How do CLO managers perform from a debt investor’s perspective?
What does the latest arbitrage landscape look like? Which managers consistently show higher post-RP prepayment rates? If you’re curious to explore our premium insights or would like a personal walkthrough of the website via Zoom, feel free to reach out at info@clopremium.co.uk. Please note, due to the proprietary nature of our research, we do not offer free trials.
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.
The manager, Carlyle, has done well in resetting Carlyle U.S. CLO 2017-2, despite having a low MVOC (BB) of around 102% before the reset...
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.
Given its relatively solid equity NAV, no additional equity was required for this reset. Only a $3 million class X tranche was included to support the new reset structure.
This study includes a sample of 602 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.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
Based on 57 post-2013 EU CLO deals that have been redeemed so far, CLO equity tranches from the 2020 and 2022 vintages stood out, as highlighted by their impressive final IRRs, bolstered by solid final equity NAV metrics.
The Eaton Vance CLO 2019-1 reset was recently priced. Before the reset, the equity NAV of this 2019 vintage deal...
At least 69 deals have been redeemed or paid off since October 2023.
The reset of RAD CLO 16, managed by Irradiant, was very much expected given its high Weighted Average Cost of...
Elmwood CLO IV, managed by Elmwood Asset Management, was recently reset. Its new Weighted Average Cost of Capital (WACC) across...
With a WACC of 183 bps, it was priced tighter than any primary issue WACC recorded year-to-date (YTD).
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...
