Basic Premium

What do investors prefer? Generally, they seek managers who maximise the value of the collateral pool, rather than selling CCC assets simply to reduce CCC exposure artificially or to gain short-term OC ratio advantages. Ideally, managers would also consistently steer clear of credits that become problematic.

A sample of 67 reset US BSL CLO deals that were priced this year, each with fresh equity injections, is included in this study. The table in this article presents a breakdown of equity injections by manager, shown in terms of notional value, along with the corresponding increase in collateral notional post-reset. This is adjusted to reflect the portion of collateral notional funded by the rise in CLO-rated debt notional. In total, around $1.7 billion in equity notional was injected into these 67 deals. Many of these upsized reset deals have been outstanding for some time and no longer resemble the clean collateral pools they had at issuance. Consequently, part of the new equity capital was allocated to support the reset structure and cover the upfront costs associated with the reset. As a result, original equity investors in some of these reset deals may experience significant dilution of their holdings. Fair pricing of additional equity is crucial to maintaining balance between the original and new equity capital.

The table below presents the pre-reset adjusted triple-C exposure, AAA factor, par loss, and equity NAV for reset deals from the 2014 to 2020 vintages, priced this year.

Please refer to the table below for key metrics of deals just before and after a reset priced in 2024.

The recent reset of the RRE 3 Loan Management CLO saw its weighted average cost of capital (WACC) rise from 156 bps to 179 bps. However, the extension of the reinvestment period to July 2029 has made the upsized reset accretive for equity investors.

This study examines a sample of 218 deals from the 2015 to 2019 vintages, utilising the Morningstar European Euro-Denominated Loan...

A sample of 218 deals (2015–2019 vintages) managed by 40 managers is included in this study. The benchmark loan index...

A sample of 1,546 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

A sample of 496 EU CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool factor below 60% are excluded. Market Value Over-Collateralization (MVOC), for instance, at the BB tranche level, is calculated by dividing the collateral market value (MV) by the sum of CLO liabilities (AAA to BB). MVOC is a crucial point-in-time metric for pricing CLO-rated tranches, closely monitored by primary and secondary market participants. 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.

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.

With the recent reset of OHA Credit Funding 5, Oak Hill Advisors has now completed its 11th reset across deals...

A sample of 1,557 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

Pitchbook LCD reports that Spire Partners has submitted a notice of intent to reset or refinance Aurium CLO I, a CLO vehicle that was previously reset and concluded its reinvestment period in March of this year. This deal was originally issued on 26 March 2015.

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 October 1, 2024 onward.

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 October 2024 onward.