November had a total of $4.3 billion listed on BWICs. This was the highest monthly volume for 2021, which brings the total 2021 YTD BWIC volume to $28.6 billion listed. The average volumes for the last 12 months are $3.2 billion for posted and $2.3 billion for traded.
In November, a total of $11.3 billion traded. This represents a slight decrease from October which saw $13.2 billion traded. Of that $11.3 billion, $7.7 billion was investment grade and $3.6 billion was non-investment grade. This brings the average IG volume to just under $7 billion and the average non-IG volume to $5 billion.
BWICs as a % of TRACE
November saw a reversal of the prior month’s trends: IG BWICs decreased as a share of TRACE volume to 17%, while non-IG rated tranches on BWICs increased to 24% of TRACE.
BWIC Volumes by Rating
November 2021 saw a decrease in AAA BWIC volumes relative to the 2021 average: only $770 million in AAAs were posted compared to a monthly average of $890 million. CLO equity saw a large increase in traded volumes with $410 million traded compared to a 2021 average of $230 million. CLO equity is on pace to nearly double the traded volume from 2020.
We’ve seen exceptionally low DNT rates the last several months. However, in November we’ve seen a reversal of that trend with higher-than-average DNT rates for AAA, AA, BB, B. Specifically, we’ve seen AAAs with several months of 0% DNT rates. This month we saw the DNT rate increase to 4.7%. AA DNT rates also increased to 16.7%.
November saw the third consecutive month of dealer net purchases from clients. This time dealers purchased $325 million from buyside investors.
Prices** Across the Stack
November price action across ratings was mixed. From October to November we saw slight price decreases/spread widening for AAA, AA and A, while lower mezzanine prices have increased for both BBB and BB. In particular, BB prices were up half a point.
*TRACE reports all CLO trades involving FINRA members.
**Prices are based on trades that provided color and are likely to underestimate actual traded levels.