No Login Needed: Enhancing transparency in the CLO market

The table in this article displays a list of the top 30 largest global CLO managers, ranked by their global CLO assets under management (AUM) in USD billion as of September 30, 2023. Eight managers preside over upwards of $30 billion in global CLO assets. Four amongst the 30 managers ascend to the top 30 list, absent a European CLO platform. In terms of EU CLO AUM as a percentage of global CLO AUM, Investcorp commands the highest percentage at 44%, followed sequentially by CVC, Redding Ridge, HPS, Invesco, KKR, PGIM, Barings and Blackstone.

Below is a table detailing the top 30 EU CLO Managers, along with their EU CLO Assets Under Management (AUM) — represented in billions of Euros (€ BN) — as of 30th September 2023, and the ranking changes within the latest quarter.

Investing in discounted BB-rated CLO tranches can yield significant rewards in the following scenarios:

The due diligence list could be endless. The objective of dedicating many hours to due diligence is to select a manager who not only performs well but also does so consistently. A proven track record of delivering strong investment performance—not merely presenting compelling deal metrics—is key.

The table below shows the latest number of post-2012 US CLO deals that have failed at least one of the key tests – interest diversion, overcollateralization, or interest coverage tests – broken down by vintage.

The table below shows the latest number of post-2012 EU CLO deals that have failed at least one of the key tests – interest diversion, overcollateralization, or interest coverage tests – broken down by vintage.

York CLO-1 has been redeemed, and its equity tranche is expected to surpass the 12% IRR threshold, leading the manager to receive an incentive fee. The redemption of this deal in today’s market conditions highlights its strong performance.

With the current attractive yield offered by new issue US CLO BB tranches, it comes as no surprise that this risk-return profile is generating significant interest. The table below illustrates the projected annual yield of a recently priced US BSL CLO BB tranche.

It is worth noting that the median WAPs (Weighted Average Prices) of US CLOs surpass those of EU CLOs across all vintages. However, when considering the median <70 and <60 price bucket metrics, EU CLOs outperform their US counterparts across all vintages.

Carlyle has witnessed a staggering surge in its US CLO AUM, totaling a remarkable increase of approximately $14.3 billion between January 1, 2022, and June 30, 2023, inclusive of acquisitions.

The table below shows the latest number of post-2012 CLO deals that have failed at least one of the key tests – interest diversion, overcollateralization, or interest coverage tests – broken down by vintage.

It is encouraging to witness the year-to-date (YTD) upward trend in collateral floating spreads for EU CLOs in relation to...

According to Moody’s, it is anticipated that four industries will experience a default rate exceeding 4.0% within the next year. Notably, EU CLOs have a fair amount of exposure to only one out of these four industries, as illustrated in the table. Furthermore, Moody’s projects that only one industry – retail – will witness a default rate surpassing 5.0% over the course of one year. EU CLOs have limited exposure to this industry.

The table shows the latest CLO collateral weighted average prices (WAPs) across vintages for both US and EU CLOs. WAP...

CLO deals are typically called during periods of strength in the loan market. For instance, approximately 85% of the more...