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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.
As of 11 June 2025, the latest arbitrage metric for non-short-dated US CLOs stood at approximately 216 bps, lower than the level recorded at the start of the year. Notably, the AAA–BB DM differential has narrowed to below 400 bps, with the latest Neuberger Berman Loan Advisers CLO 61 showing a differential of 360 bps.
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?
Managers such as Allstate, Barrow Hanley, Beach Point, Diameter Capital, Golub Capital, Hayfin Capital, Man Group, Oak Hill Advisors, Sixth Street and Wellington Management have performed well.
A sample of 322 EU CLO deals (vintage 2021-2024) is included in this study. Deals with a collateral pool factor below 90% are excluded. Managers who have performed well include Bridgepoint Credit, Brigade Capital, CarVal, CIC, Fortress, GoldenTree, Napier Park, Partners Group, RRAM, and Serone Capital, among others.
Three CLO equity tranches from the 2021 vintage received cover bids ranging widely from 32 to 88. OHA Credit Funding 8 received a notably strong cover of 87.9, translating to an equity...
