• ABS of Corporate Loans: A Collateralised Loan Obligation is a structured credit product built upon a portfolio of leveraged loans (senior secured loans to Private-Equity owned corporates)

• Similar features to other ABS products

Key statistics at a glance

Global CLO Volumes ($bn)

Realized losses on CLO tranches have been substantially less than other ABS asset classes over the last 29 years

Why are CLOs attractive?

• High Volume: Since 2013 there has been >$80bn of primary issuance each year (see opposite). After mortgages, it is the largest asset class in the ABS space

• Diverse product range: High number of primary issuers in US & Europe

• Principal Protection: CLOs have many of the same structural enhancements seen in ABS products (OC tests, senior note protection)

• Low defaults: Moody’s report zero realised losses over the past 29 years, on a 10 year cumulative basis, for senior notes, with <1% recorded at the Baa (BBB eq) level (see 2nd chart). This compares favourably to all other ABS products across the US & EMEA

• High Yielding: Given the specialist, non-retail & high margin nature of the underlying collateral (c. SOFR+500bps today), the rated notes pay a higher yield compared to other ABS products

• Liquidity: Strong & sustained secondary market activity in senior notes through recent stressed events (Ukraine / Silicon Valley Bank), supported by multiple trading desks in London & New York