EU CLO Mezzanine Tranches: Historical Excess Returns and Entry Timing
This article explores the periods during which entry into the EU CLO mezzanine market has historically been more favourable.
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This article explores the periods during which entry into the EU CLO mezzanine market has historically been more favourable.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 9 January 2026.
As the loan market has become increasingly bifurcated, with a large proportion of loans trading above par, and idiosyncratic risks continuing to feature more prominently, selling into the current strength of the loan market may appear attractive to some lower-mezzanine investors.
US CLOs’ overall exposure to the RLG Holdings LLC (Resource Label) term loans is approximately USD 488 million.
US CLOs’ overall exposure to the Entertainment Partners (EP Purchaser) term loans is approximately USD 828 million.
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.
This week saw several US BSL CLO BB tranches trade with cover DMs ranging from 542 bps to 1,059 bps, corresponding to MVOCs of between 106h and 94h. Overall, recent trading points to a flat to slightly softer tone.
The US CLOs’ overall exposure to the SonicWALL term loans is at around USD 621 million. As of 17 December 2025, 440 US CLO deals (from 23 managers) reported an average deal-level exposure of around 37 bps.
The US CLOs’ overall exposure to the Ply Gem/Pisces Midco/Cornerstone Building term loans is sizable at around USD 2.4 billion. As of 17 December 2025, 1,320 US CLO deals (from 81 managers) reported an average deal-level exposure of around 52 bps.
The US CLOs’ overall exposure to the MHS Holdings (Project Castle) Term Loan is slightly over USD 600 million. As of 17 December 2025, 393 US CLO deals (from 26 managers) reported an average deal-level exposure of around 36 bps.
The US CLOs’ overall exposure to the Oscar Acquisitionco LLC (Oldcastle BuildingEnvelope) Term Loan is slightly over USD 1.0 billion. As of 17 December 2025, 819 US CLO deals (from 43 managers) reported an average deal-level exposure of around 32 bps.
The EU CLOs’ overall exposure to the Ineos Quattro Term Loans is sizable at close to EUR 1.8 billion. As of 12 December 2025, 530 EU CLO deals (from 54 managers) reported an average deal-level exposure of around 85 bps.
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.
This article examines when it is typically a good time to enter the CLO mezzanine market.
