Freemium

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).

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.

In general, it is perhaps logical to assume that big managers are buying the market and hence it is unlikely that they will do well. However, looking at the alpha range in each category, managers seem to do well or poorly regardless of their AUM.

In general, it is easy to assume that managers who build par normally perform better. However, it also depends on the quality of the par build. Besides, the distribution...

'No problem can be solved from the same level of consciousness that created it.' – Albert Einstein EU CLO Managers:...

No amount of experimentation can prove me right; a single experiment can prove me wrong. – Albert Einstein EU CLO...

League Table: EU CLO Manager AUM (as of 31 March 2022) Please see the table below for the full list...

League Table: US CLO Manager AUM (as of 31 March 2022) Please see the table below for the list of...

“There are three things extremely hard: steel, a diamond, and to know one's self.” ― Benjamin Franklin US CLO Managers:...

Everything should be made as simple as possible, but not simpler. – Albert Einstein US CLO Managers: Total/MV/Interest Alpha Trends...

EU CLOs: Latest Performance Attribution of 41 Seasoned Managers A sample of 196 deals (2015–2019 vintage deals) is included in...

US CLO Managers: Total/MV/Interest Alpha Trends since Jan 2020 A sample of 363 deals (2016–2019* vintage deals) managed by 86...

Thoughts: Annual Default Rates and CLO Equity IRRs According to a report by S&P Global Ratings, the U.S. trailing-12-month speculative-grade...