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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.
Apart from the 11 deals previously mentioned, there are 20 additional deals, as outlined in the table below, that would experience impairment in their BB tranches under a scenario in which underlying assets...
Since June 2023, 81 BSL CLO deals have been reported to have undergone resets. Among these, 38 deals from the 2022–2023 vintages have reduced their cost of funding by an average of 44 bps, while also extending their reinvestment periods by about 2.5 years on average. These transactions are regarded as the most straightforward cases for resets, significantly boosting the value of equity investments through substantial reductions in funding costs and extended reinvestment periods.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
Managers with top-tier AAA spreads of 150 bps or tighter, based on median metrics, have consistently outperformed both the industry’s average and median alpha performance. Year-to-date, managers who have achieved AAA spreads of 150 bps or tighter include Blackstone, Blackrock, CIFC, Goldentree, Octagon, Ares, NB, PGIM, CVC, Oah Hill, Palmer Square, Elmwood, and Allstate.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
Overall, during the post-reinvestment period, the manager's average annualized prepayment rates for the first and second years are 8% and 13%, respectively. These rates are significantly lower than those of their peers, which are 16.2% in the first year and 26.1% in the second year.
The rate of paydown for CLO-rated debt after the conclusion of the reinvestment (RI) period is influenced by several factors. These include the behavior of the CLO manager, prevailing market conditions, and specific terms detailed in the CLO’s post-RI documentation. In addition, the composition of the collateral pool also plays a role.
To date, the manager has successfully reinvested almost all principal proceeds, effectively maintaining an annual prepayment rate of around 0-1%.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of March 8, 2024.
As indicated in the table, the median deal has already achieved a cumulative distribution of 122%, with more than 2 years of the reinvestment period still remaining.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of March 1, 2024.
These examples underscore the value of integrating loan market information to gain deeper insights into CLO AAA tranche pricing.
Outperforming the loan index over a sustained period of time is no easy feat.
