CLO Research

US CLO Managers: Top-Tier Equity-Friendly Investment Performance A sample of 305 deals (closed between May 2016 and Dec 2019) managed...

US CLO Managers: Top-Tier Debt-Friendly Investment Performance A sample of 305 deals (closed between May 2016 and Dec 2019) managed...

League Table – Investment Performance of US CLO Managers With Average Spread Portfolios (Updated) A sample of 151 deals (closed...

League Table – Investment Performance of US CLO Managers Employing a Wider Spread Strategy (Updated) A sample of 62 deals...

US CLO Managers: Investment Performance and WARF US CLO ManagersLatest Total AlphaWARF (Average since inception)Count (WARF >3,000)Group One (10 Managers)0.7%3,0004Group...

US CLO Managers: Does a Very Liquid Strategy Lead to Better Investment Performance? US CLO ManagersLatest Total AlphaLiquidity* – Average...

League Table – Investment Performance of US CLO Managers Employing a Lower Spread Strategy A sample of 98 deals managed...

US CLO Managers: Does AUM Size Matter? A sample of 305 deals (closed between May 2016 and Dec 2019) managed...

US and EU CLOs: Historical Trend – Number of Deals that Breached the ID/OC Tests and with Less than a...

US And EU CLOs: Historical Trend – Number of Deals that Breached ID/OC Tests And with Less than a 1...

How are ESG EU CLO Deals Performing Relative to Non-ESG Deals? A sample of 41 EU CLO deals closed from...

US Middle Market CLOs: Net Interest Margins in Graph A sample of 123 deals closed from 2013 to 2020 is...

US CLOs: First Reported WAS vs WACC Since 2013 Based on the first reported actual WAS (with floors) available for...

US CLOs: 89 Deals Missed Their Modeled Collateral Spreads by over 20bp (Breakdown by Manager and Dealer) Since 2013 The...

US CLOs: First Reported Net Interest Margin of Each Manager Since 2013 WACC refers to the weighted average original floating-rate...