CLO Research

EU CLO Managers: Investment Alpha, Performance Attribution (Recent Vintages) A sample of 138 deals (managed by 36 managers) closed between Jan...

US CLOs: Investment Performance And MVOC (2019 Deals) 2019 US CLOsAlpha (Annualised)Alpha (MV)Alpha (Interest)Average reported WAS* (%)MVOC (report date)Tier 1...

EU CLO Managers: Investment Alpha, Performance Attribution, Average Alpha (LTM)  And Risk Measure A sample of 206 deals (managed by...

EU CLO Managers: Investment Alpha, Performance Attribution, Average Alpha And Risk Measure A sample of 206 deals (managed by 44...

Managers: Number Of Deals With Failing ID/OC Tests As of the CLO trustee reports updated by Intex on 03 March...

2018 EU CLO Deal Alpha And Performance Attribution EU CLO 2018Alpha (Total annualised)Alpha (NAV)Alpha (Interest)Total annualised return (26 Feb 2021)MV...

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)...