Optimal Entry Points in US CLO Mezzanine Tranches: A Historical Excess-Return Analysis (Updated)
Volatility creates opportunities. In the CLO mezzanine market, BBB and BB tranches typically display betas greater than one to changes...
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Volatility creates opportunities. In the CLO mezzanine market, BBB and BB tranches typically display betas greater than one to changes...
US CLOs’ overall exposure to Medical Solutions Holdings term loans is approximately USD 662.8 million. As of 26 January 2026, 433 US CLO deals, managed by 37 managers, reported an average deal-level exposure of around 63 bps.
US CLOs’ overall exposure to Atlas CC Acquisition Corp TLs is approximately US$ 651 million. As of 26 January 2026, 340 US CLO deals, managed by 19 managers, reported an average deal-level exposure of around 49 bps.
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.
A sample of 1,718 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 23 January 2026.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of January 23, 2026.
EU CLOs’ overall exposure to Sirona Bidco TL is approximately EUR 337.5 million. As of 23 January 2026, 145 EU CLO deals, managed by 20 managers, reported an average deal-level exposure of around 64 bps.
US CLOs’ overall exposure to Accelerated Health Systems TL is approximately USD 292.6 million. As of 23 January 2026, 224 US CLO deals, managed by 24 managers, reported an average deal-level exposure of around 37 bps.
US CLOs’ overall exposure to Mitnick Corporate Purchaser Inc (Veracode) 1st Lien Term Loan is approximately USD 648.6 million. As of 23 January 2026, 438 US CLO deals, managed by 30 managers, reported an average deal-level exposure of around 38 bps.
RRE 18’s headline AAA tranche priced tightly at 123 bps. Even so, at this level it continues to offer reasonable value relative to other recent reset transactions.
What Asset Spread Compression Means for AAA-to-Single-A EU CLO Pricing
US CLOs’ overall exposure to Sitel Worldwide TLs is approximately USD 740.1 million. As of 23 January 2026, 435 US CLO deals, managed by 41 managers, reported an average deal-level exposure of around 57 bps. EU CLOs’ overall exposure to Sitel Worldwide TLs is approximately EUR 424.7 million. As of 23 January 2026, 180 EU CLO deals, managed by 30 managers, reported an average deal-level exposure of around 69 bps.
A sample of 91 EU CLO deals, closed in 2025 with reinvestment periods ending between 2029 and 2030, is included in this study.
US CLOs’ overall exposure to Learning Care Group TL is approximately USD 637.8 million. As of 21 January 2026, 637 US CLO deals, managed by 36 managers, reported an average deal-level exposure of around 22 bps.
