Chart of the Week: US BSL CLO BB New-Issue Discount Margin Trends
The chart below shows the resulting trend in new-issue US CLO BB DMs.
The chart below shows the resulting trend in new-issue US CLO BB DMs.
A sample of 538 fully repaid EU CLO BB tranches with disclosed issue prices or DMs is included in this study. Overall, their performance has been very impressive, with an average realised IRR of 10.1%.
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As shown in the table below, across all issuance years, the median IRRs of EU CLO equity tranches were higher than their corresponding median BB tranches. However, BB tranches tend to exhibit a more stable IRR profile and demonstrated better IRR performance at the 25th percentile for deals from 2015, 2016, 2017, 2018, and 2022.
Apart from the 11 deals previously mentioned, there are 20 additional deals, as outlined in the table below, that would experience impairment in their BB tranches under a scenario in which underlying assets...
Please refer to the tables below for historical new issue pricing data of EU CLO BB–B across various market conditions.
