CLO Research

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

One would expect that performance dispersion across managers would be more pronounced in the second half of 2022 given the loan market volatility, but the actual performance range across EU CLO managers...

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

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

A sample of 313 seasoned deals (2016–2019 vintage deals) managed by 56 US CLO managers is included in this study....

A sample of 366 deals (2016–2019* vintage deals) is included in this study. The benchmark loan index used is the...

A sample of 197 deals (2015–2019 vintage deals) managed by 39 managers is included in this study. The benchmark loan index used is the Morningstar European Euro Denominated Loan Index.

The following table shows the average below 80 and 70 price buckets by manager based on asset prices as of 13 Jan 2023.

The following table shows the average below 80 and 70 price buckets by manager based on asset prices as of 13 Jan...

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

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 following table shows the average below 80 price bucket by manager based on asset prices as of 6 Jan 2023.

The following table shows the average below 80 price bucket by manager based on asset prices as of 6 Jan 2023.

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