As of March 31, 2026, total US CLO collateral AUM stood at USD 1.21 trillion. The ten largest managers are Blackstone, Golub Capital, The Carlyle Group, Ares Management, CIFC Asset Management, Redding Ridge Asset Management, UBS Asset Management, BlackRock, Elmwood Asset Management, and Neuberger Berman.
Looking at CLO BB tranches traded via BWICs since 14 April 2026, the table 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. DMs for top-tier bonds ranged from 499 to 692 bps, mid-tier bonds from 553 to 853 bps, and lower-tier bonds from 597 to 935 bps.
Just as the first signs of spring draw people out into the streets, an improving trading backdrop, combined with post-April payment dates, brought a wave of equity tranches into BWIC last week, with every tranche trading with released covers.
A sample of 1,664 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
Among the 2012–2021 vintages, only 1.8% of EU CLO BB tranches show an MVOC below 100%, compared with 15.5% or US BSL CLOs. Meanwhile, 19.0% of US BSL deals report negative equity NAV, versus 15.4% for EU CLO deals.
A sample of 579 EU CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 60% are excluded.
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.
US CLOs’ overall exposure to American Trailer World Corp term loans is approximately USD 483.9 million. As of 20 April 2026, 319 US CLO deals, managed by 24 managers, reported an average deal-level exposure of around 40 bps.
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.
Below are tables presenting the MVOC (BB–B) and equity NAV of US BSL and EU CLO deals by vintage, based on asset prices as of 17 April 2026.
A sample of 1,668 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
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.
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.
Yesterday was a busy day, with significant trading activity at the BB level. A total of 22 line items, amounting to around USD 59 million of US BSL BB bonds, were on the list, with just over 55% of notionals traded. Meanwhile, 12 line items totalling around EUR 28 million of notionals were listed, all of which were traded.
