CLO Insight: Mezzanine softens in junior IG on supply technicals

June 11, 2021

Spreads at AAA level are mostly flat with overall steady mezz demand. The following Empirasign CLO charts on a 30-day rolling average showing AAA and Mezz CLO Volumes versus Spreads for the last five weeks.

LevFin Insights

Bond traders betting on hotels or shopping malls now have Big Data at hand

April 23, 2021

Now that about 40% of the U.S. population has received at least one COVID-19 vaccination shot, more hotels, retail and office buildings across the country have reopened. Empirasign's platform has ramped up too, linking about 65% of all commercial-mortgage bond deals with data showing how fast, or slow, foot traffic has returned to specific properties, with a goal of reaching 95% by May 1. "The underlying reason why many investors have been patient in the past year is their belief that workers will return to offices and tourists will return to hotels," Murphy told MarketWatch. "This is how you can actively monitor the validity of that thesis."

MarketWatch

CLO MONTHLY INSIGHT: European CLO market’s strong run continues in March 2021, as last year's collapse becomes distant memory.

April 08, 2021

European CLO BWIC volumes, as observed by Empirasign, reached €605m in March this year, across 52 BWICs (with a total of 257 line items), compared to €1.54bn in March 2020 (across 53 BWICs, including a total of 368 line items), which was the highest EU CLO volume in current face observed by Empirasign in one single month.

CapitalStructure

Investors pile into risky commercial real estate debt, even as Fed warns of trouble

February 26, 2021

Specifically, some bonds plunged below 50 cents on the dollar in March and others still were valued around 70 cents in November. The data was compiled by Empirasign, a bond-tracking platform, using monthly mutual fund disclosures, which are delayed by 60 days.

MarketWatch

CLO MONTHLY INSIGHT: European CLO market gets off to flying start in January 2021 as investors snap up new issues.

February 03, 2021

Volumes, as observed by Empirasign, point to a substantial year-on-year increase: €586.3m in January 2020 (36 bid lists, 218 total bonds), compared with €928.1m in January 2021 (49 bid lists, 294 total bonds).

CapitalStructure

Mutual Fund Regulations Vex Market Pros

January 29, 2021

Similar concerns surround the mezzanine pieces of agency risk-transfer deals. And in each case, the fund operator would have to be prepared to justify the marks. "The biggest impact will be on the trickier, hard-to-value bonds, which have to document why they value it at a certain price," said Adam Murphy, president of data company Empirasign.

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Asset-Backed Alert

Eager Investors Push CMBS Spreads Together

January 29, 2021

Empirasign has shown very light trading in CRE CLOs since the onset of the pandemic, but a staffer there confirmed that some recent trades priced near and even slightly over par, including subordinate slices of a 2018 deal from Granite Point Mortgage and a 2017 deal from Arbor Realty.

Commercial Mortgage Alert

CLO MONTHLY INSIGHT: September 2020 rally peters out as uncertainties grow about pandemic flare-ups and flow of BWICs.

January 10, 2021

€1.2bn of European CLOs were offered on BWICs during September, according to Empirasign's data.

CapitalStructure

CLO Pipeline: $5B in BSL deals aim to print shortly; CIFC inks a new 5Y AAA benchmark

December 14, 2020

CLO BWIC trading rose last week to $1.6 billion and 413 million euros, according to Empirasign data.

LevFin Insights

Cashflows Resume for CLO Equity

November 20, 2020

This period is following the same pattern, with the $219 million of equity that has changed hands on the secondary market so far this month on track to exceed the October total of $293.3 million, according to Empirasign.

Asset-Backed Alert

Cerberus challenges market to digest flood of mezz

October 22, 2020

The list includes several X notes, secured on excess spread, with the sole euro line being the X note in Finance Ireland’s debut RMBS issue. The largest single position by original factor is the £107m X note in Towd Point-Granite4. All line item data was obtained via Empirasign.

GlobalCapital

CLO MONTHLY INSIGHT: September’s rally peters out as uncertainties grow about pandemic flare-ups and flow of BWICs.

