CLO Research

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...

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 crucial point-in-time metric for pricing CLO-rated tranches, closely monitored by primary and secondary market participants.

Of the 80 largest US CLO managers, 34 have a highly favourable AUM breakdown by reinvestment period (RP), with less than 5% of their total US CLO AUM outside RPs. Thanks to the resets and redemptions of older deals, the RP profile of many managers has become considerably more favourable, with fewer deals now outside their reinvestment periods.

Across these vintages, reset deals outperformed their non-reset counterparts, underscoring the value of resetting.

Fully liquidated US CLO deals from the 2012–2015 vintages show that 2014 delivered the weakest performance, while 2012 achieved a median IRR of around 12% (assuming a 95% issue price). Across vintages, reset deals outperformed non-reset deals by approximately 2–4 percentage points based on median IRRs.

The CLO market has reached yet another milestone in terms of collateral AUM, surpassing US$1.5 trillion as at 30 September...

Looking at BSL CLO BB tranches traded via BWIC between 27–29 October and 3–6 November 2025, the tables below summarise the benchmark* and non-benchmark DM cover levels, categorised by MVOC and reinvestment period. Comparing some of the top-tier bonds with reinvestment periods ending in 2029–2030 and MVOCs between 106 and 107h on 27 October and 6 November, the market appears stable, with little change observed.

The CLO market reached another milestone in collateral AUM, hitting US$1.5 trillion as at 30 September 2025. The EU CLO market represents roughly one-third the size of the US BSL CLO market. The table below shows the full list of CLO managers, ranked by their global CLO collateral AUM in USD billions as at 30 September 2025. Collateral AUM is used rather than CLO liabilities, as liability notionals would otherwise overstate the actual AUM.

The CLO market reached another milestone in collateral AUM, hitting US$1.5 trillion as at 30 September 2025.

The table below presents the collateral AUM notionals, categorised by vintage, for each US BSL CLO manager, based on deals priced on or before 30 September 2025.

Please see the table below for the top 10 largest EU CLO managers and their collateral AUM trends since 2017 (rather than CLO liabilities), based on data from PitchBook and Intex.

Yesterday saw several US BSL CLO and EU CLO equity tranches from the 2018–2021 and 2024 vintages trade in the secondary market.

The table below presents the collateral AUM notionals, categorised by vintage, for each EU CLO manager, based on deals priced on or before 30 September 2025.

The table below provides the full list of 71 EU CLO managers and their collateral AUM trends since 2017. Collectively, they oversee a total of €281 billion in CLO collateral assets under management (rather than CLO liabilities) as at 30 September 2025.

Yesterday saw a nice line-up of BB tranches traded, each with a notional of one million, providing useful pricing colour....