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CLO Research provides independent research and insights on CLOs, offering investors and managers fresh, unbiased perspectives and data to support their decision-making.

CLO Market Musings 12 – Implied Annual Default Rates

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.

CLO Market Musings 11

Resetting a CLO deal involves extending the deal's reinvestment period, unlike a standard refinancing. While there are several costs associated...

No Login Needed: Enhancing transparency in the CLO market

Infrastructure Asset-Backed Securities: Outperformance in a Tumultuous Year

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. 

CLO Market Musings 5 – Equity Final NAV

Previous articles in this series, titled "CLO Market Musings," talked about the significance of the eventual equity NAV realisation for a regular arbitrage CLO deal (with a longer WAL) with the goal of delivering at least a double-digit IRR for CLO equity investors. The accompanying table, based on 291 fully realized US CLO deals, demonstrates that a final equity NAV greater than 50% on average is needed to achieve a double-digit IRR for CLO equity tranches. It goes without saying that annual distributions have to be at a level that is at least somewhat satisfactory.

CLO Market Musings 4 – Mezz vs Equity Distributions

The European leveraged loan market has returned to levels last seen in early June 2022. Primary EU CLOs were priced at around 140/240/385/570/875/1150 bps (from the triple-A to single-B notes) at that time. The last EU CLO new issue was priced at 165/300/400/600/850/not offered. If the loan market rally can be sustained and other technical factors are favourable, it would not be surprising to see lags in CLO pricing resolved.

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