CLO Market Musings 2 – Collateral Spreads
2023 is key for CLO managers to prove that the optionality embedded in the long-term non-recourse nature of the CLO capital structure is indeed valuable for CLO equity investors.
2023 is key for CLO managers to prove that the optionality embedded in the long-term non-recourse nature of the CLO capital structure is indeed valuable for CLO equity investors.
Please see the table below for the list of EU CLO managers and their assets under management breakdown by reinvestment...
The tables below show the change in collateral spreads (median) for both US BSL CLOs and EU CLOs by vintage....
A sample of 197 deals (2015–2019 vintage deals) managed by 38 managers is included in this study. The benchmark loan index used is the Morningstar European Euro Denominated Loan Index.
US CLO managers such as Blackstone, Elmwood, Golub, PGIM, Ares, KKR, Palmer Square and Neuberger Berman grew their US CLO AUM organically by $3bn or more in 2022.
Please see the table in this freemium article for the full list of US CLO managers and their assets under (US CLO) management (billion) as of 30 Dec 2022 based on LCD and Intex data.
MVOC metrics fell dramatically across capital structure through 2022.
The tables below show the median MVOC and EQ NAV of US BSL CLO and EU CLO deals* by vintage...
The tables below show the median MVOC and EQ NAV of US BSL CLO and EU CLO deals* by vintage...
The tables below show the EQ NAV metrics of US BSL CLO and EU CLO deals* by vintage based on...
The table below shows the latest industry overweight/underweight for each selected manager based on EU CLOs closed in 2021–2022. Overweight means the...
The tables below show the latest industry overweight/underweight for each selected manager based on US BSL CLOs closed in 2022. Overweight means...
Please find the table below for the CLO collateral exposure by industry (Moody's classification) based on 233 US BSL CLO...
Please find the table below for the CLO collateral exposure by industry (Moody's classification) based on EU CLO deals closed in 2021–2022. The median EU CLO deal has an 15.8% exposure to Healthcare & Pharmaceuticals.
The tables below show the median MVOC and EQ NAV of US BSL CLO and EU CLO deals* by vintage...