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SCI Research Report 
Autumn 2020

In this first CLO special report we examine how CLO equity prices have fared so far over this most tumultuous of years and their relationship to their underlying NAVs. 

Unlike that for CLO equity, the path of CLO debt stack prices over the first three quarters of 2020 is a fairly clear one.
New issue headline numbers provide a quick rule of thumb with primary triple-A spreads riding a rollercoaster from
YTD tights in January/February to major wides in March/April followed by a recovery back to around 10% shy of
where we began by Q3 end.

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CLO equity price & NAV data examined