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GLOBAL

CLO Weekly Wrap

 December 17, 2024

US managers push triple-A spread cuts for resets

US pricing activity centered around refinancings and resets
last week, as managers are achieving deals that are garnering
spreads on par with — or even tighter — than current new- Contents
issue market conditions.
US: Find the floor page 3
In Europe, following a bumper week where two new issues Europe: Still cooking page 5
and five resets cleared the market, CLO issuance is now CLO dashboard page 7
pressing on into the third week of December, as demand for Loan snapshot page 8
paper holds firm.
Continued on page 3

US CLO issuance ($B) European CLO issuance (€B)

$35 $210 €9 €54

€8 Chart1-US CLO Issuance €48
$30 $180
€7 €42
$25 $150
€6 €36
$20 $120 €5 €30
$15 $90 €4 €24
€3 €18
$10 $60
€2 €12
$5 $30 €1 €6
$0 $0 €0 €0
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Monthly 2024 Cumulative 2024 Cumulative 2023 Monthly 2024 Cumulative
Chart: 3.62" x 2024
2" Cumulative 2023
Source: PitchBook | LCD Source: PitchBook | LCD
Rows: 11
Columns: 8
Text boxes: 1.5-2.5" x 0.3" (two 11 height rows)
Data through: on row 14
US CLO
Data AAA
through Dec. spread
13, 2024 vs TLB spread Europe CLO
Data through Dec.AAA spread versus
13, 2024 TLB spread
Source: on row 18
Source: PitchBook | LCD Source: PitchBook | LCD

240 500 220 540

220 480 200 Chart2-US AAA sprd vs TLB sprd 520

Spread (bps) over base rate

Spread (bps) over base rate
Spread (bps) over base rate
Spread (bps) over base rate

200 460 180 500

160 480
180 440
140 460
160 420 120 440
140 400 100 420
120 380 80 400
100 360 60 380
40 360
80 340
4Q20 4Q21 4Q22 4Q23 3ME Dec '24
4Q20 4Q21 4Q22 4Q23 3ME Dec '24
CLO AAA spread* TLB single-B spread CLO AAA spread TLB single-B spread
Chart: 3.62" x 2"
Rows: 11
Source: PitchBook | LCD • Excludes middle-market CLOs Source: PitchBook | LCD
Columns: 8
Text boxes: 1.5-2.5" x 0.3" (two 11 height rows)
Data through Dec. 13, 2024 Data through: on row 14
CLO new-issue
Excludes volume
middle-market CLOs US Europe
Data through Dec. 13, 2024 Source: on row Global
18
Source: PitchBook | LCD Source: PitchBook | LCD
Year US ($B) Count Manager count Euro (€B) Count Manager count Global ($B) Global (€B) Count Manager count
2023 115.82 266 108 26.22 69 44 144.01 133.47 335 152
YTD 2023 113.05 260 106 25.82 68 44 140.81 130.55 328 150
YTD 2024 194.55 410 121 47.55 113 59 245.83 227.26 523 180
Source: PitchBook | LCD • Data through Dec. 13, 2024

2 GLOBAL CLO WEEKLY WRAP

 December 17, 2024

US: Find the floor US CLO total volume ($B)

Managers priced four new-issue CLOs totaling $1.625 billion
$70
the week of Dec. 9-13, including the first BSL CLO offering
in seven years from CreekSource LLC. The $306.3 million Reset
$60
CreekSource 2024-1 (Dunes Creek) CLO, priced Dec. 9 by Refinance
$50
Barclays, included a senior triple-A margin of S+141 bps. New issue
$40
The CreekSource deal was on the wider end of AAA
spreads seen last week that ranged as low as 128 bps for $30
the $303 million AGL Core CLO 36 for which BNP Paribas $20
was the arranger. The Class A coupon for AGL CLO Credit
Management’s Dec. 11 transaction was the second-tightest $10
BSL CLO AAA spread for a new issue in 2024. (The tightest is $0
the 127 bps triple-A margin for the $500.4 million GoldenTree Feb 2024 Apr 2024 Jun 2024 Aug 2024 Oct 2024 Dec 2024
Loan Management US CLO 23 in November.) Source: PitchBook | LCD

Two deals yet to publicly price have proposed AAA spreads However, the tightest AAA coupon so far in 2024 for a
of S+126 bps, according to presale market reports issued last standard-structure
Data through Dec. 13, 2024 BSL CLO was established last week in a
week by Fitch Ratings: the $511.99 million Apidos CLO LI from reset
Source:transaction
PitchBook | LCD priced by BofA Securities. The $368 million
CVC Credit Partners (as detailed in a Dec. 11 report) and the Palmer Square CLO 2023-1 featured a triple-A spread of
$407.4 million Riverbank Park CLO sponsored by Blackstone S+125 bps — an unprecedented mark this year for any BSL
Liquid Credit Strategies (Dec. 9). CLO transaction that includes a two-year non-call window.

