Considering that there are always winners and losers in each industry, the diverse positioning by these managers across the aforementioned five industries helps support this point. The fact that managers with varying industry positions can still achieve favorable performance indicates that investors can benefit from a certain level of diversification in the EU CLO market.
This study includes a sample of 93 more recent deals (closed in 2021 and Jan 2022) managed by 46 managers, using the Morningstar European B Ratings Loan Index as the benchmark loan index. The table below illustrates the relative standing of each EU CLO manager based on their latest average total alpha metrics (as of 26th June 2023) . A score of 98%, for instance, indicates that the manager’s total return alpha is at the 98th percentile, meaning their total return alpha metric exceeds that of 98% of their peers.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices...
The following table provides a summary of the cumulative CLO equity distributions for 140 deals that have experienced failure in one or more of the crucial tests, namely interest diversion, overcollateralization, or interest coverage tests. Approximately three-fourths of these 140 deals have cumulative equity distributions of less than 100%.
The table below shows the latest number of post-2012 CLO deals that have failed at least one of the key tests – interest diversion, overcollateralization, or interest coverage tests – broken down by vintage.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
Tracking price buckets at 80/70/60 or below for CLO underlying collateral can be useful in assessing tail risk in the...
To address this disparity, users have the option to adjust the spread of each loan through...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 16 June 2023.
Low prepayment rates after the reinvestment period can offer significant advantages to CLO equity investors, assuming the underlying portfolio maintains credit performance. A crucial consideration is whether managers are acquiring assets indiscriminately during the post-reinvestment period solely to prolong the lifespan of the CLO vehicle.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
A sample of 218 deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the...
A sample of 218 deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the...
