US CLO Warehouses - COVID-19 Health Check

US CLO Warehouses – COVID-19 Health Check

As the market continues to deal with the unprecedented impact of the pandemic on the global economy, we considered the resilience of US CLOs, which were still in the warehouse stage when COVID-19 hit. Since that date, CLO managers have been extremely focused on and, based on our analysis below, largely successful in, flattening

the effects of the loan price decline curve.

We analysed 70+ open warehouses administered by the Maples Group's fiduciary services team at the start of the pandemic. If we assume that the Group's market share of the US CLO market is around 50%, which has been a reasonably consistent statistic, the following numbers will provide a good indication of warehouse resilience across the market. These warehouses represent 46 different CLO managers and 14 warehouse providers. The number of warehouses being managed by a single CLO manager ranged generally from one to six, with the average being approximately