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The 16th edition of Creditflux’s annual celebration of the best CLOs, CLO funds and CLO managers, in Europe and the US, will be held on 15 May at the Landmark Hotel in London
All CLOs, managers and funds under consideration for the 2024 Creditflux CLO awards were submitted last month, and the finalists (listed opposite) have been determined purely on an analysis of the underlying data.
2023 was a year of two halves for the CLO market, with a slow start leading to a dramatic finish. Although there were challenges for CLO managers, it was an outstanding opportunity for CLO funds, and the performance of the 70 funds submitted this year by 32 different fund managers was nothing short of amazing.
CLOs from 80 managers evaluated
This year saw a record number of submissions. As well as those 70 CLO funds, almost 1,900 eligible CLOs from just under 80 managers have been considered for participation in this year’s awards.
Awards Methodology
Blended outperformance
The average ranking of each CLO relative to its peers by up to 10 performance metrics. This rewards managers that achieve high returns without compromising the quality of the portfolio.
Metrics are: change in junior OC; headroom in junior OC; WARF; average collateral value; weighted average spread; cash-on-cash return to equity; equity volatility; multiples of money; and leverage. Day-one arbitrage is considered for new CLOs.
Volatility-adjusted weighted performance
A measure that combines absolute change in mark-to-market net asset value during 2023 with volatility relevant to each fund’s redemption profile. Funds that promise liquidity need to deliver stable returns; those that lock up investors’ capital need to achieve greater absolute performance.
Closed-end funds
Private closed-end funds were judged on the basis of an annualised IRR that assumed NAV at the start of the year and any drawdowns as inflows, and distributions and final NAV at the end of the year as outflows. Public closed-end funds were judged using the change in value of the fund over the year accounting for share issuance and distributions.
Final IRR Equity
IRR based on the notional size of the CLO equity and taking into account all payments received.
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Global credit funds & CLO's
April 2024 | Issue 263
Published in London & New York.
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