US and EU CLOs: Thoughts on Recent Reset AAA Pricing (Updated)
RRE 19’s 122 bps print appears to offer attractive value, while the AAA prints for Bilbao CLO II and Henley CLO VII are broadly in line with median reset market levels.
RRE 19’s 122 bps print appears to offer attractive value, while the AAA prints for Bilbao CLO II and Henley CLO VII are broadly in line with median reset market levels.
A sample of 591 EU CLO deals is used in this study. Among the 65 managers, six managers’ deals ranked, on average, within the top 20% across vintages.
This week saw several US CLO equity tranches trade or be talked at levels materially lower than on their previous BWIC dates.
The recent accretive reset of Regatta XXVI Funding reduced its WACC by 81 bps, from 242 bps to 161 bps, and extended its reinvestment period by two years. The deal was originally priced in late 2023 with a closing date of 12 December 2023. Since its first reporting date in March 2024, its collateral weighted-average spread has declined by 58 bps, from 372 bps to 314 bps.
A sample of 544 EU CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 60% are excluded.
Yesterday saw active trading in CLO equity. Blackstone, RBC BlueBay, Alcentra, and PGIM See Equity Tranches Stand Out in BWICs
