Weekly Update – US and EU CLOs: Latest MVOC (AAA–B) and EQ NAV by Vintage (as of 17 Jun 2022)
Weekly Update – US and EU CLOs: Latest MVOC (AAA–B) and EQ NAV by Vintage (as of 17 Jun 2022)...
Weekly Update – US and EU CLOs: Latest MVOC (AAA–B) and EQ NAV by Vintage (as of 17 Jun 2022)...
US and EU CLOs: Latest MVOC (BB) and EQ NAV by Vintage (as of 17 Jun 2022) CLO MVOC at...
US and EU CLOs: Assets Below 80 Price Bucket by Vintage Tracking the 'below 80 price bucket' at the CLO...
Assets Below the 80 and 70 Price Buckets by Vintage Tracking the below 80 and 70 price buckets at the CLO underlying...
EU CLOs: MVOC Across the Capital Structure and EQ NAV as of 14 Jun 2022 The following table shows the...
The table above shows the latest interest alpha metric distribution (as of 7 Jun 2022) for each category of the CLO AUM range.
This article endeavours to highlight some of the key drivers of 1.0 US CLO equity tranches' outperformance.
Looking at the alpha range in each category, bigger US CLO managers seem to do better than their smaller counterparts.
US CLO Managers: Latest Investment Performance Attribution A sample of 358 deals (2016–2019 vintage deals) is included in this study....
Graph: US and EU Arb Based on Discounted Loan Spreads and CLO DM Arb (US) is calculated by taking the...
US CLOs: Quarterly Average Discounted Loan Spread-to-Maturity Less Weighted Average DM in Graph The graph above shows the US CLO arb picture...
EU CLOs: Quarterly Average Discounted Spread-to-Maturity Less Weighted Average DM in Graph The graph above shows the EU CLO arb picture over...
The arbitrage (arb) metric is defined as the underlying CLO annualized collateral return net of the WACC.
2020 vintage deals used to do much better than the other vintages but this was no longer the case as of 24 May 2022...
US and EU CLO BB MVOC by Vintage (as of 25 May 2022) Market Value Over-Collateralisation (MVOC) (say, at the...