KBRA Releases Research – European CLO Manager Style Comparisons: July 2023 Update

LONDON--(BUSINESS WIRE)--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? In this report, an update to our April 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

• There is some turnover among the most opportunistically leaning managers, with four new managers and six managers remaining in the top 10 from April. Four of these six managers have remained within the top 10 since KBRA’s inaugural June 2022 analysis: Invesco, PGIM, Angelo Gordon, and Napier Park. PGIM has remained as the second-most opportunistically leaning. New entrants that have migrated into the top 10 include Bridgepoint, Permira, Acer Tree, and Blackrock. Of the managers that migrated out of the most opportunistic set, one has been acquired, and the others remain among the top 27% of European managers.
• There is little change this time around for the most conservatively leaning managers, with eight of the managers remaining in the top 10 versus April. The new entrants are Barings and GSO/Blackstone, the latter of which vaulted to the most conservative. The most steadily conservative managers include Redding Ridge, Alcentra, and Tikehau, which have all remained among the most conservative since the first report in June 2022. Those that have migrated out of the more conservative managers now find themselves within the more moderately leaning managers towards the middle of the sample set.
• 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, four 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: April 2023 Update
• U.S. CLO Manager Style Comparisons: June 2023 Update
• European CLO Manager Style Comparisons: January 2023 Update
• European CLO Manager Style Comparisons: September 2022 Update
• European CLO Manager Style Comparisons
• 2023 European Structured Finance Sector Outlook: Stable Performance to Be Tested
• U.S. CLO Manager Style Comparisons

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.