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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.
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Based on yesterday’s EU CLO AAA BWIC colour, DMs ranged from 69 bps to 97 bps, corresponding to WALs of 0.95 to 2.58 years. With non-short-dated reset AAAs printing at around 130 bps, the current EU CLO AAA term curve appears fairly steep.
The table below provides the full list of 71 EU CLO managers and their collateral AUM trends since 2017. Collectively, they oversee a total of €281 billion in CLO collateral assets under management (rather than CLO liabilities) as at 30 September 2025.
The table below presents the full ranking of US BSL CLO managers by collateral AUM, based on data as at 30 September 2025.
Last Friday saw several seasoned EU CLO AAA tranches trade, with cover bids ranging from 79 DM to 101 DM, corresponding to WALs of 0.85 to 2.8 years. A spread difference of around 22 bps for roughly two years’ difference in WAL highlights the important role WAL plays in AAA pricing.
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Please refer to the table below for a list of CLO managers with global CLO collateral AUM of at least $2 billion, broken down by US BSL, US MM, and EU CLOs as of 30 June 2025.
The steady loan spread compression since early 2024 has been particularly negative to long-dated CLO equity, especially those issued in 2024 that remain in their non-call period. This feature benefits CLO debt investors, who are able to lock in wider spreads for longer, but comes at the expense of equity holders.
This week saw a list of seasoned EU CLO BBB bonds, all of which received covers well above par, with discount margins in a narrow range of 302–311 bps. This is despite their varying reinvestment end dates. Two bonds have passed their reinvestment period (RP) by over two years, one has just concluded its RP, and two have RPs ending in 2026.
Table 1 below provides the full list of 70 EU CLO managers overseeing a total of €268 billion (US$316 billion) in CLO collateral assets under management (as opposed to CLO liabilities) as of 30 June 2025, along with AUM trends since 31 December 2017. Since 31 December 2020, CVC Credit Partners, Palmer Square Capital Management, and RRAM have seen the most significant increases in collateral AUM notional among EU CLO managers. Only Blackstone and Carlyle have remained in the top five since 2017; the others have dropped out of the top five managers by collateral AUM.
AAA spreads in both the US and EU CLO markets remain wide relative to their year-to-date averages.
Both primary US BSL and EU CLO AAA tranches are currently pricing wide relative to year-to-date averages, which negatively affects new issue equity arbitrage. That said, the market is likely to self-correct over time, and as long as loan market conditions remain strong, there is no reason AAA spreads should not tighten further.
Selected takeaways from yesterday’s CLO panel discussions:
