CLOs cheap to corporates but expensive to agency MBS, says BofA
CLO bonds are currently pricing cheap relative to corporates but look expensive relative to agency MBS bonds, according to new research from Bank of America

CLO bond buckets balloon post-Volcker amendments, says BofA
CLO holdings of bonds in their portfolios has grown to $15 billion in the two years since changes to the Volcker rule allowed CLOs to hold the assets, according to new research from Bank of America

Fitch raises low end of its default forecasts for US leveraged loans and high yield
Fitch Ratings has increased the low end of its US leveraged loan and high yield default forecast ranges to reflect growing macroeconomic headwinds

US and European CLO metrics diverge, finds Barclays
CLO spreads saw a month-on-month move wider in December while key portfolio metrics such as weighted average rating factor (warf) and triple C buckets deteriorated in the US. However, European portfolio metrics showed some improvement 

CLO triple A tiering grew to 48bp by December, says PennMutual
The triple A spread differential between top and lower tier CLO managers widened to 48 basis points by the end of 2022 from just 18bp at the start of the year, according to new research published by PennMutual Asset Management

US CLO investors express cautious optimism for 2023
After a turbulent year in 2022, US CLO investors are sounding a cautiously bullish tone heading into 2023

BofA withdraws forecast for US banks to return to CLO investing en masse in 2023
Bank of America has withdrawn its forecast that US banks will make any signficant return to investing in CLOs in 2023 following comments from the Federal Reserve's vice chair for supervision suggesting that capital requirements could increase further next year

$90 billion gross CLO issuance in 2023 with manager base to shrink, says BofA
Bank of America is forecasting $90 billion gross issuance of CLOs in 2023, split between $80 billion backed by broadly syndicated loans and $10 billion backed by middle market assets

US CLO tranches had best month of year in November: Barclays
CLO debt investors enjoyed their best month of returns for 2022 in November, with triple As returning an annualised excess return of 12% and triple Bs returning 37% on the month

Euro CLOs have better 2023 entry point than US in $140 billion issuance year: Barclays
CLO performance and issuance may have to wait until the second half of next year for improvement, say Barclays credit strategists in a 2023 outlook piece. But Europe could fare better than the US given starting levels in a year the market faces some challenging regulatory hurdles

CLO double Bs offer attractive entry point despite likely loan downgrades, says Neuberger
CLO double Bs offer investors value despite the risk of deteriorating credit quality in the leveraged loan market

CLO triple As face contest with "appealing" US treasuries: Barclays
The challenge of issuing new CLOs has been put into sharper relief, with Barclays strategists arguing US treasuries look attractive versus triple A tranches

US CLO issuance to drop 15% in 2023: Barclays
US CLO new issuance is likely to be around $117 billion in 2023, a decline of around 15% on 2022

CLOs underperform recovery as central bank tone shifts: Barclays
CLOs have lagged the recovery in risk assets over the last week and remain at near year-to-date wides, according to research from Barclays. Strategists add CLO triple Bs look cheap versus high yield corporate bonds

Private equity firms are becoming CLO converts: TwentyFour
Private equity firms have increasingly bought CLO and other securitised debt tranches in recent weeks instead of their usual preference for physical assets - a trade TwentyFour believes "makes perfect sense"

Sofr away from me – basis puts new CLO triple As in dire straits
A relative value gap has opened between secondary and primary market CLO triple A tranches, with the former looking attractive as volatility heightens and the basis grows between Libor and Sofr. This presents an additional problem for managers hoping to do new business

CLO portfolio metrics "hit an inflection point", says S&P
US CLO credit metricts "have hit an inflection point in recent months and started to turn towards the negative", according to new research from S&P Ratings

CLO inflows could hit $60 billion as knock on from student loan forgiveness, says BofA
US president Joe Biden’s student loan forgiveness programme could lead up to $60 billion flowing into the CLO market, according to research from BofA

Three defaults mean CLO OC ratios to decline by 17bp in September, says BofA
CLO overcollateralisation ratios are set to decline by 17 basis points in September following the defaults of Cineworld, Endo and Carestream health, according to a research paper from Bank of America

Widening asset/liability gulf will hurt CLOs: Barclays
A mismatch between CLO asset / liability rate risk is increasing in the US as more leveraged loan issuers opt for one-month pay frequency, Barclays credit strategists have found

US banks' CLO holdings rose $10bn in Q2, but demand is set to drop: BofA
CLO holdings by US banks increased by around $10 billion over the second quarter this year. But BofA anticipates subdued demand for the rest of the year due to high loan growth, slowdown in deposit growth and increased capital requirements

US CLO triple C buckets will increase by up to 0.7% in August: BofA
US CLO triple-C baskets are expected to fill up by as much as 0.7% in August trustee reports, according to strategists at Bank of America, with the pace of triple C downgrades picking up in July to reverse an 18-month trend of stable or declining triple C concentrations

Short duration CLOs are putting reset risk in the post: Barclays
The CLO market’s recent trend of shorter duration issuance could be setting up a problem for managers down the line that will impact their equity returns, Barclays has warned

Euro double As and US triple As offer best value in CLOs: BNP Paribas
Secondary market double A rated tranches offer the best relative value in European CLOs’ capital structures, while US triple As in primary starting to look attractive, according to BNP Paribas credit strategists

CLO spreads are not pricing in recession: JP Morgan
CLOs are priced fairly for a growth slowdown but not a recession, according to JP Morgan credit strategists, who warn spreads are at risk if US growth contracts