CLO Equity BWIC Update
A sample of 18 CLO equity positions is included in this study. These positions were placed on BWIC, with trading colour available since 7 July 2026.
A sample of 18 CLO equity positions is included in this study. These positions were placed on BWIC, with trading colour available since 7 July 2026.
A sample of 2,716 floating-rate US CLO single-A-rated tranches is included in this study. The first table presents the realised IRRs of single-A-rated BSL CLO tranches by vintage and issuance type (primary, refi, and reset), while the second table provides the corresponding IRR breakdown for middle-market CLO tranches.
A sample of 1,627 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 540 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 equity NAV of US BSL and EU CLO deals by vintage, based on asset prices as of 4 August 2026.
The chart below presents the average realised IRRs of fully repaid EU CLO tranches across the AAA to BB rating spectrum. Further details and analysis are available to CLOPremium subscribers.
A sample of 696 fully repaid EU CLO AA floating-rate and fixed-rate tranches with disclosed issue prices or DMs is included in this study. Overall, the floating-rate tranches have outperformed their fixed-rate counterparts.
A sample of 582 fully repaid EU CLO single-A floating-rate tranches with disclosed issue prices or DMs is included in this study. Tranches issued in 2022 and 2023 performed particularly well, generating average IRRs of more than 4% above three-month EURIBOR. By contrast, the 2017–2018 and 2021 vintages recorded the lowest average IRRs above three-month EURIBOR.
A sample of 642 fully repaid EU CLO AAA floating-rate tranches with disclosed issue prices or DMs is included in this study.
A sample of 550 fully repaid EU CLO BBB-rated floating-rate tranches with disclosed issue prices or DMs is included in this study.
Please see the tables below for the latest median MVOC metrics across the US and EU CLO capital structure.
A sample of 563 EU CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 60% are excluded. The MVOC at the BB level is used for the assessment of managers' capital preservation performance because it is less affected by deleveraging than the corresponding MVOC percentiles at the AAA, AA, or single-A levels, making it a more meaningful measure.
A sample of 1,640 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded. The MVOC percentile at the BB level is used because it is less affected by deleveraging than the corresponding MVOC percentiles at the AAA, AA, or single-A levels, making it a more meaningful measure of principal preservation.
Recently, CLO Research published an overlap optimisation model covering almost all outstanding US BSL, middle-market and EU CLO deals. Users can use the model to optimise their CLO investment positions and minimise overlap risk.
Below are tables presenting the MVOC (AAA–B) and equity NAV of US BSL and EU CLO deals by vintage, based on asset prices as of 17 July 2026.