CLO Collateral WAP Metrics by Vintage
Collateral weighted average price (WAP*) is quite useful for a quick snapshot of collateral credit risks.
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Collateral weighted average price (WAP*) is quite useful for a quick snapshot of collateral credit risks.
The tables below show the MTD MVOC change for US BSL CLO and EU CLO deals as of 13 Oct 2022.
48.4% of a sample of 1431 US BSL CLO deals have a negative equity NAV and 100.0% of a sample of 456 EU CLO deals have a negative equity NAV.
This theoretical exercise of understanding the floor highlights the vast amount of credit support in the 2.0 EU CLO structure post-GFC.
Who are the ten largest CLO managers in the world?
Have you ever wondered how CLO AAA/AA/A tranche ratings are created from a portfolio of non-investment grade loans?
Some CLO investors have access to their own internal CLO management or loan platform, so technically speaking, they have access...
Collateral weighted average price (WAP) is quite useful for a quick snapshot of collateral credit risks.
The current CLO equity NAV metrics do not look good especially for EU CLOs – that said, CLOs are long-term vehicles. If a CLO has a good runway of reinvestment period as well as WAL and legal maturity cushions, managers can potentially take advantage of the market volatility and improve over time the underlying collateral spreads and interest returns that can more than compensate for any credit losses due to trading or defaults.
CLO Collateral WAP Metrics (as of 8 Sep) by Vintage Collateral weighted average price (WAP*) is quite useful for a...
Market Value Over-Collateralisation (MVOC) (say, at the BBB tranche level) is calculated by dividing the collateral MV by the sum of CLO liabilities (AAA to BBB).
"Do not waste time on analysing what you see. Instead reflect deeply on your response to what you see." –...
Please see the table below for the list of top 10 US CLO managers and their assets under (US CLO) management (billion) breakdown by reinvestment (RI) period as of 31 August 2022 based on LCD and Intex data.
Please see the table below for the list of US CLO managers (top 50) and their assets under (US CLO) management (billion) as of 31 Aug 2022 based on LCD and Intex data.
The pie chart below shows the estimated breakdown of reference interest rate indices for around $82 billion of underlying 2022 US CLO collateral assets per Intex data as of 25 Aug 2022.
