CLO equity and lower mezz tranches are more exposed to idiosyncratic risk. Generally speaking, deals with a bigger below 70 price bucket would tend to see their equity and lower mezz tranches get hit harder from a valuation standpoint.
The pie chart below shows the estimated breakdown of reference interest rate indices for around $82 billion of underlying 2022 US CLO collateral assets per Intex data as of 25 Aug 2022.
The pie chart below shows the estimated breakdown of reference interest rate indices for around EUR17 billion of underlying 2022 EU CLO collateral assets per Intex data as of 25 Aug 2022.
Q: Why is the investment alpha used instead of the more readily available CLO deal metrics to assess managers' performance?
A sample of 302 deals (2016–2019 vintage deals) managed by 54 US CLO managers is included in this study. The...
The table below shows the percentile figures based on the quarterly average MV alpha metrics* (since 2020) of 54 US CLO managers as of 16 Aug 2022. As demonstrated by the table below, manager selection is key to investment performance.
US CLO EQ NAV metrics have largely returned to levels observed on 16 May 2022.
A sample of 302 deals (2016–2019 vintage deals) managed by 54 US CLO managers is included in this study. The...
The tables below show the EQ NAV metrics of US BSL CLO deals* and EU CLO deals* by vintage based...
While the collateral weighted average price (WAP) is quite useful for a quick snapshot of collateral credit risks, this metric has its limitations.
The tables below show the MVOC and EQ NAV metrics of US BSL CLO deals* and EU CLO deals* by...
Assets Below the 80 and 70 Price Buckets by Vintage Tracking the below 80 and 70 price buckets at the CLO underlying...
The table below shows the percentile figures based on the quarterly average MV alpha metrics (since 2020) of 38 EU CLO managers as of 8 Aug 2022. To put things into context, EU CLO managers are typically paid 0.45% per annum. As demonstrated by the table below, manager selection is key to investment performance.
The median EU CLO Equity NAV metrics are still in negative territory (with the exception of 2022 deals).
CLO equity and lower mezz tranches are more exposed to idiosyncratic risk. Generally speaking, deals with a bigger below 80 price bucket would tend to see their equity and lower mezz tranches get hit harder from a valuation standpoint.
