CLO Research

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of 12 September 2025.

A number of AA tranches traded via BWIC last week, with covered DMs ranging from 155 bps to as wide as 191 bps. As shown in the table below, to enable a like-for-like comparison...

The reset of OCPE CLO 2023-7 for Onex Credit Partners, priced by Citi, came through impressively with its AAA tranche at 130 bps. This reset was accretive, extending the deal’s reinvestment end date from April 2028 to October 2030 and lowering its cost of funding from 218.7 bps to 195.5 bps.

Among 121 EU CLOs that have been, or are expected to be, fully redeemed, equity tranches from the 2020, 2022, and 2023 vintages stand out with strong final IRRs and average equity NAVs above 100%. The analysis also compares outcomes between first-loss and vertical risk retention deals, which so far have shown broadly similar performance. By vintage, reset deals outperformed non-resets across 2013–2016, underscoring the value of resetting.

BSP 2022-27A SUB traded and covered above par in yesterday’s BWIC (source: SCI). The deal was originally issued on 3 August 2022, and completed a highly accretive upsized reset in August 2024, extending its reinvestment end date from 20 July 2027 to 20 October 2029, with a call date of 20 October 2026.

As of 11 September 2025, the latest arbitrage metric for non-short-dated US CLOs stood at approximately 204 bps — a marginal improvement from the sub-200 levels observed in late July and early August.

The reset of Sycamore Tree CLO 2023-4 saw its AAA tranche priced at 133 bps, a competitive level relative to...

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.

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.