Underlying Collateral Liquidity of US And EU CLOs
The table below summarised the underlying liquidity of both EU and US CLO broadly syndicated loan collateral pools. Based on LPC weighted average depth numbers (number of pricing quotes) as of 11 Feb 2021, EU CLO collateral pools seemed to be slightly more liquid than US CLO collateral pools, on average, across vintages.
LPC weighted average depth (pricing) refers to the average number of pricing contributors weighted by the asset balance in the CLO portfolio. It is useful in determining the average liquidity of each CLO portfolio.
| Vintage | EU CLOs: LPC (pricing) depth | Deal Count | US CLOs: LPC (pricing) depth | Deal Count |
| 2014 | 6.00 | 32 | 5.32 | 117 |
| 2015 | 5.95 | 33 | 5.47 | 153 |
| 2016 | 6.02 | 39 | 5.51 | 140 |
| 2017 | 5.78 | 45 | 5.39 | 165 |
| 2018 | 5.87 | 72 | 5.40 | 281 |
| 2019 | 5.93 | 57 | 5.34 | 212 |
Source: LPC, CLO Research
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