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.
* Cash is included in the calculation
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