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Clopremium > Blog > No Login Needed: Enhancing transparency in the CLO market > Recent Findings (Arb Structure, Implied Default Rates, Size)
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Recent Findings (Arb Structure, Implied Default Rates, Size)

CLO Research
May 17, 2022
posted on May. 17, 2022 at 11:07 amJuly 11, 2022

 

Recent Findings (Arb Structure, Implied Default Rates, Size)

  • The post-financial crisis arbitrage US CLO structure appears to be too conservative?
  • The implied annual default rates for 52 seasoned US CLO managers range from 0.5% to 4.6%!
  • Generally speaking, bigger US CLO managers seem to do better than their smaller counterparts.

 

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Tags:AUMImplied Default Rates
CLO ResearchMay 17, 2022
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