CLO Research

Please see the table below for year-to-date (YTD) changes in EU CLO AUM by manager as of 2 April 2024.

Please refer to the table below for a complete list of EU CLO managers and their assets under management (in billions), as of 2 April 2024. If you’re an investor in the CLO market, we would like to invite you to register with us using your business email address to gain free access to our freemium content.

Please refer to the table below for the equity IRRs of the list of redeemed EU CLO deals year-to-date. Notably, Palmer Square European Loan Funding 2022-3,...

Apart from the 12 deals previously mentioned, there are 29 additional deals, as outlined in the table below, that would experience impairment in their single-B tranches under a scenario in which underlying assets...

The collateral for these deals totalled approximately EUR 8.4 billion.

Apart from the 11 deals previously mentioned, there are 20 additional deals, as outlined in the table below, that would experience impairment in their BB tranches under a scenario in which underlying assets...

Recently, the arbitrage metric for new-issue US CLOs has exhibited a downward trend. It is noteworthy that when GoldenTree Loan...

Since June 2023, 81 BSL CLO deals have been reported to have undergone resets. Among these, 38 deals from the 2022–2023 vintages have reduced their cost of funding by an average of 44 bps, while also extending their reinvestment periods by about 2.5 years on average. These transactions are regarded as the most straightforward cases for resets, significantly boosting the value of equity investments through substantial reductions in funding costs and extended reinvestment periods.

It is interesting to note that, even among deals with identical AAA pricing, the all-in WACC can vary to a certain extent for US BSL CLO deals priced since mid-January 2024.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...

Managers with top-tier AAA spreads of 150 bps or tighter, based on median metrics, have consistently outperformed both the industry’s average and median alpha performance. Year-to-date, managers who have achieved AAA spreads of 150 bps or tighter include Blackstone, Blackrock, CIFC, Goldentree, Octagon, Ares, NB, PGIM, CVC, Oah Hill, Palmer Square, Elmwood, and Allstate.

The US CLO arbitrage (arb) has remained largely rangebound since July 2023. However, recently, there has been a noticeable downward trend in the arbitrage metric for new-issue US CLOs.

In terms of success with resets, Elmwood has distinguished itself as the most prolific manager, completing the highest number of resets. Since mid-2023, RR, Nuveen, CSAM, and Carlyle have each executed 3 resets.