CLO Market Musings 1
Suppose that static deals are priced wider or in line with the regular longer-dated CLOs. In that case, it could...
CLO Research provides independent research and insights on CLOs, offering investors and managers fresh, unbiased perspectives and data to support their decision-making.
Suppose that static deals are priced wider or in line with the regular longer-dated CLOs. In that case, it could...
Market Value Over-Collateralisation (MVOC) (say, at the single-B tranche level) is calculated by dividing the collateral MV by the sum...
At CLO Research, we provide genuinely independent first-hand CLO research content that is highly relevant to the investing community. We can save you precious time and resources in assessing CLO managers through manager scoring based on relative return performance rather than deal metrics.
Collateral weighted average price (WAP*) is quite useful for a quick snapshot of collateral credit risks. That said, this metric...
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).
