CLO collateral WAL test cushions play a vital role in allowing CLO managers to optimise underlying collateral spreads through trading, purchasing new long-dated assets, or amending and extending existing ones. This article provides an overview of EU CLO assets under management (in billions), broken down by reinvestment (RI) period and reported WAL test cushion, as of 31 March 2023.
Please see the table below for the list of 100 US CLO managers and their assets under (US CLO) management (billion) breakdown by reinvestment (RI) period as of 31 March 2023 based on LCD and Intex data.
Please see the table below for the list of EU CLO managers and their assets under (EU CLO) management (billion) breakdown by reinvestment (RI) period as of 31 March 2023 based on LCD and Intex data.
The table below shows a list of the top 50 global CLO managers, ranked by their CLO assets under management (AUM) in USD billion as of 31 March 2023.
It is quite evident that deals with a good level of WAL test cushions tend to experience lower prepayment rates.
The US CLO market has achieved a significant milestone by surpassing the trillion-dollar threshold in assets under management. As of March 31st, 2023, the total size of the US CLO market was estimated to be around $1.009 trillion. For a detailed look at how US CLO managers compare in terms of assets under management, be sure to check out the league table presented in this article.
Please see the table below for the list of EU CLO managers and their assets under management (billion) as of 31 March 2023 based on LCD and Intex data.
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...
Below are some links to recent premium articles that can help answer specific questions about CLO managers and their performance....
The table shows the latest CLO collateral weighted average prices (WAPs) across vintages for both US and EU CLOs. WAP...
The table below displays the average exposure of US CLO managers to price buckets below $80 and $70, based on...
Based on asset prices as of 27 March 2023, the table below shows the average exposure of EU CLO managers...
When looking at median <70 and <60 price bucket metrics, EU CLOs fare better than US CLOs across all vintages. This suggests that EU CLOs may have a lower overall risk profile when it comes to assets that are at a higher risk of default or suffering losses.
Please see the table below for the latest list of US CLO deals (post-2012) with failing ID/OC/IC test(s). Quite a...
