CLO Research

CLO Equity NAV is calculated by dividing the residual collateral value (MV collateral net of total CLO debt notional) by the equity tranche notional.

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

The median 'below 80 price bucket' metrics have edged higher for EU CLOs over the week across vintages. At a median of 4.0%, the below 80 price bucket looks pretty high for the most recent 2022 vintage.

Tracking the below 80 price bucket at the CLO underlying collateral level is a good exercise as it highlights the tail risk...

Tracking the below 70 and 60 price buckets at the CLO underlying collateral level is a good exercise as it highlights the tail risk of the asset pool. That being said, these metrics could be artificially deflated due to trading.

The current CLO equity NAV metrics do not look good especially for EU CLOs – that said, CLOs are long-term vehicles. If a CLO has a good runway of reinvestment period as well as WAL and legal maturity cushions, managers can potentially take advantage of the market volatility and improve over time the underlying collateral spreads and interest returns that can more than compensate for any credit losses due to trading or defaults. 

The tables below show the MVOC (BB-B) and EQ NAV metrics of US BSL CLO deals* and EU CLO deals*...

CLO Collateral WAP Metrics (as of 8 Sep) by Vintage Collateral weighted average price (WAP*) is quite useful for a...

Market Value Over-Collateralisation (MVOC) (say, at the BBB tranche level) is calculated by dividing the collateral MV by the sum of CLO liabilities (AAA to BBB).

Market Value Over-Collateralisation (MVOC), for instance, at the BBB tranche level, is calculated by dividing the collateral MV by the sum of CLO liabilities (AAA to BBB).

The table below shows the average inter- and intra-vintage overlap percentage figures for each EU CLO manager. 2018–2021 vintage deals...

Understandably, overlap risk is one of the main concerns for senior CLO investors.

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

Over US$200bn of US CLOs and EUR 20bn of EU CLOs would potentially become static if the reset market is not open for business over the next year.

Please see the table below for the list of EU CLO managers and their assets under management breakdown by reinvestment (RI) period as of 31 August 2022 based on LCD and Intex data.