The tables below illustrate the underlying CLO collateral weighted average prices and CLO equity NAV metrics by vintage, as of 7th April, based on a sample of 1219 US CLO deals that do not have a single B tranche.
Have you ever wondered why the median collateral weighted average price (WAP) metric for 2018 vintage deals is not too different from that of 2019 vintage deals, but their median CLO Equity NAV metrics are so different?
Note that CLOs are actively managed by CLO managers. While WAP provides a useful snapshot of collateral credit risks, it could be artificially inflated due to trading. CLO managers may have crystallized portfolio losses by trading out of poorly performing assets. This means that credit losses may not only result from defaults, but also from the impact of trading.
There are many observations that can be drawn from the tables. Notably, it is not hard to conclude that quite a number of older vintage deals are not in good shape.
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