Recently, CLO Research published an overlap optimisation model covering almost all outstanding US BSL, middle-market and EU CLO deals. Users can use the model to optimise their CLO investment positions and minimise overlap risk.
The chart below presents the average realised IRRs of fully repaid EU CLO tranches across the AAA to BB rating spectrum. For further details and analysis, please consider subscribing to our premium content.
A sample of five top-tier CLO deals is used as a proxy for a new-issue CLO portfolio. The combined loan portfolios are rebalanced monthly, with loans priced below 92 excluded. On the liability side, the tightest DM in each week is identified, and the average of three such weekly observations is used as the monthly benchmark DM.
A sample of 1,231 CLO equity tranches from fully redeemed deals is used in this study. Some of the top-performing BSL CLO managers include...
A sample of five top-tier CLO deals is used as a proxy for a new-issue CLO portfolio. The combined loan portfolios are rebalanced monthly, with loans priced below 92 excluded. On the liability side, the tightest DM in each week is identified, and the average of three such weekly observations is used as the monthly benchmark DM.
Please find the download link below for the latest interactive US and EU CLO primary, reset and refi issuance arranger and manager league tables. Users can customise the analysis by selecting their preferred date range, issuance type and deal type. The arranger and manager rankings will update automatically based on the selected criteria.
