Final Post-2012 US CLO Equity IRRs: NAV vs Annual Distributions
The final IRR of a 2.0 CLO equity tranche very much depends on the final equity NAV realisation. There are 20 US CLO managers with at least one deal registering an IRR of over 15%.
The final IRR of a 2.0 CLO equity tranche very much depends on the final equity NAV realisation. There are 20 US CLO managers with at least one deal registering an IRR of over 15%.
For the first time in many months, the median CLO equity NAV metrics are positive across vintages.
Tracking the below 80/70/60 price buckets at the CLO underlying collateral level is useful as it highlights the tail risk of the...
Please see the table below for the latest number of post-2012 US CLO deals with failing ID/OC test(s) by vintage....
Please see the table below for the latest list of US CLO deals (post-2012) with failing ID/OC test(s). Quite a number of these deals would see rated debt impairment eventually.
The table below shows the latest industry overweight/underweight for each seasoned manager based on a sample of 309 seasoned deals...
Tracking the below 80/70/60 price buckets at the CLO underlying collateral level is useful as it highlights the tail risk of the...
Collateral weighted average price (WAP*) is quite useful for a quick snapshot of collateral credit risks. That said, this metric...
One would expect that performance dispersion across managers would be more pronounced in the second half of 2022 given the loan market volatility, but the actual performance range across EU CLO managers...
The tables below show the EQ NAV metrics of US BSL CLO and EU CLO deals* by vintage based on...
The tables below show the median MVOC (AAA-B) and EQ NAV of US BSL CLO and EU CLO deals* by...
A sample of 313 seasoned deals (2016–2019 vintage deals) managed by 56 US CLO managers is included in this study....
A sample of 366 deals (2016–2019* vintage deals) is included in this study. The benchmark loan index used is the...
A sample of 197 deals (2015–2019 vintage deals) managed by 39 managers is included in this study. The benchmark loan index used is the Morningstar European Euro Denominated Loan Index.
The following table shows the average below 80 and 70 price buckets by manager based on asset prices as of 13 Jan 2023.