CLO Research

Freemium

***Insights from Golub Capital***

According to CLO Research’s independent analysis, Golub Capital has delivered consistently strong results from an investment alpha perspective. Specifically, Golub Capital has achieved substantial outperformance relative to the Morningstar LSTA U.S. B/BB Ratings Loan Index on an unlevered basis over the past several years. Below is a list of interview questions from CLO Research, along with responses from Scott M. Morrison, Managing Director and Head of Broadly Syndicated Loans.

Basic Premium

Monitor: US BSL CLO New Issue Arbitrage Trend Since 2017 (Updated)

The loan index’s moving 4-week average discounted spreads are used as a proxy for the discounted spreads of US BSL CLO portfolios. If the index prices fell below 96, 4-year discounted asset spreads were used instead of spreads to maturity. Arbitrage refers to the index’s discounted spread net of the cost of funding, based on discount margins (of AAA–BB tranches of top-tier deals) rather than spreads. New issue upfront costs and management fees are not accounted for. The loan index used for this analysis is the Morningstar LSTA US B-BB Ratings Loan Index.

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