US CLOs: AAA Reset Pricing and the Outlook for Spreads
US CLOs: AAA Reset Pricing and the Outlook for Spreads
Independent, clear, and trusted — CLO Research Group provides actionable insights for CLO debt and equity investors.
US CLOs: AAA Reset Pricing and the Outlook for Spreads
The table also shows each manager’s below-80 price bucket breakdown by industry. Generally speaking, the below-80 price exposure is spread across different industries, with no single industry accounting for the majority of the exposure, highlighting the idiosyncratic nature of the risks associated with these assets.
A sample of 1,668 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
Among the 2012–2021 vintages, only 3.6% of EU CLO BB tranches show an MVOC below 100%, compared with 23.1% for US BSL CLOs. Meanwhile, 26.6% of US BSL deals report negative equity NAV, versus 30.0% for EU CLO deals.
If you are an investor and would be interested in trial access, the Basic content is available on a two-week trial once the trial subscription agreement is in place.
Arbitrage Comparison: US BSL CLOs vs EU CLOs
EU CLOs: Exposure to BME Group Holding BV
Based on asset prices as of 20 March 2026, the median deal has approximately 5.8% and 2.4% of assets trading below 80 and 70, respectively. Around 6.6% of assets are quoted above par.
US CLOs: Exposure to Renaissance Holding Corp
EU CLOs: Exposure to Patagonia Bidco TL
Based on the latest data, Allstate, CVC, Birch Grove, GoldenTree, and Onex Credit have shown strong performance.
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.
Among the 2012–2021 vintages, only 2.7% of EU CLO BB tranches show an MVOC below 100%, compared with 22.6% for US BSL CLOs. Meanwhile, 25.7% of US BSL deals report negative equity NAV, versus 28.5% for EU CLO deals.
EU CLOs: Exposure to Winterfell Financing (Stark Group) TLs
US CLOs’ overall exposure to PerForce Software term loans is approximately USD 889.95 million. As of 19 March 2026, 473 US CLO deals, managed by 28 managers, reported an average deal-level exposure of around 38 bps.
