Apollo sets new CLO benchmark

Apollo Credit Management has raise the largest CLO since the financial crisis, pricing a $1.54 billion deal on Friday via JPMorgan.

Apollo tapped into its vast existing loan book to build the CLO, which has a four year investment reinvestment period and a two year non-call period. It will be managed as a cashflow CLO, and the notes will be collateralised primarily by broadly syndicated first lien senior secured corporate loans, according to Moody's. At least 90 percent of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10 percent of the portfolio may consist of second lien loans and unsecured loans. The portfolio is expected to be approximately 92 percent ramped as of the closing date, Moody's added.

The CLO, called ALM XIV, is structured as follows, according to S&P LCD: $930 million of Class A-1 loans at L+143; $163 million of Class A-2 at L+210; $84 million of Class B at L+295; $108 million of Class C at L+345; $100 million of Class D at L+485; and $157 million of preferred stock.

In addition to the rated notes, the issuer will issue subordinated notes. The CLO features interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority, Moody's said.