CLO Research

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...

EU CLO Managers' Investment Performance Since Jan 2020 Which EU CLO managers have demonstrated performance resilience over time? How do...

Perception vs Performance – Which One Matters More? What factors can play an important role in the pricing of primary...

Managers' MV Alpha and Their New Issue's WACC (Based on Discount Margins) A sample of 236 deals (closed between May...