Benchmarking the AAA Curve Based on Recent AAA BWIC Colour
As shown in the first table below, DMs ranged from 102 to 122 and WALs from 0.82 to 2.43 years for selected tighter-print US BSL CLO AAA bonds that traded above par.
As shown in the first table below, DMs ranged from 102 to 122 and WALs from 0.82 to 2.43 years for selected tighter-print US BSL CLO AAA bonds that traded above par.
This study examines a sample of 83 EU CLO equity tranches that have traded via BWIC since July 2024. Based on their disclosed cover prices (as provided by SCI), IRRs are calculated...
ACLO 9X SUB’s estimated initial arbitrage stood at around 225 bps (portfolio discounted spread less cost of funding based on DM). Its strong distribution was partly driven by an outsized first payment of 18.2 points and a highly leveraged structure—nearing 14x collateral-to-equity notional—well above the sub-12x average for H1 2022 deals.
Three CLO equity tranches from the 2021 vintage received cover bids ranging widely from 32 to 88. OHA Credit Funding 8 received a notably strong cover of 87.9, translating to an equity...
US BSL CLO BB tranches traded yesterday with cover bids ranging from 496 DM to 1,000 DM.
Last week’s BWIC lists included four majority equity trades according to SCI BWIC data, with cover bids ranging from the single digits to the high 40s. These levels implied an average equity IRR of around 6.6% for primary investors, assuming an issue price of $95. The trades comprised two 2017 vintage deals, one from 2018, and one from 2022.
