AIG prices $332.75 million CLO; Zinnia wraps deal; CBO/CDO/CLO paper mostly gains

By Cristal Cody

Tupelo, Miss., May 14 – In CLO primary action, AIG Asset Management (US) LLC priced a $332.75 million broadly syndicated offering with a one-year non-call period and a one-year reinvestment period.

In other activity, Redding Ridge Asset Management (UK) LLP closed Thursday on its previously reported €288.2 million Zinnia Finance DAC offering. The CLO sold €174 million of class A-1 senior secured floating-rate notes (Aaa/AAA) at Euribor plus 225 basis points at the top of the capital stack via BNP Paribas Securities Corp.

Zinnia’s notes were admitted Thursday for trading by Euronext Dublin on the Global Exchange Market.

Meanwhile, S&P Global Ratings said in a credit update report on Thursday that of the 410 transactions in its CLO Insights 2020 index, more than 200 CLOs have at least one tranche rating currently listed on Credit Watch.

“Overall, ratings on more than 28% of U.S. BSL CLO collateral have been lowered or placed on CreditWatch since early March, while 418 tranches across 316 CLO transactions are currently listed on CreditWatch with negative implications,” S&P said.

Average junior overcollateralization cushions are beginning to decline based on the April trustee reports processed so far in response to the pandemic, according to the report.

The average junior O/C cushion declined 2.1% across the CLO index from 3.8% at the start of the year.

“Some deals have experienced several percentage point declines from prior-month reports, while others have eroded all of their O/C cushion within one month,” S&P said. “Within the trustee reports we have read through as of May 10, over 100 of the U.S. BSL CLOs rated by S&P Global Ratings are failing one or more of their O/C tests.”

Elsewhere, in the secondary market, $605.7 million of investment-grade CBO/CDO/CLO issues traded at an average 94.30 on Wednesday, up from 93.10 on Tuesday and 91.20 on Monday, according to Trace data.

Further down the capital structure, $177.99 million of lower-rated paper traded on Wednesday at an average 69.50, down slightly from 69.90 on Tuesday but improved from Monday’s average of 63.30.

On Tuesday, $509.75 million of high-grade paper and $197.61 million of non-high-grade issues traded, compared to $469.34 million of investment-grade and $227.45 million of lower-rated secondary volume on Monday.

AIG 2020-1 CLO prints

AIG Asset Management (US) priced $332.75 million of notes due May 22, 2029 in the new broadly syndicated CLO transaction, according to market sources.

AIG CLO 2020-1, Ltd./AIG CLO 2020-1, LLC sold $210 million of class A floating-rate notes at Libor plus 205 bps in the AAA-rated tranche.

Natixis Securities Americas LLC was the placement agent.

The notes are collateralized mainly by broadly syndicated first-lien senior secured loans.

AIG is a New York-based asset management firm.

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