Senior AAA Value in 2025 US MM CLOs
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.
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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.
Last Thursday saw a remarkable surge in activity, with around US$1.5 billion of US CLO AAAs traded across 62 tranches — averaging around US$24 million per line item and underscoring the market’s deep liquidity.
EU CLOs’ overall exposure to Altice Financing term loans (E+500 bps) and bonds stands at around EUR 1.2 billion (loans: EUR 0.47bn; bonds: EUR 0.72bn). As at 2 December 2025, 354 EU CLO deals (from 44 managers) reported an average deal-level exposure of approximately 90 bps.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of December 1, 2025.
The recent accretive reset of Regatta XXVI Funding reduced its WACC by 81 bps, from 242 bps to 161 bps, and extended its reinvestment period by two years. The deal was originally priced in late 2023 with a closing date of 12 December 2023. Since its first reporting date in March 2024, its collateral weighted-average spread has declined by 58 bps, from 372 bps to 314 bps.
Looking at selected BSL CLO BB tranches traded via BWIC since 27 October, the table below summarise the benchmark (top-tier)...
The US CLOs' overall exposure to the Kronos Acquisition Holdings Inc (KIK Custom Products) First Lien Term Loan appears to...
