CLO Research

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...

Below are some links to recent premium articles that can help answer specific questions about CLO managers and their performance....

The table shows the latest CLO collateral weighted average prices (WAPs) across vintages for both US and EU CLOs. WAP...

The table below displays the average exposure of US CLO managers to price buckets below $80 and $70, based on...

Based on asset prices as of 27 March 2023, the table below shows the average exposure of EU CLO managers...

When looking at median <70 and <60 price bucket metrics, EU CLOs fare better than US CLOs across all vintages. This suggests that EU CLOs may have a lower overall risk profile when it comes to assets that are at a higher risk of default or suffering losses.

Please see the table below for the latest list of US CLO deals (post-2012) with failing ID/OC/IC test(s). Quite a...

The table below shows the latest number of post-2012 US CLO deals that have failed at least one of the...

The study includes a sample of 197 seasoned deals (2015–2019 vintage deals) managed by 39 managers, with the Morningstar European...

The study includes a sample of 197 seasoned deals (2015–2019 vintage deals) managed by 39 managers, with the Morningstar European...

The post-reinvestment (post-RI) end date prepayment rates for EU CLOs are significantly lower than those of US BSL CLOs. In...

Post-Reinvestment Period Prepayment Trends in US BSL CLOs: What You Need to Know

When it comes to post-reinvestment period annual prepayment rates, MM CLOs are outpacing their BSL CLOs and EU CLOs counterparts.

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.