November 2024: Summary of CLO Research Insights
Contrary to the widely accepted notion that actively managing CLO portfolios leads to better performance, there is little evidence to...
Contrary to the widely accepted notion that actively managing CLO portfolios leads to better performance, there is little evidence to...
All things being equal, lower mezzanine tranche investors typically prefer to own deals with a higher probability of being reset.
To explore the relationship between trading activity and a deal’s MVOC performance, a sample of 95 EU CLO deals closed...
The table below presents the average IRRs, annual distributions, final equity NAVs, and the time to the last payment date prior to a call, organised by vintage. This analysis is based on a sample of 152 US CLO deals redeemed year-to-date in 2024, categorised by vintage, with an assumed issue price of $95.
To calculate the total/MV/interest return alpha, we begin by determining the total/MV/interest investment return for each complete period, such as from a deal’s closing date to the most recent reporting date. This is achieved by compounding the portfolio’s monthly (or periodic) total/MV/interest return since the closing date. We then annualise the total/MV/interest portfolio return and compare it with the annualised return of the index. The difference represents the total/MV/interest return alpha, as illustrated here.
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