CLO Markets US Deals Alert - 29 August 2024, 09:39 UK time
Category: CLO Markets
Four US deals priced yesterday afternoon New York time.
The reset of Ares Direct Lending CLO 2, a US BSL CLO managed by Ares Capital Management priced via Morgan Stanley.
Ares Direct Lending CLO 2
| Class | Size ($m) | S&P | Par Sub | WAL | Coupon | DM |
| A-1 | 68.00 | AAA | 42.00% | 5.3 | SOFR + 160 | 160 |
| A-1A Loan** | 30.00 | AAA | 42.00% | 5.3 | SOFR + 160 | 160 |
| A-1B Loan** | 25.00 | AAA | 42.00% | 5.3 | SOFR + 160 | 160 |
| A-2 | 13.80 | AAA | 39.70% | 6.5 | SOFR + 175 | 175 |
| B | 46.20 | AA | 32.00% | 6.7 | SOFR + 190 | 190 |
| C | 48.00 | A | 24.00% | 7.2 | SOFR + 235 | 235 |
| D | 36.00 | BBB- | 18.00% | 7.7 | SOFR + 390 | 390 |
| SUB Notes | 105.35 | NR | ||||
| Total | 372.35 |
* Assuming till maturity runs 2 CDR | 20 CPR | 70%RR-3m lag | Reinvest into 66m bullets @ 99.50px, +550 WAS | No Reinvestment post RP
** Class A-1A Loan / Class A-1B Loan are sub-classes of the Class A-1 Loans.
Key dates:
Reinvestment Period End: October 20, 2028
Non-Call End: October 20, 2026
Closing Date: October 9, 2024
The reset of AGL CORE CLO 4, a US BSL CLO managed by AGL CLO Credit Management priced via Barclays.
AGL CORE CLO 4
| Class | Size ($m) | Moody's | Par Sub | WAL | Type | Coupon | DM |
| A-R2 | 410.55 | Aaa | 36.00% | 6.4 | Float | 138 | 138 |
| B-R2 | 73.30 | Aa2 | 24.58% | 8.2 | Float | 175 | 175 |
| Additional Sub Notes | 30.39 | NR | |||||
| Existing Sub Notes | 130.90 | NR | |||||
| Total | 645.14 |
Notes: (i) WAL, DM assuming 20% prepayment, 2% defaults, and 70% recovery, no reinvestment after end of the reinvestment period and assuming 6yr rolling maturity for reinvestments
Key dates:
Closing: September 13, 2024
Reinvestment Period: October 20, 2029
Non-Call Period: September 13, 2026
Stated Maturity: October 20, 2037
First Payment: January 20, 2025
Post CLO 2018-1, a US BSL reset CLO managed by Post Advisory Group priced via JP Morgan.
Post CLO 2018-1
| Class | Size ($m) | Fitch | Par Sub | % of Structure |
| X | 4.00 | AAA | SOFR+1.05% | |
| A1R | 220.50 | AAA | 37.00% | SOFR+1.37% |
| A2R | 1.75 | AAA | 36.50% | SOFR+1.63% |
| BR | 43.75 | AA | 24.00% | SOFR+1.80% |
| CR | 21.00 | A | 18.00% | SOFR+2.15% |
| D1R | 21.00 | BBB- | 12.00% | SOFR+3.40% |
| D2R | 2.63 | BBB- | 11.25% | 7.74% |
| ER | 11.03 | BB- | 8.10% | SOFR+7.68% |
| FR | 6.57 | B- | 6.22% | SOFR+10.00% |
| SUB | 41.35 | |||
| Total | 373.57 |
POST CLO 2018-1
Key dates:
Closing Date: September 12, 2024
Non-Call: September 12, 2026
Reinvestment Period: October 16, 2029
Stated Maturity: October 16, 2037
The partial refi of KKR CLO 20, a US BSL CLO managed by KKR Financial Advisors II priced via Deutsche Bank. The deal marketed earlier this week.
KKR CLO 20
| Class | Size ($m) | Moody's | Par Sub^ | WAL^^ | DM |
| A | 201.18 | Aaa | 51.1% | 1.0 | SOFR + 1.05% |
| B | 69.00 | Aa1 | 34.4% | 2.6 | SOFR + 1.55% |
| C | 34.20 | A2 | 26.1% | 3.4 | SOFR + 1.85% |
| D | 37.80 | Baa3 | 16.9% | 3.8 | SOFR + 2.90% |
| Total | 342.18 |
^Calculated assuming $[411.633]MM expected Adjusted Collateral Principal Balance
^^WAL calculated based on a 20% CPR, 2% CADR, 70% recovery and run to maturity
Key dates:
Reinvestment: January 16, 2023
Non-Call: March 13, 2025
Settlement: September 13, 2024
Maturity: October 16, 2030
-Related stories
