KBRA Releases Research – European CLO Manager Style Comparisons: October 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 July 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

• Turnover among the most opportunistically leaning managers is moderate given the current climate, but three new managers have migrated into the top 10 most opportunistic over the past three months. Moreover, seven managers remain in the top 10 from July. Four of these seven managers—Invesco, PGIM, Angelo Gordon, and Napier Park—have consistently remained in the top 10 since KBRA’s inaugural June 2022 analysis. The new entrants into the top 10 most opportunistic are Intermediate Capital, Bain, and AlbaCore. Notably, Intermediate Capital and Bain previously had more conservative rankings, and AlbaCore has been in the top 10 three times before.
• There remains a core group of conservatively leaning managers, with eight of the managers remaining in the top 10 since July. The two new market entrants lean conservative: M&G, which starts out among the most conservative managers, and Aegon AM, the new manager of the North Westerly CLOs. The most steadily conservative managers include Redding Ridge and Alcentra, which have remained among the most conservative since our first report in June 2022. Also, Ostrum, Brigade, CQS, and Nassau have been among the top 10 conservative managers in three out of the past five KBRA reports.
• Opportunistic managers have become more convincingly opportunistic since our July report, while more conservative managers have become less convincingly conservative. Of the top 10 opportunistic managers, six have six or more cross-metric comparisons firmly in the opportunistic quadrant, up from only three such managers in the July report. Comparatively, four of the top 10 conservative managers have six or more cross-metric comparisons in the conservative quadrant, which is down from six such managers in the July report—and none of the managers has nine or more, versus two managers in July.

Click here to view the report.

Related Publications

• European CLO Manager Style Comparisons: July 2023 Update

• 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.