US BSL CLO Managers: Top-Tier CLO Equity Performance Based on Reinvesting Deals
This study includes a sample of 952 deals that are still in their reinvestment periods. How do the 2013–2022 vintage...
This study includes a sample of 952 deals that are still in their reinvestment periods. How do the 2013–2022 vintage...
This study includes a sample of 277 EU CLO deals that are still in their reinvestment periods. How do the...
Edmondstown Park CLO, managed by Blackstone and arranged by BNPP, has performed exceptionally well, with an expected net equity IRR exceeding 32%, based on an assumed issue price at par.
August 2024: Summary of CLO Research Insights
A sample of 484 EU CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool factor below 65% are excluded.
A sample of 1,574 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...
From the perspective of debt investors, a more rapid prepayment rate is typically preferable following the reinvestment period (RP). A low post-RP prepayment rate would increase the credit exposure of the underlying collateral pool and prolong the duration of the CLO debt tranches. The rate of post-RP paydown is particularly relevant today, given that debt tranches are currently priced at relatively tight levels. The following table presents the average first-year, second-year, and third-year annualized prepayment rates for each manager, based on data from their seasoned deals that have their reinvestment end dates ending before January 2024.
Based on the number of resets and refinancing deals priced year-to-date (YTD), it is clear that resets remain the preferred option over refinancing.
GoldenTree had liquidated two of its 2018 CLOs, namely GoldenTree Loan Management EUR CLO 1 and GoldenTree Loan Management EUR CLO 2.
How do the 2012–2022 vintage US BSL CLO deals perform in terms of cumulative equity distributions plus NAV?
A sample of 492 EU CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool factor...
A sample of 1,594 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...
The recent reset of Birch Grove CLO 2 has been accretive, reducing the weighted average cost of capital (WACC) by...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
Managers who have been proactive in restructuring their seasoned deals whenever opportunities arise would be viewed favourably.