Allstate Investment Management Co. (AIMCO) is issuing its fourth post- crisis CLO in a $409.5 million transaction, according to Fitch Ratings.
AIMCO CLO 2018-A is the first portfolio put together Allstate since last year’s $400 million AIMCO 2017-A transaction.
The Northbrook, Ill.-based insurer has been increasingly active since putting the CLO business back into gear in 2014. AIMCO had been a steady CLO/CDO "1.0" issuer of corporate loan portfolios between 2000 and 2006.
The $254 million senior AAA-rated tranche of the deal is expected to pay 102 basis points over Libor; that's significantly less than the 126 basis-point spread foron the comparable tranche of the sponsor's prior transaction, AIMCO Series 2017-A. The residual equity tranche totals $37.5 million, although AIMCO will hold a 5% vertical interest in each series of notes (totaling approximately $20.5 million) for risk-retention purposes, according to Fitch.
The transaction is only Allstate’s second to comply with U.S. risk-retention requirements.
The AIMCO 2018-A deal has a 5.1-year reinvestment period and a 2.1-year non-call. The weighted average life is nine years, slightly above the average 8.7 years for fourth-quarter 2017 CLOs issued and rated by Fitch.
The weighted-average ratings factor of 2729 among a high number of 183 identified loan assets in the pool (making up 87.1% of the portfolio’s target par level) is higher than the 2017-A WARF target of 2672, indicating the inclusion of more lower-rated loan assets in the new collateral pool. The portfolio has a small portion of second-lien loans (2.7% of the portfolio).
Fitch says the average credit quality of the portfolio is equivalent to a B rating comparable to other recent CLOs rated by Fitch.
AIMCO negotiated for some additional leeway in credit-quality and deal-performance tests. The portfolio only needs to maintain a minimum weighted average spread of 3%, compared with an average of 3.41% for fourth-quarter CLOs. There is also an allowance for some long-dated assets (1% of the pool) included in the new deal.
