CLO Research

The full list of US CLO deals failing OC/IC tests is shown in the table below.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of April 19, 2024.

Interestingly, a significant number of these deals have fixed-rate tranches that are currently 'out of the money,' meaning that these tranches are expensive to refinance. However, the cost savings from other tranches during a reset outweigh the costs of refinancing the fixed-rate tranche. This implies that holders of the fixed-rate tranches would be pleased with more resets, as this would allow them to be prepaid at par.

As shown in the graph in this freemium article, with the 4-week moving average loan spread now firmly staying below the 400 bps mark, the current top-tier US BSL CLO AAA print increasingly appears cheap relative to historical prints. If you’re an investor in the CLO market, we would like to invite you to register with us using your business email address to gain free access to our freemium content.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of April 12, 2024.

The top four deals, characterised by the narrowest weighted average liability spreads year-to-date (YTD), are Avoca CLO XXIX, Bridgepoint CLO VI, Avoca CLO XXX, and Fair Oaks Loan Funding V CLO. This likely highlights the robust performance of these managers from a debt perspective. For a ranking of EU CLO new issue spreads YTD, based on the weighted average cost of liabilities, refer to the table in this article.

Please refer to the table below for a comprehensive list of US CLO managers, along with their Broadly Syndicated Loans (BSL) and Middle Market (MM) assets (in billions), under US CLO management as of April 5, 2024. If you’re an investor in the CLO market, we would like to invite you to register with us using your business email address to gain free access to our freemium content.

Golub Capital has become the largest US CLO manager, managing $40.1 billion in US CLO AUM. Blackstone remains the largest EU CLO manager, closely followed by CVC, with Carlyle holding the third position.

Please see the table below for year-to-date (YTD) changes in EU CLO AUM by manager as of 2 April 2024.

It was an absolute pleasure to present at the IMN & FIIN Euro CLO Conference on 20th March 2024. Please find the link below for the presentation slides.

Please refer to the table below for a complete list of EU CLO managers and their assets under management (in billions), as of 2 April 2024. If you’re an investor in the CLO market, we would like to invite you to register with us using your business email address to gain free access to our freemium content.

Please refer to the table below for the equity IRRs of the list of redeemed EU CLO deals year-to-date. Notably, Palmer Square European Loan Funding 2022-3,...

Apart from the 12 deals previously mentioned, there are 29 additional deals, as outlined in the table below, that would experience impairment in their single-B tranches under a scenario in which underlying assets...

The collateral for these deals totalled approximately EUR 8.4 billion.

Apart from the 11 deals previously mentioned, there are 20 additional deals, as outlined in the table below, that would experience impairment in their BB tranches under a scenario in which underlying assets...