Top 20: EU CLO Manager AUM (as of 31 Aug 2022)
"Do not waste time on analysing what you see. Instead reflect deeply on your response to what you see." –...
CLO Research provides independent research and insights on CLOs, offering investors and managers fresh, unbiased perspectives and data to support their decision-making.
"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.
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.