Top 10 Global CLO Managers as of September 30, 2024
Please refer to the table below for the ten largest CLO managers and their global CLO collateral AUM, broken down by US BSL, US MM, and EU CLO AUM as of September 30, 2024.
CLO Research provides independent research and insights on CLOs, offering investors and managers fresh, unbiased perspectives and data to support their decision-making.
Please refer to the table below for the ten largest CLO managers and their global CLO collateral AUM, broken down by US BSL, US MM, and EU CLO AUM as of September 30, 2024.
It might be assumed that managers with higher Weighted Average Spreads (WAS) tend to carry a higher collateral risk profile...
CLOs are primarily actively managed, and some commonly used deal metrics—point-in-time indicators—can occasionally be misleading. While these metrics can be useful, they should not be considered in isolation. Additionally, combining multiple metrics does not necessarily provide a clearer picture. For example, the weighted average price (WAP) of a CLO portfolio does not measure return performance over time and can be artificially inflated by trading activity. Though WAP is helpful for quick screening, it is not a reliable indicator of whether one manager has outperformed another. The same applies to annual equity distributions—a higher distribution does not necessarily indicate better manager performance. Therefore, combining these two metrics does not necessarily offer a more accurate assessment of a manager's performance.
As of September 30, 2024, the latest arbitrage metric was recorded at 226 bps. In fact, the arbitrage metrics have...
August 2024: Summary of CLO Research Insights
A total of 463 EU CLO deals have either already passed their non-call period or will do so by the...
As of 28 June 2024, the US BSL CLO arbitrage metric was recorded at 223 bps, which is now in...
May 2024: Summary of CLO Research Insights
A significant number of US BSL CLO deals are candidates for reset due to their overall high cost of funding....
Recently, the arbitrage metric for new-issue US CLOs has exhibited a downward trend. It is noteworthy that when GoldenTree Loan...
The US CLO arbitrage (arb) has remained largely rangebound since July 2023. However, recently, there has been a noticeable downward trend in the arbitrage metric for new-issue US CLOs.
The challenge of resetting increases if the deal experiences a significant decline in the market value of its collateral due to poor performance, defaults, and trading losses. Pricing the reset for long-dated liabilities, especially at the mezzanine level, would become prohibitively expensive, even in favorable market conditions. In addition to the higher costs for the reset CLO liabilities, extra capital in the form of unrated debt or equity will be necessary. Typically, most equity investors would not want to put in new money to go after ‘bad’ money.
Seasoned EU CLO managers achieved, on average, positive alpha in 20 out of the 49 months covered by CLO Research's...
AAA tranches may not be as intriguing as mezzanine and equity tranches in terms of their risk profile, yet they...
So, the question remains: why are US BSL CLO AAA prints still stagnant at 150 bp for managers with top-tier AAA prints?
