Freemium

Seasoned EU CLO AAAs: WAL a Key Driver of Pricing

Last Friday saw several seasoned EU CLO AAA tranches trade, with cover bids ranging from 79 DM to 101 DM, corresponding to WALs of 0.85 to 2.8 years. A spread difference of around 22 bps for roughly two years’ difference in WAL highlights the important role WAL plays in AAA pricing.

US Module

*Ranking US BSL CLO Managers by Equity Performance*

This study is based on a sample of 1,712 U.S. BSL CLO deals. Diameter, OHA, and GoldenTree have delivered solid equity performance. In terms of AUM and performance, managers with over USD 10 billion in AUM outperformed their peers. For example, larger managers recorded a median performance percentile of 56th, compared with 43rd for mid-sized managers and 40th for those with smaller CLO platforms.

EU Module

*Ranking EU CLO Managers by Equity Performance (Updated)*

Based on a detailed review of 596 EU CLO deals, this study highlights which managers have delivered standout equity results across vintages. Redding Ridge AM and Bridgepoint Credit lead the way, with several others also ranking in the top quartile. Out of the 596 deals in the sample, 251 adopt a vertical risk retention structure and 345 a first-loss risk retention structure. Overall, first-loss deals have outperformed their vertical counterparts. For instance, the median vertical equity tranche ranks at the 46th percentile, compared with the median first-loss equity tranche at the 54th percentile. Twenty-eight EU CLO managers have both vertical and first-loss deals under management. Of these, 18 saw their first-loss deals outperform their vertical deals on average, while 10 experienced stronger performance from their vertical deals.

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Clopremium