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Abstract
This article discusses the structural and investment aspects of collateralized loan obligation (CLO) equity. The author reviews current and proposed measures of investment performance with example data of a large CLO transaction database. He finds that alternative measures provide better and extended information for CLO equity returns relative to the industry standard.
TOPICS: CLOs, CDOs, and other structured credit, performance measurement
- © 2016 Pageant Media Ltd
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In this issue
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- Article
- Abstract
- CLO EQUITY SITS AT THE BOTTOM OF THE CAPITAL STRUCTURE
- IRR IS THE INDUSTRY STANDARD
- IRR HAS SEVERAL CLEAR DISADVANTAGES
- IRR SHORTCOMINGS ARE WIDELY KNOWN
- ROX IS A BETTER MEASURE OF RETURN
- VARIABILITY OF CLO EQUITY CASH FLOWS AND THE CLO# MEASURE
- APPLICATION TO LARGE LIBRARY OF PAST EQUITY TRANCHES OF CLOi
- SUMMARY
- ENDNOTES
- REFERENCES
- Info & Metrics
- PDF (Subscribers Only)
- PDF (Subscribers Only)
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