Basic Premium

As of February 14, 2025, the latest arbitrage metric for US CLOs was recorded at around 220 bps, an improvement from 212 bps at the beginning of the year.

While asset spreads have tightened, the WACC has also become more competitive.

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.

Several EU CLO managers have performed notably well in terms of MVOC, including Redding Ridge Asset Management, Partners Group, Sound Point Capital Management, LP, Neuberger Berman, Bridgepoint Credit, and Canyon Capital.

A sample of 1,481 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

The recent pricing of Sound Point Euro CLO 14 has established a new benchmark for the AAA-BB pricing differential. In...

Notably, the EU CLO equity NAV metrics outperform those of their US BSL CLO counterparts across all vintages, despite the latter's significantly more diversified underlying portfolios.

Please refer to the table below for a complete list of 70 EU CLO managers and their EU CLO collateral AUM trends since 31 December 2017. As of 31 December 2024, the total EU CLO AUM stands at approximately EUR 245 billion, reflecting a CAGR of about 20% over this period. The second table provides a breakdown of each manager’s AUM, organized by reinvestment period (RP) as of 31 December 2024. The third table highlights the ten fastest-growing managers by notional AUM annually since December 2017. The fourth table shows the average annual AUM growth in notional terms for each manager since the closing of their first deal.

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.

According to PitchBook LCD, Chenavari has announced plans to wind down Toro European CLO 5, which was priced in early...

A sample of 1,487 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

According to PitchBook LCD, Sculptor has announced plans to wind down OZLME III, which was priced in late 2017 and...

Redding Ridge Asset Management, Partners Group, and Napier Park have performed well among managers with at least seven deals from the 2013 to first-half 2024 vintages in the sample for this study.

Can AUM Growth and Performance Go Hand in Hand?

Some of the fastest-growing US CLO managers include AGL Credit, Elmwood AM, Blackstone, and Golub Capital.