US CLO New-Issue Pricing: Sixth Street CLO 34
Sixth Street CLO 34 highlights a clear divergence between senior and junior tranche pricing. AAA and AA spreads remain competitive, ranking among the tightest 12% of top-tier prints over the past five years, while single-A ranks within the tightest 18%. In contrast, BBB ranks at the 91st percentile over three months, while BB is the widest top-tier print over both the three- and six-month periods. This divergence reflects the higher spread beta of lower-mezzanine tranches, which have experienced more pronounced widening relative to recent issuance.
Note: Higher percentile rankings indicate wider spreads relative to the peer cohort.
Sixth Street CLO 34: Competitive Senior Pricing but Wider Junior Tranches
EU CLO New-Issue Spread Trends
Based on new-issue EU CLOs priced between 19 January and 23 October 2026 with reported discount margins (DM), sourced from SCI, spreads tightened in early February before widening sharply in March. This was followed by a recovery through the spring and summer. September’s tightening gave way to renewed widening in mezzanine spreads in October, while senior tranche pricing remained relatively firm.
EU CLO DMs: October Mezzanine Widening Reverses September’s Gains
US and EU CLO MVOC and Equity NAV Trends
Between 19 and 23 October 2026, both US and EU CLOs experienced a broad deterioration in market value coverage and equity NAV. The weakening was particularly evident in the growing proportion of deals with BB or B MVOC below 100% and negative equity NAV.
US CLOs
BB MVOC: Median coverage declined across all vintages from 2013 to 1H 2025, with reductions of approximately 0.3–0.5 percentage points for the 2019–2022 cohorts. The proportion of 2021-vintage deals with MVOC below 100% increased from 23.7% to 28.4%, while the 2020 cohort rose from 15.1% to 21.3%. The 2018 cohort remained particularly weak, with 36.0% of deals below 100%.
Equity NAV: Median NAV declined across all vintages. The 2021 median fell from 16.8% to 13.3%, while the 2020 median declined from 20.3% to 16.5%. The proportion of deals with negative NAV increased from 24.3% to 29.2% for the 2021 cohort and from 18.2% to 24.5% for 2020. The 2018 and 2019 cohorts remained under particular pressure, with 36.8% and 31.4% of deals, respectively, reporting negative NAV.
US CLO MVOC and Equity NAV Decline as Collateral Values Weaken
EU CLOs
B MVOC: Median coverage declined by approximately 0.2–0.5 percentage points. The proportion of deals with MVOC below 100% increased notably for the 2019 cohort, from 31.8% to 45.5%, and for the 2022 cohort, from 32.7% to 45.5%.
Equity NAV: Median NAV declined across all vintages, with particularly sharp falls in the 2022 cohort, from 10.3% to 5.5%, and the 2023 cohort, from 17.0% to 12.4%. The proportion of deals with negative NAV rose from 31.6% to 43.9% for the 2022 cohort and from 29.8% to 42.6% for the 2019 cohort.
EU CLO MVOC and Equity NAV: Further Deterioration Since 19 October
Exposure to Assets Priced Below 80
There is a significant divergence in exposure to assets priced below 80 among EU CLO managers, ranging from 1.4% to 24.1%. In contrast, the variation among US CLO managers is considerably narrower, ranging from 2.1% to 13.1%.
EU CLO Managers: MVOC Rankings (23 October 2026)
US BSL CLO Managers Ranked by MVOC as of October 23, 2026
CLO Equity Trading Conditions Remain Challenging
Recent vintages underperformed as distributions received over their shorter lives were insufficient to offset the capital losses implied by BWIC levels, weighing on overall returns.
Disclaimers
The information, research, data, research-related opinions, observations, and estimates contained in this document have been compiled or arrived at by CLO Research Group, based upon sources believed to be reliable and accurate, and in good faith, but in each case without further investigation. None of CLO Research Group or its service providers; authorised personnel, or their directors make any expressed or implied presentation or warranty, nor do any of such persons accept any responsibility or liability as to the accuracy, timeliness, completeness, or correctness of such sources and the information, research, data, research related opinions, observations and estimates contained in this document. All information, research, data, research-related opinions, observations, and estimates in this document are in draft form as of the date of this document and remain subject to change and amendment without notice. Neither CLO Research Group nor any of their third-party providers shall be subject to any damages or liability for any errors, omissions, incompleteness, or incorrectness of this document. This article is not and should not be construed as an offer, or a solicitation of an offer, to buy or sell securities and shall not be relied upon as a promise or representation regarding the historical or current position or performance of any of the deals or issues mentioned in it.
