CLO PORTFOLIO TRADING SNAPSHOT

Transcription

1 CLO PORTFOLIO TRADING SNAPSHOT THOMSON REUTERS LPC MAY 2017 Colm (C.J.) Doherty Director of Analysis

2 CLO PORTFOLIO TRADING SNAPSHOT Key Points Slides 3-5 U.S. CLO Trading Activity Slides 6-18 European CLO Trading Activity Slide CLO PORTFOLIO TRADING SNAPSHOT 2

3 KEY POINTS This report reflects data available in LPC Collateral as of May 15, 2017 and is subject to updates going forward as more data is collected. The 1Q17 analysis is based on trading activity of 713 U.S. CLOs and 168 European CLOs. All analysis apart from slides 7 and 22 are based off where a trade date was provided. U.S. CLOs: The most widely purchased names in 1Q17 were Avolon Ltd., Change Healthcare Holdings LLC, and Team Health. The top three names sold were Transdigm, Community Health, and Univision Communications. The top 30 most actively traded names accounted for 26% of trading volume in the first quarter. Buying activity represented 64% of CLO portfolio trading volume in 1Q17. U.S. CLO portfolio trade prices climbed higher for purchases and moved lower for sales. The weighted average purchase was in the first quarter, with the average sale price at CLOs bought more loans in the par-plus price category during the first quarter as 36% of purchases were in this category compared to 24% in 4Q16. There was also an increase in loans sold at par-plus prices in 1Q17, with 66% of sales in this category, up from 59% in 4Q16. Cont d on next slide CLO PORTFOLIO TRADING SNAPSHOT 3

4 KEY POINTS Selling prices were again more dispersed than purchase prices in 1Q17, as a higher share of portfolio sales were in the sub-99 and par-plus categories. 21% of sales were at a trade price less than 99 (compared to 8% of purchases), and 66% of sales were in the par-plus range (versus 36% of purchases). Electronics was the most widely traded sector in 1Q17. Next was the Printing, Publishing & Broadcasting sector, followed by Healthcare. The Electronics sector also saw the largest net buying volume, followed by Printing, Publishing & Broadcasting and then Finance. Looking at the share of purchases/sales activity by loan spread in 1Q17, CLOs purchased a greater share of both lower spread loans (<=300 bps) and higher spread loans (>=500 bps) compared to what they sold. European CLOs: The names most widely bought by European CLO managers in 1Q17 were VodafoneZiggo, Xella International Gmbh, and eircom Group Plc. The names most actively sold were ZIGGO BV, eircom Group Plc, and Numericable SAS..The top 30 most actively traded names accounted for 54% of trading volume in the first quarter. Buying activity outpaced selling volume by a ratio of 1.7 to 1 in 1Q17. European CLO portfolio purchase prices increased again from their already lofty levels, while sales prices held steady. The weighted average purchase price in 1Q17 was versus an average sale price of CLO PORTFOLIO TRADING SNAPSHOT Cont d on next slide 4

5 KEY POINTS European CLOs bought a higher share of par-plus loans in 1Q17, with 71% of purchases in the par-plus price category, up from 59% in 4Q16. The majority of loans sold in 1Q17 were also in the par-plus area, with 80% of sales in this category, up from 77% in 4Q16.. Similar to the US market, European CLO selling prices were more dispersed than purchase prices, as a higher share of portfolio sales were in the sub-99 and par-plus range. 15% of sales were at a trade price less than 99 (compared to 4% of purchases), and 80% of sales were in the par-plus range (versus 71% of purchases). For European CLOs, Printing, Publishing & Broadcasting was the most widely traded sector in 1Q17. Next was Healthcare followed by Chemicals, Plastics & Rubber. Comparing purchase/sales activity by loan spread, CLOs purchased a greater share of lower spread credits and also bought relatively more of the highest spread loans. At a lower spread level, 54% of purchases were in the sub-350 bps category compared to only 27% of sales. For higher spread credits, 20% of purchases involved loans with spreads of 500-plus bps, while 7% of sales were in this category. CLO PORTFOLIO TRADING SNAPSHOT 5

6 U.S. CLO PORTFOLIO TRADING ACTIVITY

7 Traded volume ($ Bils.) Buys as share of trading volume (%) U.S.CLO PORTFOLIO TRADING VOLUME* U.S.CLO PORTFOLIO TRADING VOLUME Sell Buy Buys as share of trading activity 1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 3Q15 4Q15 1Q16 2Q16 3Q16 4Q16 1Q17* *Includes trades where either trade date or settlement date was provided. Where only a settlement date was provided, trade date is estimated. All other slides are based on where a trade date was provided. We have collected trades amounting to $68.2 billion so far for 1Q17. Buying activity represented 64% of CLO portfolio trading volume. 78% 74% 70% 66% 62% 58% 54% 50% U.S. CLO PORTFOLIO TRADING SNAPSHOT 7

