Another Fine Mezz

The episode delivers moderate substance with several concrete data points (CLO BB default rate of 0.04%, 10% of US BB market with MVOC below 100%, 800-900bps spreads on single B tranches) and useful frameworks (complexity/liquidity/volatility premiums vs. credit risk). However, significant portions consist of scene-setting education about CLO basics and investor demand drivers that would be familiar to the target operator audience, reducing novelty density.

“CLO double B debt specifically is the extremely low default rate historically. So, for example, if you look at CLO double Bs uh over the last 30 years, the average annual default rate for CLO double B debt is 0.04%”

“almost 10% of the market has a MVOC, a market value over collateralization below 100%”

The episode relies heavily on well-established CLO frameworks and talking points (CDO vs CLO education post-GFC, retail investor flows into the space, relative value vs corporates, structural protection). The distinction about complexity/liquidity/volatility premiums vs credit risk is somewhat useful but not particularly contrarian or first-principles thinking. The discussion of MVOC dispersion and increasing default rates is topical but not groundbreaking analysis.

“just the fact that there are CLO ETFs out there is getting some institutional clients more comfortable with the concept of CLOs really being a mature deep asset class”

“we don't believe that in a normal market environment, investors are getting paid a sufficient premium for lower quality CLOMES in the market versus the higher quality”

Pim van Schie is a senior portfolio manager at a top-tier CLO platform (Neuberger Berman with $32B AUM, one of largest US and European issuers/managers), giving him genuine operating experience across liability issuance, equity returns, and debt investing. His dual perspective as both issuer and investor adds credibility. However, he is not a public-facing operator at founder/CEO level, placing him in solid middle tier rather than top tier.

“I'm a senior portfolio manager at Newburger focused on CLO strategies”

“Newberger has a CLO platform of about $32 billion in total in size. We are one of the largest CLO issuers and managers in the market, uh, both in the US and European CLO markets”

The episode contains useful quantified data points (0.04% BB default rate, 10% underwater MVOC, 3.5% yield pick-up, 800-900bps single B spreads, $32B platform size, 30-year historical window) and specific references (Bain 2018 deal, European CLO ETFs, recent AI/software volatility). However, most claims lack granular evidence - investor flows are described only qualitatively, issuance volume trends asserted without numbers, and future spread trajectories stated without modeling. The MVOC statistic is valuable but underexplained.

“CLO double B debt specifically is the extremely low default rate historically. So, for example, if you look at CLO double Bs uh over the last 30 years, the average annual default rate for CLO double B debt is 0.04%”

“investors are capturing about 3.5% additional yield for CLO double Bs as compared to double B rated high yield”

The host (Thomas Hopkins) asks competent, relevant questions that follow a logical progression through demand drivers, investor composition, relative value, and collateral dispersion. However, follow-up questions are largely confirmatory rather than probing - he rarely pushes back on claims, challenge soft logic, or dig deeper when Pim makes sweeping assertions (e.g., 'spreads are likely to be range bound' gets no challenge). The interview feels more like an extended educational monologue than a sharp dialogue. The host misses opportunities to challenge the framing of complexity premium vs credit risk.

“Just to pick up on something there, Pim, do you think that even with managers increasingly using kind of captive equity funds to print deals”

“And you brought up, of course, Pim, this dispersion in terms of where CLO mezzanine tranches are pricing”