European CLO Manager Style Comparisons: April 2026 Update

This KBRA report evaluates how European collateralised loan obligation (CLO) managers differ in their investment approach by comparing them across a set of standardised portfolio metrics. Specifically, we analyse managers using a series of cross-metric comparisons such as credit quality (KBRA Weighted Average Rating Factor (K-WARF)), spread (weighted average spread (WAS)), equity returns, leverage, and portfolio composition to assess how they balance risk and return. Each comparison classifies a manager’s positioning as either more “conservative,” meaning lower-risk and lower-return characteristics typically below market averages, or more “opportunistic,” meaning higher-risk and higher-return characteristics typically above market averages, with intermediate categories capturing mixed approaches. By aggregating these classifications across multiple metric pairings, the analysis provides a relative view of manager style rather than a measure of performance.

This April 2026 update builds…