Analyzing Price Buckets Below 80/70/60 for CLO Underlying Collateral: Assessing Tail Risk
Tracking price buckets at 80/70/60 or below for CLO underlying collateral can be useful in assessing tail risk in the...
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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.
Tracking the below 80/70/60 price buckets at the CLO underlying collateral level is useful as it highlights the tail risk of the...
The table below shows the latest industry overweight/underweight for each seasoned manager based on a sample of 309 seasoned deals...
Tracking the below 80/70/60 price buckets at the CLO underlying collateral level is useful as it highlights the tail risk of the...
One would expect that performance dispersion across managers would be more pronounced in the second half of 2022 given the loan market volatility, but the actual performance range across EU CLO managers...