US and EU CLOs: Latest EQ NAV by Vintage (as of 12 Aug 2022)
The tables below show the EQ NAV metrics of US BSL CLO deals* and EU CLO deals* by vintage based...
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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% ).
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...