Please see the graph below that illustrates the trend line for 2.0 US CLO AUM since 2012. The year-end notional AUM for each period is determined based on the pricing dates of CLO deals and the notional of the underlying collateral. The year 2021 witnessed the largest increase in US CLO AUM, followed by 2014.
Market Value Over-Collateralization (MVOC), for instance, at the BB tranche level, is calculated by dividing the collateral market value (MV) by the sum of CLO liabilities (AAA to BB). MVOC is a key point-in-time metric for valuing CLO-rated tranches, widely tracked by participants in both primary and secondary markets.
In the ever-evolving landscape of collateralized loan obligations (CLOs), staying informed with the most current insights and analyses is crucial...
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February 2025: Summary of CLO Research Insights
On average, EU CLO managers have met the expectations of their equity investors. Overall, based on deals that have already been redeemed or are anticipated to be redeemed, EU CLOs have delivered good performance, with an average equity IRR of 12.4%. This success can be attributed to a combination of factors, including disciplined issuance spurred by risk retention requirements, resets of more seasoned deals such as those from 2014 and 2015, the resilience of the underlying loan performance, the expertise of the managers, favourable CLO liability costs, and attractively priced assets, among others.
The recent pricing of RRE 24 has established a new benchmark for the AAA-BB pricing differential. In today’s higher interest...
Notably, EU CLO equity NAV metrics surpass those of their US BSL CLO counterparts across all vintages, despite the latter having considerably more diversified underlying portfolios. In particular, the equity NAV metrics of EU CLOs from the 2013–2014 and 2018 vintages are markedly higher than those of their US counterparts.
A sample of 1,467 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...
A sample of 502 EU CLO deals (vintage 2013–1H 2024) is included in this study. Deals with a collateral pool...
This article explores some of the key arguments for investing in captive CLO equity, how it differs from third-party CLO equity investments, and why it can be particularly appealing from a CLO manager’s perspective.
Overall, based on 97 deals that have already been redeemed or are anticipated to be redeemed, EU CLOs have delivered good performance, with an average equity IRR of 12.5%. This success can be attributed to a combination of factors, including disciplined issuance spurred by risk retention requirements, resets of more seasoned deals such as those from 2014 and 2015, the resilience of the underlying loan performance, the expertise of the managers, favourable CLO liability costs, and attractively priced assets, among others.
According to CLO Research’s independent analysis, RRAM has delivered consistently robust results from both equity and debt perspectives. Here’s a set of interview questions from CLO Research, accompanied by responses from Bhavin Patel, Chief Investment Officer of Redding Ridge Europe.
The table presented in this premium article showcases the trends by displaying the average annual prepayment rates for the first, second, and third years for each manager. These rates are calculated from seasoned deals whose reinvestment periods concluded before April 2024.
Several EU CLO managers have performed notably well in terms of MVOC, including Redding Ridge Asset Management, Partners Group, Sound Point Capital Management, LP, Neuberger Berman, Bridgepoint Credit, and Canyon Capital.
