Freemium

According to CLO Research’s independent analysis, Golub Capital has delivered consistently strong results from an investment alpha perspective. Specifically, Golub Capital has achieved substantial outperformance relative to the Morningstar LSTA U.S. B/BB Ratings Loan Index on an unlevered basis over the past several years. Below is a list of interview questions from CLO Research, along with responses from Scott M. Morrison, Managing Director and Head of Broadly Syndicated Loans.

Investing in CLO equity demands a thorough understanding of the asset class and a carefully considered strategic approach. As a first-loss investment, it carries inherent risks, but it also offers the potential for substantive returns. The performance of CLO equity investments is influenced by several key factors.

All things being equal, lower mezzanine tranche investors typically prefer to own deals with a higher probability of being reset.

Please refer to the table below for a complete list of EU CLO managers and their assets under management (in billions), as of 30 September 2024. The total EU CLO AUM is approximately EUR 240 million, with a Compound Annual Growth Rate (CAGR) of about 20.29% from 31 December 2017 to 30 September 2024.

Please refer to the table below for a complete list of EU CLO managers and their assets under management (in billions), as of 30 June 2024.

Please refer to the table below for a comprehensive list of US CLO managers, along with their Broadly Syndicated Loans (BSL) and Middle Market (MM) assets (in billions), under US CLO management as of June 30, 2024.

According to LCD News, Barings has announced the liquidation of Barings Euro CLO 2014-2, with the expected redemption date set for July 31. This deal has performed very well, paying an incentive fee to the manager since May 2023.

The recent pricing of the reset of Allstate’s AIMCO CLO 16 saw its WACC tighten by 11 bps, from 184 bps to 173 bps, and its reinvestment period increase by 2.5 years. In fact, its blended WACC based on DM was the tightest year-to-date in the reset and new issue CLO market at the time of pricing.

It is interesting to note that managers with a primary CLO blended DM print of below 190 bps are represented across the performance percentiles. In other words, managers in both the top and bottom quartiles managed to print their CLO liabilities with a blended DM of less than 190 bps.

Based on a sample of 955 US BSL CLO deals that are still in their reinvestment period, Oak Hill, CSAM, GoldenTree, Elmwood, and Blackstone stood out with at least 10 of their CLO equity tranches ranking in the top 20th percentile among their peers.

At least 69 US CLO deals have been redeemed or paid off since October 2023. Impressively, two static deals from the 2022 vintage—KKR Static CLO 2, managed by KKR, and Stratus Static CLO 2022-1, managed by Blackstone...

On January 19, 2024, GoldenTree celebrated a notable achievement with an AAA print of 150 basis points (bps) for its...

With the recent reset pricing, OHA Loan Funding 2013-1, managed by Oak Hill Advisors, now boasts the longest reinvestment period in the CLO market at nearly 16 years!

The table below illustrates the latest number and changes in the number of post-2012 US CLO deals that have failed at least one of the key tests—interest diversion, overcollateralization, or interest coverage tests—categorized by vintage.

As shown in the graph in this freemium article, with the 4-week moving average loan spread now firmly staying below the 400 bps mark, the current top-tier US BSL CLO AAA print increasingly appears cheap relative to historical prints. If you’re an investor in the CLO market, we would like to invite you to register with us using your business email address to gain free access to our freemium content.