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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.

CLO MVOC metrics have all improved considerably across the board YTD (as shown in the tables below). Consequently, CLO debt...

Please see the table below for the latest number of post-2012 US CLO deals with failing ID/OC test(s) by vintage....

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. That said, this metric...

2023 is key for CLO managers to prove that the optionality embedded in the long-term non-recourse nature of the CLO capital structure is indeed valuable for CLO equity investors.

Please see the table in this freemium article for the full list of US CLO managers and their assets under (US CLO) management (billion) as of 30 Dec 2022 based on LCD and Intex data.

Please find the table below for the CLO collateral exposure by industry (Moody's classification) based on 233 US BSL CLO...

Please see the table below for the list of top 10 US CLO managers and their assets under (US CLO) management (billion) as...

Collateral weighted average price (WAP*) is quite useful for a quick snapshot of collateral credit risks. That said, this metric...

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...