US CLO Managers: Scoring Based on 2022 MV Return Alpha
A sample of 313 seasoned deals (2016–2019 vintage deals) managed by 56 US CLO managers is included in this study....
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A sample of 313 seasoned deals (2016–2019 vintage deals) managed by 56 US CLO managers is included in this study....
A sample of 366 deals (2016–2019* vintage deals) is included in this study. The benchmark loan index used is the...
Please see the table below for the list of managers' Q3 2022 MV return alpha and par build (annualized) metrics:
CLO debt investors would probably focus more on this metric.
A sample of 302 deals (2016–2019 vintage deals) managed by 54 US CLO managers is included in this study. The...
A sample of 302 deals (2016–2019 vintage deals) managed by 54 US CLO managers is included in this study. The...
US CLO Managers: Performance Attribution Please see the table below for the performance attribution of 66 US CLO managers based...
This article endeavours to highlight some of the key drivers of 1.0 US CLO equity tranches' outperformance.
US CLO Managers: Latest Investment Performance Attribution A sample of 358 deals (2016–2019 vintage deals) is included in this study....
The implied annual default rates for US CLO managers range from 0.5% to 4.6%!
A sample of 273 US CLO deals (2016– 2019 vintage) is included in this study. Total annualised collateralised return refers...
The arbitrage (arb) metric is defined as the underlying CLO annualized collateral return net of the WACC.
US CLO Managers' MV Alpha and their AAA Prints in 2022 A sample of 343 deals (closed between 2016 and...
US CLO Managers: Relationship Between MV Alpha and WAP Collateral weighted average price (WAP) is one of the performance metrics...
US CLO Managers: Relationship Between Par Build and MV Alpha A sample of 309 deals (closed between 2016 and 2019)...
