CLO Research

US CLO new-issue volume reached $126.8bn across 271 deals in the first nine months of 2026, down 17.6% by volume and 15.0% by deal count compared with the same period in 2025. EU CLO issuance held up considerably better over the same period. New-issue volume remained broadly stable at €48.3bn across 114 deals, with volume down just 0.5% and deal count up 1.8% compared with the first nine months of 2025.

Virgin Media exposure across the EU CLOs shown totals €1.92bn across 605 deals, comprising €1.71bn in loans and €205.9m in bonds. Average exposure is €3.17m per deal, or 0.79% of portfolio size.

US CLO exposure to Virgin Media term loans totals $2.16bn across 1,269 deals, averaging $1.70m per deal, or 0.43% of portfolio size. Exposure is widely distributed, although average position sizes vary considerably across managers.

EU CLO exposure to Virgin Media term loans totals €1.71bn across 560 deals, averaging €3.06m per deal, or 0.76% of portfolio size.

A sample of 558 EU CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 60% are excluded.

A sample of 1,641 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.

Total exposure is €1.12bn across 41 managers and 381 deals, averaging €2.93m per deal, or 0.81% of portfolio size.

Total exposure is €438.2m across 26 managers and 214 deals, averaging about €2.0m per deal, or 0.51% of portfolio size.

In EU CLOs, total exposure to Merlin TL stands at €531.3m across 245 deals and 34 managers, averaging €2.17m per deal, or 0.56% of portfolio size. Exposure is relatively concentrated among a small group of managers. In comparison, US CLO exposure to Merlin TL totals $1.03bn across 701 deals and 42 managers, averaging $1.46m per deal, or 0.31% of portfolio size. Despite the larger overall exposure, it is spread across considerably more deals, resulting in a notably lower average exposure per deal relative to portfolio size than in EU CLOs.

The analysis covers new-issue EU BSL CLOs priced between 2 February 2022 and 25 September 2026 with a reported discount margin (DM), sourced from SCI. Deals with reinvestment periods of less than 3.9 years are excluded, as are a selected group of deals that were not competitively priced.

A sample of six top-tier CLO deals* is used as a proxy for a new-issue CLO portfolio. The combined loan portfolios are rebalanced monthly, with loans priced below 92 excluded. On the liability side, the tightest deal-level par-weighted DM (WACC) among qualifying deals is identified each week, and the average of the three tightest weekly observations in each month is used as the monthly benchmark.

We use the combined loan portfolios of five top-tier CLO deals* as a proxy for a new-issue CLO portfolio. The combined portfolio is rebalanced monthly, with loans priced below 92 excluded. On the liability side, the tightest deal-level par-weighted DM (WACC) among qualifying deals is identified each week, and the average of the three tightest weekly observations in each month is used as the monthly benchmark.

US BSL CLO new-issue spreads have rallied across the capital structure, led by the lower-rated tranches. AA and BBB are at their tightest weekly prints over the study period, while A and BB are close to theirs. The AAA–BB gap has narrowed to 323 bps, well below its 52-week average of 370 bps and study-period average of 473 bps. As the chart below shows, the gap is near its historical tights, suggesting that BB offers less relative value versus AAA than it has typically offered over the study period.

The sample comprises 29 US CLO deals priced between 6 August and 25 September 2026. For each deal, the table shows the pricing date, discount margins (DMs) from AAA to BB in bps, the CLO manager and the manager’s MVOC percentile. The August–September 2026 sample shows a clear pattern as shown in the table in this article: deals from managers with higher MVOC percentile rankings priced at tighter average DMs across every rating category from AAA to BB.

A sample of 1,643 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.