CLO Research Workshop
CLO Research Group is planning a specialist workshop for CLO market professionals, focusing on practical approaches to CLO investment analysis, relative value and secondary-market trading.
CLO Research Group is planning a specialist workshop for CLO market professionals, focusing on practical approaches to CLO investment analysis, relative value and secondary-market trading.
US CLO exposure to the Scientific Games 6/24 covenant-lite TLB totals $1.48 billion across 880 CLOs managed by 56 managers, with an average exposure of 0.43% per deal.
Yesterday’s US CLO BB BWIC totalled USD 40.39m in original face amount across 12 lines. MAGNE and SAND were covered closest to par at 99.57 and 99.51, respectively. CIFC had the tightest dealer DM at 510 bp.
Recent vintages underperformed as distributions received over their shorter lives were insufficient to offset the capital losses implied by BWIC levels, weighing on overall returns.
The five largest industries by sub-80 exposure account for about half of the total exposure to assets priced below 80.
The broader EU CLO single-B market continues to exhibit significant mark-to-market (MTM) pressure, with a substantial proportion of tranches showing limited or negative MV collateral coverage cushions.
