Basic

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of June 09, 2025.

Three CLO equity tranches from the 2021 vintage received cover bids ranging widely from 32 to 88. OHA Credit Funding 8 received a notably strong cover of 87.9, translating to an equity...

A sample of 409 seasoned deals (2015–2019* vintage deals) is included in this study. The benchmark loan index used is the Morningstar LSTA U.S. B/BB Ratings Loan Index.

US BSL CLO BB tranches traded yesterday with cover bids ranging from 496 DM to 1,000 DM.

Among the largest managers, RRAM has the most favourable reinvestment period profile across its deals, with none having exited their reinvestment periods as of 31 March 2025.

Last week’s BWIC lists included four majority equity trades according to SCI BWIC data, with cover bids ranging from the single digits to the high 40s. These levels implied an average equity IRR of around 6.6% for primary investors, assuming an issue price of $95. The trades comprised two 2017 vintage deals, one from 2018, and one from 2022.

Of the 80 largest US CLO managers, 18 have a highly favourable CLO AUM breakdown by reinvestment period (RP), with less than 5% of their total US CLO AUM outside of RPs.

With the rally in loan prices, the number of US BSL CLO deals with negative equity NAV has declined from 317 to 168 since 21 April 2025. Among single-B tranches, the number with a market value over-collateralisation (MVOC) below 100% has fallen from 169 to 126 over the same period.

In year-to-date 2025 and throughout 2024, managers have, on average, broadly tracked the loan index across all three inception-to-date annualised metrics: total return, market value (MV) return, and interest return. The benchmark loan index used is the Morningstar LSTA U.S. B/BB Ratings Loan Index. Nonetheless, several managers—such as OHA, Golub Capital, and UBS AM—have continued to distinguish themselves with above-average inception-to-date alpha since 2020, while others have consistently lagged behind the index.

With loan prices recovering to levels close to those seen before Liberation Day tariffs, a sizable equity BWIC list finally emerged last week after the April payment dates. It featured many high-quality equity tranches managed by top-tier managers such as Oak Hill Advisors, UBS AM, and CIFC.

This article highlights the softer CLO equity bids since late 2024/early 2025 and notes that not all resets are accretive.

Last Thursday (24 April 2025) saw 27 tranches of EU CLO AA bonds, with a total notional of €61.5 million, traded via BWIC. The table below provides colour on some of the AA bonds with top-tier prints. Based on these covers and a simple extrapolation, the term structure of EU AA bonds would appear as shown in the second table.

The table below presents the annualised (orig) prepayment rates for seasoned EU CLO deals with reinvestment periods (RP) ending in 2022 across the first, second, third, and fourth years post-RP. Typically, deals experience a single-digit prepayment rate in the first year post-RP. The median post-RP prepayment rate increased to 21.3%, although the range of post-RP prepayment rates is wide.

Around 34% of single-B tranches from the 2012–2022 vintages had an MVOC below 100% even before the recent volatility triggered by the Liberation Day tariffs. As of 24 April 2025, that figure has risen to 40%, or 151 deals across 49 managers, as shown in the table below.

While the Morningstar LSTA US B/BB Ratings Loan Index has recovered to just below 97 today—after hitting a low of...