EU CLO Manager Report: Brigade
The manager displayed resilient MV alpha performance in the time following the loan market crash of late March 2020.
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.
The manager displayed resilient MV alpha performance in the time following the loan market crash of late March 2020.
A sample of 218 deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the...
This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as...
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 graph.
This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as...
Throughout 2020 and 2021, Blackrock demonstrated resilience in its total performance. It consistently outperformed the loan index from January 2020 to July 2022, with the exception of April/May 2020. However, the firm’s performance began to decline from mid-2022, as its MV alpha decreased more significantly than that of its peers.
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...
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.
A sample of 218 deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the...
This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as...
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.
Based on a sample of 75 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.
This study includes a sample of 277 EU CLO deals that are still in their reinvestment periods. How do the...
