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Three CLO equity tranches from the 2021 vintage received cover bids ranging widely from 32 to 88. OHA Credit Funding 8 received a notably strong cover of 87.9, translating to an equity...
Loan spreads have returned to levels last seen in mid-March, as shown in the final column. AAA spreads remain wide, with the four-week average loan spread still elevated at 446 bps as of 30 May. That said, the four-week average is expected to fall below 440 bps by 6 June, even if loan spreads remain broadly unchanged over the coming week. If historical patterns are a reliable guide, AAA spreads are likely to tighten to levels seen in early April in the near future.
A sample of 409 seasoned deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the Morningstar LSTA U.S. B/BB Ratings Loan Index.
Managers who have performed well include Bridgepoint Credit, Brigade Capital, CarVal, CIC, Fortress, GoldenTree, Napier Park, Partners Group, RRAM, and Serone Capital, among others.
US BSL CLO BB tranches traded yesterday with cover bids ranging from 496 DM to 1,000 DM.
Managers such as Allstate, Barrow Hanley, Beach Point, Diameter Capital, Golub Capital, Hayfin Capital, Man Group, Oak Hill Advisors, Sixth Street and Wellington Management have performed well.
Among the largest managers, RRAM has the most favourable reinvestment period profile across its deals, with none having exited their reinvestment periods as of 31 March 2025.
Managers who have performed well include Bridgepoint Credit, Brigade Capital, CarVal, CIC, Fortress, GoldenTree, Napier Park, Partners Group, RRAM, and Serone Capital, among others.
Last week’s BWIC lists included four majority equity trades according to SCI BWIC data, with cover bids ranging from the single digits to the high 40s. These levels implied an average equity IRR of around 6.6% for primary investors, assuming an issue price of $95. The trades comprised two 2017 vintage deals, one from 2018, and one from 2022.
Of the 80 largest US CLO managers, 18 have a highly favourable CLO AUM breakdown by reinvestment period (RP), with less than 5% of their total US CLO AUM outside of RPs.
A sample of 1,405 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...
A sample of 492 EU CLO deals (vintage 2013–1H 2024) is included in this study. Deals with a collateral pool...
With the rally in loan prices, the number of US BSL CLO deals with negative equity NAV has declined from 317 to 168 since 21 April 2025. Among single-B tranches, the number with a market value over-collateralisation (MVOC) below 100% has fallen from 169 to 126 over the same period.
In year-to-date 2025 and throughout 2024, managers have, on average, broadly tracked the loan index across all three inception-to-date annualised metrics: total return, market value (MV) return, and interest return. The benchmark loan index used is the Morningstar LSTA U.S. B/BB Ratings Loan Index. Nonetheless, several managers—such as OHA, Golub Capital, and UBS AM—have continued to distinguish themselves with above-average inception-to-date alpha since 2020, while others have consistently lagged behind the index.
With loan prices recovering to levels close to those seen before Liberation Day tariffs, a sizable equity BWIC list finally emerged last week after the April payment dates. It featured many high-quality equity tranches managed by top-tier managers such as Oak Hill Advisors, UBS AM, and CIFC.