8 Weighted Avg. Trade Price (% of par) AVG. CLO PORTFOLIO TRADING PRICES U.S. CLO WEIGHTED AVERAGE TRADING PRICES Buys Sells Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 U.S. CLO portfolio trade prices climbed higher for purchases and moved lower for sales. The weighted average purchase was in the first quarter, with the average sale price at U.S. CLO PORTFOLIO TRADING SNAPSHOT 8

9 Share of traded volume DISTRIBUTION OF TRADE PRICES IN 1Q17 70% 60% 50% 40% 30% 20% 10% 0% DISTRIBUTION OF TRADE PRICES U.S. CLOS Buy Sell <70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 98 to <99 99 to <100 >=100 Trade Price (% par par) The 99 to sub-100 category was the most popular price point for purchases. Selling prices were again more dispersed than purchase prices in 1Q17, as a higher share of portfolio sales were in the sub-99 and par-plus categories. 21% of sales were at a trade price less than 99 (compared to 8% of purchases), and 66% of sales were in the par-plus range (versus 36% of purchases). U.S. CLO PORTFOLIO TRADING SNAPSHOT 9

10 Share of traded volume Share of traded volume DISTRIBUTION OF TRADE PRICES IN 1Q17 CLO 1.0 & CLO % 60% 50% 40% 30% 20% 10% 0% <70 70 to <80 80 to <85 Buy Sell DISTRIBUTION OF TRADE PRICES U.S. CLOS 1.0 VS. 2.0 CLO to <90 90 to <95 95 to <98 98 to <99 Trade Price (% par par) 99 to <100 >=100 For CLO 1.0s, an overwhelming majority of purchases (92%) were in the 99-plus category compared to 62% of sales. For CLO 2.0s, over half of purchases were in the price range, while the largest share of sales were in the par-plus area. 80% 70% 60% 50% 40% 30% 20% 10% 0% <70 70 to <80 80 to <85 Buy Sell CLO to <90 90 to <95 95 to <98 98 to <99 Trade Price (% par par) 99 to <100 >=100 U.S. CLO PORTFOLIO TRADING SNAPSHOT 10

11 Share of traded volume DISTRIBUTION OF PURCHASE PRICES: 4Q16 VS. 1Q17 70% 60% 50% 40% 30% 20% 10% 0% DISTRIBUTION OF PURCHASE PRICES US CLOS 4Q16 1Q17 <70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 98 to <99 99 to <100 >=100 Trade Price (% par par) CLOs bought more loans in the par-plus price category during the first quarter. 36% of purchases were in the par-plus category in 1Q17 compared to 24% in 4Q16. U.S. CLO PORTFOLIO TRADING SNAPSHOT 11

12 Share of traded volume DISTRIBUTION OF SALES PRICES: 4Q16 VS. 1Q17 70% 60% 50% 40% 30% 20% 10% 0% DISTRIBUTION OF SALES PRICES US CLOS 4Q16 1Q17 <70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 98 to <99 99 to <100 >=100 Trade Price (% par par) There was also an increase in loans sold at par-plus prices in 1Q17, with 66% of sales in this category, up from 59% in 4Q16. U.S. CLO PORTFOLIO TRADING SNAPSHOT 12

13 Traded volume ($Bils.) MOST ACTIVELY TRADED INDUSTRIES* IN 1Q *where industry classification available. MOST ACTIVELY TRADED INDUSTRIES - U.S. CLOS Sell Electronics was the most widely traded sector in 1Q17. Next was the Printing, Publishing & Broadcasting sector, followed by Healthcare. The Electronics sector also saw the largest net buying volume, followed by Printing, Publishing & Broadcasting and then Finance. Buy U.S. CLO PORTFOLIO TRADING SNAPSHOT 13

14 PURCHASES BY INDUSTRY 1Q17 TRADING BY INDSTRY U.S. CLOS Industry Bought ($Mils.) Wtd. Avg. Price Electronics 5, Printing, Publishing and Broadcasting 5, Healthcare, Education and Childcare 4, Diversified/Conglomerate Service 2, Finance 2, Beverage, Food and Tobacco 1, Chemicals, Plastics and Rubber 1, Leisure, Amusement, Motion Pictures, Entertainment 1, Retail Stores 1, Telecommunications 1, Buildings and Real Estate 1, n/a 1, Other 1, Utilities Automotive Hotels, Motels, Inns and Gaming Machinery (non-agri, non-construc, non-elec) Mining, Steel, Iron and Non-Precious Metals Containers, Packaging and Glass Insurance Transportation Oil and Gas Cargo Transport Home and Office Furnishings, Housewares and Durable Consumer Products Banking Personal and Non-Durable Consumer Products Aerospace and Defense Personal, Food and Miscellaneous Services Grocery Diversified/Conglomerate Manufacturing Diversified Natural Resources, Precious Metals and Minerals Farming and Agriculture Ecological Textiles and Leather Government U.S. CLO PORTFOLIO TRADING SNAPSHOT 14

