European CLOs win out against US deals
Last month, our analysis explored the performance of US CLOs that were previously reset. We found that they delivered higher distributions than deals which weren’t reset, with the exception of the 2017 and 2018 vintages (Creditflux September 2023 — Do resets help CLOs perform better?). This article expands that analysis to the European market, and compares the performance of US BSL and EU CLO equity tranches.

Rope-a-dope brings knock-out returns
Post-pandemic US and European CLOs delivered mid-teen equity returns in 2022, despite a barrage of weak macroeconomic news and what could have been a heavyweight Libor mismatch  

Weren’t there more of us than this?
According to this year’s Creditflux CLO Census, the CLO industry is not feeling optimistic. Some investors have vanished and managers have not taken advantage of helpful market conditions

I’ll see your 2020 and raise you 2021
Discounted loans, Libor floors and bond flexibility helped make 2021 an even better year for CLO returns than 2020, as US CLOs distributed 15.54% and European CLOs paid 13.93% annualised

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

These CLO docs could be better
It seems there’s not much to worry about if you’re in the CLO market. In Creditflux’s CLO Census, voters said docs should follow a template as Jefferies, AGL and Hayfin emerge as rising stars

Still plenty more fish in the triple C

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

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

Engineering and construction: diversification leads to deepening debt
In trying to build a more global roster of clients, some construction companies may have dug a hole for themselves

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.

Move up the stack to avoid implosion
Pundit warns investors to be concerned about return of their principal – but senior loans may be a safe haven as credit yields are squeezed and high yield becomes crowded

CLO refis take centre stage
The third quarter CLO league tables cover a period in which issuance has been increasing while the total size of the market has fallen

A legacy market no longer
CLO calls, step-up refis and a recovery in new issuance have all changed the CLO market in the second quarter of 2016

Not shrinking but shifting
Volatility and back-bidding has driven CLO trading off b-wics, but as Trace data shows, the secondary market remains in robust health

Rethinking credit value
CLO seniors, cash-CDS basis and tranche shorts were some of bank researchers' top picks last month, as volatility sends analysts back to the drawing board

Tackling counterparty risk with CDS
A chain of credit default swaps may be an effective way to hedge out counterparty risk in a securitisation or covered bond

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  

How end investors see credit
Pension funds, sovereign wealth funds and endowments are important investors in credit. But how do they choose a manager? And what kind of credit do they like? By Mike Peterson

CLOs ready to call for refinancing
CLO 2.0s are starting to exit their non-call periods in large numbers. A modest move in spreads would trigger a wave of refinancing and repricing

In search of a grand unifying theory
Tomasz Bielecki, Areski Cousin, Stéphane Crépey and Alexander Herbertsson describe the construction of a model that aims to make credit correlation work bottom-up and top-down

Fine-tuning the momentum signal
Daniel Haesen, Patrick Houweling and Jeroen van Zundert describe an approach that slashes volatility and improves returns in momentum strategies for corporate bonds

Oh Brothers, where art thou?
Lehman Brothers’ collapse scattered one of the best regarded structured credit teams in the business around the investment banks and hedge funds of the world