CLO AAAs widen on heavy secondary volume; Bain Capital, GC Investment price new CLOs

By Cristal Cody

Tupelo, Miss., March 18 – CLO AAA tranches are widening on heavy secondary market supply, according to sources on Wednesday.

Trading volume in high-grade CBO/CDO/CLO paper has been heavy in the coronavirus-induced panic engulfing the financial markets.

On Tuesday, $1.79 billion of investment-grade CBO/CDO/CLO paper traded, up from $895.52 million on Monday but in line with the back-to-back sessions of $1 billion plus in trading volume reported last week, according to Trace data.

Only $25.59 million of lower-rated securities were traded on Tuesday, down from $189.9 million on Monday.

The high-grade paper traded at an average 92.30 price and 94.20 weighted average price, improved from the average price of 91.70 and 93.30 weighted average price on Monday.

The non-high-grade CBO/CDO/CLO issues traded Tuesday at an average price of 84.00 and a 76.80 weighted average price, also improved from Monday’s average 68.80 price and 22.70 weighted average price.

CLO AAA spreads moved out nearly 80 basis points last week to the Libor plus 200 bps area.

In new deal activity, details emerged on Bain Capital Credit LP’s $507.9 million broadly syndicated CLO offering in March.

Also in the primary market, GC Investment Management LLC issued a $605 million middle-market CLO.

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