US CLOs: Exposure to Vision Solutions
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.
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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.
This article explores the likelihood of deals facing BB tranche impairment, based on a simple set of assumptions, to provide a rough indication of BB tranches that may be under stress.
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 6 April 2026.
Looking at discounted BSL CLO BB tranches traded via BWICs since 21 January 2026, the table below summarise DM cover levels, grouped by manager tiering and MVOC, for deals with reinvestment periods ending in 2029/30/31.
US CLOs: AAA Reset Pricing and the Outlook for Spreads
Generally speaking, the below-80 price exposure is spread across different industries, with no single industry dominating the exposure, highlighting the idiosyncratic nature of the risks associated with these assets.
Among the 2012–2021 vintages, only 3.6% of EU CLO BB tranches show an MVOC below 100%, compared with 23.1% for US BSL CLOs. Meanwhile, 26.6% of US BSL deals report negative equity NAV, versus 30.0% for EU CLO deals.
If you are an investor and would be interested in trial access, the Basic content is available on a two-week trial once the trial subscription agreement is in place.
Arbitrage Comparison: US BSL CLOs vs EU CLOs
EU CLOs: Exposure to BME Group Holding BV
Based on asset prices as of 20 March 2026, the median deal has approximately 5.8% and 2.4% of assets trading below 80 and 70, respectively. Around 6.6% of assets are quoted above par.
US CLOs: Exposure to Renaissance Holding Corp
EU CLOs: Exposure to Patagonia Bidco TL
Among the 2012–2021 vintages, only 2.7% of EU CLO BB tranches show an MVOC below 100%, compared with 22.6% for US BSL CLOs. Meanwhile, 25.7% of US BSL deals report negative equity NAV, versus 28.5% for EU CLO deals.
