KopenTech Year End CLO Review
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With 2022 behind us, we review the CLO market major trends:
CLO Secondary Trading Skyrockets
42% increase YOY and 8% since 2020 Covid Spike.
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US BWIC volumes are driven by AAA tranches
AAA secondary trading is up 92% from 2021.
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Equity trading decreased YOY, but up 99% from 2020
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Most liquid tranches are BBBs and BBs
AAA-A tranches dominate trading volumes, but junior mezzanine trades more frequently relative to issuance.
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DNT% exceed prior years
Except for B/Equity that had higher DNT% during Covid.
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BWICs as a % of TRACE had a similar trajectory
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CLO prices had wide ranges
Collateral quality drives dispersion in junior mezzanine; BB prices range 40 points.
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IG-rated spread basis soar, while BB/BBB stays constant
Average basis among AAA-A-rated securities widens sharply in 2022 vs. prior year.
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New Issue AAA spreads are ending the year at the wides
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Refi and Resets disappeared post April
CLO issuance is still 24% higher than 2020.
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Barring a massive spread rally, refi and resets are not likely to come back soon
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Equity IRRs are 31% higher YOY, with median of 16.33%
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Despite market volatility, longer transactions dominate issuance
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2022 Top Issuers and Arrangers
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Most traded & liquid managers
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