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Palmer Square, NYSE launch two new indices to benchmark CLOs

Palmer Square Capital Management has teamed up with the New York Stock Exchange (as calculation agent and distributor) to launch two new indices designed to benchmark the CLO markets.

The Palmer Square CLO Debt Index (NYSE: CLODI) and Palmer Square CLO Senior Debt Index (NYSE: CLOSE) are billed as the first broadly distributed daily benchmarks for U.S. dollar-denominated CLOs backed by broadly syndicated leveraged loans.

The Palmer Square CLO Debt Index is a rules-based observable pricing and total return index for CLO debt sold the United States, rated A, BBB or BB (or equivalent rating), i.e. mezzanine CLO debt.

By contrast, the Palmer Square CLO Senior Debt Index will track the ‘senior’, or AAA and AA (or equivalent rating) tranches.

Palmer Square’s investment team developed the proprietary methodology for calculating the indices. The NYSE serves as the calculation agent for the indices and will disseminate index values daily.

Palmer Square Capital Management, an independent asset manager and part of the Montage Investments family, provides investment advisory services and manages portfolios of corporate and structured credit, high yield municipal credit and various hedge fund strategies for a diverse set of clients across institutional investors, registered investment advisory firms, broker-dealers and high net worth individuals.

As of April 30, 2015, Palmer Square managed in excess of $3.7 billion in assets. The firm recently closed on its fourth CLO, a $435.8 million transaction via J.P. Morgan. – Sarah Husband

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CLO issuance in May hits 11-month high in Europe, dwindles in US

CLO issuance, US vs Europe

It was a tale of two markets for CLO volume in May. The European market took a large step forward with €2.4 billion from six transactions, while in the U.S., an underwhelming $5.66 billion of issuance added further evidence that CLO formation will be compromised while loans remain in short supply.

Putting this into perspective, May volume was the highest in Europe since June 2014, according to LCD. And with at least four transactions in the marketing phase right now, June will likely be another solid month.

Meanwhile, in the U.S. May’s supply is the lowest level since January, when $5.15 billion of deals priced, and is roughly a third of March’s record $16.24 billion. – Sarah Husband

Follow Sarah on Twitter for CLO market news and insight.

You can read more on how the CLO market works here.

This story is taken from a longer piece of analysis, available to LCD News subscribers here. 

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Loan bids essentially unchanged following long holiday weekend

The average bid of LCD’s flow-name composite was essentially unchanged in today’s reading, easing one basis point to 99.93% of par, from 99.94% on May 21. Activity was muted over the past two sessions and the market was closed yesterday in observance of Memorial Day.

Among the 15 names in the sample, three loans advanced, three declined, and nine were unchanged from the prior reading. Posting the largest move, at a quarter of a point, was the Charter Communications F term loan due 2021 (L+225, 0.75% floor), which dipped to a 99.25 bid on news that the cable operator has agreed to buy rival Time Warner Cable in a deal that values the target at $78.7 billion. While details on the structure of the debt financing have yet to surface, the cable operator disclosed in SEC filings today that it expects to incur roughly $23 billion of new debt in connection with the TWC purchase, as well as an additional $2 billion associated with the concurrent $10.4 billion proposed acquisition of Bright House Networks.

Market participants are optimistic that the mega-merger will yield a jumbo financing for the institutional loan market, which would help to balance out today’s technical imbalance that has fueled a fresh wave of opportunistic repricing and refinancing activity. In the month to date, repricing activity has accelerated to $31.9 billion, surpassing April’s recent high mark of $19.2 billion.

With the average loan bid slipping one basis point, the average spread to maturity was stable, at L+386

By ratings, here’s how bids and the discounted spreads stand:

  • 100.01/L+358 to a four-year call for the nine flow names rated B+ or higher by S&P or Moody’s; STM in this category is L+359.
  • 99.81/L+428 for the six loans rated B or lower by one of the agencies; STM in this category is L+427.

Loans vs. bonds 
The average bid of LCD’s flow-name high-yield bonds rose 31 bps, to 102.01% of par, yielding 6.21%, from 101.70 on May 21. The gap between the bond yield and discounted loan yield to maturity stands at 209 bps. – Staff reports

To-date numbers

  • May: The average flow-name loan is down 37 bps from the final April reading of 100.30.
  • Year to date: The average flow-name loan is up 301 bps from the final 2014 reading of 96.92.

Loan data

  • Bids lower: The average bid of the 15 flow names fell one basis point to, 99.93% of par.
  • Bid/ask spread wider: The average bid/ask spread widened one basis point, to 31 bps.
  • Spreads constant: The average spread to maturity – based on axe levels and stated amortization schedules – was unchanged, at L+386.
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Guggenheim prices $856.75M CLO via Citi; MTD issuance hits $13.6B

Citigroup today priced an $856.75 million CLO for Guggenheim Partners Investment Management, which was upsized for a second time, according to sources.

The transaction is structured as follows:

Recall the transaction was initially outlined as $654.55 million, though it had previously been increased to $805.4 million.

