Redding Ridge celebrated a significant milestone with an AAA print of 141 bps for its RRE 19 Loan Management deal on 24 May 2024. The deal’s estimated blended WACC (AAA-BB) of around 196-197 bps is the tightest so far this year.
It is interesting to note that managers with a primary CLO blended DM print of below 190 bps are represented across the performance percentiles. In other words, managers in both the top and bottom quartiles managed to print their CLO liabilities with a blended DM of less than 190 bps.
Please see the table below for the list of US BSL CLO managers and the average percentile across at least 10 of their deals, based on asset prices as of May 28, 2024. It is also interesting to note that managers with a primary CLO blended DM print of below 190 bps are represented across the performance percentiles.
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 Elmwood.
It is not straightforward to compare annual distributions between performing deals as many variables—such as the amortisation of the class...
Net interest margin (NIM) and the leverage of the CLO structure are among the main driving factors that determine the longer-term equity distribution trend. The net interest margin at the outset is an important number that market participants look at to decide if there is enough arbitrage for equity investors in a stable market condition.
Please see the two tables below for the market share breakdown of CLO collateral administrators in both the US and EU CLO markets.
Based on a sample of 955 US BSL CLO deals that are still in their reinvestment period, Oak Hill, CSAM, GoldenTree, Elmwood, and Blackstone stood out with at least 10 of their CLO equity tranches ranking in the top 20th percentile among their peers.
The pricing of the AIMCO CLO 10 reset was impressive. This reset is accretive, as the deal’s WACC tightened slightly from 177.6 bps to 176.9 bps, and an additional 5 years of reinvestment period were added to the deal. In fact, its reset WACC was the tightest year-to-date in both the reset and primary markets at the time of the pricing.
Notably, Oak Hill, CSAM, GoldenTree, Elmwood, and Blackstone stood out with 10 of their deals ranking in the top 20th percentile among their peers.
This deal was issued in late December 2017 and enjoyed a favorable original WACC of 179 bps. Before the reset, its AAA tranche was amortized to a factor of 66.2% after it passed its reinvestment end date on January 17, 2023.
The second reset of OHA Loan Funding 2016-1, managed by OHA, is accretive as the WACC tightens by 6 bps...
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.
