CLO Research

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.

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.

The table below shows the top 50 managers by BWIC traded volume from September 2023 to August 2026, alongside their CLO AUM shares as of June 2026. The comparison between BWIC traded-volume shares and CLO AUM shares highlights several striking differences:

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.

The study covers a sample of 556 EU CLO deals issued between 2013 and the first half of 2025. Static deals and those with a collateral pool factor below 60% are excluded from the analysis.

This study is based on a sample of 1,806 U.S. BSL CLO deals. Static deals are excluded from the analysis. Equity performance remains one of the most closely watched measures of CLO manager performance, given its importance to a broad range of stakeholders. A manager that consistently delivers for equity investors may be better positioned to attract equity capital for future deals, which in turn can support continued issuance and the further growth of its CLO platform.

Equity performance remains one of the most closely watched measures of CLO manager performance, given its importance to a broad range of stakeholders. A manager that consistently delivers for equity investors may be better positioned to attract equity capital for future deals, which in turn can support continued issuance and the further growth of its CLO platform.

The comparison between manager MVOC rankings and US CLO new-issue pricing since July 2026 reveals a mixed relationship. Some managers with stronger MVOC rankings, including Elmwood, Benefit Street Partners, CIFC, OCP and CVC, generally achieved strong pricing across the capital structure.

The comparison between manager MVOC rankings and new-issue pricing since July 2026, as shown in the table below, reveals a mixed relationship. Some managers with stronger MVOC rankings, including Capital Four, Brigade, Partners Group, RBC BlueBay and KKR, generally achieved strong pricing across the capital structure.