EU CLO Mezzanine Tranches: Historical Excess Returns and Entry Timing
This article explores the periods during which entry into the EU CLO mezzanine market has historically been more favourable.
This article explores the periods during which entry into the EU CLO mezzanine market has historically been more favourable.
A sample of 1,731 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
A sample of 591 EU CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 60% are excluded.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 9 January 2026.
As the loan market has become increasingly bifurcated, with a large proportion of loans trading above par, and idiosyncratic risks continuing to feature more prominently, selling into the current strength of the loan market may appear attractive to some lower-mezzanine investors.
New EU CLO issuance rose by around 24% year on year to approximately EUR 60 billion in 2025, building on...
US CLOs’ overall exposure to the RLG Holdings LLC (Resource Label) term loans is approximately USD 488 million.
US CLOs’ overall exposure to the Entertainment Partners (EP Purchaser) term loans is approximately USD 828 million.
A sample of 23 US middle-market CLO deals, closed in 2025 and with reinvestment periods ending between 2029 and 2031, is included in this study.
A sample of 527 EU CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 60% are excluded.
A sample of 1,554 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded. As shown in the table in this article, among the larger managers, seven were in the top quartile at the beginning of 2025. Of these, four remained in the top quartile, while three moved to the second quartile as of 2 January 2026. At the beginning of 2025, 21 managers were in the second quartile. Of these, three moved up to the top quartile, ten remained in the second quartile, and eight moved down to the third quartile. Overall, CVC Credit Partners, Voya Alternative AM, Carlyle Group, WhiteStar, and ICG Debt Advisors recorded some of the largest improvements.
This week saw several US BSL CLO BB tranches trade with cover DMs ranging from 542 bps to 1,059 bps, corresponding to MVOCs of between 106h and 94h. Overall, recent trading points to a flat to slightly softer tone.
With idiosyncratic risks continuing to erode collateral value, Redding Ridge Asset Management, GoldenTree Asset Management, Bridgepoint Group, Partners Group, and Napier Park remain among the leading EU CLO managers in terms of MVOC performance, reflecting their stronger collateral preservation relative to peers.
A sample of 1,575 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded. Some of the larger top-performing US CLO managers include Oak Hill Advisors, L.P., Allstate Investment Management, BlackRock Financial Management, CVC Credit Partners, CIFC Asset Management, Onex Credit Partners, and Sixth Street.