Freemium

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.

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 April 5, 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.

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.