COLLATERALIZED LOAN OBLIGATIONS

Thomson Reuters Pricing Service (TRPS) is an independent, global evaluated pricing source covering over 2.5 million fixed income securities, derivatives and bank loans. Coverage spans all major financial markets and prices are available at multiple times daily. TRPS evaluations, which provide detailed transparency and market insight, are designed to support asset managers, custodian banks, mutual fund administrators and risk managers.

Thomson Reuters offers comprehensive on-line CLO analysis, enabling users to view underlying assets of their CLOs, identify exposure to specific assets or issuers and compare market value coverage for CLO tranches, while our Evaluated Pricing Service provides a highly accurate, current and granular view of the value of your CLO assets. Using our proprietary methodology, Thomson Reuters pricing experts calculate an independent theoretical value of CLOs.

Together, our platform and our evaluated pricing help ensure your CLO portfolios are demonstrably healthy, accurately priced, and in full compliance with all governing regulations.

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CLO PRICING:

Our evaluated pricing service provides end of day prices on Global Cash Collateralized Loan Obligations (CLOs). These include both broadly syndicated and middle market CLOs across the whole capital structure (AAA-EQ). CLO prices are determined based upon cash flow models incorporating market observed prepayment speeds, loss rates, yields from secondary trades and dealer quotes. We price each CLO security individually, incorporating the following information, techniques, and resources:

  • Granular loan-level data
  • Thorough structural analysis
  • Library and cashflow engine
  • Credit assumptions: Prepayment and default speeds/recoveries
  • Pricing assumptions/discount margins
  • Vigorous quality control checks by our team of evaluators
  • Market news from Reuters editorial staff

CLO ANALYSIS

Our on-line CLO analysis platform (LPC Collateral) focuses on the loans that generate cash flow by mapping our loan pricing service to the loan ‘asset pool’ on a daily basis. This allows you to show the overall health of the portfolio that backs your assets. By monitoring individual asset prices, you can quickly identify “problem assets” at risk of default on the interest or the loan itself – either of which negatively affects the value of your CLO portfolio.

With our service you can:

  • View the underlying assets of your CLO universe in a standardized format
  • Sort and search CLO holdings data and identify exposure to specific assets or issuers
  • Monitor CLO performance over time
  • Chart trades against loan prices from the Thomson Reuters Pricing Service
  • Run Market Value Analysis and NAV scenarios on CLO tranches, as well as highlight important portfolio breakdowns

KEY BENEFITS

  • Global data coverage
  • Transparent and trusted provider
  • Managing Valuation Risk
  • Better data quality, integration and support

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