US CLO Manager Report: MJX
As the market recovered, MJX sprang back...
CLO managers, on average, have closely tracked the loan index in 2024, following a period of relative outperformance of 10–20 bps from 2021 to 2023.
Although the relationship between asset spreads and AAA issuance spreads is not always perfectly linear—due to factors like the demand and supply of AAA notes—it is evident that asset spreads have a significant influence on AAA spreads.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL deals by vintage, based on asset prices...
Market Value Over-Collateralization (MVOC), for instance, at the BB tranche level, is calculated by dividing the collateral market value (MV) by the sum of CLO liabilities (AAA to BB). MVOC is a key point-in-time metric for valuing CLO-rated tranches, widely tracked by participants in both primary and secondary markets.
The loan index’s moving 4-week average discounted spreads are used as a proxy for the EU CLO portfolios’ discounted spreads. Arbitrage refers to the index’s discounted spread net of the cost of funding, based on discount margins (of AAA–B tranches) rather than spreads. Upfront costs and management fees are not accounted for. The loan index used for this analysis is the Morningstar Euro-denominated Leveraged Loan Index.
Drawing from a sample of 87 EU CLO deals that have either been redeemed or are expected to reach full redemption shortly, equity tranches from the 2020, 2022, and 2023 vintages have delivered notable final IRRs, underpinned by robust equity NAV metrics. As illustrated in the table, their average equity NAVs surpassed 100%, underscoring strong performance.
Please find below a table showing the published average senior and junior management fee breakdown by US BSL CLO manager. Static deals are excluded from the calculation. Of the 126 managers listed, 68 on average charge over 40 bps, 51 charge between 30 and 40 bps, and 5 charge between 20 and 30 bps.
Notably, Oak Hill, Elmwood, CIFC, CSAM (UBS), Neuberger Berman, and Octagon have excelled in resetting their seasoned deals from the 2013–2021 vintages, particularly from a deal count perspective.
All things being equal, lower mezzanine tranche investors typically prefer to own deals with a higher probability of being reset.
A sample of 1,497 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...
It is often assumed that actively managing CLO portfolios leads to better performance. This belief hinges on the idea that...
To explore the relationship between trading activity and a deal’s MVOC performance, a sample of 95 EU CLO deals closed...
Market Value Over-Collateralization (MVOC), for instance, at the BB tranche level, is calculated by dividing the collateral market value (MV) by the sum of CLO liabilities (AAA to BB). MVOC is a key point-in-time metric for valuing CLO-rated tranches, widely tracked by participants in both primary and secondary markets.