Evaluated Prices for Collateralized Loan Obligations (CLO).

Overview: DIH provides evaluated prices on a comprehensive set of asset-backed securities (ABS).

Coverage:  We currently cover approximately 25,000 securities.

History:  Most of our ABS data goes as far back as the security’s issue date.

Updates:  We update our ABS data monthly.

Delivery:  You can receive our data in bulk files via download, S3 to S3, or on-demand via API.

Pricing: Several inputs go into the pricing for our data. For example, do want data for all available instruments, or a subset? How much history do you want? Do you want updates going forward? Contact us to learn more.

Why Firms Choose DIH’s Data.

Institutional investors use DIH’s evaluated prices to determine the fair value of these securities that are traded over-the-counter.

There are several reasons institutional investors rely upon our data:

  1. Market Coverage – we currently provide month-end evaluated prices for approximately 25,000 asset-backed securities, which closely matches the securities in their portfolio and target universe.
  2. Accuracy – also referred to as “market alignment”, the accuracy of our evaluated prices versus actual transaction prices is critical to our clients.
  3. Cost – There are not a lot of sources for ABS data, and so the legacy data providers are typically inflexible when it comes to what they charge for such data. In contrast, DIH works with its clients to provide data within their budget.

Collateralized Loan Obligations (CLO) evaluated prices for 25,000 securities in the USA and Europe  – DIH

An Overview of Collateralized Loan Obligations (CLO).

Before we get into the details of how our ABS prices are created, a quick review of asset-backed securities may be helpful.


A collateralized loan obligation (CLO) is a security backed by a pool of debt, often made up of corporate loans with low credit ratings or loans taken out by private equity firms to conduct leveraged buyouts. CLOs are similar to collateralized mortgage obligations (CMOs), but the underlying debt of CLOs is different — company loans instead of mortgages.

With collateralized loan obligations, the investor receives scheduled debt payments from the underlying loans, and takes on most of the risk in the event that borrowers default. In exchange for taking on that default risk, investors are offered greater diversification and potentially higher-than-average returns.


Collateralized loan obligations are created when loans (typically first-lien bank loans to businesses) that are ranked below investment grade are sold to a CLO manager. The CLO manager bundles loans together from usually 150 to 250 companies and actively manages the pool of loans over a fixed tenure known as the “reinvestment period”. During this period of time, the CLO manager may buy and sell individual bank loans for the underlying collateral pool in an effort to create trading gains and mitigate losses from deteriorating credits.

To raise capital to purchase new loans, the CLO manager sells stakes in the CLO to outside investors in a structure called tranches. There are multiple tranches in each CLO, and they dictate who will be paid out first when the underlying loan payments are made.

Tranches also dictate the risk associated with the investment since investors who are paid last have a higher risk of default from the underlying loans. Investors who are paid out first have lower overall risk, but they receive smaller interest payments. Investors who are in later tranches may be paid last, but the interest payments are higher to compensate for the risk.


There are two types of tranches used when selling a CLO:

Debt Tranches – These tranches have credit ratings and coupon payments just like corporate bonds. They are always at the front of the line for repayment, although there is a pecking order within debt tranches. They are also sometimes referred to as “mezzanine tranches”.

Equity Tranches – Unlike debt tranches, equity tranches do not have credit ratings and are rarely pay a cash flow to investors. They are paid out after all debt tranches but do offer a share of the value of the CLO if the CLO is re-sold in the future.

Within both debt and equity tranches, many different tranches might be available, with the riskier tranches offering higher potential returns.


CLOs are similar to Collateralized Mortgage Obligations (CMOs), in that both securities are based on a large portfolio of underlying debt instruments and both are examples of credit derivatives. However, CLOs are based on debts owed by corporations while CMOs are based on mortgage loans.


Collateralized Loan Obligations (CLO) prices updated monthly and cover 25,000 securities in the USA and Europe – DIH


First, a rating is assigned to each CLO manager. These manager ratings are used to construct a cube of rating and bond seniority in the capital structure, which is then used to determine the baseline DM / yield of each CLO bond.

Each individual CLO tranche is reviewed to assign an adjustment factor to the baseline DM / yield. The adjustment factor is based on structural / waterfall features, underlying collateral quality and specific manager names.

We imply default, prepayment and recovery assumptions from parsed market data. These assumptions are then applied to the underlying loans and any other collateral.

Next, cashflows are generated based on the collateral assumptions described above and are then discounted at the DM / yield according to the matrix and adjustments described above.

The net-asset value (NAV) of the CLO portfolio of loans is determined by gathering pricing data on all of the underlying collateral. The NAV is used to determine the material value overcollateralization available for each tranche. The price of the tranche may be adjusted to reflect the relative amount of NAV coverage.

Prices are checked against parsed prices for each bond, bonds from the same deal, and bonds from the same manager. Appropriate adjustments are made based on these observable prices.

Who Can Benefit from DIH’s Evaluated Prices?

Collateralized Loan Obligations are bought and sold on the over-the-counter market often by institutional market participants, such as insurance companies, mutual funds, and exchange-traded funds (ETFs). Such firms utilize our evaluated prices in various ways, especially in their research and risk management.

How Firms Use Our Collateralized Loan Obligations Data.

Institutional market participants rely upon evaluated prices from multiple sources to determine the fair value of securities traded over-the-counter. Larger institutions, like insurance companies, may be looking to buy senior-level debt tranches to ensure low risk and steady cash flow. While Fund managers are seeking junior-level debt tranches with higher risk and higher interest payments.

Flexible Updates & Data Delivery Methods.

Our CLO data is updated on a monthly basis.

You may customize our data to best suit your needs. For example, request data on all available instruments or provide a custom list.

We offer several ways to access our CLO data:

Bulk File Download – For most of our clients, downloading our data in bulk files is most convenient. We deliver files in .CSV format via download or S3 to S3.

API – Some use cases are better suited for on-demand delivery of data via an API.