CLO Research

Basic Premium

US CLOs: Median MVOC and Equity NAV by Vintage

It is interesting to note that the median US CLO equity NAV metrics by vintage have remained largely unchanged from one month ago, set against the backdrop of a very flat loan market, as illustrated in the graph below. In addition, it is observed that the median equity NAV from the 2018 vintage appears to be relatively low.

Freemium

2022 Vintage EU CLO Achieves New High with Stunning IRR

In essence, this deal functioned as a classic principal-driven CLO, aiming to generate returns primarily through asset price appreciation rather than ongoing income. This strategy effectively capitalized on market volatility, leading the deal to perform as expected as the loan market rallied.

Basic Premium

Equity Distributions in EU CLO Deals Post-Reinvestment Period

The table below illustrates the equity distributions for EU CLOs, based on a sample of 145 deals. All these deals have exited their reinvestment period by 31 January 2024. Unlike their US counterparts, the median distribution for EU CLOs has been trending higher. In the EU CLO market, many managers have been more successful at maintaining investments in the first and second years post-reinvestment.

Basic Premium

Equity Distributions in US CLO Deals Post-Reinvestment Period

The latest median equity distribution was 2.8%, representing a decrease of 60 basis points from the previous median quarterly distribution—a significant decline. This suggests that an increasing number of deals may become ripe for a call over the next few quarters. However, the decision to actually call them will depend on several other factors.

Basic Premium

EU CLOs: Fixed Rate Exposures By Vintage (Premium)

In terms of EUR notional exposure, fixed-rate exposure has increased by EUR 1.6 billion, due to the issuance of more CLOs since the beginning of 2023. If 2023 vintage deals were excluded, fixed-rate exposure would have decreased by EUR 0.3 billion. The following table presents the breakdown of the total EUR 19.4 billion exposure by manager.

Freemium

EU CLOs: Fixed Rate Exposures By Vintage

Please refer to the table below for the latest data on underlying fixed-rate exposures in EU CLOs, categorised by vintage year and presented in percentiles (75th, 50th, and 25th). These percentiles illustrate the distribution of fixed-rate exposures across the CLO portfolios, while the 'Deal Count' denotes the number of deals for each vintage. In fact, the latest fixed-rate exposures across EU CLOs have largely remained the same compared to those at the end of 2022. The latest median exposure was 8.6%, compared to 8.5% at the end of 2022. In terms of EUR notional exposure, fixed-rate exposure has increased by EUR 1.6 billion, due to the issuance of more CLOs since the beginning of 2023.

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