A sample of 106 deals from the 2021 and 1Q 2022 vintages is used. Each deal’s underlying collateral weighted average spread (WAS) is adjusted for its weighted average price (WAP) as of 2 March 2026. The adjusted WAS also takes par losses into account.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of February 27, 2026.
I’m pleased to be moderating at the Structured Credit Investor CLO 100 event on 4 March in London. Specifically, I will be moderating the sessions on CLO manager dispersion and manager and portfolio tiering. I believe these topics will be particularly relevant in the current climate.
Among managers with at least eight deals in the sample, four delivered top-tier performance in early 2025. As of the latest reading, three remain in the top quartile, while one has moved into the second quartile.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 27 February 2026.
Looking at managers with at least 11 deals in the sample, eight delivered top-tier performance in early 2025. As of the latest reading, five have remained in the top quartile. Two have moved down to the second quartile, and one has declined to the third quartile. Overall, managers that previously achieved top-tier performance have broadly continued to perform well.
Please see below a selection of articles highlighting manager-level exposure to some of the more challenging credits.
EU CLOs’ overall exposure to Adonis TL is approximately EUR 413 million. As of 27 February 2026, 209 EU CLO deals, managed by 25 managers, reported an average deal-level exposure of around 52 bps.
RRE 28 Loan Management CLO achieved a record tight AAA–BB pricing differential on 10 February. However, that record was quickly surpassed by Avoca CLO XXXV, which set a new benchmark in the 2.0 EU CLO market. With its AAA priced at 120 DM and BB at 445 DM — implying a record-tight 325 DM differential — and Mizuho acting as arranger, the timing could hardly have been better.
US CLOs’ aggregate exposure to the Internet Brands term loan stands at approximately USD 2.92 billion, ranking it as the 27th largest underlying exposure across the US CLO universe.
On 17 February 2026, the Financial Conduct Authority (FCA) and the Prudential Regulation Authority (PRA) issued consultation papers outlining proposed...
In terms of industry exposure, the median deal has approximately 7.5% and 1.9% exposure to the software and IT services sectors, respectively, based on S&P’s industry classification, and 0% exposure to software and IT services names trading below 80.
Between 31 October 2025 and 18 February 2026, over 160 CLO equity tranches were placed on BWIC with released covers, best bids or price talks.
A sample of 583 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 (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 23 February 2026.
