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...
The graph below shows the MV return alpha range (95th percentile less 5th percentile) for 38 seasoned EU CLO managers over the last three years. The range here is calculated by taking the 95th percentile alpha value less the 5th percentile alpha value for each month.
The tables below show the latest and YTD changes in MVOC and Equity NAV for US BSL CLO and EU CLO deals by vintage.
Tracking price buckets at 80/70/60 or below for CLO underlying collateral can be useful in assessing tail risk in the...
The table below shows the list of EU CLO managers, along with the number of deals outstanding in which they retained the first loss piece to comply with EU risk-retention requirements, thereby reducing their dependence on third-party CLO equity investors.
Based on asset prices as of 2 March 2023, the table below shows the average exposure of US CLO managers to price buckets below $80 and $70 in their 2021 vintage deals.
Based on asset prices as of 2 March 2023, the table below shows the average exposure of EU CLO managers to price buckets below €80 and €70 in their 2021 vintage deals.
While using average metrics may have its drawbacks, as it can obscure some of the nuances that distinguish individual managers,...
We calculated the total return alpha for 90 EU CLO deals issued in 2021 and managed by 46 managers using...
Please find below tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 17th February 2023.
With rising rates, CLO equity tranches face more competition from lower mezzanine tranches. One of the main reasons investors like CLO equity is its quarterly cash-on-cash distributions. That said, with rising interest rates, lower mezzanine tranches are becoming a real alternative to equity tranches.
The tables below show the MVOC (AAA-B) and EQ NAV of US BSL CLO and EU CLO deals* by vintage...
The final IRR of a 2.0 CLO equity tranche very much depends on the final equity NAV realisation. There are 20 US CLO managers with at least one deal registering an IRR of over 15%.
For the first time in many months, the median CLO equity NAV metrics are positive across vintages.