Basic

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.

The reset of Carlyle Global Market Strategies Euro CLO 2015-1 priced yesterday. The deal, originally closed in March 2015, was refinanced in April 2017 and first reset in February 2020.

A review of 65 CLO deals from the 2017–2018 vintages shows that realised WALs for senior AAA tranches averaged 5.65 years, around 0.15 years longer than modelled at issuance. While some deals delivered shorter WALs—benefiting investors given the typically upward-sloping AAA term curve—others faced significant extensions to the disadvantage of AAA holders.

Among the top 20 global CLO managers by collateral assets under management (as of 30 June 2025), 11 have no exposure (or only minimal exposure) to First Brands in either their US or EU CLOs. Notably, some global managers show exposure in their US CLOs but not in their EU CLOs (or only minimal exposure), and vice versa.