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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.
The table below presents key performance metrics for 30 fully redeemed EU CLO deals, including time to call, estimated equity IRRs, annual distributions, final equity NAVs, and underlying portfolio annual default rates.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
Discover the main disparities between the seasoned US BSL and EU CLO equity tranches in relation to annual distributions and final equity net asset value (NAV) realisation values necessary to achieve a 12.0% internal rate of return (IRR) target. Explore the reasons why median EU CLO equity tranches have shown higher annual distributions compared to their US equivalents.
Tracking price buckets at 80/70/60 or below for CLO underlying collateral can be useful in assessing tail risk in the asset pool. Among these price buckets, those at 60 or below can be particularly valuable in identifying assets that are truly distressed.
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...
Generally speaking, in a robust loan market with a good portion of loans trading above par, borrowers often take advantage of prepayment options to refinance their debts at lower spreads. However, whenever the market weakens, lenders are left with limited options to improve the spreads of their assets.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
Please see the table below for the CLO assets under management (billion) breakdown by reinvestment (RI) period and reported WAL Test cushion as of 31 March 2023 based on LCD and Intex data.
Please see the table below for the list of 100 US CLO managers and their assets under (US CLO) management (billion) breakdown by reinvestment (RI) period as of 31 March 2023 based on LCD and Intex data.
Please see the table below for the list of EU CLO managers and their assets under (EU CLO) management (billion) breakdown by reinvestment (RI) period as of 31 March 2023 based on LCD and Intex data.
It is quite evident that deals with a good level of WAL test cushions tend to experience lower prepayment rates.
The table below shows a list of the top 50 global CLO managers, ranked by their CLO assets under management (AUM) in USD billion as of 31 March 2023.
The US CLO market has achieved a significant milestone by surpassing the trillion-dollar threshold in assets under management. As of March 31st, 2023, the total size of the US CLO market was estimated to be around $1.009 trillion. For a detailed look at how US CLO managers compare in terms of assets under management, be sure to check out the league table presented in this article.
