Redeemed US CLO Equity Annual/Last Distribution and Time to Call by Vintage (270+ Deals)
The average annual equity distribution of redeemed deals was close to 14.0%. The best vintage in terms of the annual distribution is the 2012 vintage deals.
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The average annual equity distribution of redeemed deals was close to 14.0%. The best vintage in terms of the annual distribution is the 2012 vintage deals.
Weekly Update – US and EU CLOs: Latest MVOC (BB) and EQ NAV by Vintage The tables below show the...
The tables below show the MVOC (at the BB-rated tranche level) and EQ NAV metrics of a sample of 1407 US BSL CLO deals and 441 EU CLO deals by vintage based on asset prices as of 15 Jul 2022.
CLO Equity NAV is calculated by dividing the residual collateral value (MV collateral net of total CLO debt notional) by the equity tranche notional.
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...
Market Value Over-Collateralisation (MVOC) (say, at the BB tranche level) is calculated by dividing the collateral MV by the sum of CLO liabilities (AAA to BB). Market participants focus a lot on this number – a point in time metric – as it is an important metric for pricing CLO rated tranches. In other words, CLO rated tranches trade on the back of the loan market.
As of 30 Jun 2022, thirty-three managers have a US CLO AUM of over $10 billion. US CLO managers with less than $1 billion CLO AUM are not included in the table.
The tables below show the MVOC (at the BB-rated tranche level) and EQ NAV metrics of a sample of 1456 US BSL CLO deals* and 452 EU CLO deals* by vintage based on asset prices as of 24 Jun 2022.
Assets Below the 80 Price Bucket by Vintage Tracking the below 80 price bucket at the CLO underlying collateral level is a...
Typically when the market is weak, the range of alpha performance metrics tends to widen. However, interestingly, the range of managers' total alpha performance over the last two months has been at its tightest of around 70–80bp since Jan 2020...
US and EU CLOs: Assets Below 80 Price Bucket by Vintage Tracking the 'below 80 price bucket' at the CLO...
EU CLOs: MVOC Across the Capital Structure and EQ NAV as of 14 Jun 2022 The following table shows the...
MVOC is an important metric for pricing CLO rated tranches. In other words, CLO rated tranches trade on the back of the loan market.
US CLO managers have managed to maintain their outperformance against the loan index on average. As of the last reading on 28 Apr 2022, the average total alpha stood at...
The overall average IRR of redeemed EU CLO AA tranches stood at 2.10% (with an average WAL of 2.49 years). The median AA tranche registered a 2.06% IRR.