Euribor floors drive arb as Permira launches CLO equity fund

CLOs
By Owen Sanderson
19 Sep 2019

Permira Debt Managers has launched its fifth ‘Sigma’ structured credit fund, looking to buy CLO equity. Senior tranches in CLO vehicles have sharply tightened against Euribor as European rates have plunged deeply negative, but Euribor floors worth up to 50bp are increasingly determining the economics of the CLO business.

Permira has been buying CLO equity and junior debt since raising its first fund in 2010, with the first three funds, now fully realised, returning an average of 19% net IRR to investors, according to the company.

But the market environment for CLO equity has been sharply ...

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