CLO Research

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...

York CLO-1 has been redeemed, and its equity tranche is expected to surpass the 12% IRR threshold, leading the manager to receive an incentive fee. The redemption of this deal in today’s market conditions highlights its strong performance.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...

Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices...

With the current attractive yield offered by new issue US CLO BB tranches, it comes as no surprise that this risk-return profile is generating significant interest. The table below illustrates the projected annual yield of a recently priced US BSL CLO BB tranche.

At first glance, one might assume that managers with higher portfolio spreads tend to perform well during favorable market conditions but struggle during downturns. However, upon closer analysis of the average alpha performance within each category, this assumption is only partially valid and not universally applicable.

It is worth noting that the median WAPs (Weighted Average Prices) of US CLOs surpass those of EU CLOs across all vintages. However, when considering the median <70 and <60 price bucket metrics, EU CLOs outperform their US counterparts across all vintages.

Tracking price buckets at 80/70/60 or below for CLO underlying collateral can be useful in assessing tail risk in the asset pool.

A sample of 313 seasoned deals (2016–2019 vintage deals) managed by 57 US CLO managers is included in this study. The benchmark loan index used is the Morningstar LSTA US B-BB Ratings Loan Index.

Notably, Redding Ridge, Hayfin Capital, Partners Group, Oaktree Capital, Invesco, Sound Point Capital, Napier Park and Permira Debt Managers exhibit the most favourable reinvestment period profile.

A sample of 313 seasoned deals (2016–2019 vintage deals) managed by 57 US CLO managers is included in this study. The benchmark loan index used is the Morningstar LSTA US B-BB Ratings Loan Index. The table in tihis premium displays the relative ranking of each US CLO manager based on their quarterly average total (MV+interest) return alpha metrics*. For instance, a manager with a score of 82% (for 2Q 2023) indicates that their total return alpha is at the 82nd percentile for that quarter. In simpler terms, the manager's total return alpha metric exceeds that of 82% of their peers for that quarter.

For example, a manager with a score of 89% (2Q 2023) means that its MV return alpha is said to be at the 89th percentile for that quarter. In other words, the manager's MV return alpha metric exceeds that of 89% of its peers.