CLO Research

January 2025: Summary of CLO Research Insights

Since mid-July 2022, when 3M EURIBOR moved into positive territory and began its upward trajectory, the EU CLO primary and...

The recent pricing of Palmer Square CLO 2025-1 marks a fresh milestone in the 2.0 CLO market. The AAA tranche...

Below is the full list of US CLO managers, their CLO AUM as of 31 December 2024, and their year-on-year AUM growth rates. The total US CLO AUM was estimated at $1.096 trillion by the end of 2024, reflecting an increase of approximately 5.4% over the past year. The 10 largest US CLO managers are Blackstone, Golub Capital, The Carlyle Group, CSAM, Ares Management, CIFC Asset Management, Octagon Credit Investors, PGIM, Sound Point, and BlackRock.

With the record primary and reset issuance of US CLOs in 2024, combined with numerous liquidations, the reinvestment period profiles of US CLO managers have improved significantly. On average, the percentage of CLO AUM outside of the reinvestment period decreased from 30% as of 31 December 2023 to 19% as of 31 December 2024 for the 80 managers listed in the table below.

Out of the 100 largest US CLO managers, 23 have a highly favourable CLO AUM breakdown by reinvestment period (RP), with less than 1% of their total US CLO AUM outside of RPs. Among the 50 largest managers, only 5 have less than 1% of their total CLO AUM outside of RPs.

Out of the 50 largest US CLO managers, the managers listed below have achieved over 15% growth in CLO AUM over the past year. Notably, Elmwood, Antares, and Generate Advisors have experienced year-on-year growth exceeding 35%.

Since mid-July 2022, when 3M EURIBOR moved into positive territory and began its upward trajectory, the EU CLO primary and...

The loan index's moving 4-week average discounted spreads are used as a proxy for the discounted spreads of US BSL CLO portfolios. On average, seasoned US BSL CLO managers have closely tracked the return performance of this loan index across all three metrics: annualized total returns, MV returns, and interest returns.

This study includes a sample of 1,494 US BSL CLO deals from vintages spanning 2013 to 2023. Deals with a collateral pool factor below 55% have been excluded. Prominent managers such as Oak Hill Advisors, Golub Capital, and Benefit Street Partners have performed very well.

A sample of 504 EU CLO deals (vintage 2013–1H 2024) is included in this study. Deals with a collateral pool...

It was an absolute pleasure to share my thoughts on the CLO market yesterday at the CLO evening event, graciously hosted by Reed Smith and SCI. Below are some of the key takeaways from my presentation.

The table below presents the discount margin differential pricing for 2.0 CLO AAA–BB tranches by vintage. Evidently, based on a sample of non-short-dated deals with available discount margin data, 2024 emerged as the year with the narrowest AAA–BB pricing differential.

Some of the most popular articles from the past week are as follows:

This analysis reviews a sample of 1,467 US BSL CLO deals from the 2012 to 2022 vintages, encompassing both deals still within their reinvestment period (RP) and those that have exited it.