CLO Research

EU CLOs: Implied Annual Default and Recovery Rates Incorporating Distressed and Trading Losses What default rates and recovery rates should...

US CLO Managers: WARF and Volatility of Alpha A sample of 270 US CLO deals (closed between 2016 and 2018) is...

"Common sense is the collection of prejudices acquired by age eighteen." – Albert Einstein US CLO Managers: WARF and Volatility of...

EU CLO Managers: WARF and Volatility of Alpha A sample of 145 EU CLO deals (closed between 2015 and 2018) is...

EU CLOs: Latest Performance Attribution of 41 Seasoned Managers A sample of 196 deals (2015–2019 vintage deals) is included in...

EU CLOs: Latest Performance Attribution of 41 Seasoned Managers A sample of 196 deals (2015–2019 vintage deals) is included in...

US CLO Managers: Total/MV/Interest Alpha Trends since Jan 2020 A sample of 363 deals (2016–2019* vintage deals) managed by 86...

Lower Interest Return Strategy: Performance Attribution of 59 US CLO Managers A sample of 244 deals managed by 58 managers...

Lower Interest Return Strategy: Performance Attribution of 58 US CLO Managers A sample of 244 deals managed by 58 managers...

Higher Interest Return Strategy: Performance Attribution of 27 US CLO Managers A sample of 114 deals managed by 27 managers...

Higher Interest Return Strategy: Performance Attribution of 27 US CLO Managers A sample of 114 deals managed by 27 managers...

Thoughts: Annual Default Rates and CLO Equity IRRs According to a report by S&P Global Ratings, the U.S. trailing-12-month speculative-grade...

Thoughts: Annual Default Rates and CLO Equity IRRs According to a report by S&P Global Ratings, the U.S. trailing-12-month speculative-grade...

Stream of US CLO Management Fees: Alcentra The table below shows the next eight years of management fees expected to...

Stream of US CLO Management Fees: CBAM Bloomberg reported on Jan 24 that Eldridge is in discussions with firms to...