CLO Research

EU CLOs: Latest Arb Returns by Vintage (as of 30 Nov 2021) A sample of 278 EU CLO deals (2015–...

Total Alpha Trend Through COVID-19 – Equity or Debt Friendly Performance? The graph below shows the sample's average as well...

EU CLO Managers: Investment Performance Summary A sample of 148 deals* (2015–2018 vintage deals) is included in this study. The...

Investment Performance Summary A sample of 148 deals* (2015–2018 vintage deals) is included in this study. The benchmark loan index...

Investment Performance: EU CLO Managers A sample of 148 deals* (2015–2018 vintage deals) managed by 41 EU CLO managers is...

A Comparison Between US BSL, US MM and EU CLOs (2021) Please see the table below showing the comparison between...

Month End Summarised Update Given that CLO deals can be priced to perfection, the underlying modelled collateral spreads (at inception)...

EU CLO Equity (2018) Scorecard: Latest Arb Returns 2018 EU CLOsOct 2021Sep 2021Aug 2021Deal count626262Average Arb1.9%1.9%1.9%Percentile   90%2.3%2.3%2.4%75%2.1%2.1%2.1%50%1.9%2.0%1.9%25%1.8%1.8%1.7%10%1.5%1.5%1.5% Source: Intex, LPC, CLO...

Global CLO AUM Breakdown Please see the table below for the breakdown of global CLO AUM by asset type updated...

2021 EU Deals: First Reported Portfolio Margin vs Modelled Margin (Breakdown by Dealers) Given that CLO deals can be priced...

2021 US Deals: First Reported Portfolio Margin vs Modelled Margin (Breakdown by Dealers) Given that CLO deals can be priced...

2021 US Deals: First Reported Portfolio Margin vs Modelled Margin Given that CLO deals can be priced to perfection, the...

US CLO Equity (2018) Scorecard: Latest Arb Returns  20182018 Total Annualised returns less WACC incl. mgmt feesTotal Annualised returns less WACC...

Investment Performance Reports of Some of the Largest US CLO Managers How do US CLO managers perform over time? How...

2014 Vintage: Redeemed US CLO Equity IRRs Please see below the IRRs of CLO equity tranches of 57 redeemed 2014...