The steady loan spread compression since early 2024 has been particularly negative to long-dated CLO equity, especially those issued in 2024 that remain in their non-call period. This feature benefits CLO debt investors, who are able to lock in wider spreads for longer, but comes at the expense of equity holders.
A sample of 1,674 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.
Among the top performers are Oak Hill Advisors, UBS AM, and Palmer Square Capital Management.
This week saw a list of seasoned EU CLO BBB bonds, all of which received covers well above par, with discount margins in a narrow range of 302–311 bps. This is despite their varying reinvestment end dates. Two bonds have passed their reinvestment period (RP) by over two years, one has just concluded its RP, and two have RPs ending in 2026.
Some of the top-performing EU CLO managers include RRAM, Brigade Capital, Guggenheim Partners, Partners Group, and Bridgepoint Credit Management.
Some of the top-performing managers include Diameter Capital, Oak Hill Advisors, Benefit Street Partners, Clover, Whitebox Capital Management, Allstate Investments, and BlackRock Financial Management.
Today, Blackstone’s Allegany Park refinancing priced, reducing its WACC by 22 bps from 175 bps to 153 bps. The deal...
This week saw two majority equity blocks on BWIC: GNRT 2022-10A SUB with $31 million notional and ELM17 2022-4A SUB with $35 million notional.
Signal Harmonic CLO I’s reset priced its AAA tranche at 140 bps. At first glance, this may seem wide compared with peers, but...
Between 8 and 12 August, more than 10 BSL CLO AAA tranches still within their non-call periods changed hands, with every bond trading above par. The graph below shows that, across bonds managed by managers of all tiers, discount margins (DMs) to call rose in step with weighted average lives (WALs) to call, forming an upward-sloping term curve.
A sample of 554 EU CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 60% are excluded.
The table below shows the range of arbitrage levels achieved by 2025-vintage deals with fully ramped portfolios. The median actual arbitrage achieved was approximately 16 bps higher than that of its US counterparts.
The first table in this article shows the range of arbitrage levels achieved by 2025-vintage deals with fully ramped portfolios. The median arbitrage metric across the sample stands at approximately 178 bps.
The table in this article summarises the findings on equity IRRs for both reset and non-reset CLO equity tranches. Reset tranches have materially outperformed their non-reset counterparts. Generally, stronger-performing deals are more likely to undergo a reset. Underperforming deals often face challenges in resetting due to the substantial equity capital required, and equity investors may be reluctant to commit further capital to weaker-performing transactions. That said, exceptions do exist.
No new equity capital was required for the reset; instead, a $2 million Class X tranche was introduced. The deal’s MVOC was strong pre-reset...
