Primary US BSL CLO Pricing: Assessing Relative Value Across the Capital Stack (July 14, 2025)
Primary US BSL CLO Pricing: Assessing Relative Value Across the Capital Stack (July 14, 2025)
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Primary US BSL CLO Pricing: Assessing Relative Value Across the Capital Stack (July 14, 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.
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.
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.
In year-to-date 2025 and throughout 2024, managers have, on average, broadly tracked the loan index across all three inception-to-date annualised metrics: total return, market value (MV) return, and interest return. The benchmark loan index used is the Morningstar LSTA U.S. B/BB Ratings Loan Index. Nonetheless, several managers—such as OHA, Golub Capital, and UBS AM—have continued to distinguish themselves with above-average inception-to-date alpha since 2020, while others have consistently lagged behind the index.
The table below presents the annualised (orig) prepayment rates for seasoned EU CLO deals with reinvestment periods (RP) ending in 2022 across the first, second, third, and fourth years post-RP. Typically, deals experience a single-digit prepayment rate in the first year post-RP. The median post-RP prepayment rate increased to 21.3%, although the range of post-RP prepayment rates is wide.
