While issuance levels might continue to be lower than expected, the European CLO market continues to perform well according to Fitch. It has been two years since it downgraded a European CLO rating and the underlying numbers suggest this trend will continue.
Also, within Fitch-rated European CLOs, CCC and default exposure are low at 2.5% and 0.5% respectively, as compared to 3% and 0.2% a year ago. Also within Fitch-rated European CLOs, the percentage of assets on Negative Outlook decreased from 15.9% to 14.6% in April 2023.
Last week there were two European CLOs priced, with Margay CLO I being brought to market by M&G Investments, in its first issuance since 2008. Signal Harmonic CLO I was the debut issuance from Signal Capital. It was a €286 million CLO with a two-year non-Call and four-year reinvestment period. For that deal, AAAs were wider than the recent averages at Euribor+2.10. The issuer will retain the F tranche of this transaction and it may be sold in the future.
Volta Finance Ltd (LON:VTA) is a closed-ended limited liability company registered in Guernsey. Volta’s investment objectives are to seek to preserve capital across the credit cycle and to provide a stable stream of income to its Shareholders through dividends that it expects to distribute on a quarterly basis.