Last week saw active BWIC trading in both long- and short-dated BB tranches. This article summarises key observations across different cohorts.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of July 11, 2025.
A sample of 1,716 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.
Benchmarking YTD Average Prints of Top-Tier vs Emerging EU CLO Managers
The table below summarises the performance of US CLO deals that have been redeemed year-to-date.
AAA spreads in both the US and EU CLO markets remain wide relative to their year-to-date averages.
Primary US BSL CLO Pricing: Assessing Relative Value Across the Capital Stack (July 8, 2025)
This analysis examines a sample of 1,456 deals currently within their reinvestment periods.
EU CLO managers such as KKR, Partners Group, Alcentra, RRAM, Whitestar, Oaktree, Anchorage, and Five Arrows have performed well in resetting their outstanding deals.
Last week saw several EU CLO equity tranches trade with released cover bids, which are generally viewed as good market practice. Covers are often withheld when investors want to keep the colour, when they are too low, or when traded levels differ significantly.
The table below shows, for each manager, the total number of deals in the sample that have exited their non-call periods, along with the number of CLO resets conducted since mid-2023. Resets can offer meaningful benefits to both debt and equity investors. For debt holders, a reset functions much like a large prepayment event, with all tranches repaid at par — a favourable outcome, particularly for out-of-the-money senior tranches issued at tight spreads. Lower mezzanine investors also tend to prefer deals with a higher likelihood of reset, as it provides downside protection akin to an insurance policy. In underperforming deals, these tranches may trade at a discount due to low MVOCs, even in strong loan markets. A reset restores them to par, helping to mitigate risk.
A sample of 1,722 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.
A sample of 559 EU CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 60% are excluded.
US BSL CLO AAA tranches are currently pricing cheaply relative to their year-to-date averages.
Relative to their year-to-date averages, EU CLO AAA, AA, BB, and single-B tranches are currently screening as cheap.
