CLO MVOC and Equity NAV Across All Tranches and Vintages (Based on Asset Prices as of June 09, 2025)
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of June 09, 2025.
Independent, clear, and trusted — CLO Research Group provides actionable insights for CLO debt and equity investors.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of June 09, 2025.
A sample of 1,403 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool factor below 55% are excluded.
How do emerging CLO managers compare with their peers?
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.
A sample of 322 EU CLO deals (vintage 2021-2024) is included in this study. Deals with a collateral pool factor below 90% are excluded. Managers who have performed well include Bridgepoint Credit, Brigade Capital, CarVal, CIC, Fortress, GoldenTree, Napier Park, Partners Group, RRAM, and Serone Capital, among others.
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.
