EU CLO Deals: Post Reinvestment Period Prepayment Rates and WAL Test Cushions
It is quite evident that deals with a good level of WAL test cushions tend to experience lower prepayment rates.
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It is quite evident that deals with a good level of WAL test cushions tend to experience lower prepayment rates.
The table below shows a list of the top 50 global CLO managers, ranked by their CLO assets under management (AUM) in USD billion as of 31 March 2023.
The US CLO market has achieved a significant milestone by surpassing the trillion-dollar threshold in assets under management. As of March 31st, 2023, the total size of the US CLO market was estimated to be around $1.009 trillion. For a detailed look at how US CLO managers compare in terms of assets under management, be sure to check out the league table presented in this article.
Please see the table below for the list of EU CLO managers and their assets under management (billion) as of 31 March 2023 based on LCD and Intex data.
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...
Based on asset prices as of 27 March 2023, the table below shows the average exposure of EU CLO managers...
Please see the table below for the latest list of US CLO deals (post-2012) with failing ID/OC/IC test(s). Quite a...
Post-Reinvestment Period Prepayment Trends in US BSL CLOs: What You Need to Know
When it comes to post-reinvestment period annual prepayment rates, MM CLOs are outpacing their BSL CLOs and EU CLOs counterparts.
It is worth noting that post-reinvestment end date prepayment rates can vary significantly between deals, even if they are all managed by the same manager.
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.