YTD and MTD Change: Median MVOC (AAA-B) and CLO Equity NAV Metrics
The tables below show the YTD and MTD MVOC and Equity NAV change for US BSL CLO and EU CLO deals as of 28 Oct 2022.
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The tables below show the YTD and MTD MVOC and Equity NAV change for US BSL CLO and EU CLO deals as of 28 Oct 2022.
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 harder from a valuation standpoint.
The following tables show the below 70 and 60 price buckets for US and EU CLOs by vintage based on asset prices...
The table above shows the relationship between managers’ median WARF and their average Q3 2022 total annualized return alpha.
US CLO managers are paid around 40bp per annum, but their return performance can vary significantly.
As of 30 Sep 2022, the total size of the US CLO market stood at around $957.8 billion. Top 5 US CLO managers by CLO AUM are Carlyle, Blackstone, Golub, CSAM and CIFC.
As of 30 Sep 2022, the total size of the EU CLO market stood at around EUR198.6 billion.
CLO Equity NAV is calculated by dividing the residual collateral value (MV collateral net of total CLO debt notional) by the equity tranche notional.
The median 'below 80 price bucket' metrics have edged higher for EU CLOs over the week across vintages. At a median of 4.0%, the below 80 price bucket looks pretty high for the most recent 2022 vintage.
Tracking the below 80 price bucket at the CLO underlying collateral level is a good exercise as it highlights the tail risk...
Tracking the below 70 and 60 price buckets at the CLO underlying collateral level is a good exercise as it highlights the tail risk of the asset pool. That being said, these metrics could be artificially deflated due to trading.
The tables below show the MVOC (BB-B) and EQ NAV metrics of US BSL CLO deals* and EU CLO deals*...
The table below shows the average inter- and intra-vintage overlap percentage figures for each EU CLO manager. 2018–2021 vintage deals...
Understandably, overlap risk is one of the main concerns for senior CLO investors.
The tables below show the MVOC and EQ NAV metrics of US BSL CLO deals* and EU CLO deals* by...