15 SALES BY INDUSTRY 1Q17 TRADING BY INDUSTRY U.S. CLOS Industry Sold ($Mils.) Wtd. Avg. Price Electronics 2, Printing, Publishing and Broadcasting 2, Healthcare, Education and Childcare 2, Retail Stores 1, Diversified/Conglomerate Service 1, Leisure, Amusement, Motion Pictures, Entertainment 1, Beverage, Food and Tobacco Chemicals, Plastics and Rubber Buildings and Real Estate n/a Other Oil and Gas Utilities Aerospace and Defense Machinery (non-agri, non-construc, non-elec) Telecommunications Finance Containers, Packaging and Glass Automotive Hotels, Motels, Inns and Gaming Mining, Steel, Iron and Non-Precious Metals Insurance Transportation Cargo Transport Home and Office Furnishings, Housewares and Durable Consumer Products Grocery Banking Personal and Non-Durable Consumer Products Textiles and Leather Personal, Food and Miscellaneous Services Farming and Agriculture Ecological Diversified Natural Resources, Precious Metals and Minerals Diversified/Conglomerate Manufacturing Government U.S. CLO PORTFOLIO TRADING SNAPSHOT 15

16 Share of Buy/Sell Trading volume SHARE OF TRADING BY LOAN SPREAD* IN 1Q17 45% 40% 35% 30% 25% 20% 15% 10% 5% 0% SHARE OF TRADING BY LOAN SPREAD- U.S. CLOS < to < to < to < to <500 >=500 *where loan spread available. Spread (bps) Looking at the share of purchases/sales activity by loan spread in 1Q17, CLOs purchased a greater share of both lower spread loans (<=300 bps) and higher spread loans (>=500 bps) compared to what they sold. Buy Sell U.S. CLO PORTFOLIO TRADING SNAPSHOT 16

17 Share of Buy/Sell Trading volume SHARE OF TRADING BY MATURITY DATE* IN 1Q17 45% 40% 35% 30% 25% 20% 15% 10% 5% 0% TRADING VOLUME BY MATURITY DATE U.S. CLOS >=2025 *where maturity date available. Buy Sell Maturity Date In 1Q17, CLO managers bought more longer dated assets and sold more credits that were closer to maturity. 47% of purchases involved credits with a maturity date of 2024 or greater, while this category represented only 14% of sales. U.S. CLO PORTFOLIO TRADING SNAPSHOT 17

18 MOST ACTIVELY TRADED NAMES 1Q17 MOST ACTIVELY TRADED NAMES U.S. CLOS # Borrower Buy ($Mils.) Sell ($Mils.) Total ($Mils.) 1 Avolon Ltd 1, ,123 2 Change Healthcare Holdings LLC Sprint Communications Inc Team Health VodafoneZiggo Level 3 Financing Inc UPC Broadband Holding Grifols SA JBS USA BJ's Wholesale Club Zayo Group Dell Inc Univision Communications Go Daddy Group Avantor Performance Materials Holdings Inc Transdigm LPL Financial Services Community Health Valeant Phaarmaceuticals Berry Plastics Corp Energy Transfer Equity LP Capital Automotive REIT Synchronoss Technologies Calpine Corp Prestige Brands Royalty Pharma TKC Holdings Bass Pro Group LLC American Airlines Pinnacle Foods Finance LLC U.S. CLO PORTFOLIO TRADING SNAPSHOT 18

19 EUROPEAN CLO PORTFOLIO TRADING ACTIVITY

20 Traded volume ( Bils.) Buys as share of trading volume (%) EUROPEAN CLO PORTFOLIO TRADING VOLUME* EUROPEAN CLO PORTFOLIO TRADING VOLUME 1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 3Q15 4Q15 1Q16 2Q16 3Q16 4Q16 1Q17 Sell Buy Buys as share of trading activity *Includes trades where either trade date or settlement date was provided. Where only a settlement date was provided, trade date is estimated. All other slides are based on where a trade date was provided. We have collected 7.3 billion of European CLO portfolio trades for the first quarter. Buying activity outpaced selling volume by a ratio of 1.7 to % 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 20

