CLO Research

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.

A sample of 1,481 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

As illustrated in the table below, apart from the single-B tranche, the term structure at the EU CLO AAA level is considerably steeper than that of the other lower rated tranches.

The recent pricing of Sound Point Euro CLO 14 has established a new benchmark for the AAA-BB pricing differential. In...

Notably, the EU CLO equity NAV metrics outperform those of their US BSL CLO counterparts across all vintages, despite the latter's significantly more diversified underlying portfolios.

Please refer to the table below for a complete list of 70 EU CLO managers and their EU CLO collateral AUM trends since 31 December 2017. As of 31 December 2024, the total EU CLO AUM stands at approximately EUR 245 billion, reflecting a CAGR of about 20% over this period. The second table provides a breakdown of each manager’s AUM, organized by reinvestment period (RP) as of 31 December 2024. The third table highlights the ten fastest-growing managers by notional AUM annually since December 2017. The fourth table shows the average annual AUM growth in notional terms for each manager since the closing of their first deal.

CLO equity investors generally prefer slower prepayment rates in the early years after the reinvestment period, as this helps sustain favourable leverage within the structure and supports more efficient funding costs. Moreover, it provides equity investors with additional time to assess the optimal call timing, which has proven particularly valuable in today’s robust market environment. For instance, a deal that exited its reinvestment period in 2022 and experienced a very rapid post-reinvestment period annual prepayment rate, leading to significant deleveraging, would have been under greater pressure to be called at a time when market conditions were less favourable than they are today.

According to PitchBook LCD, Chenavari has announced plans to wind down Toro European CLO 5, which was priced in early...