Adjustable Rate Index: 2022 EU CLO Deals
The pie chart below shows the estimated breakdown of reference interest rate indices for around EUR17 billion of underlying 2022 EU CLO collateral assets per Intex data as of 25 Aug 2022.
CLO Research provides independent research and insights on CLOs, offering investors and managers fresh, unbiased perspectives and data to support their decision-making.
The pie chart below shows the estimated breakdown of reference interest rate indices for around EUR17 billion of underlying 2022 EU CLO collateral assets per Intex data as of 25 Aug 2022.
Q: Why is the investment alpha used instead of the more readily available CLO deal metrics to assess managers' performance?
While the collateral weighted average price (WAP) is quite useful for a quick snapshot of collateral credit risks, this metric has its limitations.
US and EU CLO AUM Breakdown by RI Period (as of Q2 2022) Please see below for the US and...
Collateral weighted average price (WAP*) is quite useful for a quick snapshot of collateral credit risks. That said, this metric has its limitations. First and foremost, WAP could be artificially inflated due to trading...
Recent Findings on MVOC and Equity NAV Based on asset prices as of 17 Jun 2022 – 27.7% of a...
US and EU CLOs: Latest MVOC (BB) and EQ NAV by Vintage (as of 17 Jun 2022) CLO MVOC at...
Looking at the alpha range in each category, bigger US CLO managers seem to do better than their smaller counterparts.
US and EU CLO BB MVOC by Vintage (as of 25 May 2022) Market Value Over-Collateralisation (MVOC) (say, at the...
CLO Equity NAV does not mean a third-party valuation of a CLO equity tranche. Rather it means the 'liquidation value' of the equity tranche. Basically, CLO Equity NAV is calculated by dividing the residual collateral value (MV collateral net of total CLO debt notional) by the equity tranche notional.
A sample of 248 redeemed US CLO deals is included in the latest study.
Recent Findings (Arb Structure, Implied Default Rates, Size) The post-financial crisis arbitrage US CLO structure appears to be too conservative?The implied...
CLO Research: Recent Findings 1) Based on CLO Research's latest findings, size does not seem to have much impact on...
"Better slip with foot than tongue.” – Benjamin Franklin US CLOs: Annual Distribution vs CLO Equity IRR A sample of...
This research report is now available to bloomberg terminal users.
