Secondary US CLO triple-As trade at discount amid volatility
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Poh-Heng Tan from CLO Research provides insights into the US BSL CLO market based on SCIs recent triple-A BWIC data
Primary CLO triple-A’s may be less sensitive to market fluctuations, as some of the pricing was likely set well before the official pricing dates, and those triple-A levels were also influenced to a degree by arbitrage discipline. In contrast, secondary triple-A’s are more influenced by market demand and supply, and active trading in the secondary market provides a clearer indication of where the market perceives US BSL CLO triple-A pricing to be.
Late last week, approximately US$240m of long-dated triple-A tranches (with reinvestment periods ending between 2029-2030) changed hands, as shown in the table below. Top-tier prints were mainly in the 150 DM area. For example, MAGNE 2024-42A A1 traded with a cover bid of 150 DM.
All of these tranches traded at a discount, which is compelling given the potential spread pickup upon refinancing in two-three years. MAGNE 2024-42A A1 could see an upside of 16-32 bps if refinanced in two-three years. Typically, the triple-A term structure curve is upward sloping, meaning that as a deal matures, the same triple-A would generally trade tighter, assuming other factors remain unchanged.
As anticipated, the range of long-dated US BSL CLO triple-A covers in today’s volatile market is wide, from 150 DM to 176 DM. The DM range for these triple-A bonds would be 161 DM to 182 DM if refinanced in three years’ time.
|
|
Notional |
BWIC Date |
Price |
Disc Margin |
WAL |
3-year call |
2-year call |
Deal Closing Date |
Reinv End Date |
|
MAGNE 2024-42A A1 |
38,790,000 |
Apr 11, 2025 |
98.970 |
150 |
6.21 |
166 |
182 |
Dec 17, 2024 |
Jan 25, 2030 |
|
MAGNE 2024-42A A1 |
5,000,000 |
Apr 10, 2025 |
98.780 |
153 |
6.21 |
166 |
182 |
Dec 17, 2024 |
Jan 25, 2030 |
|
BGCLO 2024-11A A1 |
3,590,000 |
Apr 10, 2025 |
98.860 |
157 |
6.20 |
175 |
194 |
Dec 27, 2024 |
Jan 22, 2030 |
|
WYZE 2025-1A A |
15,000,000 |
Apr 10, 2025 |
98.500/DNT |
150 |
6.13 |
173 |
197 |
Mar 06, 2025 |
Jan 20, 2030 |
|
OAKC 2019-3A AR2 |
11,700,000 |
Apr 11, 2025 |
99.000 |
151 |
6.15 |
168 |
184 |
Jul 02, 2019 |
Jan 20, 2030 |
|
BALLY 2024-27A A1A |
5,360,000 |
Apr 11, 2025 |
98.970 |
155 |
6.01 |
171 |
188 |
Aug 29, 2024 |
Oct 25, 2029 |
|
BALLY 2024-27A A1A |
1,080,000 |
Apr 10, 2025 |
99.000 |
154 |
6.01 |
171 |
188 |
Aug 29, 2024 |
Oct 25, 2029 |
|
CIFC 2018-2A A1R |
11,700,000 |
Apr 11, 2025 |
99.220 |
152 |
6.01 |
165 |
178 |
May 31, 2018 |
Oct 20, 2029 |
|
GNRT 2024-16A A1 |
10,750,000 |
Apr 11, 2025 |
99.470 |
165 |
5.67 |
173 |
182 |
Jun 27, 2024 |
Jul 20, 2029 |
|
GNRT 2024-16A A1 |
1,600,000 |
Apr 10, 2025 |
99.450 |
165 |
5.67 |
173 |
182 |
Jun 27, 2024 |
Jul 20, 2029 |
|
RRAM 2018-5A A1R |
1,050,000 |
Apr 10, 2025 |
99.430 |
161 |
5.81 |
169 |
177 |
Oct 18, 2018 |
Jul 15, 2029 |
|
SAND 2024-1A A1 |
10,750,000 |
Apr 11, 2025 |
99.470 |
174 |
5.55 |
182 |
190 |
May 31, 2024 |
Apr 25, 2029 |
|
GLM 2024-19A A |
20,000,000 |
Apr 10, 2025 |
99.680 |
157 |
5.54 |
161 |
167 |
Feb 23, 2024 |
Apr 20, 2029 |
|
VOYA 2022-4A A1R |
15,000,000 |
Apr 10, 2025 |
99.500 |
161 |
5.54 |
169 |
177 |
Nov 30, 2022 |
Apr 20, 2029 |
|
ELM16 2022-3A AR |
11,750,000 |
Apr 11, 2025 |
99.680 |
160 |
5.53 |
164 |
170 |
May 03, 2022 |
Apr 20, 2029 |
|
CIFC 2024-1A A |
11,750,000 |
Apr 11, 2025 |
99.650 |
157 |
5.56 |
163 |
168 |
Apr 04, 2024 |
Apr 18, 2029 |
|
BALLY 2024-22A A1A |
12,750,000 |
Apr 11, 2025 |
99.730 |
160 |
5.47 |
163 |
167 |
May 16, 2024 |
Apr 15, 2029 |
|
BALLY 2024-22A A1A |
21,500,000 |
Apr 09, 2025 |
99.830 |
158 |
5.47 |
163 |
167 |
May 16, 2024 |
Apr 15, 2029 |
|
ICG 2024-1A A1 |
14,600,000 |
Apr 11, 2025 |
99.380 |
173 |
5.47 |
181 |
189 |
May 09, 2024 |
Apr 15, 2029 |
|
ICG 2024-1A A1 |
1,360,000 |
Apr 10, 2025 |
99.250 |
176 |
5.47 |
181 |
189 |
May 09, 2024 |
Apr 15, 2029 |
|
CGMS 2024-1A A |
10,000,000 |
Apr 10, 2025 |
99.570 |
162 |
5.53 |
167 |
173 |
Mar 08, 2024 |
Apr 15, 2029 |
|
MDPK 2019-37A AR2 |
850,000 |
Apr 10, 2025 |
99.400 |
165 |
5.53 |
173 |
181 |
Jul 02, 2019 |
Apr 15, 2029 |
|
BABSN 2024-1A A |
20,000,000 |
Apr 10, 2025 |
99.840 |
166 |
5.25 |
169 |
171 |
Feb 20, 2024 |
Jan 20, 2029 |
