CLO Research

The following tables show the below 70 and 60 price buckets for US and EU CLOs by vintage based on asset prices...

The tables below show the MTD MVOC change for US BSL CLO and EU CLO deals as of 13 Oct 2022.

Managers can build par by buying a loan at a discount at say 85c and have it treated at par for the calculation of OC ratios. On the other hand, managers can also burn lots of par by trading out of more distressed credits.

Please see the table below for the list of managers' Q3 2022 MV return alpha and par build (annualized) metrics:

48.4% of a sample of 1431 US BSL CLO deals have a negative equity NAV and 100.0% of a sample of 456 EU CLO deals have a negative equity NAV.

This theoretical exercise of understanding the floor highlights the vast amount of credit support in the 2.0 EU CLO structure post-GFC.

Please see the table for the list of 50 largest global CLO managers and their CLO AUM breakdown by US and EU CLO AUM as of 30 Sep 2022.

Who are the ten largest CLO managers in the world?

The table above shows the relationship between managers’ median WARF and their average Q3 2022 total annualized return alpha.

US CLO managers are paid around 40bp per annum, but their return performance can vary significantly.

As of 30 Sep 2022, the total size of the US CLO market stood at around $957.8 billion. Top 5 US CLO managers by CLO AUM are Carlyle, Blackstone, Golub, CSAM and CIFC.

As of 30 Sep 2022, the total size of the EU CLO market stood at around EUR198.6 billion.

CLO debt investors would probably focus more on this metric.

Primary and secondary market participants focus a lot on this number – a point in time metric – as it is an important metric for pricing CLO-rated tranches.

Some CLO investors have access to their own internal CLO management or loan platform, so technically speaking, they have access...