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Quick Take: 2021 US CLO Deals First Reported WAS vs Initial WACC Reported weighted average spread (WAS) includes the benefits...

US CLO Equity: Loan Repricing Risk An overheated loan market with lots of loans quoted above par would usually lead...

US CLO Managers: Investment Performance and WARF US CLO ManagersLatest Total AlphaWARF (Average since inception)Count (WARF >3,000)Group One (10 Managers)0.7%3,0004Group...

US And EU CLOs: Historical Trend – Number of Deals that Breached ID/OC Tests And with Less than a 1...

Global CLOs: First Reported Net Collateral Interest Margin by Vintage WACC – weighted average original floating rate tranche spread Disclaimers...

US CLOs: The Relationship Between Investment Performance And Underlying Collateral Liquidity The graph below shows the investment alpha of 79 managers and...

Trend: Historical Number of CLO Deals That Failed ID or/and OC Tests 56 Global CLO deals breached ID or/and OC...

Underlying Collateral Liquidity of US And EU CLOs The table below summarised the underlying liquidity of both EU and US...

Based on today's bwic colour, the two CGMSE CLO equity tranches (2014 vintage) registered around 14.7%-16.5% IRRs since inception.  Notional IRR...

US CLO Equity: Loan Repricing Risk With an average of over 40% of loans quoted above par (2014-2020 BSL CLO...

"The best way to get started is to quit talking and begin doing." – Walt Disney. EU CLOs: Investment Performance...

"The best way to get started is to quit talking and begin doing." – Walt Disney. EU CLOs: Investment Performance...

EU CLO Manager Rankings: Investment Performance with Attribution (Lower Interest Return Strategy) The investment strategy of a CLO manager is...

EU CLO Manager Rankings: Investment Performance with Attribution (Lower Interest Return Strategy) The investment strategy of a CLO manager is...

An Introduction To CLO Economics What is CLO? We could think of CLO rated-tranches (e.g. AAA to BB) as long-term...