Graph: US and EU Arb Based on Discounted Loan Spreads and CLO DM
Graph: US and EU Arb Based on Discounted Loan Spreads and CLO DM Arb (US) is calculated by taking the...
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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...
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...
It appears that size is an advantage in the US CLO market based on managers’ latest alpha metrics (as of 28 Apr 2022).
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.