CLO Research

A sample of 557 EU CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool factor below 65% are excluded. Market Value Over-Collateralization (MVOC), for instance, at the BB tranche level, is calculated by dividing the collateral market value (MV) by the sum of CLO liabilities (AAA to BB). MVOC is a crucial point-in-time metric for pricing CLO-rated tranches, closely monitored by primary and secondary market participants.

According to LCD news, Alcentra has announced the proposed redemption of Jubilee CLO 2014-XI, originally issued in 2014. Subordinated noteholders...

The top five deals, characterized by the narrowest weighted average liability spreads (AAA-BB) year-to-date (YTD), excluding the single-B tranche, are...

Please find the table below for the full list of EU CLO Managers and their EU CLO AUM trends since 31 Dec 2017.

A sample of 1,635 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...

Please refer to the table below for a complete list of EU CLO managers and their assets under management (in billions), as of 30 June 2024.

It is evident that the AAA tranches of top-tier deals are still priced wider than historical norms, albeit the gap has been narrowing each week. In contrast, AA tranches are largely in line with historical levels, while single-A to BB tranches are significantly tighter.

Please find the table below for the net interest margin (NIM) change year-to-date, by vintage, for reinvesting US BSL CLO deals with a reinvestment end date from 1 July 2024 onward.