As shown in the table below, across all issuance years, the median IRRs of EU CLO equity tranches were higher than their corresponding median BB tranches. However, BB tranches tend to exhibit a more stable IRR profile and demonstrated better IRR performance at the 25th percentile for deals from 2015, 2016, 2017, 2018, and 2022.
As shown in the tables below, deals from the 2013, 2021, and 2023 vintages saw higher IRRs for their equity tranches compared to their BB tranches.
A total of 463 EU CLO deals have either already passed their non-call period or will do so by the...
Please find below the table for the WACC of 463 EU CLOs by vintage. These 463 deals have either already...
The recent reset of Armada Euro CLO II, managed by Brigade Capital Europe, was an interesting one. This deal had...
Please find below the estimated US CLO equity IRRs of a sample of 66 US CLO deals that were redeemed in Q2 2024, categorized by vintage. An issue price of $95 is assumed.
The rate of paydown for CLO-rated debt after the conclusion of the reinvestment period (RP) is influenced by several factors....
Please see the table below for the list of US BSL CLO managers who have priced a deal in June...
The top five non-short-dated US BSL CLO deals with the narrowest weighted average liability spreads based on discount margins (DMs)...
US CLO Manager Report: Canyon
A sample of 557 EU CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool factor below 65% are excluded. Market Value Over-Collateralization (MVOC), for instance, at the BB tranche level, is calculated by dividing the collateral market value (MV) by the sum of CLO liabilities (AAA to BB). MVOC is a crucial point-in-time metric for pricing CLO-rated tranches, closely monitored by primary and secondary market participants.
According to LCD news, Alcentra has announced the proposed redemption of Jubilee CLO 2014-XI, originally issued in 2014. Subordinated noteholders...
The top five deals, characterized by the narrowest weighted average liability spreads (AAA-BB) year-to-date (YTD), excluding the single-B tranche, are...
A sample of 1,635 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...
