Introducing the Semeris Debt vs. Equity Score (DvES)
A New Standard for CLO Documentation Analysis
The Semeris Debt v. Equity Score (DvES) is a comprehensive, transparent framework for assessing whether Broadly Syndicated Loan (BSL) CLO documentation terms favor debt or equity investors. Built on Semeris' extensive database of CLO datapoints, the DvES provides investors with an objective, market-relative measurement tool to support relative value analysis across both US and European BSL CLO markets.
For the first time, CLO investors can instantly understand where any deal sits on the debt-equity friendliness spectrum, backed by rigorous data analysis across thousands of transactions.
The Challenge: Balancing Competing Interests in CLO Structures
CLO investors face the complex task of evaluating relative value across multiple dimensions, like creditworthiness, liquidity, and extension risk, often under tight time constraints. This complexity is amplified by the inherent tension in CLO structures: managers operate under a dual mandate to protect debt principal and ensure timely bondholder payments while simultaneously maximizing equity returns.
Deal documentation establishes the rules governing this balance. These provisions determine portfolio composition parameters and the scope of managerial discretion. For investors, understanding where a specific CLO falls on the debt-equity friendliness spectrum relative to the broader market is critical for informed investment decision-making.
Until now, this analysis has been largely subjective and time-consuming. The DvES changes that.
Why the DvES Matters
Our research identified several fundamental dynamics governing CLO documentation:
Deal documents serve as the primary mechanism through which debt investors secure protective provisions
Market conditions drive the debt-equity balance—both credit appetite and supply-demand dynamics influence which investor class gains favorable terms
Documentation terms fluctuate over time based on market conditions and the ease of transaction execution
The DvES measures relative positioning across a complete credit cycle, revealing patterns that would otherwise remain hidden
Understanding these dynamics can give you a significant edge in CLO investment decisions. Semeris platform subscribers gain access to detailed trend analysis that shows exactly how documentation terms have evolved across different market environments.
How the DvES Works
Comprehensive Coverage
The DvES is specifically designed for BSL CLOs and covers:
Every BSL CLO in the US and EU markets analyzed by Semeris (approximately 90% market coverage)
Both new issuances and reset/refinancing transactions
A five-year calibration period encompassing complete credit cycles, including pre- and post-COVID market environments
The DvES Five-Tier Scoring System
The DvES aggregates 40 constituent datapoints into 11 component subscores, ultimately producing a single, intuitive composite score:
| Score | Description |
|---|---|
| DDD | Highly Debt Friendly |
| DD | Debt Friendly |
| DE | Balanced |
| EE | Equity Friendly |
| EEE | Highly Equity Friendly |
Higher scores indicate more equity-friendly documentation terms; lower scores indicate more debt-friendly provisions. Each deal is compared against the full market distribution, giving you instant context for relative value assessment.
The example below shows a deal scoring "DE" (Balanced), positioned in the middle quintile of the debt-equity spectrum:
What the DvES Evaluates
The model analyzes deal provisions across multiple critical dimensions:
Extension Risk: Reinvestment Period length and post-Reinvestment Period criteria
Par Leakage: Par flush provisions, trading gains treatment, and LMO provisions
Waterfall Structure: Fee arrangements and payment priorities
Deal Constraints: Concentration limits and IC/OC test parameters
Governance: Optional redemption provisions and manager discretion
Workout Provisions: LMO and workout-related terms
And more: Including margin stock provisions and trading plan parameters
Each dimension is carefully weighted based on its impact on the debt-equity balance. Semeris platform subscribers can view the detailed scoring methodology and customize weightings to align with their investment priorities.
Powerful Insights at Your Fingertips
The Semeris platform delivers the DvES through an intuitive interface that makes complex analysis simple:
For every BSL CLO, you can instantly see:
The overall DvES score and how it compares to market norms
Individual subscores across all 11 component categories
Drill-down capability to examine the specific provisions driving each score
Source references for complete transparency—verify any datapoint directly in the deal documents
However, the real power lies in what you can do with this data. Our clients gain access to:
Time-series analysis revealing how documentation terms evolve through market cycles
Comparative views across managers, vintages, and market conditions
Trend identification showing when debt or equity investors are gaining negotiating leverage
Custom scoring models tailored to your specific investment strategy
These insights can transform how you evaluate CLO opportunities and understand relative value.
What Our Data Reveals
The DvES has uncovered compelling patterns in CLO documentation that most investors miss:
Documentation terms respond predictably to market conditions, but the timing and magnitude of these shifts can create significant opportunities for informed investors. Our analysis reveals exactly when debt investors gain stronger protective provisions and when equity-friendly terms dominate.
Semeris customers can access detailed charts and analysis showing:
How DvES scores have shifted through different risk environments
Which specific provisions change most dramatically during market transitions
How current deals compare to historical norms
Where the market is heading based on recent issuance trends
This intelligence is now available for every deal in our database and is updated in real-time as new transactions come to market.
Experience the DvES Advantage
The Semeris DvES provides CLO investors with a rigorous, objective framework for evaluating where individual transactions fall on the debt-equity friendliness spectrum relative to the broader market.
Key advantages include:
Objectivity: Fact-based measurement eliminates subjective interpretation
Comprehensiveness: 11 subscores capture all material dimensions of debt-equity balance
Market Context: Relative scoring reveals how deals compare to market norms
Transparency: Full visibility into methodology and component calculations
Flexibility: Customizable weighting accommodates different analytical perspectives
Trend Analysis: Time-series data reveals how documentation evolves through credit cycles
Whether you're a debt investor seeking protective provisions, an equity investor evaluating return potential, or a mezzanine investor balancing both perspectives, the DvES provides the clarity you need to make informed investment decisions.
Ready to See What You've Been Missing?
The CLO market is complex, but your analysis doesn't have to be. The Semeris DvES brings unprecedented clarity to CLO documentation analysis, helping you identify opportunities, avoid pitfalls, and understand relative value like never before.
Join the growing community of institutional investors who rely on Semeris for CLO intelligence.
Request a demo today to see the DvES in action and discover what our comprehensive CLO database can reveal about your investment opportunities.
Contact Semeris to learn more about platform access, custom scoring configurations, and how the DvES can enhance your CLO investment process.
Visit our platform or reach out to our team to get started. Email us sales@semeris.com
Exclusive to Semeris Subscribers
The full article, featuring detailed analysis, historical prevalence data, term distribution charts, and practical insights, is now available on your Semeris Docs platform. Simply log in to access this exclusive content:
We publish these insights exclusively for our valued subscribers. This limited preview is available on our public blog, but the comprehensive analysis, including detailed comparisons and proprietary frameworks, is reserved for Semeris users.