CLO Research

The top four deals, characterised by the narrowest weighted average liability spreads year-to-date (YTD), are Aqueduct European CLO 8, CVC Cordatus Loan Fund XXXI CLO, Avoca CLO XXIX, and Bridgepoint CLO VI.

As of September 30, 2024, the latest arbitrage metric was recorded at 226 bps. In fact, the arbitrage metrics have...

With the recent reset of OHA Credit Funding 5, Oak Hill Advisors has now completed its 11th reset across deals...

Please find below the estimated US CLO equity IRRs of a sample of 117 US CLO deals that were redeemed in 2024 year-to-date, categorized by vintage. An issue price of $95 is assumed.

Based on a sample of 75 EU CLO deals that have either already been redeemed or are expected to be fully redeemed soon, CLO equity tranches from the 2020, 2022, and 2023 vintages stood out, delivering impressive final IRRs supported by strong equity NAV metrics. As shown in the table above, their average equity NAVs exceeded 100%, highlighting robust performance.

A sample of 1,557 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

Pitchbook LCD reports that Spire Partners has submitted a notice of intent to reset or refinance Aurium CLO I, a CLO vehicle that was previously reset and concluded its reinvestment period in March of this year. This deal was originally issued on 26 March 2015.

Please find the table below for the net interest margin (NIM) change year-to-date, by vintage, for reinvesting US BSL CLO deals with a reinvestment end date from October 1, 2024 onward.

Please find the table below for the net interest margin (NIM) change year-to-date, by vintage, for reinvesting EU CLO deals with a reinvestment end date from 1 October 2024 onward.

KKR has excelled in preserving the equity NAV of these two seasoned deals.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL deals by vintage, based on asset prices...

A sample of 496 EU CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool factor...

According to Pitchbook LCD, Barings announced yesterday that it is considering the potential liquidation of Barings Euro CLO 2014-1. This...

With the recent reset of OHA Credit Funding 9, the manager's ninth reset across deals from 2013 to 2021, Oak Hill Advisors now ranks among those with the highest number of seasoned deal resets since mid-last year, as of the time of writing.

The following table shows the number of US CLO deals failing OC/IC tests, categorized by manager.