Review: The Reset of Elmwood CLO IV
Elmwood CLO IV, managed by Elmwood Asset Management, was recently reset. Its new Weighted Average Cost of Capital (WACC) across...
Rest assured, our research articles are supported by extensive experience in CLO investment and portfolio management. Owing to the proprietary research nature of our CLO Premium service, we do not provide free trials. If you’re interested in learning about the pricing for premium content, please don’t hesitate to email me at info@clopremium.co.uk.
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...
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...
The top five deals, characterized by the narrowest weighted average liability spreads (AAA-BB) year-to-date (YTD), excluding the single-B tranche, are...
The loan index’s moving 4-week average discounted spreads are used as a proxy for the EU CLO portfolios’ discounted spreads....
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.
The top four deals, characterised by the narrowest weighted average liability spreads year-to-date (YTD), are Aqueduct European CLO 8, CVC Cordatus Loan Fund XXXI CLO, Avoca CLO XXIX, and Bridgepoint CLO VI.
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.
