Basic Premium

From a CLO equity standpoint, entering a credit cycle with a decent length of CLO reinvestment period makes a difference....

Assets Below the 80 and 70 Price Buckets by Vintage Tracking the below 80 and 70 price buckets at the CLO underlying...

Weekly Update – US and EU CLOs: Latest MVOC (AAA–B) and EQ NAV by Vintage (as of 17 Jun 2022)...

Assets Below the 80 and 70 Price Buckets by Vintage Tracking the below 80 and 70 price buckets at the CLO underlying...

The table above shows the latest interest alpha metric distribution (as of 7 Jun 2022) for each category of the CLO AUM range.

Graph: US and EU Arb Based on Discounted Loan Spreads and CLO DM Arb (US) is calculated by taking the...

US CLOs: Quarterly Average Discounted Loan Spread-to-Maturity Less Weighted Average DM in Graph The graph above shows the US CLO arb picture...

EU CLOs: Quarterly Average Discounted Spread-to-Maturity Less Weighted Average DM in Graph The graph above shows the EU CLO arb picture over...

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

2020 vintage deals used to do much better than the other vintages but this was no longer the case as of 24 May 2022...

EU CLO Managers: Investment Performance since the Beginning of 2022 A sample of 212 deals (2015–2019 vintage deals managed by...

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...