MountainView has been valuing collateralized loan obligations (CLOs) since before the credit crisis. On a monthly basis, we value both equity and rated CLO classes for hedge funds and depository institutions. MountainView will provide you with a holistic approach to CLO valuation, including consideration of manager quality, a review of the structure, high level analysis of the collateral, and a review of the market for similar assets.
For each CLO that we value for you, we will conduct a proprietary analysis of the historical performance of the collateral pool. Our analysis will include a review of the net asset value (NAV) of your portfolio, performance on triggers, trading activity within the trust, performance on the equity note, industry diversification, net interest spread, CCC/Caa1 buckets, valuation for default assets, ratings distribution of the collateral pool and collateral instrument concentrations.
We incorporate information from third party data providers into our proprietary process, which allows us to conduct a granular analysis of the underlying CLO collateral to gain deeper insight into the fundamental value of equity tranches.
MountainView will provide you with full transparency in terms of the projections and assumptions that we use to produce your valuation, including:
We will also provide you with support for issues such as impairment, liquidity (and marketability) factors, projected principal write-downs, and loss forecasts. We analyze each asset based on its projected performance and appropriate market color. When required, we analyze a security by reviewing the collateral risks at the underlying loan-level.
Once our fundamental analysis is complete, we rely on a diverse set of market references to determine the most appropriate discount rate specific to our base case performance scenario for each of our client's securities. These market references include the following:
A more detailed look at our CLO valuation procedures are set forth in the diagram below: