Median MVOC (AAA–B) by Vintage as of 28 Sep 2022
Primary and secondary market participants focus a lot on this number – a point in time metric – as it is an important metric for pricing CLO-rated tranches.
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Primary and secondary market participants focus a lot on this number – a point in time metric – as it is an important metric for pricing CLO-rated tranches.
CLO Equity NAV is calculated by dividing the residual collateral value (MV collateral net of total CLO debt notional) by the equity tranche notional.
The median 'below 80 price bucket' metrics have edged higher for EU CLOs over the week across vintages. At a median of 4.0%, the below 80 price bucket looks pretty high for the most recent 2022 vintage.
Tracking the below 80 price bucket at the CLO underlying collateral level is a good exercise as it highlights the tail risk...
Market Value Over-Collateralisation (MVOC), for instance, at the BBB tranche level, is calculated by dividing the collateral MV by the sum of CLO liabilities (AAA to BBB).
Over US$200bn of US CLOs and EUR 20bn of EU CLOs would potentially become static if the reset market is not open for business over the next year.
Please see the table below for the list of EU CLO managers and their assets under management (billion) as of...
Managers with less than $1 billion CLO AUM are not included in the table.
The table below shows the percentile figures based on the quarterly average MV alpha metrics* (since 2020) of 54 US CLO managers as of 16 Aug 2022. As demonstrated by the table below, manager selection is key to investment performance.
US CLO EQ NAV metrics have largely returned to levels observed on 16 May 2022.
The tables below show the EQ NAV metrics of US BSL CLO deals* and EU CLO deals* by vintage based...
The table below shows the percentile figures based on the quarterly average MV alpha metrics (since 2020) of 38 EU CLO managers as of 8 Aug 2022. To put things into context, EU CLO managers are typically paid 0.45% per annum. As demonstrated by the table below, manager selection is key to investment performance.
Market participants focus a lot on this number – a point in time metric – as it is an important metric for pricing CLO rated tranches.
The EU CLO market has generally done an impressive job when it comes to resetting and this also explains why there are not many seasoned EU CLO deals that have been fully redeemed.
It is apparent that the final IRR of a CLO equity tranche is not only determined by defaults. As shown in the table above, the IRR range for deals with a 0% default rate is enormous (-3.1% to 32.9% ).