KBRA Releases Research – European CLO Manager Style Comparisons: April 2024 Update
April 29 2024 - 5:56AM
Business Wire
KBRA releases a report that examines the different strategies
adopted by collateralised loan obligation (CLO) managers.
An individual CLO manager’s style or approach to investing in a
pool of leveraged loans can vary compared to peers. In the end, it
is investors who determine which manager’s approach best suits
their needs. 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 October 2023 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. The governing
classifications used in this report are Opportunistic and
Conservative; however, these classifications are not intended to
imply any positive or negative sentiment. Rather, they are being
utilised for information purposes to display and distribute the
data.
Key Takeaways
- Turnover among manager rankings has increased over the past six
months. This is partly due to the dynamic economic climate with
interest rates changing, defaults increasing, collateral
downgrades, and the increasing number of amortising transactions,
as highlighted in our recent research report (see Navigating
European CLO Tail Risk: Mind the Amortisation Gap).
- Half of the most opportunistic managers have changed. The new
entrants into the top 10 most opportunistic are King Street,
Fidelity, Voya, Alcentra, and Bridgepoint. Notably, King Street and
Alcentra previously had much more conservative rankings. Alcentra
was previously among the most conservative managers and has seen an
increase in several metrics including weighted average spread
(WAS), KBRA weighted average rating factor (K-WARF), and equity
yields impacting its cross-metric comparisons.
- There remains a core group of conservatively leaning managers,
although shrinking, with only three managers from the October 2023
report, one of which—Redding Ridge AM—remains in the top 10 since
June 2022. One of the seven new market entrants—MV Credit—leans
conservative and starts out among the 10 most conservative
managers. The most steadily conservative managers include Redding
Ridge, CQS, and Ostrum. The managers that have made the biggest
change are KKR and Credit Suisse AM, both migrating from the
moderately opportunistic quartile to the most conservative.
- In a reversion from our October report, conservative managers
have become more convincingly conservative, while the more
opportunistic managers have become less convincingly opportunistic.
Of the top 10 opportunistic managers, two have six cross-metric
comparisons firmly in the opportunistic quadrant, down from four
such managers in the prior report. In comparison, five of the top
10 conservative managers have six or more cross-metric comparisons
in the conservative quadrant, three of which have eight in this
quadrant. This is up from four managers with six or more and only
one with eight in the conservative quadrant in our October
report.
Click here to view the report.
Related Publications
- Navigating European CLO Tail Risk: Mind the Amortisation
Gap
- Private Credit: Potential for European MM and Direct Lending
CLOs
- European CLO Manager Style Comparisons: October 2023
Update
- 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
- 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.
Doc ID: 1004076
View source
version on businesswire.com: https://www.businesswire.com/news/home/20240429705562/en/
Gordon Kerr, Managing Director, Head of European Research +44 20
8148 1020 gordon.kerr@kbra.com
Gabriele Gramazio, Senior Director +44 20 8148 1001
gabriele.gramazio@kbra.com
Eric Hudson, Senior Managing Director +1 646-731-3320
eric.hudson@kbra.com
Yee Cent Wong, Co-Head of Europe +353 1 588 1260
yee.cent.wong@kbra.com
Media Contact
Adam Tempkin, Director of Communications +1 646-731-1347
adam.tempkin@kbra.com
Business Development Contacts
Mauricio Noé, Co-Head of Europe +44 20 8148 1010
mauricio.noe@kbra.com
Miten Amin, Managing Director +44 20 8148 1002
miten.amin@kbra.com