CLO Research

EU CLOs: 71 Deals Missed Their Modelled Collateral Spreads by over 20bp (Breakdown by Manager and Dealer) Since 2013 Modelled...

EU CLOs: First Reported WAS vs WACC Since 2013 Based on the first reported WAS (with floors) available for 2021...

Global CLOs: First Reported Net Collateral Interest Margin by Vintage WACC – weighted average original floating rate tranche spread Disclaimers...

EU CLO Managers: Trading And Alpha Creation A sample of 178 deals (closed from Jan 2016 to Jan 2020) managed...

EU CLO Manager League Table – Investment Performance of Managers with Wider Spread Portfolios A sample of 66 deals (closed...

EU CLO Manager League Table – Investment Performance of Managers with Average Spread Portfolios A sample of 64 deals (closed...

EU CLO Manager League Table – Investment Performance of Managers with Lower Spread Portfolios A sample of 48 deals (closed...

EU CLO Managers: Top-Tier Equity-Friendly Investment Performance A sample of 178 deals (closed from Jan 2016 to Jan 2020) managed...

EU CLO Managers: Top-Tier Debt-Friendly Investment Performance A sample of 178 deals (closed from Jan 2016 to Jan 2020) managed...

EU CLO Managers: Summarised Findings A sample of 178 deals (closed from Jan 2016 to Jan 2020) managed by 50...

EU CLO Manager League Table – Investment Performance Of Managers With Lower Spread Portfolios A sample of 48 deals (closed...

US CLO Managers: Trading and Alpha Creation A sample of 295 deals (closed between May 2016 and Sep 2019) managed...

US CLO Managers: Summarized Findings A sample of 295 deals (closed between May 2016 and Sep 2019) managed by 79...

League Table – Investment Performance of US CLO Managers with Average Spread Portfolios A sample of 152 deals (closed between...

League Table – Investment Performance Of US CLO Managers Employing A Wider Spread Strategy A sample of 62 deals (closed...