It is worth noting that CLO deals rarely reach maturity, leading to higher annual collateral par loss rates due to mark-to-market (MTM) losses. This, in turn, results in implied default rates that exceed reported defaults, factoring in trading losses and defaults.
The following table provides a summary of key performance metrics for five recently redeemed US CLO equity tranches, including estimated equity internal rate of returns (IRR), annual distributions, final equity net asset values (NAV), time to call (WAL) and initial arbitrage metrics.
It is worth noting that even though deals 1 and 2 had a similar healthy initial arbitrage or net interest margin (portfolio weighted average spread net of cost of funding), they ended up experiencing completely different IRRs. This suggests that having a good initial arbitrage metric is not always a reliable indicator of a deal's future performance.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices...
The table below presents key performance metrics for 30 fully redeemed EU CLO deals, including time to call, estimated equity IRRs, annual distributions, final equity NAVs, and underlying portfolio annual default rates.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
Regarding defaults, this deal experienced only three defaults since its inception, translating to an approximate 0.14% default rate per annum. If you are an investor in the CLO market, we would like to invite you to register with us using your business email address in order to gain access to our freemium service.
Resetting a CLO deal involves extending the deal's reinvestment period, unlike a standard refinancing. While there are several costs associated...
Discover the main disparities between the seasoned US BSL and EU CLO equity tranches in relation to annual distributions and final equity net asset value (NAV) realisation values necessary to achieve a 12.0% internal rate of return (IRR) target. Explore the reasons why median EU CLO equity tranches have shown higher annual distributions compared to their US equivalents.
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.
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...
For investors seeking experienced US CLO managers with a proven track record in navigating tough markets, these premium reports offer valuable insights into each manager's investment performance and ability to generate positive alphas in challenging market conditions.
A sample of 313 seasoned deals (2016–2019* vintage deals) managed by 56 seasoned US CLO managers is included in this study. The benchmark loan index used is the Morningstar LSTA US B-BB Ratings Loan Index. The dispersion of investment performance among US CLO managers is significant, as shown in the graph presented in this freemium article. If you are an investor in the CLO market, we would like to invite you to register with us using your business email to gain access to our freemium service.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
