Seasoned US BSL CLO Managers: Alpha Trends
CLO managers, on average, have closely tracked the loan index in 2024, following a period of relative outperformance of 10–20 bps from 2021 to 2023.
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CLO managers, on average, have closely tracked the loan index in 2024, following a period of relative outperformance of 10–20 bps from 2021 to 2023.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL deals by vintage, based on asset prices...
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.
Please find below a table showing the published average senior and junior management fee breakdown by US BSL CLO manager. Static deals are excluded from the calculation. Of the 126 managers listed, 68 on average charge over 40 bps, 51 charge between 30 and 40 bps, and 5 charge between 20 and 30 bps.
Notably, Oak Hill, Elmwood, CIFC, CSAM (UBS), Neuberger Berman, and Octagon have excelled in resetting their seasoned deals from the 2013–2021 vintages, particularly from a deal count perspective.
A sample of 1,497 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...
To explore the relationship between trading activity and a deal’s MVOC performance, a sample of 95 EU CLO deals closed...
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.
Although each CLO deal is unique, examining historical prepayment rates based on the original collateral balance during the post-reinvestment period...
Although every CLO deal is unique, analysing historical prepayment rates during the post-RP period is valuable. It reveals manager tendencies, distinguishing those who consistently deliver lower prepayment rates from those with higher rates.
The table below lists the top MVOC quartile managers and their annualised sale volumes.
A sample of 1,511 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...
Please refer to the table below for a list of 171 CLO managers and their global CLO collateral AUM, categorized by US BSL, US MM, and EU CLO AUM as of September 30, 2024.
Please refer to the table below, which details the year-to-date (YTD) change in US CLO AUM for the 50 largest managers as of September 30, 2024. As of this date, the US CLO market has grown by approximately 2.0% since December 31, 2023. Twelve of them increased their US CLO collateral AUM by over 10%, while four achieved growth of over 20%. Examining the AUM breakdown by reinvestment period (RP), Bain, Elmwood, Redding Ridge, Oak Hill, AGL, Sixth Street, and Generate Advisors show the most favorable RP profiles. Notably, Elmwood and Oak Hill have been particularly active in resetting their seasoned deals.
When analysing the reinvestment profiles of deals managed by those with at least EUR 3 billion in EU CLO AUM, it is observed that, on average, about 32% of their AUM has already passed its reinvestment end dates. Moreover, an estimated 12% of their AUM is projected to exit the reinvestment period within the next year.
