US BSL CLOs: Latest OC (BB) Test Cushions by Vintage

Unsurprisingly, the median 2014 vintage deal has the worst OC test cushion, underscoring the challenges of the 2014 vintage. Excluding 2012 deals due to their low count, the 2013 vintage has the next worst test cushion given that these deals have been outstanding for an extended period. Notably, the median 2018 vintage deal has a concerning test cushion of approximately 1.6 points, indicating a sizable erosion of principal value. This would negatively impact final equity IRRs. It appears that whenever there is a record issuance year, performance is somewhat affected.

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Tags:OC Test Cushions

US BSL CLOs: Latest OC (BB) Test Cushions by Vintage

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