Monitor: EU CLO New Issue Arbitrage Trend
The loan index’s moving 4-week average discounted spreads are used as a proxy for the EU CLO portfolios’ discounted spreads....
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The loan index’s moving 4-week average discounted spreads are used as a proxy for the EU CLO portfolios’ discounted spreads....
The recent reset of Elmwood CLO V, the deal’s second reset, marked the manager’s impressive 15th reset since mid-last year....
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL deals by vintage, based on asset prices...
If this deal is reset, the original Class E and F tranches are estimated to achieve IRRs of 7.7% and 10.5%, respectively. The manager has done a good job of preserving the principal value of the collateral pool.
According to Pitchbook LCD, Partners Group announced yesterday that it is considering the potential liquidation of Penta CLO 4. This...
Edmondstown Park CLO, managed by Blackstone and arranged by BNPP, has performed exceptionally well, with an expected net equity IRR exceeding 32%, based on an assumed issue price at par.
A sample of 484 EU CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool factor below 65% are excluded.
A sample of 1,577 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...
The underlying modeled collateral spreads are crucial for equity investors, as these modeled spreads are key in determining the issue price of CLO equity tranches. If a deal reports a significantly lower first reported collateral spread, the original attractiveness of the equity investment at a certain price may change as a result.
From the perspective of debt investors, a more rapid prepayment rate is typically preferable following the reinvestment period (RP). A low post-RP prepayment rate would increase the credit exposure of the underlying collateral pool and prolong the duration of the CLO debt tranches. The rate of post-RP paydown is particularly relevant today, given that debt tranches are currently priced at relatively tight levels. 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 their reinvestment end dates ending before January 2024.
Based on the number of resets and refinancing deals priced year-to-date (YTD), it is clear that resets remain the preferred option over refinancing.
GoldenTree had liquidated two of its 2018 CLOs, namely GoldenTree Loan Management EUR CLO 1 and GoldenTree Loan Management EUR CLO 2.
A sample of 492 EU CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool factor...
Monitor: US BSL CLO New Issue Arb Trend The loan index's moving 4-week average discounted spreads are used as a...
A sample of 1,601 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...
