CLO Research

EU CLOs: MVOC Across the Capital Structure and EQ NAV as of 14 Jun 2022 The following table shows the...

The table above shows the latest interest alpha metric distribution (as of 7 Jun 2022) for each category of the CLO AUM range.

Looking at the alpha range in each category, bigger US CLO managers seem to do better than their smaller counterparts.

US CLO Managers: Latest Investment Performance Attribution A sample of 358 deals (2016–2019 vintage deals) is included in this study....

Graph: US and EU Arb Based on Discounted Loan Spreads and CLO DM Arb (US) is calculated by taking the...

US CLOs: Quarterly Average Discounted Loan Spread-to-Maturity Less Weighted Average DM in Graph The graph above shows the US CLO arb picture...

EU CLOs: Quarterly Average Discounted Spread-to-Maturity Less Weighted Average DM in Graph The graph above shows the EU CLO arb picture over...

The arbitrage (arb) metric is defined as the underlying CLO annualized collateral return net of the WACC.

2020 vintage deals used to do much better than the other vintages but this was no longer the case as of 24 May 2022...

US and EU CLO BB MVOC by Vintage (as of 25 May 2022) Market Value Over-Collateralisation (MVOC) (say, at the...

CLO Equity NAV does not mean a third-party valuation of a CLO equity tranche. Rather it means the 'liquidation value' of the equity tranche. Basically, CLO Equity NAV is calculated by dividing the residual collateral value (MV collateral net of total CLO debt notional) by the equity tranche notional.

EU CLO Managers: Investment Performance since the Beginning of 2022 A sample of 212 deals (2015–2019 vintage deals managed by...

MVOC is an important metric for pricing CLO rated tranches. In other words, CLO rated tranches trade on the back of the loan market.

A sample of 248 redeemed US CLO deals is included in the latest study.