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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...
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...
2014 Vintage: Redeemed US CLO Equity IRRs Please see below the IRRs of CLO equity tranches of 57 redeemed 2014...
Managers' MV Alpha and Their New Issue's WACC (Based on Discount Margins) A sample of 236 deals (closed between May...
EU CLO Single-B Tranches: OID Trend YTD CLO rated tranches with an original issue discounted (OID) price could cost more...
2021 EU CLOs: First Reported WAS Less WACC (Based on DMs) Trend The graph above shows the net interest margin...
The 25 largest US CLO Managers: Overlap Across Own Deals and by Vintage These 25 managers collectively manage over $420...
US Middle Market CLO Managers: AUM Please see the table below a full list of US MM CLO managers and...
Redeemed EU CLO Single-B Tranches: IRRs By Vintage (Updated) 79 redeemed single B tranches are included in this sample. Deals...
Redeemed EU CLO BB Tranches: IRRs By Vintage EU CLO-rated tranches have done well and demonstrated resilience through credit cycles....
US CLO Managers: Investment Performance and Portfolio Diversification A sample of 304 deals (closed between May 2016 and Dec 2019)...
US CLO Managers: Seasoned Deals' Accrued Incentive Fees The table below shows the list of US managers who have accrued...
