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Based on a sample of 958 and 134 fully liquidated 2.0 US and EU CLO deals, respectively, EU CLO equity tranches have generally outperformed their US counterparts across vintages.
US CLO BB BWIC activity picked up last week, supported by slightly improved loan market sentiment. Across BB tranches with reinvestment end dates beyond 2029, discount margins showed a clear tiering effect:
The table below presents the IRRs by vintage for fully liquidated US CLO deals from the 2012 to 2023 vintages, based on a sample of 958 deals.
The following two tables illustrate arbitrage trends since late January/early February. Arbitrage is currently estimated at around 161 bps for US BSL CLOs and 195 bps for EU CLOs.
US CLO BB BWIC activity picked up last week, supported by slightly improved loan market sentiment. Across BB tranches with reinvestment end dates beyond 2029, discount margins showed a clear tiering effect:
