CLO Research

The table below presents the median MVOC (AAA-B) of US BSL CLO deals by vintage, based on asset prices as of January 19, 2024.

Please refer to the table below for a list of EU CLO managers and their assets under management (in billions). In addition, the table indicates the number of years since each manager last priced a primary deal, as of 31 December 2023. Twenty-three managers have not issued a primary deal in over one year, and ten managers have not issued one in over two years.

Please refer to the table below for the comprehensive list of EU CLO managers and their assets under (EU CLO) management (in billions), categorised by reinvestment (RI) period as of 31st December 2023, based on LCD and Intex data.

Please refer to the table below for a list of the 100 US CLO managers and their assets under management (in billions) for US CLOs, broken down by the reinvestment (RI) period as of December 31, 2023.

Please refer to the table below for a comprehensive list of US CLO managers, along with their BSL and MM assets (in billions) under US CLO management, and the number of days since a primary deal was last priced as of 31 December 2023.

As of December 31, 2023, a notable proportion of the 135 managers, each handling over $0.7 billion in US CLO AUM, have been inactive in pricing new issue deals. Specifically, around 40% of these managers have not priced a primary deal in the last six months. In addition, a quarter of them have not engaged in such pricing for over a year, while approximately 15% have remained inactive in this regard for the past two years.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of January 5, 2023.

Tracking price buckets at 80/70/60 or below for US CLO underlying collateral can be useful in assessing tail risk in...

MVOC is a crucial point-in-time measure for pricing CLO-rated tranches, closely monitored by both primary and secondary market participants.

Several conclusions can be drawn from the chart. In particular, it appears that debt investors did not really price in the different post-reinvestment prepayment rates given the generic pricing assumptions for new issue deals. This raises the question: Should managers with higher post-reinvestment prepayment rates be priced tighter than those with lower rates?

Approximately one year ago, the CLO industry pondered where new-issue US CLO AAA spreads would land by the end of 2023. As we look ahead, what are your predictions for how the new-issue CLO AAA spreads will evolve by the end of the first half of 2024?

As we leap into yet another promising year, hopefully, I extend my heartiest wishes to my fellow CLO equity and debt investors, as well as our esteemed partners in the fabulous world of CLOs. May this year bring a continuous upswing in CLO equity NAV, empowering us to navigate with more flair and present opportunities to redeem some of our ‘vintage’ deals. In anticipation of a market that’s as dynamic as a New Year’s Eve party, we eagerly hope for a scenario where CLO liability spreads tighten faster than my New Year’s resolutions fade, thus creating a more robust and profitable landscape for us all. Of course, we need the corresponding asset spread tightening to be restrained, so as not to spoil the party.

Wishing you a holiday season that embodies the best of a CLO’s structure: the strength and reliability of the senior tranche, ensuring your festivities are filled with unwavering joy; the adaptability and opportunistic spirit of the mezzanine tranche, bringing excitement and variety to your celebrations; and the high-reward potential of the equity tranche. May your Christmas be as well-rounded, healthy, and prosperous as a well-balanced CLO portfolio!

The table is structured with the first column listing the percentiles of the prepayment and purchase rates. The second column displays the actual annualized prepayment rates during the post-reinvestment (RI) period. The third column reveals the annualized prepayment rates during this period, assuming no purchases were made. The final column illustrates the annualized purchase rates during the post-RI period.

The table below provides a succinct summary of prepayment and reinvestment metrics for a collection of 16 EU CLO deals from 2018, with reinvestment end dates spanning from May 2022 to August 2022. It’s notable that the median prepayment rates were markedly low, at a mere 1% and 3%, respectively, for year 1 and 2 during the post-reinvestment period, primarily because most managers engaged in asset acquisitions at a median annualised rate of 15% and 21%, respectively, for year 1 and 2.