Diameter Capital: Top CLO Exit Trades
This analysis examines the best exit trades across 17 CLO deals managed by Diameter Capital.
This analysis examines the best exit trades across 17 CLO deals managed by Diameter Capital.
GoldenTree's best exit trades, defined as loan sales executed at least five points above their market prices, highlight the benefits of timely loan disposals. The largest contributions came from Cablevision Systems, Leslie's Poolmart, Central Parent, Acrisure and Houghton Mifflin Harcourt.
The study covers a sample of 556 EU CLO deals issued between 2013 and the first half of 2025. Static deals and those with a collateral pool factor below 60% are excluded from the analysis.
A sample of 1,639 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
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.
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.
US CLO new-issue volume reached $126.8bn across 271 deals in the first nine months of 2026, down 17.6% by volume and 15.0% by deal count compared with the same period in 2025. EU CLO issuance held up considerably better over the same period. New-issue volume remained broadly stable at €48.3bn across 114 deals, with volume down just 0.5% and deal count up 1.8% compared with the first nine months of 2025.
Virgin Media exposure across the EU CLOs shown totals €1.92bn across 605 deals, comprising €1.71bn in loans and €205.9m in bonds. Average exposure is €3.17m per deal, or 0.79% of portfolio size.
US CLO exposure to Virgin Media term loans totals $2.16bn across 1,269 deals, averaging $1.70m per deal, or 0.43% of portfolio size. Exposure is widely distributed, although average position sizes vary considerably across managers.
EU CLO exposure to Virgin Media term loans totals €1.71bn across 560 deals, averaging €3.06m per deal, or 0.76% of portfolio size.
The analysis covers new-issue EU BSL CLOs priced between 2 February 2022 and 1 October 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.
A sample of 558 EU CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 60% are excluded.
A sample of 1,641 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
Total exposure is €1.12bn across 41 managers and 381 deals, averaging €2.93m per deal, or 0.81% of portfolio size.
Total exposure is €438.2m across 26 managers and 214 deals, averaging about €2.0m per deal, or 0.51% of portfolio size.