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Due to the slower pace of amortization during the post-reinvestment period, net senior AAA supply for EU CLOs was positive in Q2-to-date, contrasting with US BSL counterparts. Despite these differing supply dynamics, senior AAA spreads tightened by approximately 13 bps and 16 bps for top-tier US CLO and EU CLO managers, respectively, during this period.
Please find the table below for the net interest margin (NIM) change year-to-date, by vintage, for reinvesting EU CLO deals with a reinvestment end date from 1 July 2024 onward.
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.
The picture of the senior AAA flows of EU CLOs is quite different from their US counterparts, due to much slower amortization rates during the post-reinvestment period.
A sample of 1,662 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...
With less than a week remaining, it appears that the net supply for senior AAA tranches of US BSL CLOs...
The recent pricing of Madison Park Funding XLIV (44) saw the deal’s liability notional downsized by around $79 million, from...
Following the reset, the deal's reinvestment period extended by 4.6 years, and its WACC decreased by around 4 bps, despite a wider AAA pricing. This was achieved thanks to a more efficient capital structure and tighter pricing in other rated tranches.
Following the recent pricing of the reset OCP CLO 2019-17, the deal’s reinvestment period was extended by 5 years, and...
The latest pricing of the reset of Allstate’s AIMCO CLO 18 saw its WACC tighten by a significant 87 bps,...
The recent reset of Blackstone-managed Bear Mountain Park CLO was highly accretive, reducing its WACC by around 77 bps from...
The table below shows the estimated historical median new issue MM CLO pricing DMs for AAA/AA/A/BBB when the four-week moving...
Partners Group achieved an impressive milestone with an AAA print of 136 bps for its Penta CLO 17 deal on...
This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as the benchmark loan index.
The top managers with the highest number of deals in the top quartile are Oak Hill Advisors, Golub Capital, CSAM, Benefit Street Partners, Sixth Street, Elmwood, CVC, Blackstone, and Blackrock.
