CLO Research

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.

US CLO managers have managed to maintain their outperformance against the loan index on average. As of the last reading on 11 Mar 2022, the average total alpha stood at...

On average, US CLO equity IRR varies a lot by vintage. The best vintage is undoubtedly 2020 based on the post-2012 deals redeemed so far. The best vintage in terms of annual equity distribution is the 2012 vintage deals.

CLO Research: Recent Findings 1) Based on CLO Research's latest findings, size does not seem to have much impact on...

US CLO Managers: WARF Does Not Appear to be a Good Risk Measure Av. WARF (Closing date to 28 Feb...

EU CLOs: Is WARF a Good Risk Measure?  EU CLO ManagerHigher WARFMid-WARFLowerWARFAv. WARF (closing date to 28 Feb 20)x>28502785<=x<2850x<2785EU CLO...