EU CLO MVOC and EQ NAV Across All Tranches and Vintages
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 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...
The graph below shows the MV return alpha range (95th percentile less 5th percentile) for 38 seasoned EU CLO managers over the last three years. The range here is calculated by taking the 95th percentile alpha value less the 5th percentile alpha value for each month.
The collateral weighted average price (WAP*) provides a useful snapshot of collateral credit risks. However, this metric has its limitations....
The tables below show the latest and YTD changes in MVOC and Equity NAV for US BSL CLO and EU CLO deals by vintage.
Tracking price buckets at 80/70/60 or below for CLO underlying collateral can be useful in assessing tail risk in the...
In the CLO market, the terms "CLO performance" or "resilience" can have varying definitions. It is essential to note that...
In general, 2014 vintage US CLOs have proved to be quite a challenging vintage, meaning that some of the lower...
The table below shows the list of EU CLO managers, along with the number of deals outstanding in which they retained the first loss piece to comply with EU risk-retention requirements, thereby reducing their dependence on third-party CLO equity investors.
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...
Based on asset prices as of 2 March 2023, the table below shows the average exposure of US CLO managers to price buckets below $80 and $70 in their 2021 vintage deals.
Based on asset prices as of 2 March 2023, the table below shows the average exposure of EU CLO managers to price buckets below €80 and €70 in their 2021 vintage deals.
This edition of CLO Market Musings presents recent findings on US and EU CLO top-tier managers’ industry overweight and underweight positioning based on samples of 2021 vintage deals.
While using average metrics may have its drawbacks, as it can obscure some of the nuances that distinguish individual managers,...