Basic Premium

Rest assured, our research articles are supported by extensive experience in CLO investment and portfolio management. Owing to the proprietary research nature of our CLO Premium service, we do not provide free trials. If you’re interested in learning about the pricing for premium content, please don’t hesitate to email me at info@clopremium.co.uk.

Basic Premium

EU CLO Managers: Varying Prepayment Rates in the Post-Reinvestment Period

While each CLO deal is different, understanding the historical prepayment rates during the post-RP for each manager remains highly beneficial. Analysing these rates offers insights into the tendencies of different managers, highlighting those who consistently achieve lower prepayment rates and those who tend to experience higher rates in the post-reinvestment phase. In particular, 12 EU CLO managers have kept their annualised prepayment rates in the single digits for the first and second years post-RP, as shown in the table below. Among them, 5 managers have so far demonstrated the ability to keep annualised prepayment rates in the single digits for the first to third years post-RP.

Basic Premium

US BSL CLOs: Tightest New Issue WACC YTD (Updated)

The top five non-short-dated US BSL CLO deals with the narrowest weighted average liability spreads based on DMs year-to-date (YTD) now include Magnetite XL CLO, Neuberger Berman Loan Advisers CLO 56, RAD CLO 25, GoldenTree Loan Management US CLO 20, and CIFC Funding 2024-III. Their WACCs range from 182.6 bps to 185.5 bps.

Basic Premium

Review: The Reset of Anchorage Capital CLO 7

The reset of Anchorage Capital CLO 7, managed by Anchorage Capital, was quite interesting in a number of ways. Its equity NAV was low (though in line with its peers for the same semi-annual vintage) before the reset, given that this deal was issued almost 9 years ago. Typically, a combination of a class X tranche and/or an injection of equity would be needed. If the deal were liquidated instead of reset, its equity IRR would register around 12%, assuming a par issue price. The decision to reset rather than redeem or sell the equity tranche on the secondary market suggests that this reset is accretive and more lucrative than a full redemption or sale.

Basic Premium

Review: The Reset of Madison Park Funding LIX

The recent reset of Madison Park Funding LIX, managed by CSAM, is accretive as the WACC remains largely the same at around 191-192 bps before and after the reset. Additionally, this deal has been extended by approximately 4.3 years, and its equity notional has increased by $11.18 million.

Basic Premium

US CLO Managers: Varying Prepayment Rates in the Post-Reinvestment Period

While each CLO deal is different, understanding the historical prepayment rates based on the original collateral balance during the post-RI period for each manager remains highly beneficial. Analyzing these rates offers insights into the tendencies of different managers, highlighting those who consistently achieve lower prepayment rates and those who tend to experience higher rates in the post-reinvestment phase. To illustrate these trends, the following table presents the average first-year, second-year, and third-year annualized prepayment rates for each manager, based on data from their seasoned deals that have passed their reinvestment end dates. These historical post-RI prepayment rates could be useful as cash flow modeling inputs for each manager.

Basic Premium

US BSL CLO Managers: Top-Tier CLO Equity Performance

This study includes a sample of 603 seasoned deals that have concluded their reinvestment periods. Notably, CSAM has stood out as the most successful all-weather manager, consistently delivering good returns to equity investors. If you’re interested in learning about the pricing for premium content, please don’t hesitate to email me at info@clopremium.co.uk.

Basic Premium

Post-2012 US CLO Equity IRRs Categorised by Vintage

Based on 558 post-2012 US CLO deals that have been redeemed or paid off so far, those from the 2014 and 2018 vintages performed the worst. However, the sample size for the 2018 vintage deals is still relatively small. Deals from the 2020 and 2022 vintages performed the best, with median deals registering IRRs of...

1 2 26
Page 1 of 26