Month End Summarised Update
Month End Summarised Update Given that CLO deals can be priced to perfection, the underlying modelled collateral spreads (at inception)...
CLO Research provides independent research and insights on CLOs, offering investors and managers fresh, unbiased perspectives and data to support their decision-making.
Month End Summarised Update Given that CLO deals can be priced to perfection, the underlying modelled collateral spreads (at inception)...
Global CLO AUM Breakdown Please see the table below for the breakdown of global CLO AUM by asset type updated...
Perception vs Performance – Which One Matters More? What factors can play an important role in the pricing of primary...
CLO Research – Start The Week (4 Oct 2021) CLO Research has recently published the latest ranking table based on...
Monthly update (September 2021) The ten largest US CLO managers represent over a quarter of the US CLO market. Presumably, most investors...
Summarised Findings (Monthly) ESG EU CLOs slightly underperformed their non-ESG counterparts on average'Equity-friendly' managers can deliver both equity-friendly and debt-friendly...
Global CLO Market Passes $1 Trillion Milestone As per LCD and available trustee data on Intex as of 17 Aug...
EU CLO Managers: Seasoned Deals' Accrued Incentive Fees Managing CLOs in Europe is a fairly capital-intensive business given the risk-retention...
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...