CLO Research

Basic Premium

Trends of 2.0 US BSL CLO Collateral AUM by Manager (2012-2024)

Please refer to the table below, which displays the trends in 2.0 US BSL CLO AUM for each of the top 100 US BSL CLO managers since 2012. The year-end notional AUM (in billions of dollars) for each period is calculated based on the pricing dates of CLO deals and the notional of the underlying collateral. For a consistent comparison, the AUM figures for each manager have been adjusted for mergers and acquisitions and changes in management contracts. In 2024, 37 of the top 100 managers experienced a decrease in their assets under management. Conversely, Elmwood, AGL, and Onex significantly boosted their assets, each securing more than 10% of the total growth recorded that year. Irradiant captured the largest market share of AUM growth in 2023, with Blackstone leading in 2022 and 2021, and RRAM in 2020.

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CLO MVOC and CLO Equity NAV Across All Tranches and Vintages

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, as shown in tables below. 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.

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EU CLO Managers: Rankings Based on MVOC (BB)

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.

EU Module (Historical Performance and Style)

Post-2013 EU CLO Equity IRRs by Vintage (Updated)

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.

Basic Premium

CLO MVOC and CLO Equity NAV Across All Tranches and Vintages

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.

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