Second Largest AAA BWIC in 7 years
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A listing of 21 AAA securities totaling $818 million is coming up on BWIC on Tuesday, November 16, 2021. This represents the second-largest AAA BWIC day in the last seven years. The highest was October 8, 2019, having seen over $1.1 billion posted.
21 AAAs, none perfectly alike
Of the 21-line items, the average position size is $38 million with some large positions including a $75 million LCM bond and a $66 million Eaton Vance 2019 vintage CLO.
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Over 80% of the listed bonds are short dated, with reinvestment periods 3 years or under. Weighted average spread (WAS) ranges from 3.53% to 4.18%, with an average of 3.78%. Weighted average ratings factor (WARF) ranges from 2,460 to 2,944 with an average of 2,772.
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These bonds look familiar…
Most of the bonds have traded previously in the secondary market. Utilizing KopenTech’s database of that consists of over 7 years of BWIC statistics, we can see historical price talk and color for many of these CUSIPs. Below is historical trading data for one bond on this BWIC: Blackstone/GSO’s Beechwood Park, a 2019 vintage AAA. This bond has been offered via BWIC 7 times over the last 18 months, according to the KopenTech database.
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In recent years, BWIC trading across the capital stack has increased at a rapid pace. The largest quarterly volume was during Q1 of 2020 when the coronavirus pandemic hit with nearly $9 billion AAAs on BWIC. The Q4 2021 has already seen $3.7 billion posted compared to $2.2 billion in Q3 with several weeks of trading before the end of the quarter.
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Putting large AAA days in perspective
On average over the last several years, $75 million of AAAs are put on BWIC daily, making this listing nearly 11 times larger than the daily average. Of the top 10 largest AAA BWIC days, 3 have been in 2021, as indicated by the light blue bars.
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AAA bonds which top 2021 liquidity rankings trade 10 times or more. Some bonds change hands upwards of 18 times, including DRSLF 2018-64A which is on the $818 million November 16 BWIC*.
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