Based on EU CLO AAA BWIC colour observed since 9 January 2026, the table below summarises the best DM prints across each WAL. For context, Bridgepoint CLO X is currently being marketed with the AAA tranche talked at around 121 for a WAL of approximately six years.
What Asset Spread Compression Means for AAA-to-Single-A EU CLO Pricing
This article examines how US CLO AAA tranches may look under various scenarios.
Across a sample of 238 US BSL CLO deals from the 2018 vintage, average realised AAA WALs have come in shorter than modelled. Refinanced deals shortened the most (by around 1.36 years), liquidated or reset deals were 0.18 years shorter, while the 62 still-outstanding deals are projected to run slightly longer, by about 0.33 years. Overall, the vintage is expected to deliver an average AAA WAL of 5.70 years, roughly 0.42 years shorter than originally modelled.
A review of 65 CLO deals from the 2017–2018 vintages shows that realised WALs for senior AAA tranches averaged 5.65 years, around 0.15 years longer than modelled at issuance. While some deals delivered shorter WALs—benefiting investors given the typically upward-sloping AAA term curve—others faced significant extensions to the disadvantage of AAA holders.
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.
