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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.
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.
Last week saw active BB tranche trading, with approximately 68 CLO BB bonds totalling around $220 million in notional listed on BWIC, of which 79% traded.
Among the 19 EU CLO deals priced since then, top-tier (tightest 10%) pricing for AAA, AA, A, BBB, BB, and B tranches was 131.4, 190, 219, 300, 550, and 850 bps, respectively.
As of 23 July 2025, the latest arbitrage metric stood at 236 bps—up from the recent low of 227 bps on 25 June—driven by a lower CLO WACC and wider loan spreads since then.
According to PitchBook LCD, PGIM announced yesterday that it is assessing the optional redemption of Dryden 29 Euro CLO 2013. The deal was originally issued in December 2013, completed a partial refinancing in January 2017, and underwent a reset in January 2018. Its reinvestment period ended in July 2022, approximately three years ago. Since then, the AAA tranche — which carried a spread of 75 bps over EURIBOR — has been fully paid down. As of 30 June 2025, the AA tranche had a remaining factor of 91%.
