Category: CLOs
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Understanding ARRs / RFRs with Calculation Examples & System Implementation – Part 2 of 2
I. Recap & Expanded Context We already covered: This section drills into calculation methodologies, formula examples, and system behavior related to overnight ARR-based interest calculations. II. Interest Calculation Approaches for ARRs / RFRs Many ARRs are backward-looking, and thus the interest is often calculated only near or after the end of the interest period. Several Read more
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Guide to Alternative Reference Rates (ARR): From LIBOR to Risk-Free Rates and Term Benchmarks – Part 1 of 2
Introduction This guide is designed to educate market participants, analysts, legal teams, and operations professionals on the transformation of global interest rate benchmarks—from legacy indices like LIBOR to modern, transaction-based Alternative Reference Rates (ARRs), including Risk-Free Rates (RFRs) and emerging Term Rates. We explore the historical context, rationale for reform, technical differences between rates, and Read more
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Educational Guide to CLOs in the Syndicated Loan Space
1. What Is a CLO? (Intro to Collateralized Loan Obligations) A Collateralized Loan Obligation (CLO) is a structured finance vehicle that pools together a diversified portfolio of senior secured syndicated loans, typically made to below-investment-grade corporate borrowers.The goal: Repackage and redistribute the credit risk into different slices (tranches) for investors with different risk appetites. Why Read more