CLO Research

Impressive Latest Arb Picture: EU CLO 2018 Vintage EU CLO 2018Alpha (Total annualised)Alpha (NAV)Alpha (Interest)Total return (26 Feb 2021)MV return...

ESG EU CLO Deals And Their Relative Performance A sample of 60 EU CLO deals closed in 2019 is included...

Latest Arb Picture Of 2016 Vintage EU and US Deals EU CLO 2016 vintageAlpha (Total annualised)Alpha (MV)Alpha (Interest)Worse Alpha (LTM)Net...

US CLO Managers: Investment Alpha, Performance Attribution, Average Alpha (LTM) And Risk Measure A sample of 279 deals (managed by...

US CLO Managers' Latest Investment Alpha A sample of 279 deals (managed by 78 managers) closed between May 2016 and...

Underlying Collateral Liquidity of US And EU CLOs The table below summarised the underlying liquidity of both EU and US...

US CLOs: Investment Performance And Liquidity Score The graph below shows each deal's latest investment alpha and its LPC liquidity...

US CLOs: Investment Performance, Attribution, Risk Measure And Par Build/Burn (2017 deals) A sample of 93 deals (managed by 52...

US CLOs: Investment Performance, Risk Measure And Par Build/Burn (2017 deals) A sample of 93 deals (managed by 52 managers)...

US CLOs: Performance Attribution (With Deal Names) And Latest Arb Picture Of 2017 Deals A sample of 78 deals closed...

US CLOs: Performance Attribution And Latest Arb Picture Of 2017 Deals A sample of 78 deals closed in 2017 are...

Based on today's bwic colour, the two CGMSE CLO equity tranches (2014 vintage) registered around 14.7%-16.5% IRRs since inception.  Notional IRR...

US CLO Liabilities Are Too Wide? The answer to this could be a long list of reasons, but please see...

US CLO Liabilities Are Too Wide? The answer to this could be a long list of reasons, but please see...

US CLO Equity: Loan Repricing Risk With an average of over 40% of loans quoted above par (2014-2020 BSL CLO...