Freemium

Assets Below the 80 Price Bucket by Vintage Tracking the below 80 price bucket at the CLO underlying collateral level is a...

Typically when the market is weak, the range of alpha performance metrics tends to widen. However, interestingly, the range of managers' total alpha performance over the last two months has been at its tightest of around 70–80bp since Jan 2020...

US and EU CLOs: Assets Below 80 Price Bucket by Vintage Tracking the 'below 80 price bucket' at the CLO...

EU CLOs: MVOC Across the Capital Structure and EQ NAV as of 14 Jun 2022 The following table shows the...

MVOC is an important metric for pricing CLO rated tranches. In other words, CLO rated tranches trade on the back of the loan market.

US CLO managers have managed to maintain their outperformance against the loan index on average. As of the last reading on 28 Apr 2022, the average total alpha stood at...

The overall average IRR of redeemed EU CLO AA tranches stood at 2.10% (with an average WAL of 2.49 years). The median AA tranche registered a 2.06% 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).

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...