CLO Research

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.

The table below shows the 30 largest US CLO managers (BSL + MM), ranked by their US CLO assets under management (rather than CLO liabilities), in USD billions as of 31 December 2025.

A sample of 1,705 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded. Among managers with three to ten deals in the sample, Barrow Hanley, Aristotle, Diameter, Whitebox Capital and Hayfin Capital have performed well in terms of MVOC.

A sample of 1,705 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.

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 20, 2026. Around 15% of deals from the seasoned 2012–2021 vintages are showing MVOC below 100% at the BB level. This increases to approximately 33% at the single-B level. Over the same vintages, roughly 19% of deals are reporting negative equity NAVs.

US CLOs’ overall exposure to Tempo Acquisition (Alight Solutions) term loan is approximately USD 1.436 billion. As of 20 February 2026, 969 US CLO deals, managed by 65 managers, reported an average deal-level exposure of around 37 bps.

Over the last twelve months, according to SCI BWIC data, around US$56.2 billion of US BSL CLO tranches were placed on BWIC. AAA tranches accounted for close to US$29.0 billion of notional, followed by equity tranches at US$8.3 billion and BB tranches at US$7.2 billion, as shown in the table below. Single-B tranches remain the least liquid segment of the capital structure.

Over the last twelve months, according to SCI BWIC data, around US$56.2 billion of US BSL CLO tranches were placed on BWIC. AAA tranches accounted for close to US$29.0 billion of notional, followed by equity tranches at US$8.3 billion and BB tranches at US$7.2 billion, as shown in the table below. Single-B tranches remain the least liquid segment of the capital structure.

The table below shows the average annualised prepayment rates for each seasoned manager in the first, second, third, fourth and fifth years of the post-reinvestment period (post-RP). The sample includes deals that had exited their reinvestment periods by 31 December 2024.

This article sets out the average annualised prepayment rates for each seasoned manager across the first five years of the post-reinvestment period (post-RP). It also shows, for each CLO manager, how many of their deals were called or reset in each of those years, together with the annualised post-RP prepayment rates for each deal in the sample.

The table below lists the 30 largest US BSL CLO managers, ranked by their US BSL CLO collateral AUM (rather than CLO liabilities), expressed in USD billions, together with their share of the USD 993.1 billion market as of December 31, 2025. Collateral AUM is used instead of CLO liabilities, as liability notionals would overstate the actual AUM.