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Euro CLO equity yields dip

Category: ABS Capital Relief Trades CLOs


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Euro CLO equity yields dip
Annualised equity dividend yields across European CLOs averaged 12.9% in 2020, down from 15.1% in 2019 and below the 15% yearly average for the 2014-2020 2.0 era, according to research from Bank of America. However, the research suggests that in light of the pandemic disruption, the dip was moderate and mainly driven by a drop in Q2/Q3 payments amid collateral trading losses and some equity cashflow diversions (either forced by OC/ID test breaches or by discretionary decisions of CLO managers).

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