Benchmarking Average EU CLO Pricing Across the Capital Stack
Benchmarking Average EU CLO Pricing Across the Capital Stack (Based on Loan Prices as of 1 July 2025)
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Benchmarking Average EU CLO Pricing Across the Capital Stack (Based on Loan Prices as of 1 July 2025)
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.
Benchmarking EU CLO Pricing Across the Capital Stack
Benchmarking US BSL CLO Pricing Across the Capital Stack
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.
A sample of 1,718 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.
The loan market rally has driven broad spread tightening across the CLO stack. Mezzanine tranches responded the most, reflecting their higher leverage and credit sensitivity. In contrast, senior tranches from top-tier CLOs showed a beta below 1.0, indicating a more muted reaction to loan spread moves.
This article includes several tables showing the average annualised prepayment rates for each seasoned manager in the first, second, third, and fourth years of the post-reinvestment period (post-RP), as well as post-RP prepayment rates for individual deals. The sample includes deals that had exited their reinvestment periods by 31 December 2024.
A sample of 1,720 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.
From a sample of 561 deals, 26 EU CLO managers oversee deals with both vertical and first-loss risk retention.
A sample of 558 EU CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 60% are excluded.
The loan index used for this analysis is the Morningstar Euro-denominated Leveraged Loan Index.
A sample of 318 EU CLO deals (vintage 2021-2024) is included in this study. Deals with a collateral pool factor below 90% are excluded.
As of 11 June 2025, the latest arbitrage metric for non-short-dated US CLOs stood at approximately 216 bps, lower than the level recorded at the start of the year. Notably, the AAA–BB DM differential has narrowed to below 400 bps, with the latest Neuberger Berman Loan Advisers CLO 61 showing a differential of 360 bps.
