EU Module

Drawing from a sample of 87 EU CLO deals that have either been redeemed or are expected to reach full redemption shortly, equity tranches from the 2020, 2022, and 2023 vintages have delivered notable final IRRs, underpinned by robust equity NAV metrics. As illustrated in the table, their average equity NAVs surpassed 100%, underscoring strong 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.

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...

This study includes a sample of 193 seasoned EU CLO deals that have concluded their reinvestment periods. How do the 2013–2022 vintage EU CLO deals perform in terms of cumulative equity distributions plus NAV?

How did deals with vertical strip risk retention perform vs. deals with horizontal slice risk retention? This study examines a...

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.

This study examines a sample of 218 deals from 2015 to 2019, utilising the Morningstar European Euro-Denominated Loan Index as...

Based on 57 post-2013 EU CLO deals that have been redeemed so far, CLO equity tranches from the 2020 and 2022 vintages stood out, as highlighted by their impressive final IRRs, bolstered by solid final equity NAV metrics.

On a positive note, the manager has made steady improvement over the past few months and as of the last reading...

This study includes a sample of 95 EU CLO deals (closed in 2021 and Jan 2022) managed by 46 managers, using the Morningstar European B Ratings Loan Index as the benchmark loan index. Of particular interest is the substantial representation of small European CLO managers in the top quartile. Notably, half of these high-performing managers are responsible for managing EU CLO assets in the range of EUR 1.0 billion to EUR 2.0 billion. However, it is equally important to recognize that small managers constitute a third of the managers in the lowest quartile. Despite this, small managers—those managing EUR 1.0 to 2.0 billion in EU AUM—have, on average, demonstrated commendable performance when compared with their larger counterparts in the EU CLO market.

The table in this article displays the relative ranking of each EU CLO manager, determined by their quarterly average total alpha metrics. For instance, a manager with a score of 81% (for 3Q 2023) implies that their total return alpha is in the 81st percentile. In other words, the manager's annualised total return alpha metric (since inception) exceeds that of 81% of its peers.

The table in this article illustrates the relative ranking of each EU CLO manager based on their quarterly average MV alpha metrics. For instance, a manager with a score of 82% (for 3Q2023) indicates that its MV return alpha is positioned at the 82nd percentile. In other words, the manager's MV return alpha metric surpasses that of 82% of its peers.

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.

A sample of 218 deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the...