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The recent reset of GoldenTree Loan Management US CLO 15 saw its WACC (AAA–BB) reduced by 72.4 bps, from 225.8 bps to 153.5 bps, while extending the reinvestment period by another two years. The reduction in WACC more than offset the deal’s underlying collateral spread compression of around 53 bps since inception.
Yesterday saw a relatively long list of EU CLO single-B tranches on BWIC, with DM price talks ranging from the L800s to L1200s, depending on their MVOC and WAL.
Over the past two business days, eight EU CLO single-B tranches traded, with cover bids ranging from 839 DM to 975 DM.
As of October 10, 2025, the latest arbitrage metric for non-short-dated US CLOs stood at approximately 206 bps — an improvement from the sub-200 levels observed in late July and early August.
Last Thursday (9th October) saw a range of US BSL BB tranches trade, with cover bids spanning from 503 DM to 792 DM.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of 10 October 2025.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 10 October 2025.
The most recent EU CLO reset was Penta CLO 16, which priced its AAA tranche at 128 bps. This level is only marginally wider than its estimated “fair value” AAA pricing of 126 bps...
This week saw a relatively long list of EU CLO AA tranches on BWIC, as shown in the table below, providing a useful update on benchmark levels for seasoned deals. Out of 25 tranches totalling EUR 94 million notional, 15 received cover bids above par.
OHA Credit Funding 16-R’s highly accretive reissue reduced its WACC by 67.2 bps, from 217.2 bps to 150.0 bps, while extending the reinvestment period by two years. The funding cost savings largely offset the 72.4 bps decline in its reported WAS since first reporting, bringing the latest figure to 299.4 bps.
Across a sample of 238 US BSL CLO deals from the 2018 vintage, average realised AAA WALs have come in shorter than modelled. Refinanced deals shortened the most (by around 1.36 years), liquidated or reset deals were 0.18 years shorter, while the 62 still-outstanding deals are projected to run slightly longer, by about 0.33 years. Overall, the vintage is expected to deliver an average AAA WAL of 5.70 years, roughly 0.42 years shorter than originally modelled.
This article reviews yesterday’s seasoned US BSL BB trades.
Capital Four CLO V reset was recently priced with its AAA at 135 bps. While this may appear wide compared with peers printing in the 128–130 bps area, the 135 bps level is broadly in line with Avoca XXX when measured by...
Yesterday, a notice was announced on Cairn CLO VIII, in which the retention holder directed the redemption of the rated notes.
Single-B tranches, given their position as second-loss in the CLO structure, are particularly exposed to idiosyncratic risk and may face heightened scrutiny in the aftermath of the First Brands episode.