The deal has a two-year non-call period, a four-year reinvestment period and a 12-year legal final maturity.

The asset manager yesterday also priced its $558.9 million Kitty Hawk CLO 2015-1 deal via Mitsubishi UFJ Securities, though note this is Guggenheim’s third print in the U.S. this year.

CLO issuance in the year to date now stands at $28.11 billion from 52 deals, according to LCD. March issuance is $13.58 billion from 25 deals. Though there are still a couple more days left in the month, issuance thus far in March is the highest since June 2014, when $13.78 billion of deals priced. – Kerry Kantin

For more on how the CLO markets work check out LCD’s Loan Primer. 

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Leveraged loans: Global CLO issuance hits $27.58B YTD

global CLO volume

It was another busy week of marketing and pricing in the U.S. CLO market, while Europe saw a single new print, with more expected shortly.

  • Year-to-date, global volume rose to $27.58 billion.
  • U.S. CLO volume totals $24.84 billion for 46 deals, versus $19.92 billion for 39 deals in the same period last year.
  • European CLO volume stands at €2.44 billion from six transactions, versus €2.06 billion for five deals in the same period last year. – Sarah Husband

 

This story was taken from a longer piece of analysis available to LCD News subscribers also detailing

  • March CLOs
  • CLO pipeline
  • Volume: CLO vs Inst’l loans (US and Europe)

 

Follow Sarah on Twitter for CLO market news and insight. 

For more on the CLO market check out LCD’s free Loan Market Primer/Almanac.

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CLO roundup: At $3.91B, US mart sees busiest week of 2015 so far

global CLO volume

Last week was the busiest of the year for the U.S. CLO market, with seven new CLOs printing for $3.91 billion. Other busy weeks this year include the week ended Feb. 6, in which seven deals printed for $3.53 billion, and the week ended Jan. 30, in which six deals printed for $3.44 billion, according to LCD.

Europe also saw a new print, and from a first-time manager to boot. – Sarah Husband

After the busy week, year-to-date statistics are as follows:

  • Global volume rises to $20.79 billion.
  • U.S. CLO volume rises to $18.44 billion for 34 deals, versus $14.20 billion for 28 deals in the same period last year.
  • European CLO volume rises to €2.08 billion for five transactions, versus €1.65 billion for four deals in the same period last year.

Follow Sarah on Twitter for CLO news and insight.

You can read more about the CLO market here, in LCD’s Leveraged Loan Primer/Almanac.

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Triumph Capital Advisors acquires Doral CLOs, other loan assets

Triumph Capital Advisors has acquired the management contracts of two active CLOs from Doral. The CLOs consist of roughly $703 million in assets under management, and bring Triumph Capital Advisors’ outstanding assets under management to roughly $1.7 billion.

The development is part of the agreement of Triumph Bancorp, Inc. via its wholly owned subsidiary Triumph Capital Advisors, LLC, to acquire all the equity of Doral Money, Inc. and certain related assets in connection with the Federal Deposit Insurance Corporation’s auction process for Doral Bank. Doral Bank was placed under FDIC receivership on Friday.

In addition to the CLO management contracts, Triumph has also assumed the primary assets of Doral Money – namely loans with a face value of approximately $37 million; and certain securities of the CLOs, which were divested to a third party immediately following the closing as part of an agreement entered into by Triumph Capital Advisors in connection with the transaction.

San Juan-based Doral hired a loan investment team in 2009, with Doral Leveraged Asset Management going on to price three CLO transactions between 2010 and 2012. The first, Doral CLO I has been called.

Dallas, TX.-based Triumph Capital Advisors launched in March 2013 as the credit-focused investment-management unit of bank holding company Triumph Bancorp, and it has issued two CLOs, both last year via Nomura.

Dechert LLP acted as legal advisor to Triumph Capital Advisors with respect to the assignment of the Doral CLO management contracts. – Sarah Husband

Follow Sarah on Twitter for CLO news and insights. 

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Invesco prices $618M CLO via Morgan Stanley; YTD volume: $12.45B

Morgan Stanley has priced a $618 million CLO for Invesco Senior Secured Management, according to market sources.

The transaction is structured as follows:

The non-call period is 1.5 years, and the reinvestment period is 4.1 years.

Including this transaction, CLO issuance in the year to date rises to $12.45 billion from 23 transactions, according to LCD. Fourteen CLOs have priced in February for $7.3 billion. – Sarah Husband

Follow Sarah on Twitter for CLO market news and insight.

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Och-Ziff prices $510.5M CLO via BAML; YTD volume: $10.1B

Bank of America Merrill Lynch on Friday priced a $510.5 million CLO for Och-Ziff Loan Management, according to market sources.

The transaction is structured as follows:

The non-call period expires on Dec. 15, 2016, the reinvestment period ends on Jan. 30, 2019, and the legal final date is Jan. 30, 2027.

Including Och-Ziff’s transaction, CLO issuance rises to $10.11 billion from 19 deals in the year to date, according to LCD. This is the 10th CLO to price in February for $4.96 billion. – Sarah Husband