US BSL CLO Managers: Top-Tier CLO Equity Performance Based on Deals Beyond Their RP
This study includes a sample of 439 seasoned deals that have concluded their reinvestment periods.
This study includes a sample of 439 seasoned deals that have concluded their reinvestment periods.
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.
Since mid-July 2022, when 3M EURIBOR moved into positive territory and began its upward trajectory, the EU CLO primary and...
A sample of 15 deals managed by the manager closed between 2015 and 2019 is included in calculating its alpha metrics. Examining the average metrics for 2024 and 2023, KKR outperformed its peers...
KKR has excelled in preserving the equity NAV of these two seasoned deals.
In the 2.0 CLO landscape, it is quite uncommon to see very high cash-on-cash equity distributions. However, 42 regular reinvesting US BSL CLO deals have distributed impressive cash payments to their equity investors, with annualized payments of around 25% or more so far this year.
