2023: a bumper year for CLO funds
It looks like 2023 will finish as a solid year for most credit funds, and an outstanding one for CLO funds. But funds pursuing corporate distressed strategies continued to struggle

What matters is what you do with it
CLO managers yearn for flexibility so they can take advantage when credit sells off. But it isn’t enough on its own: triple C-flex CLOs saw portfolios erode this year, while CBOs outperformed

You seem familiar
The overlap between European CLOs has risen to 51.6%, but the largest issuers are only slightly more aligned to their peers at 55.19% — so bonds are proving to be an important differentiator

CLO managers show respect to their elders
Alongside lucrative new issues, managers also make time for refinancing and resetting old deals. Our data shows that, in 2021, mid-sized firms were the most effective at this balancing act

Refi deluge casts shadow on b-wics

An alternative way of looking at CLO overlap
Analysing CLO collateral to look for overlap is critical for any CLO investor, but it is normally done either within a portfolio of CLOs or by bilaterally comparing two managers. In one of its latest research pieces, Moody’s Analytics has taken a different approach

Lighten up, these are due an upgrade
CLO triple C buckets were overflowing last year, but the average exposure is now 7.3%. That is still close to trigger levels, but CLO managers are relaxed, as further loan upgrades are on the horizon

Chin up – it’s been a pretty good effort
CLO managers did well to survive the covid-19 crash in loan valuations — but they failed to fully capitalise on the ensuing volatility, say participants in the Creditflux CLO Census 2020

Relative value plays swell secondary
The secondary CLO market has been revived this year as volumes shatter 2019 totals. Investors are finding that secondary values outweighs that in primary, with the added bonus of full portfolio disclosure

Managers weigh up matters of principal
CLO managers that were able to avoid OC traps made double-digit equity distributions in Q2, despite the headwinds. But these firms tended not to be among those that built the most par

Lenders turn to quality over quantity

Managers spot opportunity as leveraged loans soften
An abundance of US leveraged loan issuance helped soften secondary prices even though the overall market is highly bid. Meanwhile, investors’ preference for floating rate paper hit high yield

Higher leverage is on the horizon - but, for now, take in the MFN sunsets
It’s clear from our analysis of most favoured nation protections and sunsets that strong demand for loans is enabling borrowers to insist on advantageous terms even as they increase leverage

Tastes change in secondary trading
Our analysis of the secondary market shows that, since 2013, appetite for CLOs run by tier one managers persists through market dips and rallies.

Managers pick spots on CLO curve
As refi volumes slowed through 2017, the term curve for CLOs steepened, leading managers to vary their deal tenors as they sought to hit the evolving sweet spot.

CLO managers return to new issues
The frenetic pace of refis and resets slowed in the third quarter as CLO managers – new and old – turned their attention to building assets

Leading fund: Lupus Alpha CLO Opportunity Notes I
Single-B CLO trades boost Lupus Alpha asset Management

Heading tighter into uncertainty
Tightening loan spreads are making the job of a CLO manager harder in both the US and Europe. But credit volatility could be on the horizon

Apparel and accessories: Fast fashion leaves mid tier in a hole
Apparel and accessory company balance sheets are starting to resemble a pair of fashionably ripped jeans

Finding value amid volatility
Researchers and strategists had plenty of tips last month about where to find opportunities in volatile credit markets. We pick 10 of the most eye-catching findings

Measuring portfolio counterparty risk
Swaps referencing large credit portfolios present a particular problem when firms attempt to measure their counterparty risk. Agostino Capponi presents a model that could help

Getting the measure of reg cap relief
Credit default swap spreads reflect not only expected losses but also the value of regulatory cap relief under Basel 2.5 and Basel III

Managers launched since 2000 rise in credit hedge fund ranking
Oaktree continues to dominate the ranks of the largest credit hedge fund managers but firms launched this century have seen their share of assets rise

Giant takes sharp turn towards CLOs
It is one of the biggest banks, but BNP Paribas moved nimbly after the crisis to build on its position as a leader in credit derivatives by adding a CLO arranging business

How to value a coco
Converting default risk into conversion risk provides a method for valuing contingent convertibles, according to Patrick Cheridito and Zhikai Xu