The table shows the latest CLO collateral weighted average prices (WAPs) across vintages for both US and EU CLOs. WAP provides a useful snapshot of collateral credit risks. However, this metric has its limitations. First and foremost, WAP could be artificially inflated due to trading. CLO managers may have crystallized portfolio losses by trading out of poorly performing assets. Nonetheless, the quality of each portfolio varies from one deal to another. To fully evaluate a manager’s performance, it is necessary to consider the entirety of their performance since inception, including the interest performance component and adjustments for different market conditions. It is worth noting that WAP is a point-in-time metric and does not measure investment return performance over a period of time.
It is worth noting that the median WAPs (Weighted Average Prices) of US CLOs surpass those of EU CLOs across all vintages. However, when considering the median <70 and <60 price bucket metrics, EU CLOs outperform their US counterparts across all vintages.
* Cash is included in the calculation
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.
