CLO Research

Contrary to the widely accepted notion that actively managing CLO portfolios leads to better performance, there is little evidence to...

To explore the relationship between trading activity and a deal’s MVOC performance, a sample of 95 EU CLO deals closed...

Market Value Over-Collateralization (MVOC), for instance, at the BB tranche level, is calculated by dividing the collateral market value (MV) by the sum of CLO liabilities (AAA to BB). MVOC is a key point-in-time metric for valuing CLO-rated tranches, widely tracked by participants in both primary and secondary markets.

Although each CLO deal is unique, examining historical prepayment rates based on the original collateral balance during the post-reinvestment period...

The loan index’s moving 4-week average discounted spreads are used as a proxy for the US BSL CLO portfolios’ discounted spreads. Arbitrage refers to the index’s discounted spread net of the cost of funding, based on discount margins (of AAA–BB tranches of top-tier deals) rather than spreads. New issue upfront costs and management fees are not accounted for. The loan index used for this analysis is the Morningstar LSTA US B-BB Ratings Loan Index.

Notably, Oak Hill, Elmwood, CIFC, UBS, Neuberger Berman, Onex, and Octagon have performed well in resetting their seasoned deals from the 2013–2021 vintages, particularly from a deal count perspective. Among them, three managers—Oak Hill, CIFC, and UBS—have reset 9 deals from the 2013–2019 vintages.

All things being equal, lower mezzanine tranche investors typically prefer to own deals with a higher probability of being reset.

Although every CLO deal is unique, analysing historical prepayment rates during the post-RP period is valuable. It reveals manager tendencies, distinguishing those who consistently deliver lower prepayment rates from those with higher rates.

As highlighted in the table below, a US CLO manager typically earns a combined senior and subordinated management fee of...

A sample of 1,511 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

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.

Please refer to the table below for a list of 171 CLO managers and their global CLO collateral AUM, categorized by US BSL, US MM, and EU CLO AUM as of September 30, 2024.

The table below presents the average IRRs, annual distributions, final equity NAVs, and the time to the last payment date prior to a call, organised by vintage. This analysis is based on a sample of 152 US CLO deals redeemed year-to-date in 2024, categorised by vintage, with an assumed issue price of $95.

Please refer to the table below, which details the year-to-date (YTD) change in US CLO AUM for the 50 largest managers as of September 30, 2024. As of this date, the US CLO market has grown by approximately 2.0% since December 31, 2023. Twelve of them increased their US CLO collateral AUM by over 10%, while four achieved growth of over 20%. Examining the AUM breakdown by reinvestment period (RP), Bain, Elmwood, Redding Ridge, Oak Hill, AGL, Sixth Street, and Generate Advisors show the most favorable RP profiles. Notably, Elmwood and Oak Hill have been particularly active in resetting their seasoned deals.

When analysing the reinvestment profiles of deals managed by those with at least EUR 3 billion in EU CLO AUM, it is observed that, on average, about 32% of their AUM has already passed its reinvestment end dates. Moreover, an estimated 12% of their AUM is projected to exit the reinvestment period within the next year.