Discover the main disparities between the seasoned US BSL and EU CLO equity tranches in relation to annual distributions and final equity net asset value (NAV) realisation values necessary to achieve a 12.0% internal rate of return (IRR) target. Explore the reasons why median EU CLO equity tranches have shown higher annual distributions compared to their US equivalents.
Tracking price buckets at 80/70/60 or below for CLO underlying collateral can be useful in assessing tail risk in the asset pool. Among these price buckets, those at 60 or below can be particularly valuable in identifying assets that are truly distressed.
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...
For investors seeking experienced US CLO managers with a proven track record in navigating tough markets, these premium reports offer valuable insights into each manager's investment performance and ability to generate positive alphas in challenging market conditions.
A sample of 313 seasoned deals (2016–2019* vintage deals) managed by 56 seasoned US CLO managers is included in this study. The benchmark loan index used is the Morningstar LSTA US B-BB Ratings Loan Index. The dispersion of investment performance among US CLO managers is significant, as shown in the graph presented in this freemium article. If you are an investor in the CLO market, we would like to invite you to register with us using your business email to gain access to our freemium service.
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...
Securitisation can certainly play a crucial role in facilitating the mobilisation of institutional capital into infrastructure financing, especially for sustainable infrastructure and clean energy projects. Additionally, it can help banks recycle their balance sheets into originating new loans to finance such infrastructure initiatives.
The table below shows a list of the top 10 global CLO managers, ranked by their CLO assets under management (AUM) in USD billion as of 31 March 2023.
Generally speaking, in a robust loan market with a good portion of loans trading above par, borrowers often take advantage of prepayment options to refinance their debts at lower spreads. However, whenever the market weakens, lenders are left with limited options to improve the spreads of their assets.
The tables below illustrate the underlying CLO collateral weighted average prices and CLO equity NAV metrics by vintage, as of...
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...
Please see the table below for the CLO assets under management (billion) breakdown by reinvestment (RI) period and reported WAL Test cushion as of 31 March 2023 based on LCD and Intex data.
