The reset, priced on 20 June 2025, raised the WACC from 185 bps to 205 bps but extended the reinvestment period by 4.5 years and increased leverage through an additional €28 million in liabilities, including a small Class X tranche.
This study examines a sample of 83 EU CLO equity tranches that have traded via BWIC since July 2024. Based on their disclosed cover prices (as provided by SCI), IRRs are calculated...
Among 123 EU CLO deals that have been or are likely to be fully redeemed, equity tranches from the 2020, 2022, and 2023 vintages stood out with strong final IRRs and average equity NAVs above 100%, as shown in the table above. 11 of the deals were static, with an average IRR of 30.9%. Seven of these were managed by Palmer Square. Static deals can do well in volatile markets by capturing the pull to par of the loan portfolio. If the market stays weak, slower prepayments help preserve leverage—supporting stronger annual distributions. On average, EU CLO managers have met equity investor expectations, with redeemed or soon-to-be-redeemed deals delivering an average equity IRR of 12.3%. This reflects a mix of disciplined issuance, timely resets (notably for 2014–2016 vintages), resilient loan performance, manager expertise, and low liability costs.
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.
Selected takeaways from yesterday’s CLO panel discussions:
A sample of 494 EU CLO deals (vintage 2013–1H 2024) 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 prices as of June 09, 2025.
ACLO 9X SUB’s estimated initial arbitrage stood at around 225 bps (portfolio discounted spread less cost of funding based on DM). Its strong distribution was partly driven by an outsized first payment of 18.2 points and a highly leveraged structure—nearing 14x collateral-to-equity notional—well above the sub-12x average for H1 2022 deals.
A sample of 1,403 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool factor below 55% are excluded.
How do emerging CLO managers compare with their peers?
