Assets Below the 80 Price Bucket by Vintage (as of 24 Jun 2022)
Assets Below the 80 Price Bucket by Vintage Tracking the below 80 price bucket at the CLO underlying collateral level is a...
Assets Below the 80 Price Bucket by Vintage Tracking the below 80 price bucket at the CLO underlying collateral level is a...
The tables below show the MVOC (at the BB-rated tranche level) and EQ NAV metrics of a sample of 1456 US BSL CLO deals* and 452 EU CLO deals* by vintage based on asset prices as of 24 Jun 2022.
Assets Below the 80 and 70 Price Buckets by Vintage Tracking the below 80 and 70 price buckets at the CLO underlying...
Recent Findings on MVOC and Equity NAV Based on asset prices as of 17 Jun 2022 – 27.7% of a...
Weekly Update – US and EU CLOs: Latest MVOC (AAA–B) and EQ NAV by Vintage (as of 17 Jun 2022)...
US and EU CLOs: Latest MVOC (BB) and EQ NAV by Vintage (as of 17 Jun 2022) CLO MVOC at...
US and EU CLOs: Assets Below 80 Price Bucket by Vintage Tracking the 'below 80 price bucket' at the CLO...
Assets Below the 80 and 70 Price Buckets by Vintage Tracking the below 80 and 70 price buckets at the CLO underlying...
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.
This article endeavours to highlight some of the key drivers of 1.0 US CLO equity tranches' outperformance.
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...