CLO equity and lower mezz tranches are more exposed to idiosyncratic risk. Generally speaking, deals with a bigger below 80 price bucket would tend to see their equity and lower mezz tranches get hit...
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 8 Jul 2022.
CLO equity and lower mezz tranches are more exposed to idiosyncratic risk.
CLO equity and lower mezz tranches are more exposed to idiosyncratic risk. Generally speaking, deals with a bigger below 80 price bucket would tend to see their equity and lower mezz tranches get...
Weekly Update – US and EU CLOs: Latest MVOC (AAA–B) and EQ NAV by Vintage (as of 1 Jul 2022)...
Market Value Over-Collateralisation (MVOC) (say, at the BB tranche level) is calculated by dividing the collateral MV by the sum of CLO liabilities (AAA to BB). Market participants focus a lot on this number – a point in time metric – as it is an important metric for pricing CLO rated tranches. In other words, CLO rated tranches trade on the back of the loan market.
As of 30 Jun 2022, thirty-three managers have a US CLO AUM of over $10 billion. US CLO managers with less than $1 billion CLO AUM are not included in the table.
From a CLO equity standpoint, entering a credit cycle with a decent length of CLO reinvestment period makes a difference....
The table below shows the latest total/MV/interest alpha metrics of 39 EU CLO managers as of 20 Jun 2022...
Collateral weighted average price (WAP*) is quite useful for a quick snapshot of collateral credit risks. That said, this metric has its limitations. First and foremost, WAP could be artificially inflated due to trading...
Typically when the market is weak, the range of alpha performance metrics tends to widen. However, interestingly, the range of managers' total alpha performance over the last two months has been at its tightest of around 70–80bp since Jan 2020...
Assets Below the 80 Price Bucket by Vintage Tracking the below 80 price bucket at the CLO underlying collateral level is a...
The tables below show the MVOC (at the BB-rated tranche level) and EQ NAV metrics of a sample of 1456 US BSL CLO deals* and 452 EU CLO deals* by vintage based on asset prices as of 24 Jun 2022.
Assets Below the 80 and 70 Price Buckets by Vintage Tracking the below 80 and 70 price buckets at the CLO underlying...
Recent Findings on MVOC and Equity NAV Based on asset prices as of 17 Jun 2022 – 27.7% of a...
