CLO Research

As of the latest update, it has slightly outperformed its peers. The manager maintains an average interest alpha profile, but its substantial improvement in Market Value (MV) alpha is particularly noteworthy.

This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as...

This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as...

A sample of 218 deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as the benchmark loan index.

A sample of 218 deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the...

This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as...

Throughout 2020 and 2021, Blackrock demonstrated resilience in its total performance. It consistently outperformed the loan index from January 2020 to July 2022, with the exception of April/May 2020. However, the firm’s performance began to decline from mid-2022, as its MV alpha decreased more significantly than that of its peers.

The table below lists the outstanding EU CLO deals that have already met their IRR incentive fee thresholds of 12%, supported by robust equity distributions. As expected, most of these deals were issued in 2016 or earlier, and all but one were reset—effectively extending the life of the deal and enabling equity distributions sufficient to meet the IRR thresholds. Collectively, the total incentive fees distributed to date amount to approximately EUR 24 million.

The table below summarises the total, MV, and interest alpha trends for each seasoned manager since 2020.

The table below presents the annualised post-reinvestment period prepayment rates for each of the 239 seasoned EU CLO deals across the first, second, third, and fourth years. Notably, 18 deals have recorded single-digit annualised prepayment rates in the first, second, and third years post-reinvestment period.

Notably, Redding Ridge achieved an impressive feat by pricing three resets on the same day—Friday, 21 March 2025. The last time a manager accomplished something similar was Intermediate Capital Group (ICG), with three reissues in mid-2018, and Alcentra, with three refinancings in early 2021.

How Have EU CLO Managers Stacked Up Against the Loan Index Since Inception? This study examines the long-term performance of 218 EU CLO deals from the 2015–2019 vintages, using the Morningstar European Euro-Denominated Loan Index as the benchmark. As of 19 March 2025, EU CLO managers, on average, had outperformed the loan index on an inception-to-date basis—driven primarily by principal value return outperformance—while their interest return remained broadly in line with that of the index.

According to independent analysis by CLO Research, Generate Advisors has consistently delivered outperformance against the Morningstar LSTA U.S. B/BB Ratings Loan Index on an unlevered basis in recent years. Here’s a set of interview questions from CLO Research, accompanied by responses from Rizwan Akhter, Head of Generate Advisors.