Basic Premium

A sample of 1,455 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

A sample of 498 EU CLO deals (vintage 2013–1H 2024) is included in this study. Deals with a collateral pool...

Based on SCI BWIC data, between 17 July 2024 and 8 March 2025, approximately 66 US CLO equity tranches from the 2021 vintage appeared on BWIC lists, where list owners provided colour on the equity tranches. Based on this colour, US CLO equity tranches from the 2021 vintage recorded a median IRR of

As shown in the table below, 2018 and 2021 vintage deals have a tight WACC, which is typically an attractive feature for equity investors—after all, who wouldn’t want to lock in a long-term, low cost of funding?

As of 7 March 2025, the latest arbitrage metric stood at 233 bps. The loan index’s four-week moving average of discounted spreads has tightened by 30 bps since the beginning of the year, while the top-tier WACC print has also tightened, albeit by a smaller margin of 22 bps over the same period.

A sample of 500 EU CLO deals (vintage 2013–1H 2024) is included in this study. Deals with a collateral pool...

A sample of 1,457 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

The table in this premium article provides the post-RP annualized prepayment rates for each deal in the sample, offering a detailed comparison of how quickly different deals paid down after their reinvestment period ended.

Please refer to the table below, which displays the trends in 2.0 US BSL CLO AUM for each of the top 100 US BSL CLO managers since 2012. The year-end notional AUM (in billions of dollars) for each period is calculated based on the pricing dates of CLO deals and the notional of the underlying collateral. For a consistent comparison, the AUM figures for each manager have been adjusted for mergers and acquisitions and changes in management contracts. In 2024, 37 of the top 100 managers experienced a decrease in their assets under management. Conversely, Elmwood, AGL, and Onex significantly boosted their assets, each securing more than 10% of the total growth recorded that year. Irradiant captured the largest market share of AUM growth in 2023, with Blackstone leading in 2022 and 2021, and RRAM in 2020.

Kindly consult the table below, which illustrates the trends in 2.0 MM CLO AUM for each US MM CLO manager since 2012. The year-end notional AUM (in billions of dollars) for each period is determined based on the pricing dates of CLO transactions and the notional value of the underlying collateral.

Please refer to the table below, which displays the trends in 2.0 US CLO AUM for each of the top 100 US CLO managers since 2012. The year-end notional AUM for each period is calculated based on the pricing dates of CLO deals and the notional of the underlying collateral.

A sample of 1,456 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

Notably, EU CLO equity NAV metrics surpass those of their US BSL CLO counterparts across all vintages, despite the latter having considerably more diversified underlying portfolios, as shown in tables below. In particular, the equity NAV metrics of EU CLOs from the 2013–2014 and 2018 vintages are markedly higher than those of their US counterparts.

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 key point-in-time metric for valuing CLO-rated tranches, widely tracked by participants in both primary and secondary markets.

The recent pricing of RRE 24 has established a new benchmark for the AAA-BB pricing differential. In today’s higher interest...