If you are an investor and would be interested in trial access, the Basic content is available on a two-week trial once the trial subscription agreement is in place.
Notably, it is the only 2020-vintage deal with a BB MVOC below par, or a clean BB NAV of around 80%, which helps explain why the BB tranche cleared at such a deep discount.
Yesterday saw a fairly long list of EU CLO single-B tranches on BWIC, providing useful colour on the single-B secondary market, albeit largely in odd-lot sizes. Single-B tranches are also regarded as alternatives to CLO equity, given their expected low-teen returns and potentially lower risk profile owing to their second-loss position.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 5 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 5 September 2025.
BBAM European CLO IV’s reset was recently priced, with its AA tranche coming in at 190 bps.
Avoca CLO XXIX was recently reset, with its AAA tranche pricing at 128 bps — the tightest among recent resets.
RRE 6 Loan Management’s reset was recently priced, with its AAA tranche at 131 bps, the tightest among its reset peers. But it still offers strong value to investors.
Please refer to the table below, which shows the 2.0 BSL CLO AUM trends for each US BSL CLO manager since 2012. The AUM (in billions of dollars) for each period is based on CLO deal pricing dates and the notional of the underlying collateral, rather than CLO liability notional. For consistency, the AUM figures for each manager have been adjusted to reflect mergers and acquisitions as well as changes in management contracts. The top ten US BSL CLO managers are Blackstone, Carlyle, UBS AM, CIFC, RRAM, Octagon, Ares, Neuberger Berman, Sound Point, and Elmwood. As of 30 June 2025, 33 managers oversaw at least $10 billion of BSL CLO AUM, with 12 of them managing $20 billion or more.
Investors and CLO managers may email info@clopremium.co.uk to request a copy of this article.
Four top-tier reset AAA prints at 125bps were reported recently, each showing a different value relative to risk.
Yesterday, three US CLO BB bonds appeared on BWIC (source: SCI), with DMs ranging from 546 to 717, depending on their MVOC and WAL.
Today, Blackstone’s Allegany Park refinancing priced, reducing its WACC by 22 bps from 175 bps to 153 bps. The deal...
Signal Harmonic CLO I’s reset priced its AAA tranche at 140 bps. At first glance, this may seem wide compared with peers, but...
Between 8 and 12 August, more than 10 BSL CLO AAA tranches still within their non-call periods changed hands, with every bond trading above par. The graph below shows that, across bonds managed by managers of all tiers, discount margins (DMs) to call rose in step with weighted average lives (WALs) to call, forming an upward-sloping term curve.
The table below shows the range of arbitrage levels achieved by 2025-vintage deals with fully ramped portfolios. The median actual arbitrage achieved was approximately 16 bps higher than that of its US counterparts.
