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