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The first table in this article shows the range of arbitrage levels achieved by 2025-vintage deals with fully ramped portfolios. The median arbitrage metric across the sample stands at approximately 178 bps.
No new equity capital was required for the reset; instead, a $2 million Class X tranche was introduced. The deal’s MVOC was strong pre-reset...
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of August 1, 2025.
In contrast, AB CarVal Euro CLO I-C, with a 142 bps AAA print, appeared to offer the best value based on...
OHA Credit Funding 10-R CLO priced its AAA tranche today at 126 bps—the tightest level recorded since early April 2025. Other AAA reset prints over recent days ranged between 128 and 137 bps.
As of July 30, 2025, the latest arbitrage metric for non-short-dated US CLOs stood at approximately 199 bps — the lowest recorded year-to-date.
Among the largest managers, RRAM and Sound Point Capital have the most favourable reinvestment period profiles across their deals.
Last week saw active BB tranche trading, with approximately 68 CLO BB bonds totalling around $220 million in notional listed on BWIC, of which 79% traded.
Among the 19 EU CLO deals priced since then, top-tier (tightest 10%) pricing for AAA, AA, A, BBB, BB, and B tranches was 131.4, 190, 219, 300, 550, and 850 bps, respectively.
As of 23 July 2025, the latest arbitrage metric stood at 236 bps—up from the recent low of 227 bps on 25 June—driven by a lower CLO WACC and wider loan spreads since then.
When the loan market is strong and stable, CLO issuance tends to benefit significantly, as tighter AAA spreads gain momentum...
Overall, CCC/Caa exposures between US BSL and EU CLOs are broadly comparable across multiple vintages.
Among the 15 EU CLO deals priced since 25 June 2025, top-tier (tightest 10%) pricing for AAA, AA, A, BBB, BB, and B tranches was 131.4, 190, 222, 310, 560, and 850 bps, respectively. CIFC European Funding VII and Fidelity Grand Harbour CLO 2025-1 priced their AAA tranches at 131 bps — among the tightest levels recorded.
Given strong loan prices, it is an opportune time to fully liquidate seasoned deals that are due for a call.
Primary US BSL CLO Pricing: Assessing Relative Value Across the Capital Stack (July 14, 2025)