21 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 Weighted Avg. Trade Price (% of par) AVG. CLO PORTFOLIOTRADING PRICES EUROPEAN CLO WEIGHTED AVERAGE TRADING PRICES Buys Sells European CLO portfolio purchase prices increased again in 1Q17 from their already lofty levels, while sales prices held steady. The weighted average purchase price in 1Q17 was versus an average sale price of EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 21

22 Share of trades DISTRIBUTION OF TRADE PRICES IN 1Q17 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% DISTRIBUTION OF TRADE PRICES EUROPEAN CLOS <70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 98 to <99 99 to <100 >=100 Similar to the US market, European CLO selling prices were more dispersed than purchase prices, as a higher share of portfolio sales were in the sub-99 and par-plus range. 15% of sales were at a trade price less than 99 (compared to 4% of purchases), and 80% of sales were in the par-plus range (versus 71% of purchases). Buy Sell Trade Price (% par par) EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 22

23 Share of traded volume Share of traded volume DISTRIBUTION OF TRADE PRICES IN 1Q17 CLO 1.0 & CLO % 60% 50% 40% 30% 20% 10% 0% <70 70 to <80 80 to <85 DISTRIBUTION OF TRADE PRICES EUROPEAN CLOS 1.0 VS. 2.0 Buy Sell CLO to <90 90 to <95 95 to <98 98 to <99 Trade Price (% par par) 99 to <100 >=100 For CLO 1.0s, 63% of sales were in the par-plus price category, while at the other end of the price spectrum 17% were in the sub-90 area. For CLO 2.0s, the majority of both purchases and sales were in the 100-plus price range. 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% <70 70 to <80 80 to <85 Buy Sell CLO to <90 90 to <95 95 to <98 98 to <99 Trade Price (% par par) 99 to <100 >=100 EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 23

24 Share of trades DISTRIBUTION OF PURCHASE PRICES: 4Q16 VS. 1Q17 80% 70% 60% 50% 40% 30% 20% 10% 0% DISTRIBUTION OF PURCHASE PRICES EUROPEAN CLOS 4Q16 1Q17 <70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 98 to <99 99 to <100 >=100 Trade Price (% par par) European CLOs bought a higher share of par-plus loans in 1Q17. 71% of purchases were in the par-plus price category, up from 59% in 4Q16. EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 24

25 Share of trades DISTRIBUTION OF SALES PRICES: 4Q16 VS. 1Q17 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% DISTRIBUTION OF SALES PRICES EUROPEAN CLOS 4Q16 1Q17 <70 70 to <80 80 to <85 85 to <90 90 to <95 95 to <98 98 to <99 99 to <100 >=100 Trade Price (% par par) The majority of loans sold in 1Q17 were also in the par-plus area, with 80% of sales in this category, up from 77% in 4Q16. EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 25

26 Printing, Publishing and Broadcasting Healthcare, Education and Childcare Chemicals, Plastics and Rubber Telecommunications Electronics Buildings and Real Estate Leisure, Amusement, Motion Diversified/Conglomerate Service Mining, Steel, Iron and Non-Precious Transportation Personal, Food and Miscellaneous Finance Hotels, Motels, Inns and Gaming Beverage, Food and Tobacco Home and Office Furnishings, Banking Diversified Natural Resources, Machinery (non-agri, non-construc, Retail Stores Oil and Gas Containers, Packaging and Glass Automotive Personal and Non-Durable Consumer Insurance Grocery Government Aerospace and Defense Ecological Farming and Agriculture Textiles and Leather Utilities Diversified/Conglomerate Share of trading by sector Buying as % of trading activity MOST ACTIVELY TRADED INDUSTRIES* IN 1Q17 24% 19% 14% 9% 4% -1% MOST ACTIVELY TRADED INDUSTRIES EUROPEAN CLOS *Excludes trades where industry is not available Share of trading by sector Buying as % trading activity 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% For European CLOs, Printing, Publishing & Broadcasting was the most widely traded sector in 1Q17. Next was Healthcare followed by Chemicals, Plastics & Rubber. EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 26

