幸运飞艇-在美联储转移后,CLO跌跌撞撞,即使日

在美联储近期加息后,美国投资者的抵押贷款债务可能转向固定利率资产,而受益于日本银行需求的交易表现优异。市场专家表示,美国买家的回调正在导致CLO定价的分层,这意味着来自具有强大投资者支持的独立经理人的类似评级债券定价不同。甚至一些成熟的CLO商店最近几周也经历了较弱的定价,因为他们依靠美国买家购买评级最高的交易。
 
 

“发行已经有所回升,但发行人面临美国对AAA的需求有限,幸运飞艇导致AAA级别达到15至25个基点,”Wells Fargo&Co。分析师Dave Preston和Mackenzie Miller在最近的客户报告中写道。“我们看到现有的管理人员拥有强大的发行平台,但他们仍然在AAA / 140中基点区域定价AAA。”

 
 

与此同时,依赖日本银行购买大部分AAA级债券的经理人的价格已经高出10个基点。虽然那些拥有强大AAA 日本投资者基础的人在历史上总是以较为宽松的价格定价,但最近这种差异变得更加夸张。

 
 

“在最近的交易中,被视为”顶级“与”第二级“经理之间似乎存在更大差异,”资金经理PineBridge Investments的信贷和固定收益投资主管Steven Oh在即时消息中表示。

固定利率资产,例如商业抵押贷款支持证券和投资级公司债券在12月份变得便宜得多,使得它们现在变得更具吸引力,因为投资者转向浮动利率工具。一些没有得到海外投资者强烈支持的发行人不得不为更短的再投资期限或提供更多收益的美国受众提供更优惠的交易。无论原因如何,鉴于去年12月的信贷市场抛售,CLO经理最近遇到的息差明显高于之前的2018年交易。

投资集团信用管理,在市场上建立的名字,最近的价格成交的AAA片在147个基点伦敦银行同业拆借利率相比+110其新发行的贸易去年六月。就在今天,卡莱尔CLO管理公司将其首个2019年CLO AAA 定价为Libor的132个基点,而11月30日在杠杆市场低迷之前提出的交易价格为117个基点

3月份的预期供应浪潮也影响了投资者暂时推迟的决定。“我认为这只是潜在的近期供应与需求之间的较大因素,导致更高的执行不确定性,”PineBridge的Oh说道。他补充说,这需要“提高收益率以弥补可能被认为具有更高风险信用的低层管理人员或投资组合”。

周三公布的联邦公开市场委员会政策会议纪要证实了远离加息的转变。当美联储被视为处于徒步旅行模式时,杠杆贷款和CLO反弹,因为他们对美国国债收益率上升不太敏感,因为他们的优惠券适应利率变化。

 

 

Wave of Supply Expected

Some issuers not strongly supported by overseas investors have had to either sweeten deals for a U.S. audience with shorter reinvestment periods or offer juicier yields. Regardless of the reason, CLO managers have encountered significantly wider spreads recently versus their prior 2018 transactions in light of this past December’s credit-market selloff.

Investcorp Credit Management, an established name in the market, recently priced the AAA slice of a deal at 147 basis points over Libor compared to +110 on its prior new-issue trade last June. Just today, Carlyle CLO Management priced its first 2019 CLO AAA at 132 basis points over Libor versus 117 basis points for a deal raised on Nov. 30, just prior to the leveraged-market swoon.

An expected wave of supply in March is also influencing investors’ decision to hold off for the time being. "I think it’s simply a function of larger potential near-term supply versus demand that has resulted in higher execution uncertainty," PineBridge’s Oh said. This requires "increased yields to compensate for the lower-tier managers or portfolios that may be considered to be of higher-risk credits," he added.

The shift away from hiking interest rates was confirmed in the Federal Open Market Committee’s policy meeting minutes released on Wednesday. Leveraged loans and CLOs rallied when the Fed was seen to be in hiking mode because they are less sensitive to rising Treasury yields as their coupons adjust to changes in rates.

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