Reset AAA Prints at 125bps: Cheapest vs. Most Expensive
Four top-tier reset AAA prints at 125bps were reported recently, each showing a different value relative to risk.
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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.
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.
