Basic Premium

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...

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. 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.

A sample of 1,467 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

A sample of 502 EU CLO deals (vintage 2013–1H 2024) is included in this study. Deals with a collateral pool...

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...

As illustrated in the table below, apart from the single-B tranche, the term structure at the EU CLO AAA level is considerably steeper than that of the other lower rated tranches.

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...