Freemium

Golub Capital has become the largest US CLO manager, managing $40.1 billion in US CLO AUM. Blackstone remains the largest EU CLO manager, closely followed by CVC, with Carlyle holding the third position.

Please refer to the table below for a complete list of EU CLO managers and their assets under management (in billions), as of 2 April 2024. 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.

The dispersion between WACC is quite small, at less than 9 basis points (bps) between the 75th percentile deal and the 25th percentile deal.

It is interesting to note that, even among deals with identical AAA pricing, the all-in WACC can vary to a certain extent for US BSL CLO deals priced since mid-January 2024.

In terms of success with resets, Elmwood has distinguished itself as the most prolific manager, completing the highest number of resets. Since mid-2023, RR, Nuveen, CSAM, and Carlyle have each executed 3 resets.

Typically, resetting a deal is more feasible when the deal performs well and market conditions are favorable. For a comprehensive overview, please refer to the full list of US CLO deals that boast reinvestment periods exceeding 11 years. Remarkably, six of these deals feature reinvestment periods of over 13 years! This impressive performance stands as a testament to their success, highlighting that extending the reinvestment period by such a significant margin through resets—without any additional injection of capital—would otherwise be an exceedingly challenging feat!

In essence, this deal functioned as a classic principal-driven CLO, aiming to generate returns primarily through asset price appreciation rather than ongoing income. This strategy effectively capitalized on market volatility, leading the deal to perform as expected as the loan market rallied.

Please refer to the table below for the latest data on underlying fixed-rate exposures in EU CLOs, categorised by vintage year and presented in percentiles (75th, 50th, and 25th). These percentiles illustrate the distribution of fixed-rate exposures across the CLO portfolios, while the 'Deal Count' denotes the number of deals for each vintage. In fact, the latest fixed-rate exposures across EU CLOs have largely remained the same compared to those at the end of 2022. The latest median exposure was 8.6%, compared to 8.5% at the end of 2022. In terms of EUR notional exposure, fixed-rate exposure has increased by EUR 1.6 billion, due to the issuance of more CLOs since the beginning of 2023.

Please see the chart below for the distribution of the latest EU CLO equity payments across 481 EU CLO deals. The median deal's latest distribution was at 4.2%. At least 10 seasoned deals from the 2013–2017 vintage are well-positioned for redemption. These deals have exited their reinvestment period and have achieved at least 110% of total equity distributions plus NAV on their last reporting dates.

Madison Park Funding XLI (formerly Atrium XII) deal was recently called. This deal, managed by CSAM, was closed in late 2015. The deal’s average equity distribution was very impressive, at 19.1% over a period of around 8 years. This deal did a reset in late 2017, reduced its cost of funding significantly, and distributed excess par upon reset. The deal's solid first distribution of 17.2% certainly helped boost the average annual distribution too. Without the par distributions, the deal's annual distribution would likely be around the 17% mark rather than in the 19% area.

The table below presents the median MVOC (AAA-B) of US BSL CLO deals by vintage, based on asset prices as of January 19, 2024.

Please refer to the table below for a list of EU CLO managers and their assets under management (in billions). In addition, the table indicates the number of years since each manager last priced a primary deal, as of 31 December 2023. Twenty-three managers have not issued a primary deal in over one year, and ten managers have not issued one in over two years.

Please refer to the table below for a comprehensive list of US CLO managers, along with their BSL and MM assets (in billions) under US CLO management, and the number of days since a primary deal was last priced as of 31 December 2023.

MVOC is a crucial point-in-time measure for pricing CLO-rated tranches, closely monitored by both primary and secondary market participants.

Several conclusions can be drawn from the chart. In particular, it appears that debt investors did not really price in the different post-reinvestment prepayment rates given the generic pricing assumptions for new issue deals. This raises the question: Should managers with higher post-reinvestment prepayment rates be priced tighter than those with lower rates?