Basic

Monday's BWIC activity highlighted a wide dispersion in pricing across seasoned US CLO BB tranches with 2026–2027 reinvestment end dates,...

Against the backdrop of a much tighter WACC, EU primary CLOs are now generating arbitrage of around 180 bps, which represents a healthy level for the market compared with the past six to seven months.

US CLOs’ overall exposure to Kofax term loan is approximately USD 567 million. As of 3 February 2026, 294 US CLO deals, managed by 21 managers, reported an average deal-level exposure of around 48 bps.

Based on EU CLO AAA BWIC colour observed since 9 January 2026, the table below summarises the best DM prints across each WAL. For context, Bridgepoint CLO X is currently being marketed with the AAA tranche talked at around 121 for a WAL of approximately six years.

RRE 19’s 122 bps print appears to offer attractive value, while the AAA prints for Bilbao CLO II and Henley CLO VII are broadly in line with median reset market levels.

AAA tranches continue to lag the broader spread-compression trend. While top-tier BB tranches have tightened to around 430 DM, AAA levels, at 117 bps, remain wider than the 113 bps seen in February 2025. This has pushed the AAA–BB pricing differential to a new record tight of roughly 317 bps in the CLO 2.0 market.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of January 30, 2026.

Tracking exposure to underlying CLO collateral priced below 80 and 70 can serve as a useful proxy for assessing tail risk within the asset pool. While this metric has inherent limitations—most notably that it does not capture stressed or distressed positions that have already been traded out of the collateral pools—it nevertheless provides a timely and standardised snapshot of downside risk embedded within CLO collateral portfolios.

EU CLOs’ overall exposure to ACR I BV TL is approximately EUR 146.9 million. As of 30 January 2026, 76 EU CLO deals, managed by 11 managers, reported an average deal-level exposure of around 52 bps.

EU CLOs’ overall exposure to KronosNet CX Bidco is approximately EUR 436.9 million. As of 30 January 2026, 136 EU CLO deals, managed by 18 managers, reported an average deal-level exposure of around 86 bps.

EU CLOs’ overall exposure to Cuppa Bidco TLs is approximately EUR 435.0 million. As of 28 January 2026, 159 EU CLO deals, managed by 16 managers, reported an average deal-level exposure of around 69 bps.

US CLOs’ overall exposure to Ineos US Fin LLC term loans is approximately USD 3.17 billion. As of 28 January 2026, 1580 US CLO deals, managed by 101 managers, reported an average deal-level exposure of around 49 bps.

The table below summarises the top 100 exposures of the top-tier manager, Allstate.

EU CLOs’ overall exposure to Pharmanovia Bidco TL is approximately EUR 787.9 million. As of 27 January 2026, 264 EU CLO deals, managed by 26 managers, reported an average deal-level exposure of around 79 bps.

EU CLOs’ overall exposure to Financiere Colisee - Facility B2 TL is approximately EUR 492.3 million. As of 27 January 2026, 195 EU CLO deals, managed by 22 managers, reported an average deal-level exposure of around 70 bps.