CLO Collateral WAP Metrics (as of 12 Aug) by Vintage
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. CLO managers may have crystallised portfolio losses by trading out of poorly performing assets. On the other hand, some managers might have built par, which would offset the negative MTM impact. Be that as it may, the quality of each portfolio varies from one deal to another. One has to look at the entirety of the manager’s performance since inception, including the interest performance component (including par distribution) and adjustments for the different market conditions. The WAP metric is a point-in-time metric, so it does not really measure investment performance over a period of time.
* Cash is included in the calculation
Related article:
Understanding The Commonly Used CLO Deal Metrics And Their Limitations
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