CLO Research

Market Overview: Arbitrage and Performance Metrics As of 28 March 2025, the latest arbitrage metric for US BSL CLOs stood...

Tuesday’s BWIC colour included three distressed bonds originally rated single-B: two were covered at 31h, and one at around 10h. Discount margins were not reported, as it is highly unlikely these bonds will be repaid at par—an IRR-based approach would be more appropriate. Pricing these thin tranches remains particularly challenging, as even a small change in the underlying collateral NAV can significantly affect their value.

While the Morningstar LSTA US B/BB Ratings Loan Index has recovered to just below the 97 level today—after hitting a...

Allstate’s AIMCO CLO 12 performed particularly well in terms of both annual distributions and equity NAV.

Among managers with two or three deals in the sample, CIFC and Spire Partners have also performed well, with all of their seasoned deals ranking in the top quartile.

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