Seasoned EU CLO Deals: Key Pre-Reset Metrics (updated)
The table below presents the pre-reset adjusted triple-C exposure, AAA factor, par loss, and equity NAV for reset deals from the 2014 to 2020 vintages, priced this year.
The table below presents the pre-reset adjusted triple-C exposure, AAA factor, par loss, and equity NAV for reset deals from the 2014 to 2020 vintages, priced this year.
Please refer to the table below for key metrics of deals just before and after a reset priced in 2024.
The recent reset of the RRE 3 Loan Management CLO saw its weighted average cost of capital (WACC) rise from 156 bps to 179 bps. However, the extension of the reinvestment period to July 2029 has made the upsized reset accretive for equity investors.
This study examines a sample of 218 deals from the 2015 to 2019 vintages, utilising the Morningstar European Euro-Denominated Loan...
A sample of 218 deals (2015–2019 vintages) managed by 40 managers is included in this study. The benchmark loan index...
A sample of 1,546 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...
Tracking ‘below 80 price exposure’ for CLO underlying collateral can be valuable in assessing tail risk within the asset pool. However, it is important to account for the impact of trading activity on these exposures, as CLO managers may have built par or traded out of distressed assets to crystallise portfolio losses. While this metric has its limitations, particularly as it does not fully account for the impact of trading, it remains a useful tool for providing a quick overview of tail risk in a manager’s CLO collateral pool. It is also static in nature, meaning it is not a return-based metric.
A sample of 496 EU CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool factor below 60% 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. If you’re curious to explore our premium insights or would like a personal walkthrough of the website via Zoom, feel free to reach out at info@clopremium.co.uk.
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.