CLO Research

A sample of 581 EU CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 60% are excluded.

A sample of 1,657 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.

In the US BSL CLO market, 12 and 27 managers offer average pairwise overlap levels of below 50% across their optimal five-deal and three-deal combinations, respectively. The table below presents the average pairwise overlap for these optimal combinations by manager.

Is it possible to achieve low overlap among three deals from the same EU CLO manager? In the EU CLO market, 18 managers offer an average pairwise overlap of less than 50% across their optimal three deals.

A sample of 581 EU CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 60% are excluded.

Among the 2012–2021 vintages, only 0.3% of EU CLO BB tranches show an MVOC below 100%, compared with 15.9% for US BSL CLOs. Meanwhile, 19.5% of US BSL deals report negative equity NAV, versus 11.7% for EU CLO deals.

A sample of 1,658 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.

AAA/AA investors are always thinking about systemic risks, and one way to reduce this risk is to minimise overlap exposure within their portfolios. The beauty of this model is that users can choose from a pool of CLO deals managed by managers they favour and optimise the portfolio for the lowest possible overlap risk based on the target number of positions they are looking to hold. Please find the download link below for the overlap optimisation model, which allows users to select from a pool of US BSL CLO deals to be added to an existing portfolio, with the model identifying the optimal outcome from an overlap perspective.

Please find the download link below for the overlap optimisation model, which allows users to select from a pool of EU CLO deals to be added to an existing portfolio, with the model identifying the optimal outcome from an overlap perspective.

Yesterday’s US BB CLO BWIC highlighted strong demand for top-tier names with higher MVOC levels, as reflected in their tighter DM prints relative to benchmark levels. Benchmark levels refer to the average DM prints by MVOC and manager tiering, based on BWIC trading colour observed since mid-April.

Please find below the download link for the interactive CLO manager collateral AUM ranking tables.

Please find the download link below for the interactive US primary and reset CLO issuance arranger and manager league tables. Users can customise the analysis by selecting the relevant date windows and deal types, with the arranger and manager rankings updating automatically based on the chosen criteria. Generally speaking, resets could offer substantial benefits to both debt and equity investors. From a debt perspective, a reset resembles a significant prepayment event, with all debt tranches prepaid at par. Lower mezzanine tranche investors, in particular, typically favour deals with a higher likelihood of being reset, as it provides a safeguard similar to an effective insurance policy. For underperforming deals, lower mezzanine tranches with low MVOCs might trade at a discount, even in strong loan markets. A reset pulls these tranches back to par, thereby mitigating losses. Equity investors could also derive considerable value from resets.

Please find the download link below for the interactive primary CLO issuance arranger and manager league tables. Users can customise the analysis by selecting the relevant date windows, currency, and deal type, with the arranger and manager rankings updating automatically based on the chosen criteria.

A sample of 542 EU CLO deals is used in this study. Called deals and static deals are excluded from the sample.

A sample of 1,658 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.