CLO Research

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

According to independent analysis by CLO Research, Generate Advisors has consistently delivered outperformance against the Morningstar LSTA U.S. B/BB Ratings Loan Index on an unlevered basis in recent years. Here’s a set of interview questions from CLO Research, accompanied by responses from Rizwan Akhter, Head of Generate Advisors.

As anticipated, weakness in the loan market results in a broad-based widening of discount margins across the CLO capital structure, with lower mezzanine tranches exhibiting the highest spread sensitivity — reflecting their structurally leveraged exposure to underlying credit risk. By contrast, senior tranches (AAA/AA) typically display a beta of less than 1.0 to loan market movements, indicating more muted spread volatility in response to changes in collateral spreads.

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

Some of the successful and consistent managers include CSAM, KKR, and CVC.

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