KopenTech Year End CLO Review

With the 2023 behind us, we review the CLO market major trends:

10% decrease YOY in US CLO BWIC Volumes

AAAs dominate trading
AAA tranches constitute 53% of US BWIC volumes

Equity trading increased by 27% YOY

Junior mezzanine continues to show higher turnover
BBBs and BBs are most liquid based on turnover relative to their size

Most liquid managers

DNT rates decrease for AAA/BBB/BB tranches 

BWICs as a % of TRACE have similar trajectory

Price dispersion increases
BB prices range almost 50 points

Lower IG tranche basis soars 
New issue spread basis widens between A and BBB

Equity IRRs 38% higher YOY

Total issuance down 12% YOY; Refis and Resets return

New Issue AAA spreads tightening up

A significant portion of deals with AAAs below current market levels

Longer dated transactions take up 86% of total issuance

2023 top issuers & arrangers

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