October 01, 2020

€1.2bn of European CLOs were offered on BWICs during September, according to Empirasign's data.

CapitalStructure

CLO Secondary: $2B CLO BWICs past 5-days, $211M AAA list cover 98-100

August 21, 2020

Asset managers sold multiple $80 million to $211 million AAA BWICs Monday to Thursday, according to Empirasign.

LevFin Insights

CLO Secondary: Managers take profits on credit rally offering multiple $100M AAA/A BWICs

August 12, 2020

CLO secondary activity hit $414 million Monday to Wednesday and $1.269 billion for the past five business days, according to Empirasign.

LevFin Insights

CLO Secondary: Equity sales jump to over $1 billion; debt tightens 10 bps

August 06, 2020

CLO BWIC volume for one week stands at $830 million, of which $132 million is offered today, according to Empirasign.

LevFin Insights

LFI CLO Pipeline: Five BSL CLOs ready to price; BlackRock & GoldenTree AAAs hit post Covid tight 155 bps; Secondary trends

July 27, 2020

In CLO secondary, BWIC supply for one week is $703 million, according to structured finance data provider Empirasign.

LevFin Insights

Empirasign Updates Trading Tool

May 08, 2020

Empirasign, which supplies trading data on commercial MBS and other structured products, has added a new feature to help traders navigate dislocated markets. The enhancements to Empirasign's My Portfolio offering are designed to make it easier for traders to identify multiple tranches of deals and set up alerts whenever those bonds are in the market. Adam Murphy, the New York firm's founder and president, said it had long considered adding such capabilities, but the financial-market turmoil brought on by the pandemic made it a no-brainer. Empirasign began notifying clients of the new feature last week. "It is now more important than ever to look at the entire capital structure, even if you are only a subs buyer or a triple-A buyer," Murphy said. "Obviously, all the cashflows are linked." ...According to Empirasign, the number of formal bid solicitations swelled from a weekly average of 95 in January and February, with a combined principal balance of $2.7 billion, to 159 offerings totaling $6.6 billion in March. The weekly average for April was 137 offerings with a combined face value of $5.2 billion.

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Commercial Mortgage Alert

Empirasign Adds to Data Flow

May 08, 2020

Empirasign has added a feature to its deal-tracking technology that instantly notifies users when any tranche of a selected securitization appears on a bid list. The tool previously offered access to secondary-market activity only on a tranche-by-tranche basis. The update also includes a summary of all recent market activity for each deal on a client's "watch list." The new feature launched on May 4, with New York-based Empirasign characterizing it as a response to increased demand for timely information across all deal classes amid the coronavirus crisis. "More than any time in recent memory, people should be watching the entire capital stack," president Adam Murphy said. The notifications are delivered via Bloomberg message or email. The volume of asset- and mortgage-backed bonds available on the secondary market ballooned in March, with $12.4 billion out for bid the week of March 16, according to Empirasign. Many of the bonds didn’t trade, however, and offering volume tapered off to $2.3 billion the week of April 27.

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Asset-Backed Alert

CLO bottom rung cheapens due to downgrades

May 05, 2020

Last week secondary CLO 2.0 flows dropped to $791 million (30% did not trade), from $1.06 billion the prior week, according to BWIC data provider Empirasign. CLO AAA to A classes tightened 10 basis points (bps).

Alternatives Watch

Property bonds trading on Wall Street point to grim outlook for embattled hotel chains

April 23, 2020

Traders circulated a list of five mezzanine mortgage bonds tied mostly to national, extended-stay hotel chains at price talk of about 63 cents to 72 cents on the dollar, according to bond data and tracking platform Empirasign. "Price talk" only reflects what Wall Street dealers think bonds could fetch on the open market, not actual trading levels, but they are widely used as a gauge of market sentiment. Four parcels, with a combined $23.5 million face value, ended up trading hands Thursday, leaving only an $8.4 million slug of BB-rated bonds out in the cold, according to Empirasign.

MarketWatch



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