CBAM prices €347.8 million; middle-market CLOs face reviews; non-high-grade paper gains

By Cristal Cody

Tupelo, Miss., June 5 – CBAM CLO Management Europe LLC priced €347.8 million of notes in an inaugural euro-denominated broadly syndicated CLO offering.

More than €7 billion of euro-denominated CLOs have been brought to the primary market so far this year, sources report.

Meanwhile, the middle-market space will start to face ratings reviews following the heavy review pace seen in broadly syndicated CLOs due to the Covid-19 pandemic.

Fitch Ratings said on Friday that it is undertaking a review of middle-market CLOs, including updating the point-in-time credit opinions for borrowers for the loans held in the CLO portfolios.

“As a result, the ratings and COs of issuers will reflect the disruptions to these borrowers caused by the coronavirus pandemic,” Fitch said. “Consequently, the MM CLO notes will be evaluated to determine whether rating changes are required at this time. Fitch currently rates 127 MM CLO notes from 59 MM CLOs that are managed by 17 different managers.”

Meanwhile, leveraged loan funds saw $42.2 million of outflows for the past week ended Wednesday, reversing the prior week’s first inflows in five weeks of $25.4 million, according to Fitch.

Year to date, leveraged loan funds outflows total about $16.3 billion.

Elsewhere, high-grade secondary supply soared to $911.81 million on Thursday, up from $776.99 million on Wednesday, $630.78 million on Tuesday and $461.46 million on Monday, according to Trace data.

Trading volume also rose in non-high-grade CBO/CDO/CLO paper to $258.79 million on Thursday, compared to $213.35 million on Wednesday, $139.36 million on Tuesday and $71.76 million at the week’s start.

High-grade paper softened to an average 95.20 over the previous session from 96.40 on Wednesday, 94.20 on Tuesday and 96.80 average on Monday, Trace data shows.

Average prices for lower-rated paper improved on Thursday to a high of 80.40, compared to 72.80 seen on Wednesday, 72.40 on Tuesday and 75.70 on Monday.

CBAM taps Europe primary

CBAM CLO Management Europe priced €347.8 million of notes due July 20, 2031 in the CLO offering, according to a market source.

Vendome Funding CLO 2020-1 DAC sold €210 million of class A floating-rate notes at Euribor plus 186 basis points in the AAA-rated tranche.

J.P. Morgan Securities plc was the placement agent.

The deal is backed primarily by euro-denominated broadly syndicated leveraged loans.

CBAM CLO Management Europe is a subsidiary of New York City-based asset management firm CBAM Partners, LLC.

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