2025-05-29-花旗集团-美国担保贷款凭证评分卡_35页_1mb

US CLO Scorecard Summary - May 2025

Core Content

The US CLO Scorecard from May 2025 provides an overview of the performance, structure, and trends in the Collateralized Loan Obligations (CLOs) market. It includes insights into new issuance, ETF inflows, manager performance, and collateral metrics.

Main Points

1. New Issue Volume Rebounds

• New Issue Volume: In May, the new issue volume reached $18 billion, surpassing the 12-month average of $16 billion.
• Primary AAA Spread Dispersion: The primary AAA spread dispersion was 32 bps, with the tightest spread at S+128 bps and the widest at S+160 bps.
• Refill and Reset Volume: Refill and reset volume slowed in April and May, totaling $18 billion, which is below the 12-month average of $28 billion.
• Expected Refill/Reset Activity: It is estimated that $130 billion of BSL CLOs will be eligible for refi or reset by the end of 2025. These deals have a WACC of at least 200 bps and a deal factor of at least 60%.

2. CLO ETF Inflows Resume

• ETF Inflows: CLO ETFs saw inflows of over $1.2 billion in May, offsetting part of the $3 billion outflow in March and April.
• Secondary Spreads Tighter: Secondary spreads for IG CLOs are tighter than primary spreads for AAA to BBB tranches. The largest spread pickup was 27 bps for AAAs.
• Expectation for AAA Spreads: AAA spreads are expected to remain range-bound for the remainder of Q2 due to slower ETF inflows and potential volatility.

3. Manager Rankings by Portfolio Return

• Top Performing Managers: The top 15 managers were ranked based on portfolio (collateral) total return. These include Anchorage Capital Group, Fortress Investment Group, Diameter Capital Partners, Five Arrows, Neuberger Berman, Pacific Asset Management, GoldenTree, Bain Capital Credit Advisors, Redding Ridge, Angelo, Gordon & Co, Gulf Stream Asset Management, Benefit Street Partners, Sycamore Tree, Napier Park Global Capital, and Octagon Credit Investors.
• Performance Metrics: Top-ranked managers generally perform well in interest and price returns. Some have stronger performance in one of the two metrics.
• Correlation Insight: There is not a strong correlation between collateral performance and CLO equity performance due to various factors including manager ranks, liability pricing, and structural features.

4. CCC Exposure Continues to Fall

• Median CCC Exposure: The median CCC exposure by S&P fell slightly to 4.8% in April, while Moody's CCC exposure remained at 4.6%.
• Deals Breaching CCC Limit: 17.5% of deals breached the CCC limit for Moody's, and 16.9% for S&P. These are generally older, more seasoned deals.
• Junior OC Cushion: The median junior OC cushion remained stable at 4.4%, and the percentage of deals failing the junior OC test fell to 5.5% from 5.8%.
• Default Balance: The median default percentage across US BSL CLOs was 0.2% in April. The US speculative grade default rate, according to Moody's, was 5.4%.

5. Manager Rankings

• Outperforming Managers: Four managers (GoldenTree, Silver Point, New Mountain, and Diameter Capital) outperformed in both Price-adjusted Par Build and Average Equity Cashflow in April.
• Consistently Outperforming: Eight managers consistently outperformed in Price-adjusted Par Build over the last 12 months, including Oak Hill, Diameter Capital, PineBridge, Birch Grove Capital, Sixth Street, New York Life, GoldenTree, and American Money Management.

Key Information

• Collateral Credit Metrics:

  • Portfolio Price: $96.0 (April)
  • Weighted Avg Spread: 327 bps (April)
  • Weighted Avg Rating Factor: 2784
  • Weighted Avg Life: 4.6 years
  • %Commodities: 2.8%
  • %2nd-Lien: 0.3%
  • %Cash: 0.3%
  • %CCC+/Below S&P's Reported Rating: 4.8%
  • %CCC Limit Breached by Moody's: 17.5%
  • %Defaulted: 0.2%

• Collateral Price & Liquidity Distribution:

  • 30-Day Moving Avg Bid-Price Depth: 4.0
  • %At Par or Above: 18.5%
  • $90-100: 73.0%
  • $80-90: 5.1%
  • $70-80: 0.6%
  • $60-70: 0.5%
  • $Below $60: 1.7%

• CLO Deal Performance:

  • Portfolio Price: 96.0
  • Weighted Avg Spread: 327 bps
  • Weighted Avg Rating Factor: 2784
  • Weighted Avg Life: 4.6 years
  • Diversity Score: 82
  • %Commodities: 2.8%
  • %2nd-Lien: 0.3%
  • %Cash: 0.3%

Structure Trends

• OC Coverage Metrics:

  • Senior OC Cushion: 9.9%
  • Junior OC Cushion: 4.5%
  • %Failing Junior OC Test: 5.5%
  • ID Test Cushion: 4.0%
  • A OC Cushion: 7.9%
  • BBB OC Cushion: 5.8%
  • BB OC Cushion: 4.4%

• Weighted Avg Life:

  • Current: 4.6 years
  • Limit: 6.7 years
  • Cushion: 2.1 bps

• Rating Factor:

  • Current: 2784
  • Limit: 3199
  • Cushion: 416 bps

• Collateral Rating Distribution:

  • %B+_S&P's Issuer Rating: 29%
  • %B_S&P's Issuer Rating: 24%
  • %B-S&P's Issuer Rating: 15%
  • %B1_Moody's Issuer Rating: 15%
  • %B2_Moody's Issuer Rating: 29%

Performance Benchmarks by Vintage

• Vintage Heatmap:
  • The heatmap provides a breakdown of performance across different vintages, with the most recent data showing a sample of 2067 outstanding US CLO 2.0 deals.
  • Original Balance: $962 billion
  • Outstanding Balance: $879 billion
  • Performance metrics are detailed by vintage, showing changes in portfolio price, weighted average spread, rating factor, and life.

Summary

The US CLO market in May 2025 showed a rebound in new issuance volume, with $18 billion in May surpassing the 12-month average. While CLO ETF inflows resumed, they were relatively modest compared to previous months. The market experienced a slight decline in CCC exposure, indicating a healthier portfolio. Manager rankings revealed some top performers, with GoldenTree and Diameter Capital leading in portfolio returns. The structure of CLOs remained stable, with a focus on maintaining OC cushions and managing default balances. The performance of CLOs varied by vintage, with older deals showing more CCC exposure and higher default rates. Overall, the market is expected to see increased refi and reset activity as the year progresses.