Excess Spread — The Carolean age, how expensive is Rizwan, shrinking CLO swaps

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Excess Spread — The Carolean age, how expensive is Rizwan, shrinking CLO swaps

Owen Sanderson's avatar
  1. Owen Sanderson
15 min read

Stubborn refusal

Two facts about the European CLO market this year.

1) New issue volume is tracking pretty much in line with a “normal” year (not sure there’s any such thing really, but better than 15/16/17, slightly behind 18).

2) The arbitrage available at new issue has never been worse in the 2.0 era.

Depending how you count it (I looked at a graph of generic new issue excess spread produced by Barclays research), arbitrage even managed to briefly turn negative this year. CLOs are less profitable than at point in recent history, and it has barely dented volumes.

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