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.
Market participants focus a lot on this number – a point in time metric – as it is an important metric for pricing CLO rated tranches.
Please see the table below for the full list of EU CLO managers and their assets under (EU CLO) management (billion) as of 29 July 2022 based on LCD and Intex data.
Typically, it is easier to reset a deal when the deal is performing well and the market condition is conducive.
The EU CLO market has generally done an impressive job when it comes to resetting and this also explains why there are not many seasoned EU CLO deals that have been fully redeemed.
Based on a sample of 21 redeemed EU CLO deals, the median deal registered a 9.4% IRR.
It is apparent that the final IRR of a CLO equity tranche is not only determined by defaults. As shown in the table above, the IRR range for deals with a 0% default rate is enormous (-3.1% to 32.9% ).
Which redeemed deals delivered an equity IRR of over 12.0%? 2020 vintage deals delivered extraordinary IRRs. 2012 vintage deals did well...
The average annual equity distribution of redeemed deals was close to 14.0%. The best vintage in terms of the annual distribution is the 2012 vintage deals.
Weekly Update – US and EU CLOs: Latest MVOC (BB) and EQ NAV by Vintage The tables below show the...
Weekly Update – US and EU CLOs: Latest MVOC (AAA–B) and EQ NAV by Vintage (as of 22 Jul 2022)...
Assets Below the 80 and 70 Price Buckets by Vintage Tracking the below 80 and 70 price buckets at the...
The tables below show the MVOC (at the BB-rated tranche level) and EQ NAV metrics of a sample of 1407 US BSL CLO deals and 441 EU CLO deals by vintage based on asset prices as of 15 Jul 2022.
Assets Below the 80 and 70 Price Buckets by Vintage Tracking the below 80 and 70 price buckets at the...
The tables below show the MVOC and EQ NAV metrics of US BSL CLO deals* and EU CLO deals* by vintage based on asset prices as of 15 Jul 2022.
