US CLO Managers: Inter- and Intra-Vintage Overlap Analysis
Understandably, overlap risk is one of the main concerns for senior CLO investors.
Understandably, overlap risk is one of the main concerns for senior CLO investors.
The tables below show the MVOC and EQ NAV metrics of US BSL CLO deals* and EU CLO deals* by...
Over US$200bn of US CLOs and EUR 20bn of EU CLOs would potentially become static if the reset market is not open for business over the next year.
Please see the table below for the list of EU CLO managers and their assets under management breakdown by reinvestment (RI) period as of 31 August 2022 based on LCD and Intex data.
Please see the table below for the list of EU CLO managers and their assets under management (billion) as of...
"Do not waste time on analysing what you see. Instead reflect deeply on your response to what you see." –...
Please see the table below for the list of top 10 US CLO managers and their assets under (US CLO) management (billion) breakdown by reinvestment (RI) period as of 31 August 2022 based on LCD and Intex data.
Please see the table below for the list of top 100 US CLO managers and their assets under (US CLO) management (billion) breakdown by reinvestment (RI) period as of 31 August 2022 based on LCD and Intex data.
Managers with less than $1 billion CLO AUM are not included in the table.
Please see the table below for the list of US CLO managers (top 50) and their assets under (US CLO) management (billion) as of 31 Aug 2022 based on LCD and Intex data.
CLO equity and lower mezz tranches are more exposed to idiosyncratic risk. Generally speaking, deals with a bigger below 70 price bucket would tend to see their equity and lower mezz tranches get hit harder from a valuation standpoint.
The pie chart below shows the estimated breakdown of reference interest rate indices for around $82 billion of underlying 2022 US CLO collateral assets per Intex data as of 25 Aug 2022.
The pie chart below shows the estimated breakdown of reference interest rate indices for around EUR17 billion of underlying 2022 EU CLO collateral assets per Intex data as of 25 Aug 2022.
Q: Why is the investment alpha used instead of the more readily available CLO deal metrics to assess managers' performance?
A sample of 302 deals (2016–2019 vintage deals) managed by 54 US CLO managers is included in this study. The...