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Tracking the below 70 and 60 price buckets at the CLO underlying collateral level is a good exercise as it highlights the tail risk of the asset pool. That being said, these metrics could be artificially deflated due to trading.
The tables below show the MVOC (BB-B) and EQ NAV metrics of US BSL CLO deals* and EU CLO deals*...
The table below shows the average inter- and intra-vintage overlap percentage figures for each EU CLO manager. 2018–2021 vintage deals...
Understandably, overlap risk is one of the main concerns for senior CLO investors.
The tables below show the MVOC and EQ NAV metrics of US BSL CLO deals* and EU CLO deals* by...
Please see the table below for the list of EU CLO managers and their assets under management breakdown by reinvestment (RI) period as of 31 August 2022 based on LCD and Intex data.
Please see the table below for the list of top 100 US CLO managers and their assets under (US CLO) management (billion) breakdown by reinvestment (RI) period as of 31 August 2022 based on LCD and Intex data.
CLO equity and lower mezz tranches are more exposed to idiosyncratic risk. Generally speaking, deals with a bigger below 70 price bucket would tend to see their equity and lower mezz tranches get hit harder from a valuation standpoint.
The tables below show the MVOC and EQ NAV metrics of US BSL CLO deals* and EU CLO deals* by...
Assets Below the 80 and 70 Price Buckets by Vintage Tracking the below 80 and 70 price buckets at the CLO underlying...
The median EU CLO Equity NAV metrics are still in negative territory (with the exception of 2022 deals).
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.
Please see the table below for the full list of EU CLO managers and their assets under (EU CLO) management (billion) as of 29 July 2022 based on LCD and Intex data.
Typically, it is easier to reset a deal when the deal is performing well and the market condition is conducive.
Based on a sample of 21 redeemed EU CLO deals, the median deal registered a 9.4% IRR.
