Chart of the Week: Alpha Bets
CLO asset and liability spreads move in concert, down now below pre-Covid levels.
CLO asset and liability spreads move in concert, down now below pre-Covid levels.
CLO liability spreads for the most creditworthy tranches have fallen below pre-Covid levels.
Formation of new collateralized loan obligations slowed last year, but picked up in 2021.
The difference between the five-year Treasury and five-year TIPS shows inflation expectations higher than the Fed’s 2% target.
Since the Volcker Shock of 1980 consumer prices have fallen to a range of 2-3%.
Recently compressed loan spreads leading to more BSL repricings; middle market is lagging.
Expectations for an improved economy has driven yields and time to a Fed hike in opposite directions.
First-lien middle market direct lending deals proved the best value vs. large cap and unitranches.
A “whopping” 85% of direct lenders characterized deal flow expectations as equal or better than pre-Covid levels.
Reflecting investors’ preference for defensive sectors, business services led all industries for loans recently launched.