A sample of US BSL CLO 1480 deals is included in this study. The table below lists managers with at least three of their deals in the top quartile. The top five managers with the highest number of deals in the top quartile are Oak Hill Advisors, Golub Capital, CSAM, Benefit Street Partners, and Blackstone.
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.
This study includes a sample of 602 seasoned deals that have concluded their reinvestment periods. Notably, CSAM has stood out as the most successful all-weather manager, consistently delivering good returns to equity investors. If you’re interested in learning about the pricing for premium content, please don’t hesitate to email me at info@clopremium.co.uk.
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...
Based on 57 post-2013 EU CLO deals that have been redeemed so far, CLO equity tranches from the 2020 and 2022 vintages stood out, as highlighted by their impressive final IRRs, bolstered by solid final equity NAV metrics.
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.
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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...
Please see the table below for the list of US BSL CLO managers who have priced a deal since May...
The top four deals, characterised by the narrowest weighted average liability spreads year-to-date (YTD), are Aqueduct European CLO 8, CVC Cordatus Loan Fund XXXI CLO, Avoca CLO XXIX, and Bridgepoint CLO VI.
The top five non-short-dated US BSL CLO deals with the narrowest weighted average liability spreads based on discount margins (DMs) year-to-date (YTD) now include AGL CLO 33, Symphony CLO 41, AGL CLO 32, Palmer Square CLO 2024-2, and Lodi Park CLO. Deals without reported DMs are excluded from the calculation.
A sample of 1,610 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...
As of July 19, 2024, the latest arbitrage metric was recorded at 223 bps, a visible improvement thanks to the recent tightening of CLO liabilities without the corresponding asset spread compression.
As of 19 July 2024, the latest arb metric was recorded at 249 bps, significantly higher than the median value of 219 bps for 2023. More recently, the upward trajectory of the arbitrage trend has continued, thanks to tighter liability prints without corresponding asset spread tightening.
US CLO Manager Report: Oak Hill Advisors (OHA)
US CLO Manager Report: Blackrock
US CLO Manager Report: CSAM
US CLO Manager Report: GoldenTree AM
US CLO Manager Report: CIFC
US CLO Manager Report: Golub Capital
US CLO Manager Report: Blackstone
US CLO Manager Report: Onex
US CLO Manager Report: Generate Advisors
