EU CLO Managers: Top-Tier CLO Equity Performance Based on Deals Beyond Their RP
Among managers with two or three deals in the sample, CIFC and Spire Partners have also performed well, with all of their seasoned deals ranking in the top quartile.
EU Module premium users will gain access to all basic premium content, as well as to EU manager performance reports, including the latest reports on individual investment alpha performance from large and seasoned EU CLO managers. To calculate the total/MV/interest return alpha, we begin by determining the total/MV/interest investment return for each complete period, such as from a deal’s closing date to the most recent reporting date. This is achieved by compounding the portfolio’s monthly (or periodic) total/MV/interest return since the closing date. We then annualise the total/MV/interest portfolio return and compare it with the annualised return of the index. The difference represents the total/MV/interest return alpha, as illustrated here.
Among managers with two or three deals in the sample, CIFC and Spire Partners have also performed well, with all of their seasoned deals ranking in the top quartile.
Some of the more successful and consistent managers include CSAM, KKR, and CVC. Notably, CSAM, CVC, and KKR are top-ranked, with over 70% of their deals in the sample falling within the top 25%. Among managers with only two or three deals in the sample, Spire Partners and CIFC have also performed well, with at least two-thirds of their deals in the top quartile.
Based on a sample of 116 EU CLO deals that have either already been redeemed or are expected to be fully redeemed soon, equity tranches from the 2020, 2022, and 2023 vintages delivered particularly strong returns. These deals stood out with impressive final IRRs, supported by healthy equity NAVs at exit. The final table in this article presents each manager’s average IRR, annual distribution, and equity NAV across their redeemed deals, along with the percentage of those deals that ranked in the top quartile for equity IRR performance. Of the 41 managers in the sample, 23 achieved an average equity IRR of 10% or higher on their redeemed CLOs.
To calculate the total/MV/interest return alpha, we begin by determining the total/MV/interest investment return for each complete period, such as from a deal’s closing date to the most recent reporting date. This is achieved by compounding the portfolio’s monthly (or periodic) total/MV/interest return since the closing date. We then annualise the total/MV/interest portfolio return and compare it with the annualised return of the index. The difference represents the total/MV/interest return alpha, as illustrated here.
Despite this setback, CSAM made a strong recovery and, since August 2021, has outperformed its peers thanks to above-average metrics for MV and interest return alpha as shown in the second and third graphs.
To calculate the total/MV/interest return alpha, we commence by ascertaining the total/MV/interest investment return for each entire period, such as from a deal’s closing date to the last reporting date. This is accomplished by compounding the portfolio’s monthly (or periodic) total/MV/interest return since the closing date. Subsequently, we annualise the total/MV/interest portfolio return and compare it to the annualised return of the index. The disparity represents the total/MV/interest return alpha depicted here.
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...
It appears that there is a clear shift in style. Spire recorded above-average interest alpha until September 2020 and below-average interest alpha since then.
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...
The manager displayed resilient MV alpha performance in the time following the loan market crash of late March 2020.
This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as the benchmark loan index.
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.
Nonetheless, it is worth noting that the manager's performance has rebounded remarkably following a trough experienced in late 2022. As of the last reading, the manager was performing better than its peers.
