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As of July 14, 2025, the latest arbitrage metric for non-short-dated US CLOs stood at approximately 208 bps — the lowest recorded year-to-date.

Primary US BSL CLO Pricing: Assessing Relative Value Across the Capital Stack (July 14, 2025)

Last week saw active BWIC trading in both long- and short-dated BB tranches. This article summarises key observations across different cohorts.

A sample of 1,716 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of July 11, 2025.

Benchmarking YTD Average Prints of Top-Tier vs Emerging EU CLO Managers

Primary US BSL CLO Pricing: Assessing Relative Value Across the Capital Stack (July 8, 2025)

EU CLO managers such as KKR, Partners Group, Alcentra, RRAM, Whitestar, Oaktree, Anchorage, and Five Arrows have performed well in resetting their outstanding deals.

The table below shows, for each manager, the total number of deals in the sample that have exited their non-call periods, along with the number of CLO resets conducted since mid-2023. Resets can offer meaningful benefits to both debt and equity investors. For debt holders, a reset functions much like a large prepayment event, with all tranches repaid at par — a favourable outcome, particularly for out-of-the-money senior tranches issued at tight spreads. Lower mezzanine investors also tend to prefer deals with a higher likelihood of reset, as it provides downside protection akin to an insurance policy. In underperforming deals, these tranches may trade at a discount due to low MVOCs, even in strong loan markets. A reset restores them to par, helping to mitigate risk.

A sample of 1,722 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.

A sample of 559 EU CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 60% are excluded.

US BSL CLO AAA tranches are currently pricing cheaply relative to their year-to-date averages.

Relative to their year-to-date averages, EU CLO AAA, AA, BB, and single-B tranches are currently screening as cheap.

The AAA tranche was last refinanced in early 2021 at a very tight level of 3M EURIBOR + 64 bps. As of the May trustee report, its factor stood at 57%. During the post-reinvestment period, annual prepayment rates were 3.8% in the first year and 26.4% in the second. Investcorp has already called many seasoned deals in the third year post-RP, and this would add to that list.

As shown in the first table below, DMs ranged from 102 to 122 and WALs from 0.82 to 2.43 years for selected tighter-print US BSL CLO AAA bonds that traded above par.