CLO Research

This week saw several US CLO equity tranches trade or be talked at levels materially lower than on their previous BWIC dates.

Some of the larger top-performing US CLO managers include Allstate Investment Management, Oak Hill Advisors, L.P., CVC Credit Partners, BlackRock Financial Management, Benefit Street Partners, Onex Credit Partners, Sixth Street, and CIFC Asset Management. These managers have continued to demonstrate solid performance since early September, despite an increasing number of individual credits seeing sharp declines in bids below the 70 threshold in recent weeks.

With idiosyncratic risks continuing to erode collateral value, Redding Ridge Asset Management, GoldenTree Asset Management, and Bridgepoint Group remain among the leading EU CLO managers in terms of MVOC performance, reflecting their stronger collateral preservation relative to peers.

EU CLOs’ overall exposure to Altice Financing term loans (E+500 bps) and bonds stands at around EUR 1.2 billion (loans: EUR 0.47bn; bonds: EUR 0.72bn). As at 2 December 2025, 354 EU CLO deals (from 44 managers) reported an average deal-level exposure of approximately 90 bps.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of December 1, 2025.

The top performers include Oak Hill Advisors, UBS AM, and Oaktree Capital.

The recent accretive reset of Regatta XXVI Funding reduced its WACC by 81 bps, from 242 bps to 161 bps, and extended its reinvestment period by two years. The deal was originally priced in late 2023 with a closing date of 12 December 2023. Since its first reporting date in March 2024, its collateral weighted-average spread has declined by 58 bps, from 372 bps to 314 bps.

Looking at selected BSL CLO BB tranches traded via BWIC since 27 October, the table below summarise the benchmark (top-tier)...

The US CLOs' overall exposure to the Kronos Acquisition Holdings Inc (KIK Custom Products) First Lien Term Loan appears to...

A sample of 537 EU CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 60% are excluded.

Some of the larger top-performing US CLO managers include Allstate Investment Management, Oak Hill Advisors, L.P., CVC Credit Partners, BlackRock Financial Management, Benefit Street Partners, Onex Credit Partners, and CIFC Asset Management. These managers have continued to demonstrate solid performance since early September, despite an increasing number of individual credits seeing sharp declines in bids below the 70 threshold in recent weeks.

As shown in the table below, exposure to the MHS Holdings (Project Castle Inc) term loan B across US CLOs appears manageable, with average deal-level exposure of around 37 bps across 394 US CLO deals managed by 26 managers, based on an Intex run as of 21 November 2025.

As shown in the table below, exposure to the RLG Holdings Inc (Resource Label) term loan exposure across US CLOs appears manageable, with average deal-level exposure of around 35 bps across 372 US CLO deals managed by 23 managers, based on an Intex run as of 21 November 2025.

Based on yesterday’s EU CLO AAA BWIC colour, DMs ranged from 69 bps to 97 bps, corresponding to WALs of 0.95 to 2.58 years. With non-short-dated reset AAAs printing at around 130 bps, the current EU CLO AAA term curve appears fairly steep.

The Elm Park CLO reset extended its reinvestment end date by roughly 4.6 years, while its WACC rose by around 39 bps, from 166 bps to 205 bps. As a result of the reset, the existing AAA tranche, which carries a spread of only 82 bps, will be fully redeemed, allowing AAA investors to redeploy proceeds into newer, longer-dated AAA bonds at materially wider spreads — potentially benefiting from the steepness of the current AAA term curve.