Please see the table in this article for a list of EU CLO managers and the trends in their average percentiles since 28 March 2025.

Please see the table in this article for a list of US BSL CLO managers and the trends in their average percentiles since 28 March 2025.

Late last week, approximately $240 million of long-dated AAA tranches (with reinvestment periods ending between 2029-2030) changed hands, as shown in the table below. Top-tier prints were mainly in the 150 DM area. For example, MAGNE 2024-42A A1 traded with a cover bid of 150 DM.

A more objective way to evaluate a manager’s capability is by examining the inception-to-date gross annualised collateral return of their deals, measured relative to the relevant loan indices and assessed on an unlevered basis. This provides a clearer measure of true alpha generation.

How Have EU CLO Managers Stacked Up Against the Loan Index Since Inception? This study examines the long-term performance of 218 EU CLO deals from the 2015–2019 vintages, using the Morningstar European Euro-Denominated Loan Index as the benchmark. As of 19 March 2025, EU CLO managers, on average, had outperformed the loan index on an inception-to-date basis—driven primarily by principal value return outperformance—while their interest return remained broadly in line with that of the index.

According to independent analysis by CLO Research, Generate Advisors has consistently delivered outperformance against the Morningstar LSTA U.S. B/BB Ratings Loan Index on an unlevered basis in recent years. Here’s a set of interview questions from CLO Research, accompanied by responses from Rizwan Akhter, Head of Generate Advisors.

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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.

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.

Can AUM Growth and Performance Go Hand in Hand?

This analysis reviews a sample of 1,467 US BSL CLO deals from the 2012 to 2022 vintages, encompassing both deals still within their reinvestment period (RP) and those that have exited it.

According to CLO Research’s independent analysis, Golub Capital has delivered consistently strong results from an investment alpha perspective. Specifically, Golub Capital has achieved substantial outperformance relative to the Morningstar LSTA U.S. B/BB Ratings Loan Index on an unlevered basis over the past several years. Below is a list of interview questions from CLO Research, along with responses from Scott M. Morrison, Managing Director and Head of Broadly Syndicated Loans.

Have you ever wondered how CLO tranche ratings—AAA, AA, A, BBB, and BB—are derived from a portfolio of non-investment grade loans?

Drawing from a sample of 87 EU CLO deals that have either been redeemed or are expected to reach full redemption shortly, equity tranches from the 2020, 2022, and 2023 vintages have delivered notable final IRRs, underpinned by robust equity NAV metrics. As illustrated in the table, their average equity NAVs surpassed 100%, underscoring strong performance.

Although every CLO deal is unique, analysing historical prepayment rates during the post-RP period is valuable. It reveals manager tendencies, distinguishing those who consistently deliver lower prepayment rates from those with higher rates.

The table below lists the top MVOC quartile managers and their annualised sale volumes.

A sample of 1,511 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

Please refer to the table below for the ten largest CLO managers and their global CLO collateral AUM, broken down by US BSL, US MM, and EU CLO AUM as of September 30, 2024.

This study examines a sample of 218 deals from the 2015 to 2019 vintages, utilising the Morningstar European Euro-Denominated Loan...

A sample of 1,546 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

A sample of 496 EU CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool factor below 60% are excluded. 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. If you’re curious to explore our premium insights or would like a personal walkthrough of the website via Zoom, feel free to reach out at info@clopremium.co.uk.

While each CLO deal is different, understanding the historical prepayment rates based on the original collateral balance during the post-RI period for each manager remains highly beneficial. Analyzing these rates offers insights into the tendencies of different managers, highlighting those who consistently achieve lower prepayment rates and those who tend to experience higher rates in the post-reinvestment phase. To illustrate these trends, the following table presents the average first-year, second-year, and third-year annualized prepayment rates for each manager, based on data from their seasoned deals that have passed their reinvestment end dates. These historical post-RI prepayment rates could be useful as cash flow modeling inputs for each manager.

Based on 558 post-2012 US CLO deals that have been redeemed or paid off so far, those from the 2014 and 2018 vintages performed the worst. However, the sample size for the 2018 vintage deals is still relatively small. Deals from the 2020 and 2022 vintages performed the best, with median deals registering IRRs of...

The following EU CLO deals issued and priced their single-B tranches this year. These were initially structured for delayed issuance...

YTD, 70 BSL CLO deals have been reported to have undergone resets. Among these, 15 deals from the 2022–2023 vintages have reduced their cost of funding by an average of 61 bps, while also extending their reinvestment periods by about 2.7 years on average. 

The table below shows the top-performing managers with the most 2013–2019 deals that are in the 90th percentile category. Notably, CSAM stood out as the most successful and consistent manager in delivering good returns to equity investors. Other successful managers include Oak Hill Advisors, KKR Financial Advisors, Goldentree Asset Management, Neuberger Berman, Generate Advisors, Fortress Investment Group, and Anchorage Capital Group.

At first glance, one might assume that managers with higher portfolio spreads tend to perform well during favorable market conditions but struggle during downturns. However, upon closer analysis of the average alpha performance within each category, this assumption is only partially valid and not universally applicable.

A sample of 313 seasoned deals (2016–2019 vintage deals) managed by 57 US CLO managers is included in this study. The benchmark loan index used is the Morningstar LSTA US B-BB Ratings Loan Index.

