO managers adding risk falls to lowest level since 2009, JP Morgan finds
The proportion of CLO managers looking to add risk has fallen to its lowest level since 2009, according to a market survey carried out by JP Morgan’s research desk