KBRA releases a report comparing European broadly syndicated loan (BSL) collateralised loan obligation (CLO) managers across a KBRA-defined set of standardised portfolio metrics, including credit quality as measured by KBRA Weighted Average Rating Factor (K-WARF), weighted average spread (WAS), equity returns, leverage, and collateral characteristics. The analysis covers 67 managers across 767 BSL transactions, representing approximately EUR289 billion in current collateral balance.
The report uses 10 cross-metric comparisons to classify manager positioning along a spectrum from conservative to opportunistic. The classifications are descriptive and provide a relative view of manager style and risk-return positioning rather than a measure of performance. This September 2026 update builds on KBRA's April 2026 analysis and highlights changes in manager positioning as well as shifts in the underlying portfolio metrics.
Key Takeaways
- Manager positioning continued to shift across cohorts. Six managers remained among the 10 most opportunistically positioned since April 2026, compared with five in the conservative cohort and three among the more moderately positioned managers.
- Intermediate Capital, Invesco, and CIFC were the three most opportunistically positioned managers, while Brigade, BlackRock, and Redding Ridge AM were the three most conservatively positioned. Voya, Black Diamond, and MV Credit were the three most moderately positioned.
- Underlying portfolio metrics showed mixed movements. K-WARF declined to 2,478 from 2,503 and collateral priced below 70 decreased to 2.17% from 2.27%, while CCC exposure increased to 5.84% from 5.68%. MVOC increased at both the AAA and BB tranche levels.
- WAS and equity yield moved lower. WAS declined to 3.59% from 3.63%, while total equity yield declined to 12.38% from 12.94%.
Click here to view the report.
Related Publications
- European CLO Manager Style Comparisons: April 2026 Update
- European CLO Manager Style Comparisons: September 2025 Update
- European CLO Manager Style Comparisons: March 2025 Update
- European CLO Manager Style Comparisons: April 2024 Update
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- An Inside Look at Recurring Revenue Loan ABS
- Recurring Revenue Loan Metrics Dashboard: Q4 2024
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About KBRA
KBRA, one of the major credit rating agencies, is registered in the U.S., EU, and the UK. KBRA is recognized as a Qualified Rating Agency in Taiwan, and is also a Designated Rating Organization for structured finance ratings in Canada. As a full-service credit rating agency, investors can use KBRA ratings for regulatory capital purposes in multiple jurisdictions.
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