Freemium

Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices...

When looking at median <70 and <60 price bucket metrics, EU CLOs fare better than US CLOs across all vintages. This suggests that EU CLOs may have a lower overall risk profile when it comes to assets that are at a higher risk of default or suffering losses.

The graph below shows the MV return alpha range (95th percentile less 5th percentile) for 38 seasoned EU CLO managers over the last three years. The range here is calculated by taking the 95th percentile alpha value less the 5th percentile alpha value for each month.

The collateral weighted average price (WAP*) provides a useful snapshot of collateral credit risks. However, this metric has its limitations....

In the CLO market, the terms "CLO performance" or "resilience" can have varying definitions. It is essential to note that...

In general, 2014 vintage US CLOs have proved to be quite a challenging vintage, meaning that some of the lower...

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...

Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices...

The top-performing US CLO managers have been identified based on their total return alpha performance, as evaluated across a sample...

This article presents an analysis of the latest industry positioning of the five highest-performing EU CLO managers, based on their deals closed in 2021. Although it's not easy to pinpoint the precise industry positioning that drove their investment outperformance...

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). MVOC is a crucial point-in-time metric for pricing CLO-rated tranches, closely monitored by primary and secondary market participants. Calculating CLO Equity NAV involves dividing the residual collateral value (MV collateral net of total CLO debt notional) by the equity tranche notional. In today’s market, older vintage CLO deals with limited reinvestment flexibility may suffer more. For post-2012 CLO deals to deliver a decent equity IRR, the final NAV realization plays a crucial role.

Please see the table below for the latest list of US CLO deals (post-2012) with failing ID/OC test(s). Quite a number of these deals would see rated debt impairment eventually.

The tables below show the median MVOC (AAA-B) and EQ NAV of US BSL CLO and EU CLO deals* by...

“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.”

MVOC metrics fell dramatically across capital structure through 2022.