The recent reset of the RRE 3 Loan Management CLO saw its weighted average cost of capital (WACC) rise from 156 bps to 179 bps. However, the extension of the reinvestment period to July 2029 has made the upsized reset accretive for equity investors.
This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as...
This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as...
A sample of 218 deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the...
Nonetheless, it is worth noting that the manager's performance has rebounded remarkably following a trough experienced in late 2022.
As of the latest update, it has slightly outperformed its peers. The manager maintains an average interest alpha profile, but its substantial improvement in Market Value (MV) alpha is particularly noteworthy.
This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as...
This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as...
A sample of 218 deals (2015–2019 vintages) managed by 40 managers is included in this study. The benchmark loan index...
A sample of 1,549 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...
Based on a sample of 83 EU CLO deals that have either already been redeemed or are expected to be fully redeemed soon, CLO equity tranches from the 2020, 2022, and 2023 vintages stood out, delivering impressive final IRRs supported by strong equity NAV metrics. As shown in the table above, their average equity NAVs exceeded 100%, highlighting robust performance.
Tracking ‘below 80 price exposure’ for CLO underlying collateral can be valuable in assessing tail risk within the asset pool. However, it is important to account for the impact of trading activity on these exposures, as CLO managers may have built par or traded out of distressed assets to crystallise portfolio losses. While this metric has its limitations, particularly as it does not fully account for the impact of trading, it remains a useful tool for providing a quick overview of tail risk in a manager’s CLO collateral pool. It is also static in nature, meaning it is not a return-based metric.
CLOs are primarily actively managed, and some commonly used deal metrics—point-in-time indicators—can occasionally be misleading. While these metrics can be useful, they should not be considered in isolation. Additionally, combining multiple metrics does not necessarily provide a clearer picture. For example, the weighted average price (WAP) of a CLO portfolio does not measure return performance over time and can be artificially inflated by trading activity. Though WAP is helpful for quick screening, it is not a reliable indicator of whether one manager has outperformed another. The same applies to annual equity distributions—a higher distribution does not necessarily indicate better manager performance. Therefore, combining these two metrics does not necessarily offer a more accurate assessment of a manager's performance.
A sample of 496 EU CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool factor below 60% are excluded. Market Value Over-Collateralization (MVOC), for instance, at the BB tranche level, is calculated by dividing the collateral market value (MV) by the sum of CLO liabilities (AAA to BB). MVOC is a crucial point-in-time metric for pricing CLO-rated tranches, closely monitored by primary and secondary market participants. If you’re curious to explore our premium insights or would like a personal walkthrough of the website via Zoom, feel free to reach out at info@clopremium.co.uk.
The top four deals, characterised by the narrowest weighted average liability spreads year-to-date (YTD), are Aqueduct European CLO 8, CVC Cordatus Loan Fund XXXI CLO, Avoca CLO XXIX, and Bridgepoint CLO VI.
