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A relatively small list of EU CLO AAA bonds, including some odd lots, was traded yesterday. Despite their size, they still provide useful reference points for the term structure of AAA DMs, as summarised in the table below.
US CLOs’ overall exposure to RealTruck (Tectum) term loans is approximately USD 823.4 million. As of 15 April 2026, 588 US CLO deals, managed by 36 managers, reported an average deal-level exposure of around 36 bps.
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.
US CLOs’ overall exposure to RealTruck (Tectum) term loans is approximately USD 823.4 million. As of 15 April 2026, 588 US CLO deals, managed by 36 managers, reported an average deal-level exposure of around 36 bps.
