Independent, clear, and trusted — CLO Research Group provides actionable insights for CLO debt and equity investors.
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.
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.
