More deals are expected to be redeemed in 2024, which is already set to be the year when a record number of EU deals will be fully redeemed. The average annual default rate for the 26 deals redeemed since October 2023 stands at 0.6%.
YTD, 70 BSL CLO deals have been reported to have undergone resets. Among these, 15 deals from the 2022–2023 vintages have reduced their cost of funding by an average of 61 bps, while also extending their reinvestment periods by about 2.7 years on average.
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The table below shows the top-performing managers with the most 2013–2019 deals that are in the 90th percentile category. Notably, CSAM stood out as the most successful and consistent manager in delivering good returns to equity investors. Other successful managers include Oak Hill Advisors, KKR Financial Advisors, Goldentree Asset Management, Neuberger Berman, Generate Advisors, Fortress Investment Group, and Anchorage Capital Group.
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.
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.
This study includes a sample of 93 more recent deals (closed in 2021 and Jan 2022) managed by 46 managers, using the Morningstar European B Ratings Loan Index as the benchmark loan index. The table below illustrates the relative standing of each EU CLO manager based on their latest average total alpha metrics (as of 26th June 2023) . A score of 98%, for instance, indicates that the manager’s total return alpha is at the 98th percentile, meaning their total return alpha metric exceeds that of 98% of their peers.
Overweight indicates that the manager’s average industry exposure exceeds the sample average exposure by 1 percentage point. Conversely, underweight means the manager’s average industry exposure is less than the industry average exposure by 1 percentage point.
Discover the main disparities between the seasoned US BSL and EU CLO equity tranches in relation to annual distributions and final equity net asset value (NAV) realisation values necessary to achieve a 12.0% internal rate of return (IRR) target. Explore the reasons why median EU CLO equity tranches have shown higher annual distributions compared to their US equivalents.
Securitisation can certainly play a crucial role in facilitating the mobilisation of institutional capital into infrastructure financing, especially for sustainable infrastructure and clean energy projects. Additionally, it can help banks recycle their balance sheets into originating new loans to finance such infrastructure initiatives.
In the CLO market, the terms "CLO performance" or "resilience" can have varying definitions. It is essential to note that...
This study expands its analysis to include a sample of 90 more recent deals (closed in 2021) managed by 46...
The final IRR of a 2.0 CLO equity tranche very much depends on the final equity NAV realisation. There are 20 US CLO managers with at least one deal registering an IRR of over 15%.
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.
The top five US CLO managers for each WARF category are typically larger managers with a CLO AUM of $8 billion or more.
At CLO Research, we provide genuinely independent first-hand CLO research content that is highly relevant to the investing community. We can save you precious time and resources in assessing CLO managers through manager scoring based on relative return performance rather than deal metrics.
A sample of 198 deals (2015–2019 vintage deals) managed by 39 managers is included in this study. The benchmark loan...
This article details the track record of redeemed static deals.
Which redeemed deals delivered an equity IRR of over 12.0%? 2020 vintage deals delivered extraordinary IRRs. 2012 vintage deals did well...
This article endeavours to highlight some of the key drivers of 1.0 US CLO equity tranches' outperformance.
This research report is now available to bloomberg terminal users.
This webinar was jointly hosted by Sheil Aggarwal, Head of SCI Valuations, and Poh-Heng Tan, Founder of CLO Research in...
The following EU CLO deals issued and priced their single-B tranches this year. These were initially structured for delayed issuance...
KKR CLO 29, managed by KKR, was recently reset. The performance of this 2021 vintage deal from an MVOC perspective was...
Generate CLO 5, managed by Generate Advisors, was recently reset. The performance of this 2018 vintage deal from an MVOC...
In conclusion, it is important to understand the limitations of each metric so as to avoid mistaking outperformance of deal metrics to be investment outperformance.
Since October 2023, at least 26 EU CLO deals have been redeemed. The graphs below illustrate the relationship between the...
A significant number of US BSL CLO deals are candidates for reset due to their overall high cost of funding....
On January 19, 2024, GoldenTree celebrated a notable achievement with an AAA print of 150 basis points (bps) for its...
The top five deals with the narrowest weighted average liability spreads year-to-date (YTD) are GoldenTree Loan Management US CLO 20,...
With the recent reset pricing, OHA Loan Funding 2013-1, managed by Oak Hill Advisors, now boasts the longest reinvestment period in the CLO market at nearly 16 years!
The top five deals, characterized by the narrowest weighted average liability spreads (AAA-BB) year-to-date (YTD), excluding the single-B tranche, are...
The loan index’s moving 4-week average discounted spreads are used as a proxy for the EU CLO portfolios’ discounted spreads....
Monitor: US BSL CLO New Issue Arb Trend The loan index's moving 4-week average discounted spreads are used as a...
The table below shows a list of deals with an equity NAV of at least 100%.
