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Clopremium > Blog > No Login Needed: Enhancing transparency in the CLO market > Underlying Collateral Liquidity of US And EU CLOs
No Login Needed: Enhancing transparency in the CLO market

Underlying Collateral Liquidity of US And EU CLOs

CLO Research
February 19, 2021
posted on Feb. 19, 2021 at 1:12 pmJuly 12, 2022

Underlying Collateral Liquidity of US And EU CLOs

The table below summarised the underlying liquidity of both EU and US CLO broadly syndicated loan collateral pools. Based on LPC weighted average depth numbers (number of pricing quotes) as of 11 Feb 2021, EU CLO collateral pools seemed to be slightly more liquid than US CLO collateral pools, on average, across vintages.

LPC weighted average depth (pricing) refers to the average number of pricing contributors weighted by the asset balance in the CLO portfolio. It is useful in determining the average liquidity of each CLO portfolio.

VintageEU CLOs: LPC (pricing) depthDeal CountUS CLOs: LPC (pricing) depthDeal Count
20146.00325.32117
20155.95335.47153
20166.02395.51140
20175.78455.39165
20185.87725.40281
20195.93575.34212

Source: LPC, CLO Research

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.

Tags:Liquidity Score
CLO ResearchFebruary 19, 2021
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