CLO Research

CLOs are primarily actively managed, and some commonly used deal metrics—point-in-time indicators—can occasionally be misleading. While these metrics can be useful, they should not be considered in isolation. Additionally, combining multiple metrics does not necessarily provide a clearer picture. For example, the weighted average price (WAP) of a CLO portfolio does not measure return performance over time and can be artificially inflated by trading activity. Though WAP is helpful for quick screening, it is not a reliable indicator of whether one manager has outperformed another. The same applies to annual equity distributions—a higher distribution does not necessarily indicate better manager performance. Therefore, combining these two metrics does not necessarily offer a more accurate assessment of a manager's performance.

As of 9 February 2026, the arbitrage metric for non-short-dated US CLOs has improved, reflecting a widening four-week moving-average loan discounted spread alongside tight liability prints. At approximately 173 bps, this has returned to levels last seen in early July 2025.

A sample of 1,719 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded. On an MVOC basis, US BSL CLO managers including Allstate, CVC Credit, Oak Hill Advisors, L.P., TP Birch Grove, and Onex Credit rank favourably among managers with a minimum of 11 deals in the sample, indicating comparatively strong performance in the current market.

The analysis covers 1,719 US BSL CLO deals across vintages from 2012 to 1H 2025, excluding deals with a collateral pool factor below 55%. Based on asset prices as at 5 February 2026, the overall median below-80 exposure stood at 4.7%, which is elevated from a CLO equity perspective. Such exposures are typically penalised in cashflow modelling, weighing on CLO equity valuations.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of February 5, 2026.

US CLOs’ aggregate exposure to the Skopima Consilio Parent LLC term loan is approximately USD 1.365 billion, placing it among the top 200 holdings across all US CLOs. As of 5 February 2026, 799 US CLO deals, managed by 55 managers, reported an average deal-level exposure of around 47 bps.

US CLOs’ overall exposure to Smartbear Software term loan is approximately USD 428.3 million. As of 5 February 2026, 249 US CLO deals, managed by 14 managers, reported an average deal-level exposure of around 36 bps.

OHA Credit Funding 17-R (Oak Hill Advisors, L.P.) sets new records in the US BSL CLO 2.0 market: BB at 425 bps (tightest on record), AAA at 114.7 bps, and an AAA–BB pricing differential of 310.3 bps — also a record low.

Monday's BWIC activity highlighted a wide dispersion in pricing across seasoned US CLO BB tranches with 2026–2027 reinvestment end dates,...

Against the backdrop of a much tighter WACC, EU primary CLOs are now generating arbitrage of around 180 bps, which represents a healthy level for the market compared with the past six to seven months.

US CLOs’ overall exposure to Kofax term loan is approximately USD 567 million. As of 3 February 2026, 294 US CLO deals, managed by 21 managers, reported an average deal-level exposure of around 48 bps.

Based on EU CLO AAA BWIC colour observed since 9 January 2026, the table below summarises the best DM prints across each WAL. For context, Bridgepoint CLO X is currently being marketed with the AAA tranche talked at around 121 for a WAL of approximately six years.

RRE 19’s 122 bps print appears to offer attractive value, while the AAA prints for Bilbao CLO II and Henley CLO VII are broadly in line with median reset market levels.

AAA tranches continue to lag the broader spread-compression trend. While top-tier BB tranches have tightened to around 430 DM, AAA levels, at 117 bps, remain wider than the 113 bps seen in February 2025. This has pushed the AAA–BB pricing differential to a new record tight of roughly 317 bps in the CLO 2.0 market.

A sample of 580 EU CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 60% are excluded.