CLO Research

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,...

The top-performing US CLO managers have been identified based on their total return alpha performance, as evaluated across a sample...

To expand the total alpha performance analysis, this study has included a sample of 177 more recent deals closed in...

Welcome to this edition of CLO Market Musings, where we are revisiting the limitations of using CLO equity cash distributions...

We calculated the total return alpha for 90 EU CLO deals issued in 2021 and managed by 46 managers using...

This article presents an analysis of the latest industry positioning of the five highest-performing EU CLO managers, based on their deals closed in 2021. Although it's not easy to pinpoint the precise industry positioning that drove their investment outperformance...

Previous articles in this series, titled "CLO Market Musings," talked about the significance of the eventual equity NAV realisation for a regular arbitrage CLO deal (with a longer WAL) with the goal of delivering at least a double-digit IRR for CLO equity investors. The accompanying table, based on 291 fully realized US CLO deals, demonstrates that a final equity NAV greater than 50% on average is needed to achieve a double-digit IRR for CLO equity tranches. It goes without saying that annual distributions have to be at a level that is at least somewhat satisfactory.

Please find below tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 17th February 2023.