Loan Spread Compression and Lower Equity NAV Drag on GNRT 2024-16A SUB
A majority stake of GNRT 2024-16A SUB traded yesterday, covering at...
A majority stake of GNRT 2024-16A SUB traded yesterday, covering at...
Yesterday, a majority stake of €13.805 million in Dryden 103 Euro CLO 2021 subordinated notes was traded via BWIC. The deal’s performance is noteworthy: it was priced and closed in late 2022 with very wide liability spreads and a sizeable fixed-rate collateral exposure in a rising rate environment. These factors resulted in sub-par distributions until its reset in late 2024, immediately after the non-call period. At the time, the outlook appeared bleak, with equity NAV depressed and distributions running low. Since bottoming out in mid-2023, however, the deal has staged a steady recovery. Equity NAV rose consistently…
On 9 September 2025, the secondary market saw a relatively long list of US BSL CLO BB tranches on BWIC, spanning a wide range of MVOCs and reinvestment end-dates.
Yesterday saw a relatively long list of CLO equity tranches on BWIC. Among them, SIXST 2021-17X SUB stood out, ranking in the top quartile of its 2021-vintage peers.
Notably, it is the only 2020-vintage deal with a BB MVOC below par, or a clean BB NAV of around 80%, which helps explain why the BB tranche cleared at such a deep discount.
Yesterday saw a fairly long list of EU CLO single-B tranches on BWIC, providing useful colour on the single-B secondary market, albeit largely in odd-lot sizes. Single-B tranches are also regarded as alternatives to CLO equity, given their expected low-teen returns and potentially lower risk profile owing to their second-loss position.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 5 September 2025.
A sample of 532 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 US BSL CLO deals by vintage, based on asset prices as of 5 September 2025.
A sample of 1,667 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.
Among the recently liquidated deals, those managed by CIFC and Carlyle—such as CIFC 2013-1A SUB, CIFC 2015-1A SUB, and CGMS 2013-1A SUB—stood out with IRRs ranging from 12.8% to 15.2%.
BBAM European CLO IV’s reset was recently priced, with its AA tranche coming in at 190 bps.
Among managers with three to ten deals in the sample, Barrow Hanley, Diameter Capital, Whitebox, Warwick Capital, Hayfin Capital, Wellington Management, New Mountain Capital, and Post Advisory performed very well from an MVOC perspective.
Avoca CLO XXIX was recently reset, with its AAA tranche pricing at 128 bps — the tightest among recent resets.