US CLOs: AAA Reset Pricing and the Outlook for Spreads
US CLOs: AAA Reset Pricing and the Outlook for Spreads
US CLOs: AAA Reset Pricing and the Outlook for Spreads
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.
The reset of Katayma CLO 1, managed by Blue Owl Loan Insurance Management, reduced its WACC by around 94 bps....
The reset of Bridgepoint CLO VI reduced its WACC by 29.4 bps, more than offsetting the 27.2 bps decline in its collateral WAS since its first reporting date in August 2024. This reset saw its AAA tranche tighten by 19 bps, from 149 bps to 130 bps. At 130 bps, the AAA tranche represents strong value for AAA investors.
Around 180 EU CLO deals have been reset at least once since the reset market reopened in September 2023, following a hiatus with no resets priced between April 2022 and August 2023. Of these 180 deals, 71 included additional equity notional at reset, amounting to a combined total of around €1.1 billion.
The table below shows the additional equity notional across reset deals by manager. Among US BSL CLO platforms, Carlyle, Ares, Neuberger Berman, UBS AM, BSP, and CIFC each saw more than...
