The analysis covers new-issue EU BSL CLOs priced between 2 February 2022 and 25 September 2026 with a reported discount margin (DM), sourced from SCI. Deals with reinvestment periods of less than 3.9 years are excluded, as are a selected group of deals that were not competitively priced.
US BSL CLO new-issue spreads have rallied across the capital structure, led by the lower-rated tranches. AA and BBB are at their tightest weekly prints over the study period, while A and BB are close to theirs. The AAA–BB gap has narrowed to 323 bps, well below its 52-week average of 370 bps and study-period average of 473 bps. As the chart below shows, the gap is near its historical tights, suggesting that BB offers less relative value versus AAA than it has typically offered over the study period.
The sample comprises 29 US CLO deals priced between 6 August and 25 September 2026. For each deal, the table shows the pricing date, discount margins (DMs) from AAA to BB in bps, the CLO manager and the manager’s MVOC percentile. The August–September 2026 sample shows a clear pattern as shown in the table in this article: deals from managers with higher MVOC percentile rankings priced at tighter average DMs across every rating category from AAA to BB.
Among the 19 EU CLO deals priced since then, top-tier (tightest 10%) pricing for AAA, AA, A, BBB, BB, and B tranches was 131.4, 190, 219, 300, 550, and 850 bps, respectively.
Among the 15 EU CLO deals priced since 25 June 2025, top-tier (tightest 10%) pricing for AAA, AA, A, BBB, BB, and B tranches was 131.4, 190, 222, 310, 560, and 850 bps, respectively. CIFC European Funding VII and Fidelity Grand Harbour CLO 2025-1 priced their AAA tranches at 131 bps — among the tightest levels recorded.
Please see the table below for the list of US BSL CLO managers who have priced a deal in June...
