The table in this article illustrates the average gross annualised return on underlying CLO collateral and the annualised cost of funding (inclusive of management fees) for each quarterly vintage of deals closed in 2022. On average, deals closed in the third and fourth quarters of 2022 saw a higher collateral return that more than compensated for the corresponding rise in their funding costs.
Those with available capital, or 'dry powder,' often find themselves at an advantage. Indeed, deals yielding good returns were typically priced during periods of substantial market volatility.
US CLO Managers: WARF and Volatility of Alpha A sample of 270 US CLO deals (closed between 2016 and 2018) is...
"Common sense is the collection of prejudices acquired by age eighteen." – Albert Einstein US CLO Managers: WARF and Volatility of...
EU CLO Managers: WARF and Volatility of Alpha A sample of 145 EU CLO deals (closed between 2015 and 2018) is...
