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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.

Last week experienced a marked widening in both asset and CLO liability spreads. However, as of 14 March, the arbitrage remained largely stable week on week, with asset spreads (4-week average) and CLO WACC increasing in tandem by approximately 5 bps.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...

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

Recent BWIC colour on CLO equity tranches, based on SCI BWIC data, indicates that many have traded well. The IRRs presented in the table within this article reflect the IRRs that primary investors would have achieved, assuming a primary issue price of 95. Notably, among the 2016–2017 vintage deals, Generate CLO 3 recorded an IRR of 13.4%, based on a cover price of 42.8%. This tranche is considered one of the top performers from that vintage. Some more recently issued equity tranches, such as Elmwood CLO 17, Elmwood CLO VII, and Madison Park Euro Funding XIX, have delivered strong IRRs in the range of 15.6% to 18.3%. Primary investors would be pleased to have invested in these equity tranches.

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?

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...