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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...
Below are some links to recent premium articles that can help answer specific questions about CLO managers and their performance....
The table shows the latest CLO collateral weighted average prices (WAPs) across vintages for both US and EU CLOs. WAP...
The table below shows the latest number of post-2012 US CLO deals that have failed at least one of the...
The post-reinvestment (post-RI) end date prepayment rates for EU CLOs are significantly lower than those of US BSL CLOs. In...
While the MVOC and Equity NAV metrics in the US CLO market have returned to levels observed at the beginning...
This edition of CLO Market Musings presents recent findings on US and EU CLO top-tier managers’ industry overweight and underweight positioning based on samples of 2021 vintage deals.
Welcome to this edition of CLO Market Musings, where we are revisiting the limitations of using CLO equity cash distributions...
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.
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.
