Top-Tier US CLO Managers for Different WARF Strategies
The top five US CLO managers for each WARF category are typically larger managers with a CLO AUM of $8 billion or more.
How do CLO managers perform from a debt investor’s perspective?
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The top five US CLO managers for each WARF category are typically larger managers with a CLO AUM of $8 billion or more.
CLO equity and lower mezz tranches are more exposed to idiosyncratic risk. Generally speaking, deals with a bigger below 70 price...
Tracking the below 80 price bucket at the CLO underlying collateral level is useful as it highlights the tail risk of the...
The table below shows the US BSL CLO asset maturity wall as well as asset notional amounts in CLO deals with different current WAL test cushions.
The table below shows the US MM CLO asset maturity wall as well as asset notional amounts in CLO deals with different current WAL test cushions.
CLO deals with a good WAL test cushion would be in a much better position to take advantage of amend-to-extend activities and boost the asset spreads. The table shows the EU CLO asset maturity wall as well as asset notional amounts in CLO deals with different current WAL test cushions.
Older vintage CLO deals with limited reinvestment flexibility would suffer more in today’s market. For a post-2012 CLO deal to deliver a decent equity IRR, the final NAV realisation plays a key role.
The table shows the line-by-line post RI end date annual collateral prepayment rates of 269 US BSL and MM CLO deals. MM CLOs experienced higher prepayment rates than BSL CLOs, perhaps largely due to their more restrictive post reinvestment period languages. Notably, some US BSL CLO managers tend to see lower prepayment rates post reinvestment period.
The table shows the post RI end date annual collateral prepayment rates of 105 EU CLO deals with Aug 2018–Aug 2022 reinvestment end dates
Some EU CLO managers run a lower WARF strategy, while others employ a higher WARF strategy. Which EU CLO managers make it to the top five based on their latest total return alpha performance for each WARF category?
A sample of 199 seasoned deals (2015–2019 vintage deals) managed by 39 managers is included in this study. The benchmark...
Over €20 bn of EU CLOs would potentially become static if the reset market is not open for business over the next year.
As of 31 Oct 2022, the total size of the US CLO market stood at around $964.2 billion.
The tables below show the EQ NAV metrics of US BSL CLO and EU CLO deals* by vintage based on...
The final IRR of a CLO equity tranche very much depends on the final equity NAV realisation.