By the Numbers
CLO warehouse count drops in December
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Heavy issuance of CLOs in November drove down the count of CLO warehouses sharply in December. The issuance seemed to prompt a noticeable tightening in spreads and rise in dollar prices for loans in warehouses. Warehouse managers also kept reducing portfolio risk, with weighted average lives and portfolio industry concentrations both down.
Heavy CLO issuance drives warehouse count lower
Total warehouses administered by US Bank dropped by from 100 in November to 83 in December, the largest absolute and percentage drop of 2024 (Exhibit 1). Based on the changing mix of warehouses by age, the bulk of the drop came in warehouses open less than 90 days with some contribution from warehouses open up to six months. Steadily tighter CLO debt spreads have apparently helped a broad set of warehouses smoothly bring new deals to market, although the count could also reflect changing market share for US Bank.
Exhibit 1: A sharp drop in warehouses administered by US Bank

Source: USBank, Santander US Capital Markets
The trends in open warehouses naturally tend to reflect the pattern of CLO deal issuance. Throughout last year, for instance, relatively heavy issuance one month tended to predict a drop in warehouse count the next month, and relatively light issuance one month tended to predict a rise in warehouse count the next month (Exhibit 2). Light issuance in December suggests the warehouse count should rise when US Bank releases January numbers.
Exhibit 2: Changes in CLO issuance precede changes in warehouse count

Source: PitchBook, Santander US Capital Markets
The changing mix of warehouses by age suggests a continuing smooth flow of newer warehouses into the market. The share of warehouses aged 90 days or less dropped from 38% of warehouses in November to 32.5% in December (Exhibit 3). The share of warehouses aged six months or more has climbed lately although the absolute count has edged lower, the share reflecting an overall declining warehouse count rather than a rise in trapped deals.
Exhibit 3: Share of warehouses aged 90 days or less dropped into December

Source: USBank, Santander US Capital Markets
Heavy issuance in November and loan demand from new deals also may have contributed to a tightening of the weighted average spread in warehouse loans. That spread dropped 10 bp after three months of barely changing (Exhibit 4). CLO debt spreads will have to tighten to keep incentives in place for equity to issue deals.
Exhibit 4: Loan spreads tightened in December after months roughly unchanged

Source: USBank, Santander US Capital Markets
The tighter loans spreads also showed up in the higher average dollar price for warehouse loans. That price rose in December to $99.44, the highest of the year (Exhibit 5).
Exhibit 5: Warehouse loan prices hit a 2024 peak in December

Source: USBank, Santander US Capital Markets
The risk of CLO warehouse portfolios continued declining in December with the weighted average life of loans down a fraction to 5.17 years (Exhibit 6). This left the spread duration of loans a little lower.
Exhibit 6: Portfolio weighted average life and spread duration declines

Source: USBank, Santander US Capital Markets
Managers also improved the diversification of loan portfolios in warehouse. The share of loans concentrated in the Top 5 industries fell from 36.7% in November to 34.8% in December, the low mark for the year (Exhibit 7).
Exhibit 7: Portfolio concentration fell in December

Source: USBank, Santander US Capital Markets
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