US CLO MVOC and EQ NAV Across All Tranches and Vintages
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 US BSL CLO deals by vintage, based on asset...
Tracking price buckets at 80/70/60 or below for CLO underlying collateral can be useful in assessing tail risk in the...
To address this disparity, users have the option to adjust the spread of each loan through...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 16 June 2023.
Low prepayment rates after the reinvestment period can offer significant advantages to CLO equity investors, assuming the underlying portfolio maintains credit performance. A crucial consideration is whether managers are acquiring assets indiscriminately during the post-reinvestment period solely to prolong the lifespan of the CLO vehicle.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
A sample of 218 deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the...
A sample of 218 deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the...
Man did better than its pre-pandemic performance as of the latest reading.
A sample of 218 deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of 9 June 2023.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 9 June 2023.
It is encouraging to witness the year-to-date (YTD) upward trend in collateral floating spreads for EU CLOs in relation to...
Tracking price buckets at 80/70/60 or below for CLO underlying collateral can be useful in assessing tail risk in the asset pool. Among these price buckets, those at 60 or below can be particularly valuable in identifying assets that are truly distressed. However, it’s still important to consider the impact of trading activity on these buckets, as CLO managers may have traded out of distressed assets to crystallize portfolio losses. Therefore, it’s important to evaluate a manager’s performance as a whole. The following tables show the price buckets at 80/70/60 or below for US and EU CLOs by vintage, based on asset prices as of 2 June 2023.
The table below presents a list of seasoned EU CLO deals that exhibit single-digit annualised prepayment rates during the first and second years of the initial two-year period following their reinvestment period. The last two columns of the table display the annualised prepayment rates if no purchases were made after the RI end date. In other words, on average, these deals experienced a reduction of 15 percentage points and 11 percentage points in their annual prepayment rates during the first and second years following their reinvestment period, respectively, thanks to the purchases made.