CLO replenishment regarded as linear optimisation problem

摘要

Synthetic collateralised loan obligations (CLOs) often have a replenishment feature: if the securitised assets amortise, the unused CLO volume can be replenished (refilled). While this replenishment problem usually is not a linear optimisation problem, we show that under additional assumptions it can be converted into a linear optimisation problem. Thus, the replenishment problem becomes numerically tractable even for a large number of assets.