Latest CLO Equity NAV by Vintage
Older vintage CLO deals with limited reinvestment flexibility would suffer more in today’s market. For a post-2012 CLO deal to deliver a decent equity IRR, the final NAV realisation plays a key role.
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Older vintage CLO deals with limited reinvestment flexibility would suffer more in today’s market. For a post-2012 CLO deal to deliver a decent equity IRR, the final NAV realisation plays a key role.
The table shows the line-by-line post RI end date annual collateral prepayment rates of 269 US BSL and MM CLO deals. MM CLOs experienced higher prepayment rates than BSL CLOs, perhaps largely due to their more restrictive post reinvestment period languages. Notably, some US BSL CLO managers tend to see lower prepayment rates post reinvestment period.
The table shows the post RI end date annual collateral prepayment rates of 105 EU CLO deals with Aug 2018–Aug 2022 reinvestment end dates
Some EU CLO managers run a lower WARF strategy, while others employ a higher WARF strategy. Which EU CLO managers make it to the top five based on their latest total return alpha performance for each WARF category?
A sample of 199 seasoned deals (2015–2019 vintage deals) managed by 39 managers is included in this study. The benchmark...
Over €20 bn of EU CLOs would potentially become static if the reset market is not open for business over the next year.
As of 31 Oct 2022, the total size of the US CLO market stood at around $964.2 billion.
The tables below show the EQ NAV metrics of US BSL CLO and EU CLO deals* by vintage based on...
The final IRR of a CLO equity tranche very much depends on the final equity NAV realisation.
This article details the track record of redeemed static deals.
Unlike 1.0 CLO equity, for a post-2012 CLO deal to deliver a decent equity IRR, the final NAV realisation plays a critical role.
The tables below show the YTD and MTD MVOC and Equity NAV change for US BSL CLO and EU CLO deals as of 28 Oct 2022.
CLO equity and lower mezz tranches are more exposed to idiosyncratic risk. Generally speaking, deals with a bigger below 80 price bucket would tend to see their equity and lower mezz tranches get hit harder from a valuation standpoint.
The following tables show the below 70 and 60 price buckets for US and EU CLOs by vintage based on asset prices...
The table above shows the relationship between managers’ median WARF and their average Q3 2022 total annualized return alpha.