CLO Research

US CLOs: Performance Return Alpha Attribution (With Deal Names) The graph below shows the performance attribution of 82 US CLO...

Top Exposure: Collateral Enhancement Obligation Collateral enhancement language During the Reinvestment Period, the collateral manager has the discretion to transfer...

EU CLOs: 2018 Vintage Analysis – Performance, Par Build, WARF, Asia Funding, Risk Retention EU CLO 2018Alpha (Total annualised)Net Collateral...

EU CLOs: 2018 Vintage Analysis – Performance, Par Build, WARF, Asia Funding, Risk Retention EU CLO 2018Alpha (Total annualised)Net Collateral...

“No pressure, no diamonds.” – Thomas Carlyle CLO Managers: Number Of Deals With Failing WAL Tests The collateral weighted average life...

EU CLOs: 1H 2019 Cohort Performance As this cohort has a shorter operating history, NAV alpha would tend to drive...

Time is an herb that cures all diseases. – Benjamin Franklin 26 Oct: OC Breach Table (More Deals With Less...

Time is an herb that cures all diseases. – Benjamin Franklin 26 Oct: OC Breach Table (More Deals With Less...

He who buys had need have 100 Eyes, but one’s enough for him that sells the Stuff. — Benjamin Franklin...

Impressive Track Record – Top-tier 2014 and 2015 EU CLO Deals Let the structure do the work! While CLO structure...

17 Oct: O 'Learning without contemplation is labour lost; contemplation without learning is perilous.' – Confucius EU CLOs: Relationship Between...

17 Oct: OC Breach Table (Improvement As Oct Payment Dates Edge Closer) As of the CLO trustee reports updated by...

Humility makes great men twice honourable. — Benjamin Franklins Performance Of EU CLO Deals that Were Funded By Asia Further...

EU CLO Managers — Who Outperformed The Loan Index (based on 2017 deals)? As of the latest trustee reports updated...

The case study deal in this report is Dryden 52 Euro CLO 2017. It has the second-highest return alpha for...