CLO Research

A sample of 580 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 (BB–B) and equity NAV of US BSL and EU CLO deals by vintage, based on asset prices as of 17 April 2026.

A sample of 1,668 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.

US CLOs’ overall exposure to RealTruck (Tectum) term loans is approximately USD 823.4 million. As of 15 April 2026, 588 US CLO deals, managed by 36 managers, reported an average deal-level exposure of around 36 bps.

A relatively small list of EU CLO AAA bonds, including some odd lots, was traded yesterday. Despite their size, they still provide useful reference points for the term structure of AAA DMs, as summarised in the table below.

Yesterday was a busy day, with significant trading activity at the BB level. A total of 22 line items, amounting to around USD 59 million of US BSL BB bonds, were on the list, with just over 55% of notionals traded. Meanwhile, 12 line items totalling around EUR 28 million of notionals were listed, all of which were traded.

The term WAS, or Weighted Average Spread, refers to a key metric used to assess the risk associated with the underlying collateral of a CLO. In general, a higher WAS may indicate a riskier collateral pool, as some CLO managers may seek higher-yielding but potentially riskier investments in order to achieve arbitrage. What is important is to adjust the collateral WAS for loan prices as well as par losses. The adjusted WAS is a very useful metric for senior CLO tranche investors when pricing senior tranches. For example, all else being equal, AAA investors would typically demand a higher spread if the underlying collateral WAS is higher after adjusting for portfolio prices and par losses. AAA investors tend to be less concerned about idiosyncratic risks and more focused on systemic risks. A materially wider collateral WAS may therefore imply a higher probability of credit losses. A sample of 334 deals from the 2024 vintage is used, excluding static deals and those with a collateral factor below 0.75. Each deal’s underlying collateral weighted average spread (WAS) is adjusted to reflect its weighted average price (WAP) as of 10 April 2026. The adjusted WAS also incorporates par losses.

US CLO BB BWIC activity picked up last week, supported by slightly improved loan market sentiment. Across BB tranches with reinvestment end dates beyond 2029, discount margins showed a clear tiering effect...

A sample of 335 deals from the 1Q 2024 to 4Q 2024 vintages is used, excluding static deals and those with a collateral factor below 0.75. Each deal’s underlying collateral weighted average spread (WAS) is adjusted to reflect its weighted average price (WAP) as of 10 April 2026. The adjusted WAS also incorporates par losses.

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Below are tables presenting the MVOC (BB–B) and equity NAV of US BSL and EU CLO deals by vintage, based on asset prices as of 10 April 2026.

A sample of 1,667 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.

The following two tables illustrate arbitrage trends since late January/early February. Arbitrage is currently estimated at around 161 bps for US BSL CLOs and 195 bps for EU CLOs.

US CLOs’ overall exposure to Vision Solutions term loan is approximately USD 1.5 billion. As of 10 April 2026, 805 US CLO deals, managed by 44 managers, reported an average deal-level exposure of around 50 bps.

Diameter Capital CLO 6 priced its reset AAA at around 128 bps recently.