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No holiday yet for CLO market as six more deals price

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U.S. collateralized loan obligations are showing no signs of reaching the market’s annual holiday off-ramp.

Six CLO transactions priced on Monday, according to JPMorgan, including five new-issue deals that have brought the year’s annual total to $116.6 billion – just shy of the 2014 record volume of $124 billion. Month to date, $17.8 billion in 36 U.S. deals have been priced, according to JPMorgan.

European deals have totaled €2.5 billion this month.

Refinancings are at a record $163.5 billion.

Deals closing Monday were Carlyle CLO Management’s $510 million 2017-5 transaction; Ellington CLO Management’s second deal of the year, totaling $453 million in notes; the Fortress Credit BSL V Ltd. portfolio managed by FC BSL Management Series V; LCM Asset Management’s XXVI CLO ($614 million); and 325 Fillmore (a unit of ArrowMark Colorado Holdings) pricing the $413 million Elevation CLO 2017-8.

Also pricing Monday, according to JPMorgan, was a refinancing of Venture XX CLO by MJX Venture Management. Venture XX, a $528 million loan portfolio, was originally issued in 2015. S&P Global Ratings said the manager will issue five replacement notes through a supplemental debt agreement amendment. The replacement AAA notes will be priced at Libor plus 82 basis points when the deal has its expected Dec. 27 closing date.

Also Monday, Marble Point CLO Management announced the closing of its $508.5 million Marble Point CLO XI, its second transaction since mid-year 2017 and among six primary-issue and refinanced CLOs the Greenwich, Conn., firm has completed on the year. The new CLO's AAA tranche priced at 118 basis points over Libor, according to S&P/LCD figures.

Meanwhile, at least seven more deals are in the works, according to ratings agency presale reports, including another repeat refinancing for a 2014-vintage deal. Octagon Investment Partners XXII is a $724.5 million transaction that is being refinanced and extended less than six months after Octagon Credit Investors LLC initially issued replacement notes for the November 2014 vintage deal.

The replacement note classes (A, B, C and D) are expected to be issued at lower spreads; while the Class E and F notes will be at wider spreads. The reinvestment period is extending to January 2023 from January 2019, and the noncall period will be in effect until January 2020. Octagon extended the weighted average life test of the deal to nine years, compared to the previous refinancing’s WAL extension through November 2022.

Octagon’s initial refinancing was in accordance with regulatory guidance on maintaining the deal’s exemption from risk retention (a so-called “Crescent” letter refinancing), which allows a one-time limited refinancing. With the follow-up refi, Octagon had to incorporate a new subordinate note class (totaling $63.17 million) representing the risk-retention stake that must be held on the deal.

The reports Monday on Octagon’s deal follow presale reports last week stating that CLO manager Palmer Square Asset Management is also refinancing a $420.15 million CLO within a calendar year, reconfiguring a deal that was originally refinanced in January.

Other refinancings planned by managers are Black Diamond CLO 2015-1 and Catamaran CLO 2015-1 (a deal managed by Trimaran Advisors Management LLC).

BlackDiamond Capital Management’s transaction is 2015-vintage European CLO will refinance seven classes of notes, including a split-currency AAA tranche of €176 million euro- and $67.2 million U.S. dollar-denominated notes.

New-issue deals set to enter the pipeline include the $812.9 million Sound Point CLO XVIII CLO from Sound Point Capital Management, the $348 million middle-market ABPCI Direct Lending Fund CLO IV by Alliance Bernstein’s AB Private Credit Investors subsidiary, the $500 million Carbone CLO, Ltd., issuance from Invesco, and the $408.7 million CVP CLO 2017-2, sponsored by New York Life Investments affiliate CVP CLO Advisors (the firm’s second deal of 2017).

Sound Point’s transaction, being priced at a spread of 112 basis points over Libor, will have a five-year reinvestment period and a two-year noncall period. It is expected to close in late January, according to Fitch Ratings.

AB Private Credit’s second CLO of 2017 brings the total CLO assets under management to $1.05 billion.

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CLOs CDOs S&P Fitch Carlyle Group Invesco Octagon Credit Investors