Egan-Jones Newsletters

Moderate gains – Issuances of CLOs has increased moderately YoY and MoM. CLOs issued in June increased from 86 ($40B) in 2024 to 94 ($44.8B) in 2025.

Continued weakness – CLOs along with other structured finance areas, have slowed issuance because of the market turmoil.

CLOs issued in April declined from 86 ($35B) in 2024 to 58 ($23B) in 2025.

CLOs issued in March rose from 80 ($33B) in 2024 to 105 ($47.8B) in 2025.

CLOs issued in February rose from 76 ($32B) in 2024 to 121 ($51.2B) in 2025

While CLOs issued in Jan. rose from 40 ($15.3B) in 2024 to 88 ($39.5B) in 2025, it was a decline from Nov. 2024’s print of 128 ($54.6B).

While CLOs issued in Dec. rose from 29 ($12.0B) in 2023 to 94 ($41.5B) in 2024, it was a decline from Nov. 2024’s print of 128 ($54.6B).

The CLOs issued in Nov. rose from 47 last year to 128 this year, the most ever on record for a single month. The value rose from $17.5B to $44.1B.

The CLOs issued in Oct. rose from 33 last year to 108 this year (up from 92 in Sept. 2024) while the value rose from $12.7B to $46.9B.

The CLOs issued in Sept. rose from 28 last year to 92 this year while the value rose from $11.4B to $39.3B.

The number of CLOs issued in August rose from 37 last year to 103 this year while the value rose from $13.7B to $44.1B.

The number of CLOs issued in July rose from 20 last year to 95 this year while the value rose from $7.86B to $38.7B.

Improved Arbitrage - The decline in interest rates, as manifested in the 10-year Treasuries from a recent high of
4.93% as of October 19, 2023 to 4.63% as of May 1, 2024

Despite increases in treasury yields since December, CLO issuances reached another max in March (80) since November 2021 (94)¹.

As can be seen on the below right chart entitled “Weighted Average Asset Coupon vs. Tranche Coupon”, the adjusted asset coupon (adjusted for estimated losses) rose only slightly from 8.25% in July, continuing the trend since the beginning of the year.

The adjusted asset coupon (adjusted for estimated losses) rose from 8.0% to 8.25% in July, which on its face is attractive. Meanwhile, the average tranche coupon increased from 6.9% to approximately 7.3%.

Still stressed – Many outcomes can be drawn from this month’s results. The WARS has been stable and funding costs have increased faster than asset coupons. Section II-B shows average tranche coupons over time; B tranche coupons have decreased while all others
have increased.

Still stressed – Many outcomes can be drawn from this month’s results. The WARS has been stable and funding costs have increased faster than asset coupons.

More net yield improvement. Asset coupons (the blue and green lines in the chart below right) have increased faster than Tranche coupons (the orange line) have increased.

CLOs have historically been among the best performing asset classes during times of stress, and to date, their winning ways have continued. Tranche coupons (the orange line in the chart below right) have increased, but so has the asset coupon (the blue and green lines).

Not Accounting For SFVegas 23 Prelim List.

*Egan-Jones CLO ratings are Non-NRSRO ratings and are not issued or maintained by EJR in its capacity as a NRSRO.

More comfort. The moderation of the Tranche Coupon (orange line) in the chart to the right below suggests that capital providers are moderating their needed yield relative to the Asset Coupons (the blue line). Additionally, BBBs are trading near SOFR + 600bps at a 2% discount, translating into a near 10% yield.

*Egan-Jones CLO ratings are Non-NRSRO ratings and are not issued or maintained by EJR in its capacity as a NRSRO.