Initial Thoughts on UK Risk Retention Reform
On 17 February 2026, the Financial Conduct Authority (FCA) and the Prudential Regulation Authority (PRA) issued consultation papers outlining proposed...
On 17 February 2026, the Financial Conduct Authority (FCA) and the Prudential Regulation Authority (PRA) issued consultation papers outlining proposed...
From a sample of 561 deals, 26 EU CLO managers oversee deals with both vertical and first-loss risk retention.
From a sample of 506 deals, 27 EU CLO managers oversee deals with both vertical and first-loss risk retention.
The chart below depicts the average alpha metric trends for deals with horizontal slice risk retention (manager's retention) and deals with vertical strip risk retention (third-party majority equity). Interestingly, deals with vertical strip risk retention consistently outperformed their counterparts. However, more recently, their median performance metrics have shown convergence. As of the latest reading on September 6, 2023, the median deal with horizontal slice risk retention slightly outperformed the median deal with vertical strip risk retention.
EU CLO Deal Performance: Vertical Strip or Horizontal Slice? A sample of 218 EU deals (vintage 2015–2019) is included in...
The tables below show the attractive value of a captive CLO equity fund for any CLO manager.
