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The manager, Carlyle. has done well in resetting Carlyle U.S. CLO 2017-2, despite having a low MVOC (BB) of around 102% before the reset...

While each CLO deal is different, understanding the historical prepayment rates based on the original collateral balance during the post-RI period for each manager remains highly beneficial. Analyzing these rates offers insights into the tendencies of different managers, highlighting those who consistently achieve lower prepayment rates and those who tend to experience higher rates in the post-reinvestment phase. To illustrate these trends, the following table presents the average first-year, second-year, and third-year annualized prepayment rates for each manager, based on data from their seasoned deals that have passed their reinvestment end dates. These historical post-RI prepayment rates could be useful as cash flow modeling inputs for each manager.

Given its relatively solid equity NAV, no additional equity was required for this reset. Only a $3 million class X tranche was included to support the new reset structure.

This study includes a sample of 603 seasoned deals that have concluded their reinvestment periods. Notably, CSAM has stood out as the most successful all-weather manager, consistently delivering good returns to equity investors. If you’re interested in learning about the pricing for premium content, please don’t hesitate to email me at info@clopremium.co.uk.

Based on 558 post-2012 US CLO deals that have been redeemed or paid off so far, those from the 2014 and 2018 vintages performed the worst. However, the sample size for the 2018 vintage deals is still relatively small. Deals from the 2020 and 2022 vintages performed the best, with median deals registering IRRs of...

Monitor: US BSL CLO New Issue Arb Trend The loan index's moving 4-week average discounted spreads are used as a...

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...

Based on 57 post-2013 EU CLO deals that have been redeemed so far, CLO equity tranches from the 2020 and 2022 vintages stood out, as highlighted by their impressive final IRRs, bolstered by solid final equity NAV metrics.

With the latest very tight WACC print from BlackRock at under 170 bps, the top five non-short-dated US BSL CLO...

The Eaton Vance CLO 2019-1 reset was recently priced. Before the reset, the equity NAV of this 2019 vintage deal...

At least 69 deals have been redeemed or paid off since October 2023.

The reset of RAD CLO 16, managed by Irradiant, was very much expected given its high Weighted Average Cost of...

Elmwood CLO IV, managed by Elmwood Asset Management, was recently reset. Its new Weighted Average Cost of Capital (WACC) across...

With a WACC of 183 bps, it was priced tighter than any primary issue WACC recorded year-to-date (YTD).

The following EU CLO deals issued and priced their single-B tranches this year. These were initially structured for delayed issuance...