CDOs/CLOs

GoldenTree Loan Opportunties XII was one of nine CLOs that were reset or refinanced on Friday alone, as managers rushed to lower payment prior to July quarterly payments to investors; the tally for June as a whole is $30.9 billion.

The deal, which is expected to close this summer, would bring THL Credit’s assets in collateralized loan obligations under management to approximately $12 billion and its total assets under management to over $15.5 billion.

HPS Loan Management 9-2016 will be backed by a $750 million portfolio of broadly syndicated loans and other assets, up from $500 million originally; Moody's is only rating the two senior tranches of notes to be issued.

That level is wide of the six new-issue CLOs that priced last week at triple-A spreads of 110 basis spoints; CLO senior notes have widened 10 basis points, on average, over the past three months.

The $470 million transaction has some features rarely seen now that the market for bridge loan securitization has been rehabilitated, including a "blind ramp" and a "blind reinvestment" period.

It's another example of what appears to be tailoring tranches to meet the tenor and yield requirements of specific investors; the deal, GMS Euro CLO 2014-1, was also upsized to €508 million from €368.3 million originally.

The original $312 million triple-A notes are being replaced with six separately priced Class A note tranches, including two fixed-rate securities classes

CLO securities pay out interest pegged to the three-month London interbank offered rate, but loans used as collateral are increasingly switching to one-month Libor and the spread between the two benchmarks has widened significantly.

The $278.3 million RCMF 2018-FL2 also has unusually heavy exposure to apartment buildings, offices and industrial properties that are either vacant or have low occupancy levels, according to Kroll Bond Rating Agency.

The $71.7 billion-asset manager is replacing notes from a 2015-vintage CLO that had been squeezed on asset quality prior to its October 2017 post-reinvestment period.