CLO Research

When everyone under Heaven recognises beauty as beautiful, then the idea of ugliness exists – Tao Te Ching, Chapter 2...

A Goldilocks loan market environment is generally most favourable for CLO equity—aside from the pull-to-par trades observed in 2020, 2022,...

A sample of 580 EU CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 60% are excluded. Market Value Over-Collateralization (MVOC), for instance, at the BB tranche level, is calculated by dividing the collateral market value (MV) by the sum of CLO liabilities (AAA to BB). MVOC is a key point-in-time metric for valuing CLO-rated tranches, widely tracked by participants in both primary and secondary markets.

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.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 9 February 2026.

As of 9 February 2026, the arbitrage metric for non-short-dated US CLOs has improved, reflecting a widening four-week moving-average loan discounted spread alongside tight liability prints. At approximately 173 bps, this has returned to levels last seen in early July 2025.