CLO Research

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

A more objective way to evaluate a manager’s capability is by examining the inception-to-date gross annualised collateral return of their deals, measured relative to the relevant loan indices and assessed on an unlevered basis. This provides a clearer measure of true alpha generation.

Weakness in the loan market has led to a broad-based widening of discount margins across the U.S. CLO capital structure. Lower mezzanine tranches have shown the greatest sensitivity to spread movements, reflecting their structurally leveraged exposure to underlying credit risk. In contrast, senior tranches (AAA/AA) and the single-A tranche exhibit a beta of less than 1.0 to loan market movements, indicating more moderate 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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