In the US BSL CLO market, 12 and 27 managers offer average pairwise overlap levels of below 50% across their optimal five-deal and three-deal combinations, respectively. The table below presents the average pairwise overlap for these optimal combinations by manager.
Is it possible to achieve low overlap among three deals from the same EU CLO manager? In the EU CLO market, 18 managers offer an average pairwise overlap of less than 50% across their optimal three deals.
AAA/AA investors are always thinking about systemic risks, and one way to reduce this risk is to minimise overlap exposure within their portfolios. The beauty of this model is that users can choose from a pool of CLO deals managed by managers they favour and optimise the portfolio for the lowest possible overlap risk based on the target number of positions they are looking to hold. Please find the download link below for the overlap optimisation model, which allows users to select from a pool of US BSL CLO deals to be added to an existing portfolio, with the model identifying the optimal outcome from an overlap perspective.
Please find the download link below for the overlap optimisation model, which allows users to select from a pool of EU CLO deals to be added to an existing portfolio, with the model identifying the optimal outcome from an overlap perspective.
The table below shows the average inter- and intra-vintage overlap percentage figures for each EU CLO manager. 2018–2021 vintage deals...
Understandably, overlap risk is one of the main concerns for senior CLO investors.
