Basic

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.

US BSL CLO AAA tranches are currently pricing cheaply relative to their year-to-date averages.

Relative to their year-to-date averages, EU CLO AAA, AA, BB, and single-B tranches are currently screening as cheap.

As shown in the first table below, DMs ranged from 102 to 122 and WALs from 0.82 to 2.43 years for selected tighter-print US BSL CLO AAA bonds that traded above par.

Benchmarking EU CLO Pricing Across the Capital Stack

Benchmarking US BSL CLO Pricing Across the Capital Stack

The loan market rally has driven broad spread tightening across the CLO stack. Mezzanine tranches responded the most, reflecting their higher leverage and credit sensitivity. In contrast, senior tranches from top-tier CLOs showed a beta below 1.0, indicating a more muted reaction to loan spread moves.

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.

The loan index used for this analysis is the Morningstar Euro-denominated Leveraged Loan Index.

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.

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...

A sample of 409 seasoned deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the Morningstar LSTA U.S. B/BB Ratings Loan Index.