As shown in the graph in this freemium article, with the 4-week moving average loan spread now firmly staying below the 400 bps mark, the current top-tier US BSL CLO AAA print increasingly appears cheap relative to historical prints. If you’re an investor in the CLO market, we would like to invite you to register with us using your business email address to gain free access to our freemium content.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of April 12, 2024.
The top four deals, characterised by the narrowest weighted average liability spreads year-to-date (YTD), are Avoca CLO XXIX, Bridgepoint CLO VI, Avoca CLO XXX, and Fair Oaks Loan Funding V CLO. This likely highlights the robust performance of these managers from a debt perspective. For a ranking of EU CLO new issue spreads YTD, based on the weighted average cost of liabilities, refer to the table in this article.
Please refer to the table below for a comprehensive list of US CLO managers, along with their Broadly Syndicated Loans (BSL) and Middle Market (MM) assets (in billions), under US CLO management as of April 5, 2024. If you’re an investor in the CLO market, we would like to invite you to register with us using your business email address to gain free access to our freemium content.
Golub Capital has become the largest US CLO manager, managing $40.1 billion in US CLO AUM. Blackstone remains the largest EU CLO manager, closely followed by CVC, with Carlyle holding the third position.
Please see the table below for year-to-date (YTD) changes in EU CLO AUM by manager as of 2 April 2024.
It was an absolute pleasure to present at the IMN & FIIN Euro CLO Conference on 20th March 2024. Please find the link below for the presentation slides.
Please refer to the table below for a complete list of EU CLO managers and their assets under management (in billions), as of 2 April 2024. If you’re an investor in the CLO market, we would like to invite you to register with us using your business email address to gain free access to our freemium content.
Please refer to the table below for the equity IRRs of the list of redeemed EU CLO deals year-to-date. Notably, Palmer Square European Loan Funding 2022-3,...
Apart from the 12 deals previously mentioned, there are 29 additional deals, as outlined in the table below, that would experience impairment in their single-B tranches under a scenario in which underlying assets...
The collateral for these deals totalled approximately EUR 8.4 billion.
Apart from the 11 deals previously mentioned, there are 20 additional deals, as outlined in the table below, that would experience impairment in their BB tranches under a scenario in which underlying assets...
The dispersion between WACC is quite small, at less than 9 basis points (bps) between the 75th percentile deal and the 25th percentile deal.
Recently, the arbitrage metric for new-issue US CLOs has exhibited a downward trend. It is noteworthy that when GoldenTree Loan...
Since June 2023, 81 BSL CLO deals have been reported to have undergone resets. Among these, 38 deals from the 2022–2023 vintages have reduced their cost of funding by an average of 44 bps, while also extending their reinvestment periods by about 2.5 years on average. These transactions are regarded as the most straightforward cases for resets, significantly boosting the value of equity investments through substantial reductions in funding costs and extended reinvestment periods.
