US and EU CLO Equity NAV by Vintage (as of 24 May 2022)
CLO Equity NAV does not mean a third-party valuation of a CLO equity tranche. Rather it means the liquidation value of the equity tranche. Basically, CLO Equity NAV is calculated by dividing the residual collateral value (MV collateral net of total CLO debt notional) by the equity tranche notional.
It is a useful metric as it is easily understood. This metric also magnifies and highlights any change in equity NAV even when the underlying collateral market value moves slightly. Still, the different opening levels (which could vary quite a bit due to different leverage ratios), distributions of par, and class X or single-B rated tranches would make the comparison between deals and managers a bit tricky.
For CLO deals that have come out of their non-call period, CLO equity NAV also allows investors to calculate the final IRRs in a redemption scenario in a more normalised market condition. Typically, a CLO equity tranche would trade higher than its equity NAV unless it is due for a call.
The table below shows the latest US CLO Equity NAV by vintage.
- Around 25% of US CLO deals saw a negative equity NAV based on loan prices as of 24 May 2022.
- 2013 and 2014 vintage deals are not in a good shape.
The table below shows the latest EU CLO Equity NAV by vintage.
- Around 15% of EU CLO deals saw a negative equity NAV based on loan prices as of 24 May 2022.
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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.
