Realised IRRs by Vintage for Fully Repaid EU CLO AAA-rated Tranches
A sample of 642 fully repaid EU CLO AAA floating-rate tranches with disclosed issue prices or DMs is included in this study.
A sample of 642 fully repaid EU CLO AAA floating-rate tranches with disclosed issue prices or DMs is included in this study.
Last Thursday saw a remarkable surge in activity, with around US$1.5 billion of US CLO AAAs traded across 62 tranches — averaging around US$24 million per line item and underscoring the market’s deep liquidity.
The table below presents the estimated historical median pricing DMs for AAA, AA, A, BBB, and BB tranches when the...
Our greatest weakness lies in giving up. The most certain way to succeed is always to try just one more...
Despite the fast pace of primary CLO issuance in Q2 2024, the net senior AAA supply for BSL CLOs was...
Due to the slower pace of amortization during the post-reinvestment period, net senior AAA supply for EU CLOs was positive in Q2-to-date, contrasting with US BSL counterparts. Despite these differing supply dynamics, senior AAA spreads tightened by approximately 13 bps and 16 bps for top-tier US CLO and EU CLO managers, respectively, during this period.
