US CLO Manager Report: Canyon
US CLO Manager Report: Canyon
A sample of 557 EU CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool factor below 65% 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.
According to LCD news, Alcentra has announced the proposed redemption of Jubilee CLO 2014-XI, originally issued in 2014. Subordinated noteholders...
The top five deals, characterized by the narrowest weighted average liability spreads (AAA-BB) year-to-date (YTD), excluding the single-B tranche, are...
A sample of 1,635 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
Please refer to the table below for a complete list of EU CLO managers and their assets under management (in billions), as of 30 June 2024.
It is evident that the AAA tranches of top-tier deals are still priced wider than historical norms, albeit the gap has been narrowing each week. In contrast, AA tranches are largely in line with historical levels, while single-A to BB tranches are significantly tighter.
Please find the table below for the net interest margin (NIM) change year-to-date, by vintage, for reinvesting US BSL CLO deals with a reinvestment end date from 1 July 2024 onward.
Thanks to the solid performance of the deal, no new equity capital was needed, and only a small class X tranche was added.
A sample of 1,651 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...
As of 28 June 2024, the US BSL CLO arbitrage metric was recorded at 223 bps, which is now in...
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 June 30, 2024.
Despite the fast pace of primary CLO issuance in Q2 2024, the net senior AAA supply for BSL CLOs was...
According to LCD News, Barings has announced the liquidation of Barings Euro CLO 2014-2, with the expected redemption date set for 31 July. This deal was issued on 4 November 2014. It was reset on 25 May 2017, pushing out its original reinvestment end date from 25 November 2018 to 25 May 2021.