AA Tranche BWICs: Range of 155–191 bps, AIMCO 2015 Stands Out
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...
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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.
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...
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.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of 5 September 2025.
A sample of 1,667 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.
BBAM European CLO IV’s reset was recently priced, with its AA tranche coming in at 190 bps.
Among managers with three to ten deals in the sample, Barrow Hanley, Diameter Capital, Whitebox, Warwick Capital, Hayfin Capital, Wellington Management, New Mountain Capital, and Post Advisory performed very well from an MVOC perspective.
Avoca CLO XXIX was recently reset, with its AAA tranche pricing at 128 bps — the tightest among recent resets.
RRE 6 Loan Management’s reset was recently priced, with its AAA tranche at 131 bps, the tightest among its reset peers. But it still offers strong value to investors.
