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It was a pleasure to share my insights as a keynote speaker on the CLO market at the recent CLO evening event, hosted by Reed Smith and SCI. Topics covered included the drivers behind the record 2024 CLO issuance, primary CLO pricing relative to historical norms, arbitrage trends, managers’ performance against relevant loan indices on an unlevered basis, and IRR performance for fully liquidated EU CLO deals.
CLO Event Hosted by Reed Smith and SCI: Keynote Address
Backed by a strong loan market and the potentially attractive all-in yield of CLO mezzanine tranches, the AAA–BB pricing differential continues to tighten. In fact, the recently priced primary deal, Aqueduct European CLO 9, reached a new low of 365 bps.
Continued Tightening of the AAA-BB Pricing Differential
The recent pricing of Palmer Square CLO 2025-1 marks a new milestone in the 2.0 CLO market. The AAA tranche priced at 116 bps, while the BB tranche was set at 450 bps. Among non-short-dated deals priced since 2012, the reported DM differential between the AAA and BB tranches in this deal reached a new low of 334 bps.
Palmer Square CLO 2025-1 Establishes New Benchmark as BB Spreads Tighten
Among the 50 largest US CLO managers, the firms highlighted in this article have achieved over 15% growth in CLO AUM over the past year. Notably, Elmwood, Antares, and Generate Advisors have recorded year-on-year growth exceeding 35%.
Fastest-Growing Mid-Sized and Large US CLO Managers of the Past Year
Refer to the table in this premium article for the complete list of EU CLO managers and their EU CLO collateral AUM trends since 31 December 2017. As of 31 December 2024, the total EU CLO AUM stands at approximately EUR 244 million, reflecting a Compound Annual Growth Rate (CAGR) of about 20% from 31 December 2017 to 31 December 2024.
Notably, CVC Credit Partners has achieved a robust compound annual growth rate of 21% since the end of 2017.
EU CLO Managers: Trends in Collateral AUM (Updated)
This premium article presents the complete list of US CLO managers, their CLO AUM as of 31 December 2024, and their year-on-year AUM growth rates. By the end of 2024, total US CLO AUM was estimated at $1.096 trillion, reflecting a 5.4% increase over the past year. The 10 largest US CLO managers are Blackstone, Golub Capital, The Carlyle Group, CSAM, Ares Management, CIFC Asset Management, Octagon Credit Investors, PGIM, Sound Point, and BlackRock.
US CLO Managers’ 2024 AUM and Growth Rates Revealed
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.
This article features a list of interview questions from CLO Research, along with responses from Scott M. Morrison, Managing Director and Head of Broadly Syndicated Loans.
Insights from Golub Capital: Track Record, Performance, and Strategic Risk Management
With record primary and reset issuance of US CLOs in 2024, alongside numerous liquidations, US CLO managers have seen significant improvements in their reinvestment period profiles. On average, the percentage of CLO AUM outside the reinvestment period decreased from 30% as of 31 December 2023 to 19% as of 31 December 2024 for the 80 managers listed in the table in this article.
Change in CLO AUM Reinvestment Profiles Over the Past Year by Manager
Among the 100 largest US CLO managers, 23 have a highly favourable CLO AUM breakdown by reinvestment period (RP), with less than 1% of their total US CLO AUM outside RPs. Among the 50 largest managers, only five have less than 1% of their total CLO AUM outside RPs.
US CLO Managers and Their CLO AUM Breakdown by Reinvestment Period
As of 17 January 2025, the latest arbitrage metric for US CLOs stood at approximately 217 bps, down from the 220–230 bps range observed between late June and the end of October 2024.
US BSL CLOs: Weekly Arbitrage Metrics and AAA Spreads
The table in this article presents the discount margin differential pricing for 2.0 CLO AAA–BB tranches by vintage. Based on a sample of non-short-dated deals with available discount margin data, 2024 stands out as the year with the narrowest AAA–BB pricing differential. This trend emerged amid steadily improving loan market conditions and a higher interest rate environment.
US BSL CLOs: AAA–BB Pricing Differential by Vintage
As illustrated in the table in this article, 6 managers achieved stronger performance in their first-loss deals compared to their vertical deals, whereas 5 demonstrated better results in their vertical deals over their first-loss deals.
Performance of Vertical vs First-Loss Risk Retention Deals by EU CLO Manager
This analysis examines a sample of 1,467 US BSL CLO deals from the 2012–2022 vintages, including both deals still within their reinvestment period (RP) and those that have exited it.
Equity Performance of Leading BSL CLO Managers
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Disclaimers
The information, research, data, research-related opinions, observations, and estimates contained in this document have been compiled or arrived at by CLO Research Group, based upon sources believed to be reliable and accurate, and in good faith, but in each case without further investigation. None of CLO Research Group or its service providers; authorised personnel, or their directors make any expressed or implied presentation or warranty, nor do any of such persons accept any responsibility or liability as to the accuracy, timeliness, completeness, or correctness of such sources and the information, research, data, research related opinions, observations and estimates contained in this document. All information, research, data, research-related opinions, observations, and estimates in this document are in draft form as of the date of this document and remain subject to change and amendment without notice. Neither CLO Research Group nor any of their third-party providers shall be subject to any damages or liability for any errors, omissions, incompleteness, or incorrectness of this document. This article is not and should not be construed as an offer, or a solicitation of an offer, to buy or sell securities and shall not be relied upon as a promise or representation regarding the historical or current position or performance of any of the deals or issues mentioned in it.