Latest Refi/Resets – US Manager Arranger

Benefit Street Partners CLO XVI Reset BSP CLO Management LLC Natixis
OHA Credit Funding 8 Reset Oak Hill Advisors Canadian Imperial Bank of Commerce
Palmer Square CLO 2023-1 Reset Palmer Square Capital Management Bank of America
Dryden 43 Senior Loan Fund Refinancing PGIM Inc Citigroup
Apex Credit CLO 2019-2 Reset Apex Credit Partners Jefferies LLC
Monroe Capital MML CLO XIV Refinance Monroe Capital Management BNP Paribas
RR 36 Reset Redding Ridge Asset Management Banco Santander
Antares CLO 2017-1 Reset Antares Capital Advisers BNP Paribas
LCM 37 Refinance LCM Asset Management BMO Capital Markets
Tikehau US CLO II Reset Tikehau Structured Credit Jefferies LLC
Source: PitchBook | LCD • Data through Dec. 13, 2024

Last 10 Priced CLOs – US Manager Size ($M) AAA coupon (bps)

Neuberger Berman Loan Advisers CLO 59 Neuberger Berman 511 129
AGL Core CLO 36 AGL CLO Credit Management 303 128
RAD CLO 27 Irradiant Partners LLC 505 132
CreekSource 2024-1 (Dunes Creek) CLO CreekSource 306 141
Cedar Funding 2024-19 CLO Aegon USA Investment Management 409 133
Madison Park Funding LXVIII CLO UBS Asset Management 502 129
Redding Ridge Ltd. 35 CLO Redding Ridge Asset Management 506 131
Willow Tree CLO II Willow Tree Credit Partners 502 172
Sagard-HalseyPoint CLO 8 Halsey Point Asset Management LLC 454 139
Ares LXXV CLO Ares CLO Management 613 130
Source: PitchBook | LCD • Data through Dec. 13, 2024

Coupon reflects spread over base rate.

3 GLOBAL CLO WEEKLY WRAP

 December 17, 2024

(Palmer Square Capital Management’s deal has a Jan. 20, The CreekSource deal on Dec. 9 was the manager’s first
2027 end date for call protection, as well as a fully standard new-issue pricing since the $305.7 million Deer Creek CLO in
five-year reinvestment period running through Jan. 20, 2030.) September 2017.

Of last week’s 19 reset or refinancing transactions totaling CreekSource, an affiliate of Indiana-based insurance firm
$10.62 billion, 10 were full-term, two-year/five-year (NC/ CNO, was originally formed as a majority-owned affiliate of
reinvestment) structures that were affixed with triple-A 40/86 Advisors to hold the retention interest in CLOs during
coupons averaging 133 bps over term Sofr. That compares to the period that US BSL CLOs were required to adhere to Dodd-
an average of 135 bps for the BSL new-issue triple-A spreads in Frank risk-retention standards. (40/86 retains a role as sub-
November and December. advisor to CreekSource, according to Fitch).

Combined reset/refinancing volume for 2024 is now $286 The Dec. 11 pricing of AGL Core CLO 36 was the eighth new-
billion, driven by the record $209 billion in resets this year that issue print from AGL this year. The transaction was structured
far surpasses the next-highest full-year mark ($138.1 billion for compliance with EU and UK risk retention regulations.
in 2021).
Also pricing Dec. 11 was the $505.13 million RAD CLO 27 for
December’s reset volume totals $12.83 billion from 24 Irradiant Partners, arranged by Goldman Sachs.
transactions, while the refinancing tally for the month is $3.18
billion across eight deals. The deal, which has a senior triple-A spread at S+132 bps,
marks the fifth new-issue CLO print from the Irradiant
Last week’s reset/refinancing volume “was the largest platform, and the first since Irradiant priced a BSL deal in
total since the beginning of November and likely reflects August at a triple-A spread of 137 bps over term Sofr.
the primacy of managers to refinance deals while pricing
remains historically tight,” said Deutsche Bank in a Dec. 16 Citigroup on Dec. 13 priced the $511 million Neuberger
research report. Berman Loan Advisers CLO 59, raising the manager’s 2024
tally to seven BSL deals. The senior triple-A tranche spread is
Secondary spreads also tightened across the stack last week, S+129 bps.
per Deutsche Bank, including AAAs at 108 bps over term Sofr
compared to S+110 bps the week prior and S+116 bps in mid- Reinvestment rebound
November. The spreads for AA/A/BBB/BB notes all narrowed The share of BSL CLOs in reinvestment status has increased to
between one and five basis points, the firm said. 69% as of the end of November, from 49% at the same point a
year ago, according to a monthly CLO market spotlight report
New issue: Year-end lull underway? issued by Fitch on Dec. 16.
This week’s new-issue volume was a decline from the $2.37
billion priced across five deals from Dec. 2-6. The falling share of amortizing deals reflects the record new-
deal issuance in the year to date as well as an all-time peak in
December issuance levels in 2022 and 2023 have lagged the reset transactions, which restore the ability of managers to
average monthly totals of those years, finishing with less than sell and trade assets from CLO portfolios that were outside of
$5 billion in pricings in both instances. their reinvestment periods.

4 GLOBAL CLO WEEKLY WRAP

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