Recently, the arbitrage metric for new-issue US CLOs has exhibited a downward trend. It is noteworthy that when GoldenTree Loan Management US CLO 19 priced its AAA tranche and WACC at 150 bps and 193 bps, respectively, in January, the corresponding 4-week average spread of the loan index was 409 bps. Currently, top-tier AAA pricing remains in the 150–152 bps range, despite the 4-week average spread of the loan index having narrowed to below 400 bps. The most recent tight WACC print occurred with Voya CLO 2024-1 at 196 bps. For more details, refer to the article “US BSL CLOs: Tightest New Issue Prints YTD.”
Typically, resetting a deal is more feasible when the deal is performing well and market conditions are favourable. Notably, six deals feature reinvestment periods of over 13 years! This impressive performance stands as a testament to their success, highlighting that extending the reinvestment period by such a significant margin through resets—without any additional injection of capital—would otherwise be an exceedingly challenging feat! For more details, refer to the article “Performance of US CLO Deals with Reinvestment Periods Extended Beyond 11 Years Through Resets.”
CLO managers who have recently completed a significant number of resets are likely to be viewed favorably by investors. Regarding resets’ success, Elmwood has established itself as the most prolific manager, having completed the highest number of resets. For more details, refer to the article “US BSL CLOs: A Closer Look at Recent Resets (Updated).”
US BSL CLO managers with top-tier AAA spreads of 150 bps or tighter, based on median metrics, have outperformed both the industry’s average and median alpha performance. However, it is important to emphasize that not all managers with top-tier AAA spreads have demonstrated above-average alpha performance throughout the study period. For more information, refer to the article “Alpha Performance of US BSL CLO Managers with Top-Tier AAA Prints.”
The rate of paydown for CLO-rated debt after the conclusion of the reinvestment (RI) period is influenced by several factors. While each CLO deal is different, understanding the historical prepayment rates during the post-RI period for each manager remains highly beneficial. Analyzing these rates offers insights into the tendencies of different managers, highlighting those who consistently achieve lower prepayment rates and those who tend to experience higher rates in the post-reinvestment phase. For more details on the average first-year and second-year annualized prepayment rates for each manager, refer to the article “US CLO Managers’ Ranking Based on Post-Reinvestment-Period Prepayment Rates (Part 1).”
The article “US CLO Managers’ Ranking Based on Post-Reinvestment-Period Prepayment Rates (Part 2)” delves into the historical prepayment rates of three US CLO managers in detail. These managers have excelled in reinvesting during the post-reinvestment period.
The following updated individual US BSL CLO manager alpha performance reports are now available:
US CLO Manager Report: Oak Hill Advisors (OHA)
US CLO Manager Report: Elmwood
US CLO Manager Report: Golub Capital
US CLO Manager Report: Anchorage
US CLO Manager Report: GoldenTree AM
US CLO Manager Report: Blackstone
US CLO Manager Report: Blackrock
US CLO Manager Report: Irradiant Partners
US CLO Manager Report: Sixth Street
US CLO Manager Report: Brigade
US CLO Manager Report: New York Life
US CLO Manager Report: Barings
US CLO Manager Report: Neuberger Berman
US CLO Manager Report: Invesco
US CLO Manager Report: Napier Park
US CLO Manager Report: Palmer Square
US CLO Manager Report: Angelo Gordon
US CLO Manager Report: Octagon
US CLO Manager Report: Investcorp
US CLO Manager Report: Sound Point
US CLO Manager Report: Sound Point
US CLO Manager Report: Carlyle
US CLO Manager Report: First Eagle
US CLO Manager Report: King Street
US CLO Manager Report: PineBridge
If you’re interested in learning about the pricing for premium content, please don’t hesitate to email info@clopremium.co.uk.
Disclaimers
The information, research, data, research-related opinions, observations, and estimates contained in this document have been compiled or arrived at by CLO Research Group, based upon sources believed to be reliable and accurate, and in good faith, but in each case without further investigation. None of CLO Research Group or its service providers; authorised personnel, or their directors make any expressed or implied presentation or warranty, nor do any of such persons accept any responsibility or liability as to the accuracy, timeliness, completeness, or correctness of such sources and the information, research, data, research related opinions, observations and estimates contained in this document. All information, research, data, research-related opinions, observations, and estimates in this document are in draft form as of the date of this document and remain subject to change and amendment without notice. Neither CLO Research Group nor any of their third-party providers shall be subject to any damages or liability for any errors, omissions, incompleteness, or incorrectness of this document. This article is not and should not be construed as an offer, or a solicitation of an offer, to buy or sell securities and shall not be relied upon as a promise or representation regarding the historical or current position or performance of any of the deals or issues mentioned in it.
