CLO Research provides independent research and insights on CLOs, offering investors and managers fresh, unbiased perspectives and data to support their decision-making.
York CLO-1 has been redeemed, and its equity tranche is expected to surpass the 12% IRR threshold, leading the manager to receive an incentive fee. The redemption of this deal in today’s market conditions highlights its strong performance.
With the current attractive yield offered by new issue US CLO BB tranches, it comes as no surprise that this risk-return profile is generating significant interest. The table below illustrates the projected annual yield of a recently priced US BSL CLO BB tranche.
It is worth noting that the median WAPs (Weighted Average Prices) of US CLOs surpass those of EU CLOs across all vintages. However, when considering the median <70 and <60 price bucket metrics, EU CLOs outperform their US counterparts across all vintages.
Carlyle has witnessed a staggering surge in its US CLO AUM, totaling a remarkable increase of approximately $14.3 billion between January 1, 2022, and June 30, 2023, inclusive of acquisitions.
The table below shows the latest number of post-2012 CLO deals that have failed at least one of the key tests – interest diversion, overcollateralization, or interest coverage tests – broken down by vintage.
It is encouraging to witness the year-to-date (YTD) upward trend in collateral floating spreads for EU CLOs in relation to...
According to Moody’s, it is anticipated that four industries will experience a default rate exceeding 4.0% within the next year. Notably, EU CLOs have a fair amount of exposure to only one out of these four industries, as illustrated in the table. Furthermore, Moody’s projects that only one industry – retail – will witness a default rate surpassing 5.0% over the course of one year. EU CLOs have limited exposure to this industry.
The table shows the latest CLO collateral weighted average prices (WAPs) across vintages for both US and EU CLOs. WAP...
CLO deals are typically called during periods of strength in the loan market. For instance, approximately 85% of the more...
The pricing of CLO-rated tranches in both primary and secondary markets heavily relies on MVOC metrics, making the performance of the loan market a significant factor that impacts the trading of these tranches.
It is worth noting that CLO deals rarely reach maturity, leading to higher annual collateral par loss rates due to mark-to-market (MTM) losses. This, in turn, results in implied default rates that exceed reported defaults, factoring in trading losses and defaults.
Resetting a CLO deal involves extending the deal's reinvestment period, unlike a standard refinancing. While there are several costs associated...
For investors seeking experienced US CLO managers with a proven track record in navigating tough markets, these premium reports offer valuable insights into each manager's investment performance and ability to generate positive alphas in challenging market conditions.
Securitisation can certainly play a crucial role in facilitating the mobilisation of institutional capital into infrastructure financing, especially for sustainable infrastructure and clean energy projects. Additionally, it can help banks recycle their balance sheets into originating new loans to finance such infrastructure initiatives.
The tables below illustrate the underlying CLO collateral weighted average prices and CLO equity NAV metrics by vintage, as of...
