CLO Research

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

Given that the US loan market is a lot bigger and diversified, the CLO overlap risk (between managers) is lower for US CLOs. It is apparent that the similar median EU CLO equity NAV across vintages can also be partially explained by the relatively higher reset level of older deals in Europe. Not many seasoned EU CLO deals have been fully redeemed. Also, many older vintage deals have been reinvesting for much longer than suggested by their reinvestment periods.

Market Value Over-Collateralisation (MVOC) (say, at the single-B tranche level) is calculated by dividing the collateral MV by the sum...

Some EU CLO managers run a lower WARF strategy, while others employ a higher WARF strategy. Which EU CLO managers make it to the top five based on their latest total return alpha performance for each WARF category?

A sample of 199 seasoned deals (2015–2019 vintage deals) managed by 39 managers is included in this study. The benchmark...

At CLO Research, we provide genuinely independent first-hand CLO research content that is highly relevant to the investing community. We can save you precious time and resources in assessing CLO managers through manager scoring based on relative return performance rather than deal metrics.

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

It is not a surprise that a better-annualised par build number does not necessarily translate to better investment performance. As shown in the graph, EU CLO managers with very similar levels of annualised par build metrics actually see very different MV return alpha performance.

A sample of 198 deals (2015–2019 vintage deals) managed by 39 managers is included in this study. The benchmark loan...

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.