EU CLO Exposure to INEOS Quattro Term Loans Falls by €150m
Total exposure to INEOS Quattro term loans across the EU CLO managers listed declined by €149.8m, or 8.5%, from €1.76bn on 12 December 2025 to €1.61bn in the latest data.
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Total exposure to INEOS Quattro term loans across the EU CLO managers listed declined by €149.8m, or 8.5%, from €1.76bn on 12 December 2025 to €1.61bn in the latest data.
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.
EU CLO discount margins tightened in early February before widening sharply in March, followed by a recovery through the spring and summer. September’s tightening gave way to renewed mezzanine widening in October, while senior pricing held firm.
Compared with 19 October, the latest data as of 23 October shows weaker market value coverage across all vintage cohorts, with the impact most pronounced at the B and equity levels.
The trades illustrate how selling below par can still preserve substantial value. OHA sold Signal Parent, Central Parent and Atlas CC Acquisition at weighted-average prices of approximately 84.3, 84.7 and 68.7, respectively. These positions, alongside Mitnick, now show no remaining exposure, highlighting the contribution of full exits ahead of further price deterioration.
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.
A sample of 554 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 1,619 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
Below are tables presenting the MVOC (AAA–B) and equity NAV of US BSL and EU CLO deals by vintage, based on asset prices as of 19 October 2026. US CLO MVOC and equity NAV metrics reveal persistent weakness across older vintages, particularly among deals issued between 2014 and 2019. At the BB tranche level, the 2014 and 2015 vintages record the highest proportions of deals with MVOC below 100, at 45.5% and 40.9%, respectively, followed by 2018 (34.5%). At the B tranche level, weakness is more pronounced, with 80.0% of 2014 deals, 61.5% of 2015 deals and 58.1% of 2018 deals reporting sub-100 MVOC. Equity NAV weakness is particularly evident in the 2018 vintage, where 36.0% of deals have negative NAV, followed by 2016 (30.4%) and 2019 (26.0%).
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.
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.
