Collateralized Loan Obligations (CLOs)

Building upon our 30-year legacy, Yield Book has added an enhanced framework for analysing and valuing Collateralized Loan Obligations (CLOs) into our product suites.

• Easy access to CLOs data, cash flows and analytics within existing Yield Book desktop platform, Yield Book API and Yield Book Add-In.
• Seamless integration of CLOs into wider fixed income portfolio analysis.
• Strong Yield Book’s analytical capabilities including price/yield analytics and customizable scenarios analysis.
• CLO cash flows and data powered by our long-standing partner Trepp.
• Access to monthly CLO research reports produced by the Yield Book mortgage research team.
• The Yield Book CLO credit model that predicts the likelihood of loan default and recovery rates based on loan specific attributes and macroeconomic environment.

What are CLOs?

A collateralized loan obligation (CLO) is a funding vehicle that buys leveraged loans as assets and issues rated debt tranches and an unrated equity tranche. It provides financing to non-investment grade companies and caters to debt investors with varying credit risk appetites.

Why invest in CLOs?

Diversification in one of the main benefits of investing in CLO market. Each CLO can include more than 500 leveraged loans in its underlying asset portfolio. As many as 35 industries are represented in CLO loans, with the top 10 industries making up 65% of the universe.

The CLO is an attractive investment product offering many unique risk/return opportunities and can be accretive to a fixed-income portfolio.

How are CLO deals structured?

CLOs have sophisticated deal structures with robust credit enhancement and risk protection for investors through specially designed performance tests and triggers.

What’s the role of a CLO manager?

CLO managers play an important role in mitigating risk and enhancing the value of the asset portfolio by actively trading the loans during the reinvestment period. They are responsible for many aspects of the deal, such as loan selection, trading decisions, deal structuring, compliance to tests/limits, and asset surveillance.

For an in-depth overview of the CLO markets, download Yield Book and LPC’s An Introduction to CLOs research report.