CLO Research

A sample of 198 deals (2015–2019 vintage deals) is included in this study. The benchmark loan index used is the Morningstar European Euro Denominated Loan Index.

The table below shows the quarterly average Interest alpha metrics (since 2020) of 38 EU CLO managers as of 28 Oct 2022.

A sample of 197 deals (2015–2019 vintage deals) managed by 38 managers is included in this study. The benchmark loan...

Over US$220 bn of US CLOs would potentially become static if the reset market is not open for business over the next year.

Over €20 bn of EU CLOs would potentially become static if the reset market is not open for business over the next year.

As of 31 Oct 2022, the total size of the US CLO market stood at around $964.2 billion.

As of 31 Oct 2022, the total size of the EU CLO market stood at around €200.3 billion.

The tables below show the EQ NAV metrics of US BSL CLO and EU CLO deals* by vintage based on...

The final IRR of a CLO equity tranche very much depends on the final equity NAV realisation.

Primary and secondary market participants focus a lot on this number – a point in time metric – as it is an important metric for pricing CLO-rated tranches. Put another way, CLO-rated tranches do trade on the back of the loan market.

This article details the track record of redeemed static deals.

Unlike 1.0 CLO equity, for a post-2012 CLO deal to deliver a decent equity IRR, the final NAV realisation plays a critical role.

The tables below show the YTD and MTD MVOC and Equity NAV change for US BSL CLO and EU CLO deals as of 28 Oct 2022.

Collateral weighted average price (WAP*) is quite useful for a quick snapshot of collateral credit risks.

CLO equity and lower mezz tranches are more exposed to idiosyncratic risk. Generally speaking, deals with a bigger below 80 price bucket would tend to see their equity and lower mezz tranches get hit harder from a valuation standpoint.