How do CLO managers perform from a debt investor’s perspective?
What does the latest arbitrage landscape look like? Which managers consistently show higher post-RP prepayment rates? 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. Please note, due to the proprietary nature of our research, we do not offer free trials.
Edmondstown Park CLO, managed by Blackstone and arranged by BNPP, has performed exceptionally well, with an expected net equity IRR exceeding 32%, based on an assumed issue price at par.
A sample of 484 EU CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool factor below 65% are excluded.
A sample of 1,574 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...
The underlying modeled collateral spreads are crucial for equity investors, as these modeled spreads are key in determining the issue price of CLO equity tranches. If a deal reports a significantly lower first reported collateral spread, the original attractiveness of the equity investment at a certain price may change as a result.
From the perspective of debt investors, a more rapid prepayment rate is typically preferable following the reinvestment period (RP). A low post-RP prepayment rate would increase the credit exposure of the underlying collateral pool and prolong the duration of the CLO debt tranches. The rate of post-RP paydown is particularly relevant today, given that debt tranches are currently priced at relatively tight levels. The following table presents the average first-year, second-year, and third-year annualized prepayment rates for each manager, based on data from their seasoned deals that have their reinvestment end dates ending before January 2024.
Based on the number of resets and refinancing deals priced year-to-date (YTD), it is clear that resets remain the preferred option over refinancing.
GoldenTree had liquidated two of its 2018 CLOs, namely GoldenTree Loan Management EUR CLO 1 and GoldenTree Loan Management EUR CLO 2.
A sample of 492 EU CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool factor...
A sample of 1,594 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...
The recent reset of Birch Grove CLO 2 has been accretive, reducing the weighted average cost of capital (WACC) by...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
Managers who have been proactive in restructuring their seasoned deals whenever opportunities arise would be viewed favourably.
This deal has performed well, with its final IRR expected to exceed 12%, net of incentive fees.
Please see the table below for a list of US BSL CLO managers, including the average percentile across at least eight of their deals, as well as the pricing of their most recent primary or reset deal based on DMs or coupons.
The table below shows recent resets priced since July 1, 2024, and updated in Intex. The MVOC (BB) calculation is based on asset prices as of August 6, 2024.
