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.
Disclaimers
The information, research, data, research-related opinions, observations, and estimates contained in this document have been compiled or arrived at by CLO Research Group, based upon sources believed to be reliable and accurate, and in good faith, but in each case without further investigation. None of CLO Research Group or its service providers; authorised personnel, or their directors make any expressed or implied presentation or warranty, nor do any of such persons accept any responsibility or liability as to the accuracy, timeliness, completeness, or correctness of such sources and the information, research, data, research related opinions, observations and estimates contained in this document. All information, research, data, research-related opinions, observations, and estimates in this document are in draft form as of the date of this document and remain subject to change and amendment without notice. Neither CLO Research Group nor any of their third-party providers shall be subject to any damages or liability for any errors, omissions, incompleteness, or incorrectness of this document. This article is not and should not be construed as an offer, or a solicitation of an offer, to buy or sell securities and shall not be relied upon as a promise or representation regarding the historical or current position or performance of any of the deals or issues mentioned in it.
