CLO Research

Since early 2025, the three educational articles below have collectively garnered over 7,500 views, underscoring continued interest in succinct, practical and relevant CLO content.

Looking at the list of EU CLO BB tranches placed on BWIC since 5 May 2026, bids have been strong, with the average cover price above par. The table below shows the breakdown by reinvestment end year.

A sample of 1,654 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.

A sample of 122 unique CLO equity positions is used for this study. These positions were placed on BWIC, with trading colour available since 21 April 2026.

A sample of 122 unique CLO equity positions is used for this study. These positions were placed on BWIC, with trading colour available since 21 April 2026.

The technically strong loan market, with around half or more loans trading above par, has resulted in a relatively active month-to-date secondary market for EU CLO single-B tranches. A total of 27 single-B tranches have traded on BWIC with trading colour available (source: Structured Credit Investor). For deals with reinvestment periods ending between late 2028 and 2030, discount margins (DMs) based on cover prices span a wide range, from 830 bps to 1,340 bps. As shown in the table in this article, DMs can rise sharply once MVOC falls into the 102.0%–102.5% range, with levels approaching 1,000 bps. Beyond this point, DMs tend to widen disproportionately with each incremental decline in MVOC, highlighting the increasingly asymmetric risk profile of investing in single-B tranches...