KBRA UK: KBRA Releases Research - European CLO Manager Style Comparisons: April 2023 Update

KBRA UK (KBRA) releases a report that examines the different strategies adopted by collateralised loan obligation (CLO) managers.

CLO managers are often evaluated on a tiering of their portfolio based on various metrics. But this evaluation method can sometimes produce counterintuitive results and does not always consider a manager's style and objectives. For example, should CLO managers be penalised for pursuing a more opportunistic strategy that produces a high weighted average spread, or viewed favourably if their portfolios are managed according to their objectives? As part of KBRA's series examining European CLO manager styles, this report examines cross-metric comparisons that could offer insight on potential strategies employed across the market. In this report, an update to our January analysis, we continue to focus on some of the differences between CLO managers when evaluated across different cross-metric comparisons and highlight changes since our prior publication.

Key Takeaways

• The most opportunistically leaning managers remain largely unchanged, with eight managers remaining in the top 10 from January. Two entrants have returned to the top 10 from KBRA's inaugural June 2022 analysis: BlueBay and Black Diamond. Some have experienced a modest migration within the top 10, but the top two managers have remained in this position since January: CBAM and PGIM.
• There is some turnover among the most conservatively leaning managers, with one-half of the managers remaining in the top 10 versus January. The five steadily conservative managers include Redding Ridge, Alcentra, Brigade, Ostrum, and CVC Credit Partners. Three of these managers have stayed on the most conservative list since KBRA's first CLO manager comparison: Redding Ridge, Alcentra, and CVC Credit Partners.
• Opportunistic managers remain less convincingly opportunistic than conservative managers are convincingly conservative. Of the top opportunistic managers, only two have seven or more cross-metric comparisons firmly in the opportunistic quadrant. Comparatively, five of the most conservative managers have seven or more cross-metric comparisons in the conservative quadrant.

Click here to view the report.

Related Publications

• European CLO Manager Style Comparisons
• U.S. CLO Manager Style Comparisons
• European CLO Manager Style Comparisons: September 2022 Update
• European CLO Manager Style Comparisons: January 2023 Update
• 2023 European Structured Finance Sector Outlook: Stable Performance to Be Tested

About KBRA

KBRA is a full-service credit rating agency registered in the U.S., the EU, and the UK, and is designated to provide structured finance ratings in Canada. KBRA's ratings can be used by investors for regulatory capital purposes in multiple jurisdictions.

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