CLO domestic primary rallies at end of week with around $750 million pricing

Chicago, July 24 – The domestic collateralized loan obligation market rallied at the end of the July 19 week with $750 million of new paper entering the space from two transactions.

Carlyle US CLO 2020-1 Ltd./Carlyle US CLO 2020-1 LLC priced $499.4 million of new notes due July 20, 2031 and Nassau 2020-I Ltd. was listed as issuer on a $251.75 million transaction due July 20, 2029.

Both deals came with Citigroup Global Markets Inc. listed as arranger.

And, according to Trace data, secondary volume for collateralized asset classes pick up again on Thursday, outpacing a busy Wednesday and an active Tuesday.

Over $1.2 billion exchanged hands in both investment-grade and non-investment-grade paper.

Still heavily favoring high grade, there was $722.52 million exchanged at the top of the stack in 94 transactions.

In junk, a weighty $430.16 million got traded in 71 deals at an average price of 68.1.

Carlyle’s first for 2020

Carlyle brought its first CLO to market for the year with a $499.4 million deal in seven parts plus the subordinated notes at the bottom.

The deal carries slightly more risk that other recently rated transactions with a higher scenario default rate and a lower weighted average recovery rate.

Carlyle deals tend to have an industry concentration which favors software and IT services, according to S&P Global Ratings.

This transaction consists “primarily of broadly syndicated speculative-grade senior secured term loans,” according to S&P, meaning that the credits underlying the deal are mostly rated BB+ and lower.

Carlyle, an experienced manager, currently has $27.6 billion in total CLO assets under management, or 52 CLOs.

Nassau taps market

Nassau came to market with a deal in seven tranches and then a subordinated class.

The portfolio is made up of mostly first-lien senior secured leveraged loans.

The top five industry concentrations in the Nassau portfolio are: business services, telecommunications, banking and finance, building and materials, and industrials and manufacturing.

The nine-year CLO comes with a diminutive non-call window and reinvestment period of less than a year.

The weighted average recovery rate is 80% for the portfolio, which six classes of floating-rate notes and one class of fixed-rate notes.

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