Weekly Musings–Single-B tranche
The single-B tranche is a useful way to increase the leverage of US BSL CLO deals and reduce the amount...
The single-B tranche is a useful way to increase the leverage of US BSL CLO deals and reduce the amount...
Tuesday’s BWIC colour included three distressed bonds originally rated single-B: two were covered at 31h, and one at around 10h. Discount margins were not reported, as it is highly unlikely these bonds will be repaid at par—an IRR-based approach would be more appropriate. Pricing these thin tranches remains particularly challenging, as even a small change in the underlying collateral NAV can significantly affect their value.
Around 34% of single-B tranches from the 2012–2022 vintages had an MVOC below 100% even before the recent volatility triggered by the Liberation Day tariffs. As of 24 April 2025, that figure has risen to 40%, or 151 deals across 49 managers, as shown in the table below.
Allstate’s AIMCO CLO 12 performed particularly well in terms of both annual distributions and equity NAV.
Among managers with two or three deals in the sample, CIFC and Spire Partners have also performed well, with all of their seasoned deals ranking in the top quartile.
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