CLO Research

US CLO managers have managed to maintain their outperformance against the loan index on average. As of the last reading on 28 Apr 2022, the average total alpha stood at...

  Recent Findings (Arb Structure, Implied Default Rates, Size) The post-financial crisis arbitrage US CLO structure appears to be too conservative?The implied...

The overall average IRR of redeemed EU CLO AA tranches stood at 2.10% (with an average WAL of 2.49 years). The median AA tranche registered a 2.06% IRR.

The overall average IRR of redeemed EU CLO single-A tranches stood at 2.74%

Redeemed EU CLO BB (Original) Tranches: YTC and IRRs EU CLO rated tranches have done well and demonstrated resilience through...

Redeemed EU CLO Single-B Tranches: IRRs By Vintage 106 redeemed single B tranches (original and refinanced/reset) are included in this...

Redeemed EU CLO BBB Tranches: WALs and IRRs By Vintage 165 redeemed BBB tranches (original and refinanced/reset) are included in...

Redeemed EU CLO AAA Tranches: WALs and IRRs By Vintage 394 redeemed AAA tranches (original and refinanced/reset) are included in...

Thanks to the OID (original issue discount), the pull to par effect bumped IRRs up meaningfully. However, it is not great for CLO equity investors from a funding standpoint.

Is the Post-FInancial Crisis Arbitrage US CLO Structure Too Conservative? The term 'arbitrage' would suggest a pretty good average IRR...

US CLO managers have managed to maintain their outperformance against the loan index on average.

It appears that size is an advantage in the US CLO market based on managers’ latest alpha metrics (as of 28 Apr 2022).

The implied annual default rates for US CLO managers range from 0.5% to 4.6%!

A sample of 273 US CLO deals (2016– 2019 vintage) is included in this study. Total annualised collateralised return refers...

The arbitrage (arb) metric is defined as the underlying CLO annualized collateral return net of the WACC.