Basic Premium

According to LCD news, Alcentra has announced the proposed redemption of Jubilee CLO 2014-XI, originally issued in 2014. Subordinated noteholders...

The top five deals, characterized by the narrowest weighted average liability spreads (AAA-BB) year-to-date (YTD), excluding the single-B tranche, are...

A sample of 1,635 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

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

It is evident that the AAA tranches of top-tier deals are still priced wider than historical norms, albeit the gap has been narrowing each week. In contrast, AA tranches are largely in line with historical levels, while single-A to BB tranches are significantly tighter.

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.

Thanks to the solid performance of the deal, no new equity capital was needed, and only a small class X tranche was added.

A sample of 1,651 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

Despite the fast pace of primary CLO issuance in Q2 2024, the net senior AAA supply for BSL CLOs was...

According to LCD News, Barings has announced the liquidation of Barings Euro CLO 2014-2, with the expected redemption date set for 31 July. This deal was issued on 4 November 2014. It was reset on 25 May 2017, pushing out its original reinvestment end date from 25 November 2018 to 25 May 2021.

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...