If the loan market continues to grind tighter, with the four-week moving average loan index’s spread migrating into the 360–390 bps range, then AAA prints may tighten to 141-143 bps, using historical trends as a guide.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
While each CLO deal is different, understanding the historical prepayment rates during the post-RP for each manager remains highly beneficial. Analysing 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. In particular, 12 EU CLO managers have kept their annualised prepayment rates in the single digits for the first and second years post-RP, as shown in the table below. Among them, 5 managers have so far demonstrated the ability to keep annualised prepayment rates in the single digits for the first to third years post-RP.
A sample of US BSL CLO 1480 deals is included in this study. The table below lists managers with at least three of their deals in the top quartile. The top five managers with the highest number of deals in the top quartile are Oak Hill Advisors, Golub Capital, CSAM, Benefit Street Partners, and Blackstone.
The reset of Anchorage Capital CLO 7, managed by Anchorage Capital, was quite interesting in a number of ways. Its equity NAV was low (though in line with its peers for the same semi-annual vintage) before the reset, given that this deal was issued almost 9 years ago. Typically, a combination of a class X tranche and/or an injection of equity would be needed. If the deal were liquidated instead of reset, its equity IRR would register around 12%, assuming a par issue price. The decision to reset rather than redeem or sell the equity tranche on the secondary market suggests that this reset is accretive and more lucrative than a full redemption or sale.
The recent reset of Madison Park Funding LIX, managed by CSAM, is accretive as the WACC remains largely the same at around 191-192 bps before and after the reset. Additionally, this deal has been extended by approximately 4.3 years, and its equity notional has increased by $11.18 million.
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 602 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...
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.
The Eaton Vance CLO 2019-1 reset was recently priced. Before the reset, the equity NAV of this 2019 vintage deal...
At least 69 US CLO deals have been redeemed or paid off since October 2023. Impressively, two static deals from the 2022 vintage—KKR Static CLO 2, managed by KKR, and Stratus Static CLO 2022-1, managed by Blackstone...
