US CLO MVOC and CLO Equity NAV Across All Tranches and Vintages
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.
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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.
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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.
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.
