CLO Market Trends: Interesting Observations (Updated)
OCP CLO 2025-40 recently priced its BB tranche at 440 bps and its AAA tranche at 114 bps, resulting in...
OCP CLO 2025-40 recently priced its BB tranche at 440 bps and its AAA tranche at 114 bps, resulting in...
Please refer to the table below for a complete list of 70 EU CLO managers and their EU CLO collateral AUM trends since 31 December 2017. As of 31 December 2024, the total EU CLO AUM stands at approximately EUR 245 billion, reflecting a CAGR of about 20% over this period. The second table provides a breakdown of each manager’s AUM, organized by reinvestment period (RP) as of 31 December 2024. The third table highlights the ten fastest-growing managers by notional AUM annually since December 2017. The fourth table shows the average annual AUM growth in notional terms for each manager since the closing of their first deal.
The loan index’s moving 4-week average discounted spreads are used as a proxy for the EU CLO portfolios’ discounted spreads. Arbitrage refers to the index’s discounted spread net of the cost of funding, based on discount margins (of AAA–B tranches) rather than spreads. Upfront costs and management fees are not accounted for. The loan index used for this analysis is the Morningstar Euro-denominated Leveraged Loan Index.
The recent pricing of Capital Four CLO IX has established a new benchmark for the AAA-BB pricing differential. In today’s...
In conclusion, while the allure of high returns from CLO equity investments is enticing, the complexities and inherent risks involved demand a sophisticated and carefully considered investment strategy. A thorough understanding of both the favourable and unfavourable conditions impacting these investments is vital for any investor considering this asset class.
This article examines the key factors behind 1.0 US CLO equity outperformance, offering insights that remain highly relevant in today’s market. It also suggests that 2.0 US CLO equity performance is not directly comparable to 1.0 CLO equity, as a few key ingredients appear to be missing.
CLO equity investors generally prefer slower prepayment rates in the early years after the reinvestment period, as this helps sustain favourable leverage within the structure and supports more efficient funding costs. Moreover, it provides equity investors with additional time to assess the optimal call timing, which has proven particularly valuable in today’s robust market environment. For instance, a deal that exited its reinvestment period in 2022 and experienced a very rapid post-reinvestment period annual prepayment rate, leading to significant deleveraging, would have been under greater pressure to be called at a time when market conditions were less favourable than they are today.
According to PitchBook LCD, Chenavari has announced plans to wind down Toro European CLO 5, which was priced in early...
According to PitchBook LCD, Sculptor has announced plans to wind down OZLME III, which was priced in late 2017 and...
Redding Ridge Asset Management, Partners Group, and Napier Park have performed well among managers with at least seven deals from the 2013 to first-half 2024 vintages in the sample for this study.
The table below displays a list of the top 30 largest US CLO managers, ranked by their US CLO assets under management (AUM) in USD billion as of December 31, 2023.
Can AUM Growth and Performance Go Hand in Hand?
Some of the fastest-growing US CLO managers include AGL Credit, Elmwood AM, Blackstone, and Golub Capital.
As reported by PitchBook LCD, Tikehau plans to liquidate Tikehau CLO, its debut 2015 vehicle, which was reset in 2021.
As reported by PitchBook LCD, BlackRock is considering liquidating BlackRock European CLO VI, a 2018 vintage that exited its reinvestment period in April 2023.