Basic

The CLO market reached another milestone in collateral AUM, hitting US$1.5 trillion as at 30 September 2025. The EU CLO market represents roughly one-third the size of the US BSL CLO market. The table below shows the full list of CLO managers, ranked by their global CLO collateral AUM in USD billions as at 30 September 2025. Collateral AUM is used rather than CLO liabilities, as liability notionals would otherwise overstate the actual AUM.

The table below presents the collateral AUM notionals, categorised by vintage, for each EU CLO manager, based on deals priced on or before 30 September 2025.

Yesterday saw a nice line-up of BB tranches traded, each with a notional of one million, providing useful pricing colour....

The table below presents the collateral AUM notionals, categorised by vintage, for each US BSL CLO manager, based on data as at 30 September 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 27 October 2025.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices...

Yesterday saw two seasoned EU CLO BB tranches on BWIC. Both were DNT, though price colour was disclosed.

Magnetite XXXVII CLO was reset last Friday, cutting its WACC by roughly 65 bps from 216 bps to around 151 bps, while extending its reinvestment period by two years. The reduction in funding cost broadly offsets the underlying collateral spread compression of about 63 bps.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of 17 October 2025.

On 15 October 2025, several single-B tranches traded with cover bids ranging from 825 DM to 1,001 DM, and MVOCs ranging from 102h to 105h.

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.