EU CLOs: Impact on Equity Distributions from Funding Delayed-Issuance Single-B Tranches
The following EU CLO deals issued and priced their single-B tranches this year. These were initially structured for delayed issuance...
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The following EU CLO deals issued and priced their single-B tranches this year. These were initially structured for delayed issuance...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
KKR CLO 29, managed by KKR, was recently reset. The performance of this 2021 vintage deal from an MVOC perspective was...
More deals are expected to be redeemed in 2024, which is already set to be the year when a record number of EU deals will be fully redeemed. The average annual default rate for the 26 deals redeemed since October 2023 stands at 0.6%.
Generate CLO 5, managed by Generate Advisors, was recently reset. The performance of this 2018 vintage deal from an MVOC...
Since October 2023, at least 26 EU CLO deals have been redeemed. The graphs below illustrate the relationship between the...
The top five deals with the narrowest weighted average liability spreads year-to-date (YTD) are GoldenTree Loan Management US CLO 20,...
The top five deals, characterized by the narrowest weighted average liability spreads (AAA-BB) year-to-date (YTD), excluding the single-B tranche, are...
The loan index’s moving 4-week average discounted spreads are used as a proxy for the EU CLO portfolios’ discounted spreads....
Monitor: US BSL CLO New Issue Arb Trend The loan index's moving 4-week average discounted spreads are used as a...
YTD, 70 BSL CLO deals have been reported to have undergone resets. Among these, 15 deals from the 2022–2023 vintages have reduced their cost of funding by an average of 61 bps, while also extending their reinvestment periods by about 2.7 years on average.
The table below shows a list of deals with an equity NAV of at least 100%.
The full list of US CLO deals failing OC/IC tests is shown in the table below.
The top four deals, characterised by the narrowest weighted average liability spreads year-to-date (YTD), are Aqueduct European CLO 8, CVC Cordatus Loan Fund XXXI CLO, Avoca CLO XXIX, and Bridgepoint CLO VI.
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 19, 2024.
