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Examining the exposure below the €80, €70 and €60 price buckets provides valuable insights into the tail risk of the collateral pool. However, it is important to note that these figures may be influenced by trading activities, which can distort the results. For instance, CLO managers may have realized credit losses and lost par due to trading underperforming assets. Therefore, data on the change in portfolio par since inception has been included to provide additional context.

If no purchases were made after the RI end date, prepayment rates (based on the original collateral balance) for the first two years post-RI would be significantly higher than they currently are, as shown in the table below. In other words, on average, these deals reduced their annual prepayment rates by 21 percentage points and 24 percentage points for the first and second year following their reinvestment period, respectively.

The speed at which CLO rated debt is paid down after the reinvestment end date depends on several factors, including...

The speed at which CLO rated debt is paid down after the reinvestment end date depends on several factors, including...

Overweight indicates that the manager’s average industry exposure exceeds the sample average exposure by 1 percentage point. Conversely, underweight means the manager’s average industry exposure is less than the industry average exposure by 1 percentage point.

The table below displays the average exposure of US CLO managers to price buckets below $80, $70 and $60, based...

Tracking price buckets at 80/70/60 or below for CLO underlying collateral can be useful in assessing tail risk in the...

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...

The table below displays the average exposure of US CLO managers to price buckets below $80 and $70, based on asset prices as of 5th May 2023. Notably, Whitebox, New Mountain, Oak Hill, Golub, AIG, and Sancus have some of the lowest exposure to the below $80 and $70 price buckets in their 2021 vintage deals.

Examining the exposure below the €80 and €70 price buckets provides valuable insights into the tail risk of the collateral pool. However, it is important to note that these figures may be influenced by trading activities, which can distort the results. For instance, CLO managers may have realized credit losses and lost par due to trading underperforming assets. Therefore, data on the change in portfolio par since inception has been included to provide additional context. Additionally, the last column shows the average % of fixed rate exposure by manager.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...

AAA CLO investors would undoubtedly favour witnessing higher prepayment rates during the post-reinvestment period.

"CLO equity investors would prefer to see lower prepayment rates, particularly during the first two years of the initial two-year period following the reinvestment period."

For a sample of EU CLO deals with reinvestment end dates between July 2018 and January 2022, the post-reinvestment end...

The following table provides a summary of key performance metrics for five recently redeemed US CLO equity tranches, including estimated equity internal rate of returns (IRR), annual distributions, final equity net asset values (NAV), time to call (WAL) and initial arbitrage metrics.