CLO Research

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...

CLO Equity NAV is calculated by dividing the residual collateral value (MV collateral net of total CLO debt notional) by the equity tranche notional.

Collateral weighted average price (WAP) is quite useful for a quick snapshot of collateral credit risks.

The median 'below 80 price bucket' metrics have edged higher for EU CLOs over the week across vintages. At a median of 4.0%, the below 80 price bucket looks pretty high for the most recent 2022 vintage.

Tracking the below 80 price bucket at the CLO underlying collateral level is a good exercise as it highlights the tail risk...

Tracking the below 70 and 60 price buckets at the CLO underlying collateral level is a good exercise as it highlights the tail risk of the asset pool. That being said, these metrics could be artificially deflated due to trading.