- Market Value Over-Collateralisation (MVOC) (say, at the single-B tranche level) is calculated by dividing the collateral MV by the sum of CLO liabilities (AAA to B).
- Market participants focus a lot on this number – which is a point in time metric – as it is an important metric for pricing CLO rated tranches. In other words, CLO rated tranches do trade on the back of the loan market.
- The following tables show the MVOC metrics (at the single-B rated tranche level) of US and EU CLO deals* by vintage based on loan prices as of 18 Nov 2022.
* US and EU deals with less than 250 million and 200 million collateral notional outstanding respectively are excluded. 2022 deals that closed in Jan-Jul 2022 are inlcuded in the sample.
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.
