CLO Research

Last Thursday (9th October) saw a range of US BSL BB tranches trade, with cover bids spanning from 503 DM to 792 DM.

A sample of 1,628 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of 10 October 2025.

A sample of 544 EU CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 60% are excluded.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 10 October 2025.

This study is based on a sample of 1,712 U.S. BSL CLO deals. Diameter, OHA, and GoldenTree have delivered solid equity performance. In terms of AUM and performance, managers with over USD 10 billion in AUM outperformed their peers. For example, larger managers recorded a median performance percentile of 56th, compared with 43rd for mid-sized managers and 40th for those with smaller CLO platforms.

The most recent EU CLO reset was Penta CLO 16, which priced its AAA tranche at 128 bps. This level is only marginally wider than its estimated “fair value” AAA pricing of 126 bps...

This week saw a relatively long list of EU CLO AA tranches on BWIC, as shown in the table below, providing a useful update on benchmark levels for seasoned deals. Out of 25 tranches totalling EUR 94 million notional, 15 received cover bids above par.

Based on a detailed review of 596 EU CLO deals, this study highlights which managers have delivered standout equity results across vintages. Redding Ridge AM and Bridgepoint Credit lead the way, with several others also ranking in the top quartile. Out of the 596 deals in the sample, 251 adopt a vertical risk retention structure and 345 a first-loss risk retention structure. Overall, first-loss deals have outperformed their vertical counterparts. For instance, the median vertical equity tranche ranks at the 46th percentile, compared with the median first-loss equity tranche at the 54th percentile. Twenty-eight EU CLO managers have both vertical and first-loss deals under management. Of these, 18 saw their first-loss deals outperform their vertical deals on average, while 10 experienced stronger performance from their vertical deals.

OHA Credit Funding 16-R’s highly accretive reissue reduced its WACC by 67.2 bps, from 217.2 bps to 150.0 bps, while extending the reinvestment period by two years. The funding cost savings largely offset the 72.4 bps decline in its reported WAS since first reporting, bringing the latest figure to 299.4 bps.

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 sample of 1,628 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.

This article reviews yesterday’s seasoned US BSL BB trades.

Capital Four CLO V reset was recently priced with its AAA at 135 bps. While this may appear wide compared with peers printing in the 128–130 bps area, the 135 bps level is broadly in line with Avoca XXX when measured by...

Yesterday, a notice was announced on Cairn CLO VIII, in which the retention holder directed the redemption of the rated notes.