CLO Research

The table below shows the latest number of post-2012 US CLO deals that have failed at least one of the...

The study includes a sample of 197 seasoned deals (2015–2019 vintage deals) managed by 39 managers, with the Morningstar European...

The study includes a sample of 197 seasoned deals (2015–2019 vintage deals) managed by 39 managers, with the Morningstar European...

The post-reinvestment (post-RI) end date prepayment rates for EU CLOs are significantly lower than those of US BSL CLOs. In...

Post-Reinvestment Period Prepayment Trends in US BSL CLOs: What You Need to Know

When it comes to post-reinvestment period annual prepayment rates, MM CLOs are outpacing their BSL CLOs and EU CLOs counterparts.

It is worth noting that post-reinvestment end date prepayment rates can vary significantly between deals, even if they are all managed by the same manager.

While the MVOC and Equity NAV metrics in the US CLO market have returned to levels observed at the beginning...

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...