Neuberger Berman CLO 59 Sets New Benchmark Amid Tightening BB Spreads?
Our greatest weakness lies in giving up. The most certain way to succeed is always to try just one more...
Our greatest weakness lies in giving up. The most certain way to succeed is always to try just one more...
Investing in CLO equity demands a thorough understanding of the asset class and a carefully considered strategic approach. As a first-loss investment, it carries inherent risks, but it also offers the potential for substantive returns. The performance of CLO equity investments is influenced by several key factors.
A sample of 409 deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the...
A sample of 409 deals (2016–2019* vintage deals) is included in this study. The benchmark loan index used is the...
CLO managers, on average, have closely tracked the loan index in 2024, following a period of relative outperformance of 10–20 bps from 2021 to 2023.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL deals by vintage, based on asset prices...
Market Value Over-Collateralization (MVOC), for instance, at the BB tranche level, is calculated by dividing the collateral market value (MV) by the sum of CLO liabilities (AAA to BB). MVOC is a key point-in-time metric for valuing CLO-rated tranches, widely tracked by participants in both primary and secondary markets.
Drawing from a sample of 87 EU CLO deals that have either been redeemed or are expected to reach full redemption shortly, equity tranches from the 2020, 2022, and 2023 vintages have delivered notable final IRRs, underpinned by robust equity NAV metrics. As illustrated in the table, their average equity NAVs surpassed 100%, underscoring strong performance.