27 PURCHASES BY INDUSTRY* 1Q17 TRADING BY INDUSTRY EUROPEAN CLOS Industry % of Purchases Wtd. Avg. Price Printing, Publishing and Broadcasting 21.7% Healthcare, Education and Childcare 11.8% Buildings and Real Estate 10.8% Chemicals, Plastics and Rubber 9.9% Electronics 9.0% Telecommunications 6.2% Leisure, Amusement, Motion Pictures, Entertainment 4.8% Diversified/Conglomerate Service 3.8% Personal, Food and Miscellaneous Services 3.3% Mining, Steel, Iron and Non-Precious Metals 2.8% Hotels, Motels, Inns and Gaming 2.4% Finance 2.3% Banking 2.1% Diversified Natural Resources, Precious Metals and Minerals 1.9% Beverage, Food and Tobacco 1.2% Automotive 1.0% Home and Office Furnishings, Housewares and Durable Consumer Products 1.0% Transportation 0.8% Machinery (non-agri, non-construc, non-elec) 0.7% Oil and Gas 0.6% Retail Stores 0.5% Containers, Packaging and Glass 0.4% Grocery 0.3% Aerospace and Defense 0.2% Personal and Non-Durable Consumer Products 0.2% Insurance 0.1% Government 0.1% Ecological 0.1% Diversified/Conglomerate Manufacturing 0.1% Textiles and Leather 0.1% *Excludes trades where industry is not available EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 27

28 SALES BY INDUSTRY* 1Q17 TRADING BY INDUSTRY EUROPEAN CLOS Industry % of Sales Wtd. Avg. Price Printing, Publishing and Broadcasting 21.6% Telecommunications 14.9% Chemicals, Plastics and Rubber 8.9% Healthcare, Education and Childcare 8.5% Electronics 8.5% Transportation 6.3% Diversified/Conglomerate Service 3.3% Buildings and Real Estate 3.0% Leisure, Amusement, Motion Pictures, Entertainment 2.8% Home and Office Furnishings, Housewares and Durable Consumer Products 2.8% Mining, Steel, Iron and Non-Precious Metals 2.5% Beverage, Food and Tobacco 2.4% Machinery (non-agri, non-construc, non-elec) 2.4% Finance 1.9% Retail Stores 1.5% Containers, Packaging and Glass 1.3% Personal, Food and Miscellaneous Services 1.0% Hotels, Motels, Inns and Gaming 1.0% Oil and Gas 0.9% Government 0.8% Personal and Non-Durable Consumer Products 0.8% Automotive 0.6% Grocery 0.4% Diversified Natural Resources, Precious Metals and Minerals 0.4% Aerospace and Defense 0.4% Banking 0.3% Ecological 0.3% Utilities 0.2% Farming and Agriculture 0.1% Textiles and Leather 0.1% Insurance 0.1% *Excludes trades where industry is not available EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 28

29 Share of Buy/Sell Trading volume SHARE OF TRADING BY LOAN SPREAD* IN 1Q17 50% 45% 40% 35% 30% 25% 20% 15% 10% 5% 0% SHARE OF TRADING BY LOAN SPREAD - EUROPEAN CLOS < to < to < to < to <500 >=500 *where loan spread available. Buy Sell Spread (bps) Comparing purchase/sale activity by loan spread, CLOs purchased a greater share of lower spread credits and also bought relatively more of the highest spread loans. At a lower spread level, 54% of purchases were in the sub-350 bps category compared to only 27% of sales For higher spread credits, 20% of purchases involved loans with spreads of 500-plus bps, while 7% of sales were in this category. EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 29

30 Share of Buy/Sell Trading volume SHARE OF TRADING BY MATURITY DATE* IN 1Q17 40% 35% 30% 25% 20% 15% 10% 5% 0% TRADING VOLUME BY MATURITY DATE EUROPEAN CLOS >=2025 *where maturity date available. Buy Sell Maturity Date A large majority of purchases (77%) involved credits with a maturity date of 2023 or greater. This category represented a lower share of sales (46%). EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 30

31 MOST ACTIVELY TRADED NAMES 1Q17 MOST ACTIVELY TRADED NAMES EUROPEAN CLOS # Borrower Buy ( Mils.) Sell ( Mils.) Total ( Mils.) 1 VodafoneZiggo eircom Group Plc Numericable SAS Xella International Gmbh ZIGGO BV Ineos Group Ltd Infor Global Solutions Corialis Group Parex Group Cerba European Lab (CEL) Ferro Corp Acelity Apcoa Parking AG QuintilesIMS Holdings Inc Ethypharm SA Dorna Promocion del Deporte SA (Dorna Sports) Keter Group Fraikin SA MATTERHORN TELECOM SA OGF [Pompes Funebres Generale] GVC Holdings Plc Paroc Group Oy AB Chemours Co Unilabs Holdings SA VERISURE HOLDING AB Tunstall Holdings Ltd Tipico Co Ltd Kuoni Reisen Holding AG Cooper Ltd Maxeda DIY BV EUROPEAN CLO PORTFOLIO TRADING SNAPSHOT 31

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