European investors eye 180bp pick-up on triple B CLOs traded in April
A b-wic consisting of mostly European triple B CLOs that traded in late April is on offer at 9.30am New York time tomorrow, according to market sources, as data shows spreads for the rating band averaging 546 basis points over Euribor as of 27 May

Global CLO b-wic round-up: equity makes a return as investors search for price levels
Three European CLO equity bonds have traded with colour attached in the last two weeks in the secondary market

Seven points basis opens up in CLO triple Bs - but Investcorp trades well to defy trend
Triple B rated tranches once again swamped the secondary CLO market yesterday and trading levels suggest the basis between bonds on negative watch/outlook versus those not subject to a downgrade is about seven points

US and European CLO triple Bs hit secondary market as downgrade fear sets in
Downgrade risk is being priced into triple B-rated CLO tranches, according to market sources, after a wave of mezzanine and junior CLO debt tranches swept onto b-wics yesterday

Structured credit fund loses 32.4% in March as junior US CLO debt slumps
Volta Finance’s net asset value dropped 32.4% in March, according to a monthly report released yesterday. US CLO debt was the weakest performer for the structured credit fund, managed by Axa Investment Managers, losing 41.3%.

Secondary CLO debt trades well but Trace suggests CLO equity trading at 12 cents
A variety of CLO paper was in for the bid yesterday with US secondary CLO volumes reaching $281 million, and European volumes hitting €74 million

Liquidity ends at double Bs as European CLO single Bs struggle in secondary
European CLO single Bs are struggling to clear in the secondary market with sources indicating these positions are valued at about 30 cents

Unique CLO upsizes to $22 billion
The world’s largest CLO has more than doubled in size to total a whopping $22 billion

Benchmark European 2020 CLO trades 11 points down in secondary
A senior European CLO investor has flipped €21.9 million worth of notes onto the secondary market, selling eight of nine line items via a b-wic, sources say. Meanwhile, US CLO trading switched from being investment grade focused over the last month to being centred on below IG tranches yesterday: IG volumes reached $574 million versus $926 million for lower rated tranches

Structured credit dragged very wide — but CLOs stand to gain
Senior tranches of securitisations widened 220% in less than a month as the coronavirus pandemic has meant an increase in systemic risk — a sharp turnaround from the past few months when idiosyncratic risks were being cited as the main concern for structured credit investors.

‘Hoard credit’ says PM as markets swing
As Creditflux went to press, the covid-19 death toll in Italy surged by 700 after two days of slowing, and the US congress agreed a $2 trillion stimulus package.

CLOs at a glance: CLO primary market grinds to a halt
A round-up of CLO performance

Fund perfomance: Slowdown for some as pandemic takes hold

European CLO triple Bs go from 99 to 73 in less than a month
European CLO mezzanine prices have fallen by almost 30 cents in less than a month, with a b-wic yesterday featuring a 2019 PGIM-managed CLO underlining the dramatic decline

European CLO triple As bounce back in secondary market
European CLO triple As have begun tightening in the secondary market with sources indicating that by Friday, these notes were trading at 250 basis points, which is down from about 400bp a week ago

Making arb work of it

Tranche traders aim to navigate default risk while staying clear of coronavirus contagion
The CDS market is navigating between two sources of risk for equity and mezzanine high yield index tranches. The default of US media company McClatchy has focused idiosyncratic concerns, while the spread of the coronavirus has stoked fears of a systemic sell-off.

IHS Markit mulls CDX EM growth and iTraxx ESG screen
Increasing the portfolio size of CDX EM and consulting on an ethically-screened version of iTraxx Europe are among the projects index administrator IHS Markit has been working on ahead of the 20 March roll.

Covid-19 outbreak rattles carry traders
The coronavirus panic hitting financials markets at the end of February has been a strong driver of relative value trades, with CDS underperforming both cash bonds and equity, while financial names felt the heat more than corporate borrowers as geographical risk came into play.

Fund performance: CLO funds pick up where they left off
A round-up of fund performance

Making arb work of it
In 2019, some CLO managers hoped that good timing would enable them to lock in favourable arbitrage levels, but others opted for aggressive or conservative tactics when building portfolios. 

CLO pipeline: new loves kindle as managers finish with old flames
US new issue CLO paper is back on the agenda after a January dominated by refinancings. 14 new deals are in the pipeline, but refis are holding steady with eight of these in the works. CLO refinancings have been the front runners this year, with 22 CLO refis versus 12 new US CLOs. 

Correlation rise stokes mezz rally but adds to CSO woes
Below the calm surface of the credit market, correlation has been churning and creating dislocations rich with reward for index tranche traders but complicating bespoke issuance, say sources.

CSAM sees sun after nine years in shade

Repricing spike points to sharp spread compression