EU CLO Manager Rankings by WAS Adjusted for Portfolio Prices and Par Losses
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The table below presents the IRRs by vintage for fully liquidated US CLO deals from the 2012 to 2023 vintages, based on a sample of 958 deals.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 2 March 2026.
A sample of 133 deals from the 2024 and 1Q 2025 vintages is used. Each deal’s underlying collateral weighted average spread (WAS) is adjusted for its weighted average price (WAP) as of 2 March 2026. The adjusted WAS also takes par losses into account.
A sample of 106 deals from the 2021 and 1Q 2022 vintages is used. Each deal’s underlying collateral weighted average spread (WAS) is adjusted for its weighted average price (WAP) as of 2 March 2026. The adjusted WAS also takes par losses into account.
RRE 28 Loan Management CLO achieved a record tight AAA–BB pricing differential on 10 February. However, that record was quickly surpassed by Avoca CLO XXXV, which set a new benchmark in the 2.0 EU CLO market. With its AAA priced at 120 DM and BB at 445 DM — implying a record-tight 325 DM differential — and Mizuho acting as arranger, the timing could hardly have been better.
Over the last twelve months, according to SCI BWIC data, around US$56.2 billion of US BSL CLO tranches were placed on BWIC. AAA tranches accounted for close to US$29.0 billion of notional, followed by equity tranches at US$8.3 billion and BB tranches at US$7.2 billion, as shown in the table below. Single-B tranches remain the least liquid segment of the capital structure.
The table below shows the average annualised prepayment rates for each seasoned manager in the first, second, third, fourth and fifth years of the post-reinvestment period (post-RP). The sample includes deals that had exited their reinvestment periods by 31 December 2024.
OHA Credit Funding 17-R (Oak Hill Advisors, L.P.) sets new records in the US BSL CLO 2.0 market: BB at 425 bps (tightest on record), AAA at 114.7 bps, and an AAA–BB pricing differential of 310.3 bps — also a record low.
Volatility creates opportunities. In the CLO mezzanine market, BBB and BB tranches typically display betas greater than one to changes...
What Asset Spread Compression Means for AAA-to-Single-A EU CLO Pricing
This article examines how US CLO AAA tranches may look under various scenarios.
This article explores the periods during which entry into the EU CLO mezzanine market has historically been more favourable.
A sample of 23 US middle-market CLO deals, closed in 2025 and with reinvestment periods ending between 2029 and 2031, is included in this study.
In aggregate, US CLO managers have reduced their exposure to First Brands loans by around $1.0 billion, while EU CLO managers have reduced theirs by around €282 million. That said, some managers saw an increase in exposure as a result of DIP new money.
