Assessing Tail Risk: Price Buckets Below 80/70/60
Tracking price buckets at 80/70/60 or below for CLO underlying collateral can be useful in assessing tail risk in the asset pool.
Independent, clear, and trusted — CLO Research Group provides actionable insights for CLO debt and equity investors.
Tracking price buckets at 80/70/60 or below for CLO underlying collateral can be useful in assessing tail risk in the asset pool.
A sample of 313 seasoned deals (2016–2019 vintage deals) managed by 57 US CLO managers is included in this study. The benchmark loan index used is the Morningstar LSTA US B-BB Ratings Loan Index.
Notably, Redding Ridge, Hayfin Capital, Partners Group, Oaktree Capital, Invesco, Sound Point Capital, Napier Park and Permira Debt Managers exhibit the most favourable reinvestment period profile.
The pricing of Carlyle's US CLO 2023-3 transaction last week signifies that Carlyle has achieved a significant milestone, surpassing $50 billion in global CLO AUM!
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 EU CLO deals by vintage, based on asset prices...
When examining the reinvestment profiles of deals managed by large managers with at least around $10 billion of US CLO AUM, it becomes evident that, on average, approximately a quarter of their AUM has already surpassed their reinvestment end dates. Furthermore, another nearly 18% of their AUM is projected to transition out of the reinvestment period within the next year. Notably, among the large managers, Elmwood Asset Management, AGL Credit and Oak Hill Advisors have the best reinvestment period profile.
Considering that there are always winners and losers in each industry, the diverse positioning by these managers across the aforementioned five industries helps support this point. The fact that managers with varying industry positions can still achieve favorable performance indicates that investors can benefit from a certain level of diversification in the EU CLO market.
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 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...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices...
Tracking price buckets at 80/70/60 or below for CLO underlying collateral can be useful in assessing tail risk in the...
To address this disparity, users have the option to adjust the spread of each loan through...
Low prepayment rates after the reinvestment period can offer significant advantages to CLO equity investors, assuming the underlying portfolio maintains credit performance. A crucial consideration is whether managers are acquiring assets indiscriminately during the post-reinvestment period solely to prolong the lifespan of the CLO vehicle.