Hey all, I am trying to do a deep dive analysis of a CLO fund and I can't seem to source the underlying securities that comprise each tranche (sec filings, CapIQ and Bloomberg aren't working). Anyone have a suggestion?
Thanks in Advance
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http://www.secinfo.com/ maybe give this a shot?
LCD has a lot of clo data....maybe loan connector. Pm me and I can look tomorrow
It's one single pool of loans that cover the debt, you're gonna need access to the remit reports or a third party securitization website/program (lpc, Moody's, index)
Intex or Bloomberg should have this, except there are more deals modeled on Intex than Bloomberg since Bloomberg just rolled out their CLO analytics last year so the loan level data is not there for every deal. Other thrid party vendors exist too (LCD was mentioned), but regardless this information youre looking for will cost money.
Also, each tranche of the CLO will be backed by the same levered loans, its just a matter of subordination and the waterfall of cashflows. The AAA tranche is not backed by different loans that the BBB tranche, it is just the first to get paid
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