Monthly update (September 2021)
The ten largest US CLO managers represent over a quarter of the US CLO market. Presumably, most investors would have had exposure to these managers. So, how have these large managers performed through the COVID-19 pandemic?
Sometimes, investors might think that they are just buying the market if a manager is too big. However, based on CLO Research’s findings, these ten largest managers seem to have delivered a fairly wide range of return performance since the onset of the pandemic. Additionally, some of these managers did quite a good job of collateral management.
What about running a highly diversified or a lowly diversified portfolio strategy? Which one works better in delivering outperformance?
Which of the ten largest managers lost quite a bit of par value relative to their peers since the onset of the pandemic and yet delivered good investment performance?
It seems that the 2014 vintage US CLO equity might turn out to be a poor vintage for several reasons: Based on over 50 redeemed deals, the average IRR registered slightly over 0%! The remaining outstanding 2014 vintage deals might also struggle, on average, to deliver close to their target IRR. Having said that, a number of managers managed to deliver high single-digit/ low teen IRRs.
According to LCD news, global single B leveraged loan issuance from speculative companies has surpassed $400 billion in 2021. Have you ever wondered how solid investment grade CLO tranche ratings could be created from a portfolio with an average of B+/B rated loans?
CLO research has also recently published the latest alpha and performance attributions of 67 US CLO managers. Alpha could also shed more insight into the style of the managers.
Which more equity friendly (over 15bp interest return alpha) US CLO managers, have delivered over 30bp total investment alpha?
Do seasoned EU CLO managers perform differently across vintages (2015-2019)? Who is the most consistent among them?
What about the IRRs of redeemed EU CLO BB tranches? Which vintage scored the best IRRs? How many of them delivered near equity IRRs without taking the first loss risk?
What percentage of EU CLO single-B tranches delivered equity-like IRRs?
Disclaimers
The information, research, data, research related opinions, observations and estimates contained in this document have been compiled or arrived at by CLO Research Group, based upon sources believed to be reliable and accurate, and in good faith, but in each case without further investigation. None of CLO Research Group or its service providers; authorised personnel, or their directors make any expressed or implied presentation or warranty, nor do any of such persons accept any responsibility or liability as to the accuracy, timeliness, completeness or correctness of such sources and the information, research, data, research related opinions, observations and estimates contained in this document. All information, research, data, research related opinions, observations, and estimates in this document are in draft form as of the date of this document and remain subject to change and amendment without notice. Neither CLO Research Group nor any third-party providers shall be subject to any damages or liability for any errors, omissions, incompleteness or incorrectness of this document. This article is not and should not be construed as an offer, or a solicitation of an offer, to buy or sell securities and shall not be relied upon as a promise or representation regarding the historical or current position or performance of any of the deals or issues mentioned in it.
