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If you are an investor and would like to explore our research, we are pleased to offer complimentary two-week trial access to our Basic content, subject to a trial agreement.
Looking at US BSL CLO BB tranches traded via BWICs since 14 April 2026, the graph below summarises DM cover levels (or best levels where DNT), grouped by manager tier and MVOC range for deals with reinvestment periods ending in 2029–2031.
The table below shows the latest below-90 price exposure, based on asset prices as of 17 April 2026, for the sample of EU CLOs by vintage. The sample’s overall average below-90 price exposure stands at 13.6%.
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.
The following two tables illustrate arbitrage trends since late January/early February. Arbitrage is currently estimated at around 161 bps for US BSL CLOs and 195 bps for EU CLOs.
The table below shows the latest below-90 price exposure, based on asset prices as of 17 April 2026, for the sample of EU CLOs by vintage. The sample’s overall average below-90 price exposure stands at 13.6%.
