Basic Premium

Please see the table below for the list of US BSL CLO managers who have priced a deal since May...

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.

The top five non-short-dated US BSL CLO deals with the narrowest weighted average liability spreads based on discount margins (DMs) year-to-date (YTD) now include AGL CLO 33, Symphony CLO 41, AGL CLO 32, Palmer Square CLO 2024-2, and Lodi Park CLO. Deals without reported DMs are excluded from the calculation.

A sample of 1,610 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

As of July 19, 2024, the latest arbitrage metric was recorded at 223 bps, a visible improvement thanks to the recent tightening of CLO liabilities without the corresponding asset spread compression.

As of 19 July 2024, the latest arb metric was recorded at 249 bps, significantly higher than the median value of 219 bps for 2023. More recently, the upward trajectory of the arbitrage trend has continued, thanks to tighter liability prints without corresponding asset spread tightening.

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...

Please find the table below for the full list of EU CLO Managers and their EU CLO AUM trends since 31 Dec 2017.

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...

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.