CLO Research

A sample of 1,684 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

The pricing of the second reset of Elmwood CLO III saw its WACC tighten by 23 bps, from 206 bps to 183 bps, and its reinvestment period increase by 2.8 years. Its AAA pricing at 138 bps was the tightest year-to-date in the reset and new issue CLO market at the time of pricing.

In the 2.0 CLO landscape, it is quite uncommon to see very high cash-on-cash equity distributions. However, 42 regular reinvesting US BSL CLO deals have distributed impressive cash payments to their equity investors, with annualized payments of around 25% or more so far this year.

The recent pricing of the second reset of NB CLO 17 was accretive. This reset added 5 years to its reinvestment period and reduced its current WACC from 188 bps to 183 bps. The deal now has a staggering 15 years of reinvestment period based on its primary issue closing date on July 16, 2014. The manager had been successful in keeping the deal invested after the reinvestment end date in April 2022.

The recent pricing of Madison Park Funding XXXI saw the deal’s liability notional slightly upsized by $18 million, from $718...

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.