In the third quarter, seven of the 15 top-performing “legacy” CLOs rated by Moody's Investor Service were managed by Credit Suisse Asset Management.
Among 2005 vintage deals, CSAM’s Madison Park Funding I was the top-performer in the July-September 2013 period. Two other CSAM deals, Madison Park Funding III and Madison Park Funding II, ranked first and second, respectively, among 2006 vintage deals. Atrium V, also managed by CSAM, ranked fifth among deals issued in 2006. And three more CSAM deals, Madison Park Funding IV, Madison Park Funding V and Madison Park Funding VI were the first, fourth and fifth best performers in the 2007 vintage.
Moody’s Analytics reviewed the performance of 343 U.S. ciollateralized loan obligations in its database. The ranking we create is purely quantitative and attempts to combine the performance of the equity and debt tranches into one measure. The score is based on: historical annualized equity returns, equity returns on the most recent payment date, and the historical change in junior OC cushion. The two equity return factors together make up half of the weighted ranking (40% for the full annualized return, 10% for the recent return) while the OC cushion factor makes up the other half.
Deals where tranches have been canceled were not included in the ranking, nor were deals with fewer than 50 assets left in the pool. Equity tranches were assumed to be purchased at par. Only arbitrage CLOs were included in the ranking.