Collateralized Loan Obligations in the Financial Accounts of the United States Accessible Data

Figure 1: Collateralized Loan Obligation Net Issuance and Outstanding

(Billions of dollars)

Date CLO Outstanding (LHS) CLO Net Issuance (RHS)
31-Mar-08 290.31  
30-Jun-08 294.95 4.64
30-Sep-08 296.07 1.11
31-Dec-08 302.48 6.42
31-Mar-09 303.68 1.2
30-Jun-09 302.17 -1.51
30-Sep-09 298.51 -3.65
31-Dec-09 293.56 -4.96
31-Mar-10 287.9 -5.66
30-Jun-10 283.87 -4.03
30-Sep-10 280.03 -3.84
31-Dec-10 274.61 -5.42
31-Mar-11 269.27 -5.34
30-Jun-11 264.1 -5.17
30-Sep-11 262.93 -1.16
31-Dec-11 260.87 -2.06
31-Mar-12 253.42 -7.45
30-Jun-12 255.1 1.68
30-Sep-12 260.99 5.88
31-Dec-12 276.69 15.71
31-Mar-13 294.54 17.85
30-Jun-13 294.25 -0.29
30-Sep-13 295.85 1.59
31-Dec-13 305.25 9.4
31-Mar-14 321.15 15.9
30-Jun-14 336.45 15.3
30-Sep-14 363.64 27.19
31-Dec-14 385.09 21.44
31-Mar-15 408.93 23.84
30-Jun-15 431.37 22.44
30-Sep-15 435.03 3.67
31-Dec-15 444.94 9.9
31-Mar-16 446.11 1.17
30-Jun-16 454.4 8.3
30-Sep-16 455.53 1.12
31-Dec-16 474.27 18.74
31-Mar-17 476.48 2.21
30-Jun-17 492.09 15.61
30-Sep-17 509.48 17.39
31-Dec-17 539.25 29.76
31-Mar-18 547.04 7.8
30-Jun-18 581.73 34.69
30-Sep-18 593.82 12.08
31-Dec-18 616.1 22.28

Securities Industry and Financial Markets Association.

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Figure 2: Collateralized Loan Obligation Structure

This diagram demonstrates the structure of a collateralized loan obligation (CLO). At the top, there is a box labelled “Collateral Manager.” An arrow labelled “Active portfolio management” flows from this box to a box in the bottom-left, titled “CLO (SPV),” denoting that a CLO is a type of special purpose vehicle. The box under the “CLO (SPV)” heading is divided in half vertically, with the left side labelled “Loans” and the right side labelled “CLO Tranches.” On the loans side, the figure notes that “collateral for CLO tranches is issued” and that the CLO portfolio comprises “mostly broadly-syndicated leveraged loans.” On the CLO tranches side, the figure lists the types of tranches: “Class A (AAA), Class B (AA), Class C (A), Class D (BBB), Class E (BB), Equity (Unrated).” From the “CLO” box, an arrow, labelled “Management fees,” flows back to the “Collateral Manager” box at the top. A second arrow, labelled “Principal and interest to debt holders; Residual cash flows to equity holders,” also flows from the “CLO” box to a box in the bottom-right, titled “Investors.” This box lists the most common types of investors in CLOs: “Banks, Pension funds, Insurance companies, Asset Managers, Hedge funds.” An arrow, labelled “Investments,” flows from the “Investor” box back to the “CLO” box.

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Figure 3: Collateralized Loan Obligation Holdings of Leveraged Loans in 2019:Q2

This is a bar chart with three bars, each representing CLO holdings of leveraged loans in 2019:Q2 according to a different data source. The y-axis measures billions of dollars and ranges from 0 to 700. The two rightmost bars show the estimates of CLO holdings of leveraged loans according to Intex and LPC Collateral, which are $648 and $621 billion, respectively. The left bar shows CLO holdings as reported in the Financial Accounts of the United States, which totals $664 billion. The FAUS bar is divided into a section labelled “Cayman CLOs,” which is $501 billion, and a section labelled “Delaware CLOs,” which is $163 billion.

Source: Financial Accounts of the United States, Intex, Refinitiv LPC Collateral.

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Figure 4: Cross-Border Flows involving Cayman-Issued Collateralized Loan Obligations

This diagram represents the flow of funds from US and foreign investors to Cayman-issued CLOs and then to the U.S. leveraged loan market. The figure is divided in half vertically by a dotted line, with the left side under the heading “United States” and the right side under the heading “Overseas.” Starting in the bottom-left part of the figure, under the “United States” header, the figure includes a circle labelled “U.S. investors hold Cayman CLO securities.” An arrow labelled (B) flows from this circle to a box in the upper-right part of the figure, labelled “Cayman-issued CLOs,” which is under the “Overseas” heading. In the bottom-right, also under the “Overseas” header, the figure includes a circle labelled “Foreign investors hold Cayman CLO securities.” An arrow labelled (C) flows from this circle upward into the “Cayman-issued CLOs” box. Finally, from the “Cayman-issued CLOs” box in the upper right, an arrow labelled (A) flows left into a circle labelled “U.S. loans held by Cayman-issued CLOs.”

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Last Update: September 20, 2019