NAC manages European CLOs under the Mercator CLO program.
A CLO is a collateralized loan obligation or structured investment vehicle which invests in a diversified portfolio of bank loans and is funded by a number of rated and unrated notes issued to institutional investors.
CLOs are cash flow vehicles and are therefore not significantly affected by mark-to-market price movements. Mercator CLO investors investing in the first loss or equity tranche receive cash distributions from the excess loan interest earned on a periodic basis rather than receiving mark-to-market based performance. Investors in the rated debt tranches receive base rate interest plus a fixed spread throughout the life of the CLO.
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