Yesterday saw a relatively long list of US and EU CLO BB bonds on BWIC according to SCI’s BWIC data, providing an interesting comparison between the two markets, particularly in terms of MVOC, extension risk and secondary-market DMs.
This week saw 22 line items of longer-dated EU CLO single-B bonds, totalling EUR 66.8 million, trade with released cover levels according to SCI's BWIC data. All of the bonds have reinvestment periods ending in 2029 or 2030. DMs ranged from a tight 870 to 973.
Over the past year, more than 2,000 BWIC line items for rated EU CLO bonds have been observed. Among them, 261 line items across the AAA to single-B rating spectrum were called at par. Of these, 218 had a cover price at or above par, while 43 had a cover price below par.
Over the past month, trading colour was available for more than 470 data points (source: SCI). The table below presents the average DMs and DMs to first call based on cover bids, grouped by WAL cohort.
The technically strong loan market, with around half or more loans trading above par, has resulted in a relatively active month-to-date secondary market for EU CLO single-B tranches. A total of 27 single-B tranches have traded on BWIC with trading colour available (source: Structured Credit Investor). For deals with reinvestment periods ending between late 2028 and 2030, discount margins (DMs) based on cover prices span a wide range, from 830 bps to 1,340 bps. As shown in the table in this article, DMs can rise sharply once MVOC falls into the 102.0%–102.5% range, with levels approaching 1,000 bps. Beyond this point, DMs tend to widen disproportionately with each incremental decline in MVOC, highlighting the increasingly asymmetric risk profile of investing in single-B tranches...
A sample of 122 unique CLO equity positions is used for this study. These positions were placed on BWIC, with trading colour available since 21 April 2026.
