CLO Research

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.

Performance and Risk Profile of US BSL CLO Managers

This analysis examines a sample of 665 US BSL CLO deals from the 2019–2021 vintages, selected due to sufficient seasoning.

Please refer to the table below for a complete list of EU CLO managers and their assets under management (in billions), as of 30 September 2024. The total EU CLO AUM is approximately EUR 240 million, with a Compound Annual Growth Rate (CAGR) of about 20.29% from 31 December 2017 to 30 September 2024.

Performance and Risk Profile of EU CLO Managers Across 2019-2021 Vintages

The table below presents the percentile breakdown of annualised par gain for each quartile...

It could be assumed that managers with higher Weighted Average Spreads (WAS) are likely to present a higher collateral risk profile and, on average, face greater realised and unrealised principal losses when adjusted for vintage. Conversely, more conservative managers with lower WAS tend to display greater resilience, resulting in lower levels of principal loss, also adjusted for vintage. However, as illustrated in the table below, the median reported WAS metrics across the four quartiles by MVOC are very close, ranging from 3.94% to 3.96%, indicating that reported WAS appears to have limited influence on MVOC performance.

The table below presents the percentile breakdown of fixed-rate exposure for each quartile, classified by MVOC metrics based on asset...

A sample of 1,523 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

Boldness be my friend. – William Shakespeare It might be assumed that managers with higher Weighted Average Spreads (WAS) tend...