European CLO Manager Style Comparisons: September 2026 Update
European broadly syndicated loan (BSL) collateralised loan obligation (CLO) managers employ a range of portfolio strategies, resulting in different risk-return profiles across the market. This report compares managers across a KBRA-defined set of standardised metrics, including credit quality, as measured by KBRA Weighted Average Rating Factor (K-WARF), weighted average spread (WAS), equity returns, leverage, and portfolio collateral characteristics. The analysis covers 67 managers across 767 transactions, representing approximately EUR289 billion in current collateral balance.
Under KBRA’s framework defined in the CLO Manager Style Classification Framework and Cross-Metric Comparison Analysis sections, cross-metric comparisons are used to classify managers as more conservative or opportunistic relative to market averages, providing a relative view of managers’ investment style and risk-return…
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