It is apparent that the final IRR of a CLO equity tranche is not only determined by defaults. As shown in the table above, the IRR range for deals with a 0% default rate is enormous (-3.1% to 32.9% ).
Which redeemed deals delivered an equity IRR of over 12.0%? 2020 vintage deals delivered extraordinary IRRs. 2012 vintage deals did well...
The average annual equity distribution of redeemed deals was close to 14.0%. The best vintage in terms of the annual distribution is the 2012 vintage deals.
Weekly Update – US and EU CLOs: Latest MVOC (BB) and EQ NAV by Vintage The tables below show the...
Weekly Update – US and EU CLOs: Latest MVOC (AAA–B) and EQ NAV by Vintage (as of 22 Jul 2022)...
Assets Below the 80 and 70 Price Buckets by Vintage Tracking the below 80 and 70 price buckets at the...
The tables below show the MVOC (at the BB-rated tranche level) and EQ NAV metrics of a sample of 1407 US BSL CLO deals and 441 EU CLO deals by vintage based on asset prices as of 15 Jul 2022.
Assets Below the 80 and 70 Price Buckets by Vintage Tracking the below 80 and 70 price buckets at the...
The tables below show the MVOC and EQ NAV metrics of US BSL CLO deals* and EU CLO deals* by vintage based on asset prices as of 15 Jul 2022.
Please see the table below for the full list of EU CLO managers and their assets under (EU CLO) management (billion) breakdown by reinvestment (RI) period as of 30 June 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 30 June 2022 based on LCD and Intex data.
US and EU CLO AUM Breakdown by RI Period (as of Q2 2022) Please see below for the US and...
US CLO Managers: Performance Attribution Please see the table below for the performance attribution of 66 US CLO managers based...
CLO Equity NAV is calculated by dividing the residual collateral value (MV collateral net of total CLO debt notional) by the equity tranche notional.
Please see the table below for the full list of EU CLO managers and their assets under (EU CLO) management (billion) as of 30 June 2022 based on LCD and Intex data.
