BWIC Results Place Two Majority CLO Equity Blocks in Second Quartile
This week saw two majority equity blocks on BWIC: GNRT 2022-10A SUB with $31 million notional and ELM17 2022-4A SUB with $35 million notional.
This week saw two majority equity blocks on BWIC: GNRT 2022-10A SUB with $31 million notional and ELM17 2022-4A SUB with $35 million notional.
Signal Harmonic CLO I’s reset priced its AAA tranche at 140 bps. At first glance, this may seem wide compared with peers, but...
Between 8 and 12 August, more than 10 BSL CLO AAA tranches still within their non-call periods changed hands, with every bond trading above par. The graph below shows that, across bonds managed by managers of all tiers, discount margins (DMs) to call rose in step with weighted average lives (WALs) to call, forming an upward-sloping term curve.
A sample of 554 EU CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 60% are excluded.
The table below shows the range of arbitrage levels achieved by 2025-vintage deals with fully ramped portfolios. The median actual arbitrage achieved was approximately 16 bps higher than that of its US counterparts.
The first table in this article shows the range of arbitrage levels achieved by 2025-vintage deals with fully ramped portfolios. The median arbitrage metric across the sample stands at approximately 178 bps.
The table in this article summarises the findings on equity IRRs for both reset and non-reset CLO equity tranches. Reset tranches have materially outperformed their non-reset counterparts. Generally, stronger-performing deals are more likely to undergo a reset. Underperforming deals often face challenges in resetting due to the substantial equity capital required, and equity investors may be reluctant to commit further capital to weaker-performing transactions. That said, exceptions do exist.
No new equity capital was required for the reset; instead, a $2 million Class X tranche was introduced. The deal’s MVOC was strong pre-reset...
A sample of 1,699 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 August 1, 2025.
In contrast, AB CarVal Euro CLO I-C, with a 142 bps AAA print, appeared to offer the best value based on...
OHA Credit Funding 10-R CLO priced its AAA tranche today at 126 bps—the tightest level recorded since early April 2025. Other AAA reset prints over recent days ranged between 128 and 137 bps.
As of July 30, 2025, the latest arbitrage metric for non-short-dated US CLOs stood at approximately 199 bps — the lowest recorded year-to-date.
Among the largest managers, RRAM and Sound Point Capital have the most favourable reinvestment period profiles across their deals.
Table 1 below provides the full list of 70 EU CLO managers overseeing a total of €268 billion (US$316 billion) in CLO collateral assets under management (as opposed to CLO liabilities) as of 30 June 2025, along with AUM trends since 31 December 2017. Since 31 December 2020, CVC Credit Partners, Palmer Square Capital Management, and RRAM have seen the most significant increases in collateral AUM notional among EU CLO managers. Only Blackstone and Carlyle have remained in the top five since 2017; the others have dropped out of the top five managers by collateral AUM.