The value of a CLO note or equity tranche is equal to all its future payments discounted back to the present at an appropriate discount rate. The tricky part is that the discount rate needs to take account of the probability of receiving those cashflows.
Like anything, a CLO is worth the price the market is prepared to pay for it. To make a comparison between CLOs or between CLOs and other bonds, investors need to convert prices into yield or spread terms. The standard measure of spread for floating rate bonds is the discount margin.
To figure out the likely future performance of a CLO, an analyst needs to understand the rules of that particular CLO and to make assumptions about the default rate, recovery rate and prepayment rate of the CLO portfolio.