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 is €1.12bn across 41 managers and 381 deals, averaging €2.93m per deal, or 0.81% of portfolio size.
The analysis covers new-issue EU BSL CLOs priced between 2 February 2022 and 25 September 2026 with a reported discount margin (DM), sourced from SCI. Deals with reinvestment periods of less than 3.9 years are excluded, as are a selected group of deals that were not competitively priced.
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 covers new-issue EU BSL CLOs priced between 2 February 2022 and 25 September 2026 with a reported discount margin (DM), sourced from SCI. Deals with reinvestment periods of less than 3.9 years are excluded, as are a selected group of deals that were not competitively priced.
