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CBO/CDO/CLO issues improve in secondary; CLO portfolio weighted average prices steady
By Cristal Cody
Tupelo, Miss., April 2 – Securitized paper continues to improve in secondary trading, while the CLO primary market remains quiet on volatility from the coronavirus pandemic.
Secondary market volume included $684.18 million of investment-grade CBO/CDO/CLO securities and $255.27 million of lower-rated paper on Wednesday, Trace data shows.
Prices continued to improve in mid-week trading with high-grade paper traded at an average 91.10 on Wednesday, up from 90.90 on Tuesday and 89.20 on Monday.
Non-high-grade CBO/CDO/CLO securities also improved to an average 64.10 on Wednesday from 60.30 on Tuesday and 60.20 on Monday.
Secondary volume included $1.03 billion of high-grade paper traded on Tuesday and $659.65 million on Monday, while volume in lower-rated securities totaled $140.88 million on Tuesday and $225.72 million on Monday.
The weighted average price of CLO portfolios has held “steady” at around 80 since last week, S&P Global Ratings said in a report on Thursday.
Last week saw negative rating actions on seven auto components issuers that included six oil, gas, and consumable fuels issuers and five specialty retail issuers, S&P said in the report on the impact of negative rating actions on obligors held in U.S. broadly syndicated CLO collateral pools.
The hotel, restaurants and leisure industry category, which is the fourth-largest sector within reinvesting U.S. broadly syndicated CLOs across about 79 issuers, experienced negative rating actions on about 55 issuers, according to the report.
“Many of the issuers that had their ratings lowered in March continue to have a CreditWatch negative placement,” S&P said. “About 10% of exposures across the CLO Insights 2020 Index are on CreditWatch negative, while over 20% have a negative rating outlook.”
As of Monday, 59 tranches across 39 S&P-rated U.S. broadly syndicated CLOs have their credit ratings on CreditWatch negative, S&P said.
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