CLO Research

US and EU CLO BB MVOC by Vintage (as of 25 May 2022) Market Value Over-Collateralisation (MVOC) (say, at the...

CLO Equity NAV does not mean a third-party valuation of a CLO equity tranche. Rather it means the 'liquidation value' of the equity tranche. Basically, CLO Equity NAV is calculated by dividing the residual collateral value (MV collateral net of total CLO debt notional) by the equity tranche notional.

EU CLO Managers: Investment Performance since the Beginning of 2022 A sample of 212 deals (2015–2019 vintage deals managed by...

MVOC is an important metric for pricing CLO rated tranches. In other words, CLO rated tranches trade on the back of the loan market.

A sample of 248 redeemed US CLO deals is included in the latest study.

US CLO managers have managed to maintain their outperformance against the loan index on average. As of the last reading on 28 Apr 2022, the average total alpha stood at...

  Recent Findings (Arb Structure, Implied Default Rates, Size) The post-financial crisis arbitrage US CLO structure appears to be too conservative?The implied...

The overall average IRR of redeemed EU CLO AA tranches stood at 2.10% (with an average WAL of 2.49 years). The median AA tranche registered a 2.06% IRR.

The overall average IRR of redeemed EU CLO single-A tranches stood at 2.74%

Redeemed EU CLO BB (Original) Tranches: YTC and IRRs EU CLO rated tranches have done well and demonstrated resilience through...

Redeemed EU CLO Single-B Tranches: IRRs By Vintage 106 redeemed single B tranches (original and refinanced/reset) are included in this...

Redeemed EU CLO BBB Tranches: WALs and IRRs By Vintage 165 redeemed BBB tranches (original and refinanced/reset) are included in...

Redeemed EU CLO AAA Tranches: WALs and IRRs By Vintage 394 redeemed AAA tranches (original and refinanced/reset) are included in...

Thanks to the OID (original issue discount), the pull to par effect bumped IRRs up meaningfully. However, it is not great for CLO equity investors from a funding standpoint.

Is the Post-FInancial Crisis Arbitrage US CLO Structure Too Conservative? The term 'arbitrage' would suggest a pretty good average IRR...