This study includes a sample of 93 more recent deals (closed in 2021 and Jan 2022) managed by 46 managers, using the Morningstar European B Ratings Loan Index as the benchmark loan index. The table below illustrates the relative standing of each EU CLO manager based on their latest average total alpha metrics (as of 26th June 2023) . A score of 98%, for instance, indicates that the manager’s total return alpha is at the 98th percentile, meaning their total return alpha metric exceeds that of 98% of their peers.

Overweight indicates that the manager’s average industry exposure exceeds the sample average exposure by 1 percentage point. Conversely, underweight means the manager’s average industry exposure is less than the industry average exposure by 1 percentage point.

Discover the main disparities between the seasoned US BSL and EU CLO equity tranches in relation to annual distributions and final equity net asset value (NAV) realisation values necessary to achieve a 12.0% internal rate of return (IRR) target. Explore the reasons why median EU CLO equity tranches have shown higher annual distributions compared to their US equivalents.

Securitisation can certainly play a crucial role in facilitating the mobilisation of institutional capital into infrastructure financing, especially for sustainable infrastructure and clean energy projects. Additionally, it can help banks recycle their balance sheets into originating new loans to finance such infrastructure initiatives. 

In the CLO market, the terms "CLO performance" or "resilience" can have varying definitions. It is essential to note that...

This study expands its analysis to include a sample of 90 more recent deals (closed in 2021) managed by 46...

The final IRR of a 2.0 CLO equity tranche very much depends on the final equity NAV realisation. There are 20 US CLO managers with at least one deal registering an IRR of over 15%.

A sample of 197 deals (2015–2019 vintage deals) managed by 38 managers is included in this study. The benchmark loan index used is the Morningstar European Euro Denominated Loan Index.

The top five US CLO managers for each WARF category are typically larger managers with a CLO AUM of $8 billion or more.

At CLO Research, we provide genuinely independent first-hand CLO research content that is highly relevant to the investing community. We can save you precious time and resources in assessing CLO managers through manager scoring based on relative return performance rather than deal metrics.

A sample of 198 deals (2015–2019 vintage deals) managed by 39 managers is included in this study. The benchmark loan...

This article details the track record of redeemed static deals.

Which redeemed deals delivered an equity IRR of over 12.0%? 2020 vintage deals delivered extraordinary IRRs. 2012 vintage deals did well...

This article endeavours to highlight some of the key drivers of 1.0 US CLO equity tranches' outperformance.

This research report is now available to bloomberg terminal users.

This webinar was jointly hosted by Sheil Aggarwal, Head of SCI Valuations, and Poh-Heng Tan, Founder of CLO Research in...

As shown in the first table below, DMs ranged from 102 to 122 and WALs from 0.82 to 2.43 years for selected tighter-print US BSL CLO AAA bonds that traded above par.

Both primary US BSL and EU CLO AAA tranches are currently pricing wide relative to year-to-date averages, which negatively affects new issue equity arbitrage. That said, the market is likely to self-correct over time, and as long as loan market conditions remain strong, there is no reason AAA spreads should not tighten further.

Benchmarking EU CLO Pricing Across the Capital Stack

Benchmarking US BSL CLO Pricing Across the Capital Stack

A sample of 559 EU CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 60% are excluded.

A sample of 1,718 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.

The loan market rally has driven broad spread tightening across the CLO stack. Mezzanine tranches responded the most, reflecting their higher leverage and credit sensitivity. In contrast, senior tranches from top-tier CLOs showed a beta below 1.0, indicating a more muted reaction to loan spread moves.

The reset, priced on 20 June 2025, raised the WACC from 185 bps to 205 bps but extended the reinvestment period by 4.5 years and increased leverage through an additional €28 million in liabilities, including a small Class X tranche.

This study examines a sample of 83 EU CLO equity tranches that have traded via BWIC since July 2024. Based on their disclosed cover prices (as provided by SCI), IRRs are calculated...

Among 123 EU CLO deals that have been or are likely to be fully redeemed, equity tranches from the 2020, 2022, and 2023 vintages stood out with strong final IRRs and average equity NAVs above 100%, as shown in the table above. 11 of the deals were static, with an average IRR of 30.9%. Seven of these were managed by Palmer Square. Static deals can do well in volatile markets by capturing the pull to par of the loan portfolio. If the market stays weak, slower prepayments help preserve leverage—supporting stronger annual distributions. On average, EU CLO managers have met equity investor expectations, with redeemed or soon-to-be-redeemed deals delivering an average equity IRR of 12.3%. This reflects a mix of disciplined issuance, timely resets (notably for 2014–2016 vintages), resilient loan performance, manager expertise, and low liability costs.

This article includes several tables showing the average annualised prepayment rates for each seasoned manager in the first, second, third, and fourth years of the post-reinvestment period (post-RP), as well as post-RP prepayment rates for individual deals. The sample includes deals that had exited their reinvestment periods by 31 December 2024.

A sample of 1,720 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.

From a sample of 561 deals, 26 EU CLO managers oversee deals with both vertical and first-loss risk retention.

A sample of 558 EU CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 60% are excluded.

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