BWIC Colour: Benchmarking US CLO BB Tranche Pricing (Updated)

Using a sample of US BSL CLO BB bonds with reinvestment end dates between 2029 and 2031 that have been placed on BWIC since 14 April (with released trading colour), it is interesting to observe that both MVOC and manager tiering play an important role in pricing. As the loan market improves, MVOC generally strengthens, allowing BB bonds to trade at tighter levels. That said, for top-tier bonds, pricing appears to become less sensitive to further improvements in MVOC once it reaches a level of around 106.