EU CLOs: Post Reinvestment Period Annual Prepayment Rates
It is worth noting that post-reinvestment end date prepayment rates can vary significantly between deals, even if they are all managed by the same manager.
It is worth noting that post-reinvestment end date prepayment rates can vary significantly between deals, even if they are all managed by the same manager.
While the MVOC and Equity NAV metrics in the US CLO market have returned to levels observed at the beginning...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
The graph below shows the MV return alpha range (95th percentile less 5th percentile) for 38 seasoned EU CLO managers over the last three years. The range here is calculated by taking the 95th percentile alpha value less the 5th percentile alpha value for each month.
The collateral weighted average price (WAP*) provides a useful snapshot of collateral credit risks. However, this metric has its limitations....
The tables below show the latest and YTD changes in MVOC and Equity NAV for US BSL CLO and EU CLO deals by vintage.
Tracking price buckets at 80/70/60 or below for CLO underlying collateral can be useful in assessing tail risk in the...
In the CLO market, the terms "CLO performance" or "resilience" can have varying definitions. It is essential to note that...
In general, 2014 vintage US CLOs have proved to be quite a challenging vintage, meaning that some of the lower...
The table below shows the list of EU CLO managers, along with the number of deals outstanding in which they retained the first loss piece to comply with EU risk-retention requirements, thereby reducing their dependence on third-party CLO equity investors.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices...
Based on asset prices as of 2 March 2023, the table below shows the average exposure of US CLO managers to price buckets below $80 and $70 in their 2021 vintage deals.
Based on asset prices as of 2 March 2023, the table below shows the average exposure of EU CLO managers to price buckets below €80 and €70 in their 2021 vintage deals.