Please see the table below for the full list of EU CLO managers and their assets under (EU CLO) management (billion) breakdown by reinvestment (RI) period as of 30 June 2022 based on LCD and Intex data.
Please see the table below for the list of top 100 US CLO managers and their assets under (US CLO) management (billion) breakdown by reinvestment (RI) period as of 30 June 2022 based on LCD and Intex data.
US and EU CLO AUM Breakdown by RI Period (as of Q2 2022) Please see below for the US and...
US CLO Managers: Performance Attribution Please see the table below for the performance attribution of 66 US CLO managers based...
CLO Equity NAV is calculated by dividing the residual collateral value (MV collateral net of total CLO debt notional) by the equity tranche notional.
Please see the table below for the full list of EU CLO managers and their assets under (EU CLO) management (billion) as of 30 June 2022 based on LCD and Intex data.
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...
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 8 Jul 2022.
CLO equity and lower mezz tranches are more exposed to idiosyncratic risk.
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...
Weekly Update – US and EU CLOs: Latest MVOC (AAA–B) and EQ NAV by Vintage (as of 1 Jul 2022)...
Market Value Over-Collateralisation (MVOC) (say, at the BB tranche level) is calculated by dividing the collateral MV by the sum of CLO liabilities (AAA to BB). Market participants focus a lot on this number – a point in time metric – as it is an important metric for pricing CLO rated tranches. In other words, CLO rated tranches trade on the back of the loan market.
As of 30 Jun 2022, thirty-three managers have a US CLO AUM of over $10 billion. US CLO managers with less than $1 billion CLO AUM are not included in the table.
From a CLO equity standpoint, entering a credit cycle with a decent length of CLO reinvestment period makes a difference....
The table below shows the latest total/MV/interest alpha metrics of 39 EU CLO managers as of 20 Jun 2022...
