Performance and Risk Profile of US BSL CLO Managers
Performance and Risk Profile of US BSL CLO Managers
Performance and Risk Profile of US BSL CLO Managers
Performance and Risk Profile of EU CLO Managers Across 2019-2021 Vintages
What do investors prefer? Generally, they seek managers who maximise the value of the collateral pool, rather than selling CCC assets simply to reduce CCC exposure artificially or to gain short-term OC ratio advantages. Ideally, managers would also consistently steer clear of credits that become problematic.
The table below presents the pre-reset adjusted triple-C exposure, AAA factor, par loss, and equity NAV for reset deals from the 2014 to 2020 vintages, priced this year.
Typically, deals that rank well in terms of CCC exposure would be expected to perform well. This appears to be true only to a certain extent. The median deal with CCC exposure of 4 to 5 percent did well, achieving 25 basis points of alpha, while the median deal with CCC exposure of 5 to 6 percent registered an alpha of 22 basis points. However, for deals where CCC exposure ranges between 6 and 11 percent — representing approximately 80 percent of the sample — the relationship between alpha and CCC exposure appears to break down. For instance, deals with CCC exposure in the 9 to 10 percent range tend to perform better than those with CCC exposure between 6 and 9 percent.
He who buys had need have 100 Eyes, but one’s enough for him that sells the Stuff. — Benjamin Franklin...
