Weakness of attitude becomes weakness of character. – Albert Einstein
In 2024, seasoned US BSL CLO managers, on average, are matching the loan index across total return, market value return, and interest return metrics. Since 2020, some managers have consistently delivered above-average alpha, while others have underperformed. Among 56 managers in the sample, 11 recently achieved over 20 bps of alpha, while 9 fell below -20 bps. The peak performance occurred in September 2021, with 33 managers exceeding 20 bps of alpha, while the lowest point was in April 2020, when 33 managers dropped below -20 bps. For further details, refer to the article below.
Seasoned US BSL CLO Managers: Alpha Trends
A very strong loan market is a double-edged sword. While it benefits equity NAV, it also results in underlying loan repricing, reducing WAS, which particularly affects longer-dated CLO equity negatively. For additional factors influencing the performance of CLO equity investments, please refer to the article below.
CLO Equity: A High-Stakes Game of Risk and Reward (Updated)
Although the relationship between asset spreads and AAA issuance spreads is not always perfectly linear—due to factors like the demand and supply of AAA notes—it is evident that asset spreads have a significant influence on AAA spreads. For more information, refer to:
US BSL CLOs: Weekly Arbitrage Metrics and AAA Spreads
Among the larger US BSL CLO managers with at least 10 deals in the sample, Oak Hill, Golub, and Allstate stood out from an MVOC perspective. Unsurprisingly, these managers have also achieved top-tier AAA prints. For detailed findings, see:
US BSL CLO Managers: Rankings Based on MVOC (BB)
Among the larger EU CLO managers with a minimum of seven deals in the sample, Redding Ridge and CVC distinguished themselves from an MVOC standpoint. Discover more in:
EU CLO Managers: Rankings Based on MVOC (BB)
Of the 126 managers listed, 68 on average charge over 40 bps, 51 charge between 30 and 40 bps, and 5 charge between 20 and 30 bps. Some managers offer fee rebates to their CLO equity investors; however, such information is typically kept private. For an in-depth view, see:
Management Fee Breakdown: Senior and Junior Fees by US BSL CLO Managers
Disclaimers
The information, research, data, research-related opinions, observations, and estimates contained in this document have been compiled or arrived at by CLO Research Group, based upon sources believed to be reliable and accurate, and in good faith, but in each case without further investigation. None of CLO Research Group or its service providers; authorised personnel, or their directors make any expressed or implied presentation or warranty, nor do any of such persons accept any responsibility or liability as to the accuracy, timeliness, completeness, or correctness of such sources and the information, research, data, research related opinions, observations and estimates contained in this document. All information, research, data, research-related opinions, observations, and estimates in this document are in draft form as of the date of this document and remain subject to change and amendment without notice. Neither CLO Research Group nor any of their third-party providers shall be subject to any damages or liability for any errors, omissions, incompleteness, or incorrectness of this document. This article is not and should not be construed as an offer, or a solicitation of an offer, to buy or sell securities and shall not be relied upon as a promise or representation regarding the historical or current position or performance of any of the deals or issues mentioned in it.
