技术巨头：CLO：我们附上最新的CLO技术巨头幻灯片

The Technical Titan: CLO We attach our latest CLO Technical Titan slide deck The Technical Titanprovides a summary of global CLOmarket technicals, including primary and secondaryvolumes, cross-sector spreads and returns, and fund flows,in a concise slide deck format. The story of the week isnavigating the high CCCs. Gavin Zhu+ 1 212 526 0668gavin.zhu@barclays.comBCI, US Click here for slide deck Last week, our Credit Strategy team published an interesting report on howCCC bonds havethus far underperformed the post-"Liberation Day" recovery, while CCC loans haveoutperformed(even rallying beyond their pre-"Liberation Day" prices). Now, they note thatweaker fundamentals and limited demand from CLOs (as CCC buckets are now up to 4.8%, seeFigure 48 here) may have kept CCC loans structurally cheap leading into the downturn. Back in February, we suggested buying bonds to build par, and in the months since, the medianbond bucket has indeed grown from 1.6% to 2.0% (compared to 0.9% a year ago, see Figure 51here). But the CCC bond versus loan dislocation that our credit team has noted could suggest aneven more specific opportunity:exchange CCC loans for CCC bonds – potentially building parat the expense of bond buckets, while keeping CCC buckets flat. But just how feasible would this be? “It depends on the deal!” we hear you cry – and indeed youwould be right. So to answer that question, we would need to look at how many deals currentlyhave a lot of CCCs (but not too many) and fewer bonds, ie. deals that are more constrained ontheir ability to buy additional CCCs in general, but could exchange CCC loans for CCC bonds. Among the US BSL reinvesting universe,17.8% of deals by count have less than 3% bondsand between 5% and 7.5% CCCs. If we extend this to include deals that have less than 5%CCCs, that jumps to 45.9%(but those deals could add additional CCC loans if desired).Importantly, we have to exclude deals that have above 7.5% CCCs (the standard concentrationlimit) since although they could certainly sell a CCC loan, they wouldn’t be able to actually buythe CCC bond to replace it. FIGURE 1. Almost half of the US BSL reinvesting universe could take advantage of the CCC bonddislocation, with 17.8% potentially more incentivized to do so Excludes deals with <$250m in assets, >20% CCCs, or CCC buckets > 7.5%. Asset ratings use S&P rating.Source: Kanerai, Barclays Research. But that still leaves almost half of the reinvesting US BSL universe potentially able to takeadvantage of the post-"Liberation Day" CCC loan-bond dislocation. Now, it’s not as simple asthis analysis makes it seem, as roughly two-thirds of these CCC bonds are unsecured, whichcomplicates matters – but opportunities to navigate the high CCCs may abound. Analyst(s) Certification(s): I, Gavin Zhu, hereby certify (1) that the views expressed in this research report accurately reflect my personal views about any or all of the subjectsecurities or issuers referred to in this research report and (2) no part of my compensation was, is or will be directly or indirectly related to the specificrecommendations or views expressed in this research report. Important Disclosures: Barclays Research is produced by the Investment Bank of Barclays Bank PLC and itsaffiliates(collectively and each individually, "Barclays"). All authors contributing to this research report are Research Analysts unless otherwise indicated. The publication date at the top of the report reflectsthe local time where the report was produced and maydifferfrom the release date provided in GMT. Availability of Disclosures: For current important disclosures regarding any issuers which are the subject of this research report please refer to https://publicresearch.barclays.com or alternatively send a written request to: Barclays Research Compliance, 745 Seventh Avenue, 13th Floor, New York, NY10019 or call +1-212-526-1072. Barclays Capital Inc. and/or one of itsaffiliatesdoes and seeks to do business with companies covered in its research reports. As a result, investorsshould be aware that Barclays may have a conflict of interest that couldaffectthe objectivity of this report. Barclays Capital Inc. and/or one of itsaffiliatesregularly trades, generally deals as principal and generally provides liquidity (as market maker or otherwise) in the debt securities that are thesubject of this research report (and related derivatives thereof). Barclays trading desks may have either a long and / or short position in such securities,other financial instruments and / or derivatives, which may pose a conflict with the interests of investing customers. Where permitted and subject toappropriate information barrier restrictions, Barclays fixed income research analysts regularly interact with its trading desk personnel regardingcurrent market conditions and prices. Barclays fixed income research analysts receive compensation based on various factors including, but notlimited to, the quality of their wo