US BSL CLO AAA Spreads Remain Elevated
When the loan market is strong and stable, CLO issuance tends to benefit significantly, as tighter AAA spreads gain momentum...
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When the loan market is strong and stable, CLO issuance tends to benefit significantly, as tighter AAA spreads gain momentum...
Overall, CCC/Caa exposures between US BSL and EU CLOs are broadly comparable across multiple vintages.
Among the 15 EU CLO deals priced since 25 June 2025, top-tier (tightest 10%) pricing for AAA, AA, A, BBB, BB, and B tranches was 131.4, 190, 222, 310, 560, and 850 bps, respectively. CIFC European Funding VII and Fidelity Grand Harbour CLO 2025-1 priced their AAA tranches at 131 bps — among the tightest levels recorded.
A sample of 554 EU CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 60% are excluded.
A sample of 1,709 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.
Given strong loan prices, it is an opportune time to fully liquidate seasoned deals that are due for a call.
Primary US BSL CLO Pricing: Assessing Relative Value Across the Capital Stack (July 14, 2025)
Last week saw active BWIC trading in both long- and short-dated BB tranches. This article summarises key observations across different cohorts.
A sample of 1,716 US BSL CLO deals (vintage 2013–2024) 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 US BSL CLO deals by vintage, based on asset prices as of July 11, 2025.
Benchmarking YTD Average Prints of Top-Tier vs Emerging EU CLO Managers
Primary US BSL CLO Pricing: Assessing Relative Value Across the Capital Stack (July 8, 2025)
EU CLO managers such as KKR, Partners Group, Alcentra, RRAM, Whitestar, Oaktree, Anchorage, and Five Arrows have performed well in resetting their outstanding deals.
The table below shows, for each manager, the total number of deals in the sample that have exited their non-call periods, along with the number of CLO resets conducted since mid-2023. Resets can offer meaningful benefits to both debt and equity investors. For debt holders, a reset functions much like a large prepayment event, with all tranches repaid at par — a favourable outcome, particularly for out-of-the-money senior tranches issued at tight spreads. Lower mezzanine investors also tend to prefer deals with a higher likelihood of reset, as it provides downside protection akin to an insurance policy. In underperforming deals, these tranches may trade at a discount due to low MVOCs, even in strong loan markets. A reset restores them to par, helping to mitigate risk.
A sample of 1,722 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.
