EU CLO MVOC and EQ NAV Across All Tranches and Vintages
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices...
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Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
When examining the reinvestment profiles of deals managed by large managers with at least around $10 billion of US CLO AUM, it becomes evident that, on average, approximately a quarter of their AUM has already surpassed their reinvestment end dates. Furthermore, another nearly 18% of their AUM is projected to transition out of the reinvestment period within the next year. Notably, among the large managers, Elmwood Asset Management, AGL Credit and Oak Hill Advisors have the best reinvestment period profile.
Considering that there are always winners and losers in each industry, the diverse positioning by these managers across the aforementioned five industries helps support this point. The fact that managers with varying industry positions can still achieve favorable performance indicates that investors can benefit from a certain level of diversification in the EU CLO market.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices...
Tracking price buckets at 80/70/60 or below for CLO underlying collateral can be useful in assessing tail risk in the...
To address this disparity, users have the option to adjust the spread of each loan through...
Low prepayment rates after the reinvestment period can offer significant advantages to CLO equity investors, assuming the underlying portfolio maintains credit performance. A crucial consideration is whether managers are acquiring assets indiscriminately during the post-reinvestment period solely to prolong the lifespan of the CLO vehicle.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of 9 June 2023.
The table below presents a list of seasoned EU CLO deals that exhibit single-digit annualised prepayment rates during the first and second years of the initial two-year period following their reinvestment period. The last two columns of the table display the annualised prepayment rates if no purchases were made after the RI end date. In other words, on average, these deals experienced a reduction of 15 percentage points and 11 percentage points in their annual prepayment rates during the first and second years following their reinvestment period, respectively, thanks to the purchases made.
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.