Tag Archives: WAS

No Login Needed

Margin Watch: The Year-to-Date Boost in EU CLO Collateral Margins

It is encouraging to witness the year-to-date (YTD) upward trend in the floating spreads of collateral for EU CLOs, as observed in a sample of 2021 vintage deals. The inherent long-term, non-recourse funding nature of a CLO structure provides managers with an opportunity to navigate challenging environments and bolster their net interest margins during periods of volatility.

Scoring US CLO Managers Based on 2021 Vintage Deal Performance

In the table below, the relative standing of each US CLO manager is illustrated based on their latest average total alpha metrics. A score of 91% means that the manager's total return alpha is at the 91st percentile, indicating that their total return alpha metric is higher than 91% of their peers.

Basic Premium

In-Depth Analysis of US CLO Manager Performance and Metrics Based on Their 2021 Deals

This study underscores the significant divergence in investment performance between the top and bottom 10 US CLO managers based on their alpha. The findings emphasize the critical role of effective manager selection in achieving favorable results. While metrics like par build and weighted average price offer insights, they don't tell the whole story. Conversely, the average WAS, WARF, and liquidity depth metrics for both groups show minimal variance, indicating a limited correlation of these metrics with investment performance based on this sample.