Equity performance remains one of the most closely watched measures of CLO manager performance, given its importance to a broad range of stakeholders. A manager that consistently delivers for equity investors may be better positioned to attract equity capital for future deals, which in turn can support continued issuance and the further growth of its CLO platform.
Total exposure across 191 EU CLO deals stands at €442.0m, with an average exposure of €2.31m per deal, or 0.61% of portfolio size.
Tier-1 US BSL CLO spreads widened across all rating classes in the week commencing 12 October, partially reversing September’s tightening. BBs led the move, widening by 60 bps to 500 bps from late September, while AAAs edged just 0.7 bps wider to 118.5 bps. AA and BBB spreads also retreated from their September lows, while A spreads rose more modestly. The widening was concentrated in junior debt, pushing the AAA–BB spread gap from 322.2 bps to 381.5 bps. But mezzanine spreads remained well below their March peaks.
This study is based on a sample of 1,806 U.S. BSL CLO deals. Static deals are excluded from the analysis. Equity performance remains one of the most closely watched measures of CLO manager performance, given its importance to a broad range of stakeholders. A manager that consistently delivers for equity investors may be better positioned to attract equity capital for future deals, which in turn can support continued issuance and the further growth of its CLO platform.
We use the combined loan portfolios of five top-tier CLO deals* as a proxy for a new-issue CLO portfolio. The combined portfolio is rebalanced monthly, with loans priced below 92 excluded. On the liability side, the tightest deal-level par-weighted DM (WACC) among qualifying deals is identified each week, and the average of the three tightest weekly observations in each month is used as the monthly benchmark.
The analysis examines the best exit trades across all 19 AIMCO CLO deals, defined as loan sales executed at least 5 points above their market bid prices as at 6 October 2026. Of the 3,189 loan sales with available market prices, 756 trades across 24 issuers, representing approximately $297m in face value, met the minimum 5-point price differential criterion. These trades were executed at a weighted average sale price of 84.3, approximately 33.7 points above their market prices as at 6 October 2026, translating into an estimated $100m in avoided mark-to-market losses.
