CLO Research

Please refer to the table below, which details the year-to-date (YTD) change in US CLO AUM for the 50 largest managers as of September 30, 2024. As of this date, the US CLO market has grown by approximately 2.0% since December 31, 2023. Twelve of them increased their US CLO collateral AUM by over 10%, while four achieved growth of over 20%. Examining the AUM breakdown by reinvestment period (RP), Bain, Elmwood, Redding Ridge, Oak Hill, AGL, Sixth Street, and Generate Advisors show the most favorable RP profiles. Notably, Elmwood and Oak Hill have been particularly active in resetting their seasoned deals.

When analysing the reinvestment profiles of deals managed by those with at least EUR 3 billion in EU CLO AUM, it is observed that, on average, about 32% of their AUM has already passed its reinvestment end dates. Moreover, an estimated 12% of their AUM is projected to exit the reinvestment period within the next year.

Performance and Risk Profile of US BSL CLO Managers

This analysis examines a sample of 665 US BSL CLO deals from the 2019–2021 vintages, selected due to sufficient seasoning.

Please refer to the table below for a complete list of EU CLO managers and their assets under management (in billions), as of 30 September 2024. The total EU CLO AUM is approximately EUR 240 million, with a Compound Annual Growth Rate (CAGR) of about 20.29% from 31 December 2017 to 30 September 2024.

Performance and Risk Profile of EU CLO Managers Across 2019-2021 Vintages

The table below presents the percentile breakdown of annualised par gain for each quartile...

It could be assumed that managers with higher Weighted Average Spreads (WAS) are likely to present a higher collateral risk profile and, on average, face greater realised and unrealised principal losses when adjusted for vintage. Conversely, more conservative managers with lower WAS tend to display greater resilience, resulting in lower levels of principal loss, also adjusted for vintage. However, as illustrated in the table below, the median reported WAS metrics across the four quartiles by MVOC are very close, ranging from 3.94% to 3.96%, indicating that reported WAS appears to have limited influence on MVOC performance.

The table below presents the percentile breakdown of fixed-rate exposure for each quartile, classified by MVOC metrics based on asset...

A sample of 1,523 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

Boldness be my friend. – William Shakespeare It might be assumed that managers with higher Weighted Average Spreads (WAS) tend...

The estimated final equity IRRs for GoldenTree Loan Management EUR CLO 3 and Harvest CLO XIX are approximately...

It might be assumed that managers with higher Weighted Average Spreads (WAS) tend to carry a higher collateral risk profile and, on average, experience greater realised and unrealised principal losses when adjusted for vintage. Conversely, more conservative managers with lower WAS often demonstrate greater resilience, leading to lower levels of principal loss, also adjusted for vintage. However, a lower WAS does not always indicate a cleaner US BSL CLO collateral pool.

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 crucial point-in-time metric for pricing CLO-rated tranches, closely monitored by primary and secondary market participants.

What do investors prefer? Generally, they seek managers who maximise the value of the collateral pool, rather than selling CCC assets simply to reduce CCC exposure artificially or to gain short-term OC ratio advantages. Ideally, managers would also consistently steer clear of credits that become problematic.