US BSL CLOs: Thoughts on Recent Reset Pricing
US BSL CLOs: Thoughts on Recent Reset Pricing
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US BSL CLOs: Thoughts on Recent Reset Pricing
US vs EU CLO Resets: Comparing Tranche Pricing Across the Capital Structure
A sample of six top-tier CLO deals is used as a proxy for a new-issue CLO portfolio. The combined portfolios are rebalanced monthly, with loans priced below 92 excluded. On the liability side, the tightest DM in each week is identified, and the average of three such weekly observations is used as the monthly benchmark DM.
Yesterday saw a relatively long list of US and EU CLO BB bonds on BWIC according to SCI’s BWIC data, providing an interesting comparison between the two markets, particularly in terms of MVOC, extension risk and secondary-market DMs.
Bain Capital Euro CLO 2018-1 was issued in 2018, with very tight pricing on its senior tranches.
A sample of 1,629 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
A sample of 542 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 2,716 floating-rate US CLO single-A-rated tranches is included in this study. The first table presents the realised IRRs of single-A-rated BSL CLO tranches by vintage and issuance type (primary, refi, and reset), while the second table provides the corresponding IRR breakdown for middle-market CLO tranches.
A sample of 1,627 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
A sample of 540 EU CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 60% are excluded.
Below are tables presenting the MVOC (AAA–B) and equity NAV of US BSL and EU CLO deals by vintage, based on asset prices as of 4 August 2026.
A sample of 696 fully repaid EU CLO AA floating-rate and fixed-rate tranches with disclosed issue prices or DMs is included in this study. Overall, the floating-rate tranches have outperformed their fixed-rate counterparts.
A sample of 582 fully repaid EU CLO single-A floating-rate tranches with disclosed issue prices or DMs is included in this study. Tranches issued in 2022 and 2023 performed particularly well, generating average IRRs of more than 4% above three-month EURIBOR. By contrast, the 2017–2018 and 2021 vintages recorded the lowest average IRRs above three-month EURIBOR.
A sample of 642 fully repaid EU CLO AAA floating-rate tranches with disclosed issue prices or DMs is included in this study.
A sample of 550 fully repaid EU CLO BBB-rated floating-rate tranches with disclosed issue prices or DMs is included in this study.
