Freemium

A sample of 313 seasoned deals (2016–2019* vintage deals) managed by 56 seasoned US CLO managers is included in this study. The benchmark loan index used is the Morningstar LSTA US B-BB Ratings Loan Index. The dispersion of investment performance among US CLO managers is significant, as shown in the graph presented in this freemium article. If you are an investor in the CLO market, we would like to invite you to register with us using your business email to gain access to our freemium service.

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

The table below shows a list of the top 10 global CLO managers, ranked by their CLO assets under management (AUM) in USD billion as of 31 March 2023.

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

CLO collateral WAL test cushions play a vital role in allowing CLO managers to optimise underlying collateral spreads through trading, purchasing new long-dated assets, or amending and extending existing ones. This article provides an overview of EU CLO assets under management (in billions), broken down by reinvestment (RI) period and reported WAL test cushion, as of 31 March 2023.

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...