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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 by vintage, based on asset prices as of 17 April 2026, for the sample of EU CLOs. The sample’s overall average below-90 price exposure stands at 13.6%. The top ten industries account for close to 70% of total below-90 exposure, suggesting that the build-up in idiosyncratic risk remains relatively well distributed across a range of industries.
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 table below shows the latest below-90 price exposure by vintage, based on asset prices as of 17 April 2026, for the sample of EU CLOs. The sample’s overall average below-90 price exposure stands at 13.6%. The top ten industries account for close to 70% of total below-90 exposure, suggesting that the build-up in idiosyncratic risk remains relatively well distributed across a range of industries.
The table below shows the latest below-90 price exposure by vintage, based on asset prices as of 17 April 2026, for the sample of EU CLOs. The sample’s overall average below-90 price exposure stands at 13.6%. The top ten industries account for close to 70% of total below-90 exposure, suggesting that the build-up in idiosyncratic risk remains relatively well distributed across a range of industries.
