US and EU CLOs: Latest MVOC (BB) and EQ NAV by Vintage (as of 17 Jun 2022)
CLO MVOC at the BB tranche level
Market Value Over-Collateralisation (MVOC) (say, at the BB tranche level) is calculated by dividing the collateral MV by the sum of CLO liabilities (AAA to BB). Market participants focus a lot on this number – a point in time metric – as it is an important metric for pricing CLO rated tranches. In other words, CLO rated tranches trade on the back of the loan market.
The tables below show the MVOC metrics (at the BB-rated tranche level) of a sample of 1463 US BSL CLO deals* and 447 EU CLO deals by vintage based on asset prices as of 17 Jun 2022.
CLO Equity NAV
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.
The above 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 set 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 tables below show the latest US and EU CLO Equity NAV by vintage.
* Deals with less than a 150 million collateral notional outstanding are excluded.
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.
