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KKR CLO 29, managed by KKR, was recently reset. The performance of this 2021 vintage deal from an MVOC perspective was...

Generate CLO 5, managed by Generate Advisors, was recently reset. The performance of this 2018 vintage deal from an MVOC...

Since October 2023, at least 26 EU CLO deals have been redeemed. The graphs below illustrate the relationship between the...

YTD, 70 BSL CLO deals have been reported to have undergone resets. Among these, 15 deals from the 2022–2023 vintages have reduced their cost of funding by an average of 61 bps, while also extending their reinvestment periods by about 2.7 years on average. 

The table below shows a list of deals with an equity NAV of at least 100%.

The full list of US CLO deals failing OC/IC tests is shown in the table below.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of April 19, 2024.

Interestingly, a significant number of these deals have fixed-rate tranches that are currently 'out of the money,' meaning that these tranches are expensive to refinance. However, the cost savings from other tranches during a reset outweigh the costs of refinancing the fixed-rate tranche. This implies that holders of the fixed-rate tranches would be pleased with more resets, as this would allow them to be prepaid at par.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of April 12, 2024.

The top four deals, characterised by the narrowest weighted average liability spreads year-to-date (YTD), are Avoca CLO XXIX, Bridgepoint CLO VI, Avoca CLO XXX, and Fair Oaks Loan Funding V CLO. This likely highlights the robust performance of these managers from a debt perspective. For a ranking of EU CLO new issue spreads YTD, based on the weighted average cost of liabilities, refer to the table in this article.

Please see the table below for year-to-date (YTD) changes in EU CLO AUM by manager as of 2 April 2024.

It was an absolute pleasure to present at the IMN & FIIN Euro CLO Conference on 20th March 2024. Please find the link below for the presentation slides.

Please refer to the table below for the equity IRRs of the list of redeemed EU CLO deals year-to-date. Notably, Palmer Square European Loan Funding 2022-3,...

Apart from the 12 deals previously mentioned, there are 29 additional deals, as outlined in the table below, that would experience impairment in their single-B tranches under a scenario in which underlying assets...

The collateral for these deals totalled approximately EUR 8.4 billion.