US Module

The table below presents the IRRs by vintage for fully liquidated US CLO deals from the 2012 to 2023 vintages, based on a sample of 958 deals.

This study is based on a sample of 1,633 U.S. BSL CLO deals. Static deals are excluded from the analysis.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of February 27, 2026.

Between 31 October 2025 and 18 February 2026, over 160 CLO equity tranches were placed on BWIC with released covers, best bids or price talks.

A sample of 1,705 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of February 20, 2026. Around 15% of deals from the seasoned 2012–2021 vintages are showing MVOC below 100% at the BB level. This increases to approximately 33% at the single-B level. Over the same vintages, roughly 19% of deals are reporting negative equity NAVs.

On Tuesday, close to USD 200 million of US CLO equity tranches were offered on BWICs, with four majority stakes in circulation. Of these, only one majority stake traded. Market conditions remain challenging, with asset spread compression, elevated idiosyncratic risks, and several tranches attracting bids below clean equity NAV due to longer non-call periods.

This study is based on a sample of 1,710 U.S. BSL CLO deals. Among the 112 managers included, twelve delivered strong results, with an average ranking (percentile) of 75th or higher.

This week saw several US CLO equity tranches trade or be talked at levels materially lower than on their previous BWIC dates.

The top performers include Oak Hill Advisors, UBS AM, and Oaktree Capital.

CLO equity has faced a challenging period, with ongoing asset repricing weighing on annual distributions. Still, there are bright spots in the market. For example, a majority equity stake, ARES 2023-ALF4A SUB, was recently traded via BWIC. The deal’s accretive reset, priced by Citigroup on 3 October 2025, reduced its WACC by nearly 80 bps—more than offsetting the 60 bps decline in its underlying collateral spread since inception.

Fully liquidated US CLO deals from the 2012–2015 vintages show that 2014 delivered the weakest performance, while 2012 achieved a median IRR of around 12% (assuming a 95% issue price). Across vintages, reset deals outperformed non-reset deals by approximately 2–4 percentage points based on median IRRs.

Yesterday saw several US BSL CLO and EU CLO equity tranches from the 2018–2021 and 2024 vintages trade in the secondary market.

Reset tranches have notably outperformed their non-reset counterparts, with a median outperformance of approximately 5–6 percentage points.

The top performers include Oak Hill Advisors, UBS AM, and Oaktree Capital Management.