EU CLO Managers: Scoring Based on MV Return Alpha for 2022
A sample of 197 deals (2015–2019 vintage deals) managed by 39 managers is included in this study. The benchmark loan index used is the Morningstar European Euro Denominated Loan Index.
A sample of 197 deals (2015–2019 vintage deals) managed by 39 managers is included in this study. The benchmark loan index used is the Morningstar European Euro Denominated Loan Index.
The following table shows the average below 80 and 70 price buckets by manager based on asset prices as of 13 Jan 2023.
The following table shows the average below 80 and 70 price buckets by manager based on asset prices as of 13 Jan...
The tables below show the median MVOC and EQ NAV of US BSL CLO and EU CLO deals* by vintage...
Tracking the below 80 price bucket at the CLO underlying collateral level is useful as it highlights the tail risk of the...
Collateral weighted average price (WAP*) is quite useful for a quick snapshot of collateral credit risks. That said, this metric...
The following table shows the average below 80 price bucket by manager based on asset prices as of 6 Jan 2023.
The following table shows the average below 80 price bucket by manager based on asset prices as of 6 Jan 2023.
CLO equity and lower mezz tranches are more exposed to idiosyncratic risk. Generally speaking, deals with a bigger below 70 price...
“Generally speaking, deals with a bigger below 80 price bucket would tend to see their equity and lower mezz tranches get hit harder from a valuation standpoint.”
2023 is key for CLO managers to prove that the optionality embedded in the long-term non-recourse nature of the CLO capital structure is indeed valuable for CLO equity investors.
Please see the table below for the list of EU CLO managers and their assets under management breakdown by reinvestment...
The tables below show the change in collateral spreads (median) for both US BSL CLOs and EU CLOs by vintage....
A sample of 197 deals (2015–2019 vintage deals) managed by 38 managers is included in this study. The benchmark loan index used is the Morningstar European Euro Denominated Loan Index.
US CLO managers such as Blackstone, Elmwood, Golub, PGIM, Ares, KKR, Palmer Square and Neuberger Berman grew their US CLO AUM organically by $3bn or more in 2022.