CLO Research

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...

CLOs are primarily actively managed, and some commonly used deal metrics—point-in-time indicators—can occasionally be misleading. While these metrics can be useful, they should not be considered in isolation. Additionally, combining multiple metrics does not necessarily provide a clearer picture. For example, the weighted average price (WAP) of a CLO portfolio does not measure return performance over time and can be artificially inflated by trading activity. Though WAP is helpful for quick screening, it is not a reliable indicator of whether one manager has outperformed another. The same applies to annual equity distributions—a higher distribution does not necessarily indicate better manager performance. Therefore, combining these two metrics does not necessarily offer a more accurate assessment of a manager's performance.

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.

How Much Tighter Can the AAA-BB Pricing Differential Get?

A sample of 1,489 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool factor below 55% are excluded.

A sample of 501 EU CLO deals (vintage 2013–1H 2024) is included in this study. Deals with a collateral pool factor below 60% are excluded.

Please refer to the table below for a comprehensive list of CLO managers and their global CLO collateral AUM (in USD billions), broken down by US BSL, US MM, and EU CLO AUM as of 31 December 2024. Out of 169 CLO managers, 50 oversee both US BSL and EU CLOs, while 101 manage only US CLOs, of which 43 have over USD 3 billion in CLO AUM.

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