CLO Research

Please see the table below for the list of US CLO managers and their assets under (US CLO) management (billion) as of 30...

The top five US CLO managers for each WARF category are typically larger managers with a CLO AUM of $8 billion or more.

CLO equity and lower mezz tranches are more exposed to idiosyncratic risk. Generally speaking, deals with a bigger below 70 price...

Tracking the below 80 price bucket at the CLO underlying collateral level is useful as it highlights the tail risk of the...

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

The table below shows the US BSL CLO asset maturity wall as well as asset notional amounts in CLO deals with different current WAL test cushions.

The table below shows the US MM CLO asset maturity wall as well as asset notional amounts in CLO deals with different current WAL test cushions.

CLO deals with a good WAL test cushion would be in a much better position to take advantage of amend-to-extend activities and boost the asset spreads. The table shows the EU CLO asset maturity wall as well as asset notional amounts in CLO deals with different current WAL test cushions.

Based on deals that have been fully redeemed so far, a final NAV of over 50% is typically desired to deliver at least a high-single IRR number for CLO equity investors. Of course, annual distributions need to hit around 15-16% for about five years for a regular arbitrage CLO deal.

Older vintage CLO deals with limited reinvestment flexibility would suffer more in today’s market. For a post-2012 CLO deal to deliver a decent equity IRR, the final NAV realisation plays a key role.

Suppose that static deals are priced wider or in line with the regular longer-dated CLOs. In that case, it could...

A slower prepayment rate would lead to a longer duration of the debt tranches. If the MVOC is also low, then debt investors might see higher price volatility. On the other hand, a slow prepayment rate would bode well for CLO equity valuation in general.

The table shows the line-by-line post RI end date annual collateral prepayment rates of 269 US BSL and MM CLO deals. MM CLOs experienced higher prepayment rates than BSL CLOs, perhaps largely due to their more restrictive post reinvestment period languages. Notably, some US BSL CLO managers tend to see lower prepayment rates post reinvestment period.

The table shows the post RI end date annual collateral prepayment rates of 105 EU CLO deals with Aug 2018–Aug 2022 reinvestment end dates

How quickly is CLO rated debt paid down post reinvestment end date?