CLO Research

This study is based on a sample of 1,633 U.S. BSL CLO deals. Static deals are excluded from the analysis.

Among managers with at least eight deals in the sample, four delivered top-tier performance in early 2025. As of the latest reading, the same four managers remain in the top quartile.

US CLOs’ overall exposure to the Tempo Acquisition (Alight Solutions) term loan remains largely unchanged at approximately USD 1.44 billion. As of 6 March 2026, 955 US CLO deals, managed by 65 managers, reported an average deal-level exposure of around 37 bps.

EU CLOs’ overall exposure to the ION Platform term loan is approximately EUR 1.49 billion. As of 6 March 2026, 395 EU CLO deals, managed by 50 managers, reported an average deal-level exposure of around 92 bps.

EU CLOs’ overall exposure to Think-Cell TLs is approximately EUR 416 million. As of 6 March 2026, 161 EU CLO deals, managed by 16 managers, reported an average deal-level exposure of around 66 bps.

As of 6 March 2026, the arbitrage metric for non-short-dated US CLOs has improved significantly, reflecting a materially wider four-week moving-average loan discounted spread relative to the widening in liability spreads. At approximately 202 bps, this has returned to levels last seen in early January 2025.

Since early 2025, the three educational articles below have collectively garnered over 7,500 views, underscoring continued interest in succinct, practical and relevant CLO content.

Among managers with at least eight deals in the sample, four delivered top-tier performance in early 2025. As of the latest reading, those same four managers remain in the top quartile.

More broadly, managers that previously achieved top-tier performance have generally continued to perform well.

Generally speaking, managers that previously achieved top-tier performance have continued to perform well.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 2 March 2026.

A sample of 133 deals from the 2024 and 1Q 2025 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.

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.