The CLO market has reached yet another milestone in terms of collateral AUM, surpassing US$1.5 trillion as at 30 September 2025. The EU CLO market represents roughly one-third of the size of the US BSL CLO market. For the various AUM league tables published on the CLOPremium website, collateral AUM is used rather than CLO liabilities, as liability notionals would otherwise overstate the actual AUM.
Some may be wondering about the substantial equity capital injections observed in many reset deals. It is worth noting, however, that some of these equity notionals were priced at a deep discount — particularly for deals with a low pre-reset equity NAV — which can lead to significant dilution for existing equity holders. As a result, these equity tranches will generate much lower cash-on-cash distributions going forward.
The exposure to First Brands across CLOs has attracted considerable attention. It caught many off guard, although the negative impact on performance has varied markedly — from minimal to more pronounced. That said, many managers have since cut their exposure, with over US$1.1 billion of notional sold across US CLOs and over EUR 300 million across EU CLOs since 22 September 2025.
Victory Street CLO II was recently priced, with its AAA tranche printing at E+131 bps — a result that likely reflects the manager’s strong performance from both the debt and equity perspectives. At 131 bps, the deal’s AAA pricing is only 2 bps wider than that of CVC Cordatus Loan Fund XXXVII CLO.
Disclaimers
The information, research, data, research-related opinions, observations, and estimates contained in this document have been compiled or arrived at by CLO Research Group, based upon sources believed to be reliable and accurate, and in good faith, but in each case without further investigation. None of CLO Research Group or its service providers; authorised personnel, or their directors make any expressed or implied presentation or warranty, nor do any of such persons accept any responsibility or liability as to the accuracy, timeliness, completeness, or correctness of such sources and the information, research, data, research related opinions, observations and estimates contained in this document. All information, research, data, research-related opinions, observations, and estimates in this document are in draft form as of the date of this document and remain subject to change and amendment without notice. Neither CLO Research Group nor any of their third-party providers shall be subject to any damages or liability for any errors, omissions, incompleteness, or incorrectness of this document. This article is not and should not be construed as an offer, or a solicitation of an offer, to buy or sell securities and shall not be relied upon as a promise or representation regarding the historical or current position or performance of any of the deals or issues mentioned in it.
