US BSL CLO MVOC and Equity NAV Across All Tranches and Vintages
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of December 17, 2025.
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Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of December 17, 2025.
The US CLOs’ overall exposure to the SonicWALL term loans is at around USD 621 million. As of 17 December 2025, 440 US CLO deals (from 23 managers) reported an average deal-level exposure of around 37 bps.
The US CLOs’ overall exposure to the Ply Gem/Pisces Midco/Cornerstone Building term loans is sizable at around USD 2.4 billion. As of 17 December 2025, 1,320 US CLO deals (from 81 managers) reported an average deal-level exposure of around 52 bps.
The US CLOs’ overall exposure to the MHS Holdings (Project Castle) Term Loan is slightly over USD 600 million. As of 17 December 2025, 393 US CLO deals (from 26 managers) reported an average deal-level exposure of around 36 bps.
The US CLOs’ overall exposure to the Oscar Acquisitionco LLC (Oldcastle BuildingEnvelope) Term Loan is slightly over USD 1.0 billion. As of 17 December 2025, 819 US CLO deals (from 43 managers) reported an average deal-level exposure of around 32 bps.
As at 16 December 2025, the latest arbitrage metric stood at 255 bps, broadly in line with the level observed in January 2025. However, the current backdrop is less favourable than it was in late January.
The EU CLOs’ overall exposure to the Ineos Quattro Term Loans is sizable at close to EUR 1.8 billion. As of 12 December 2025, 530 EU CLO deals (from 54 managers) reported an average deal-level exposure of around 85 bps.
In aggregate, US CLO managers have reduced their exposure to First Brands loans by around $1.0 billion, while EU CLO managers have reduced theirs by around €282 million. That said, some managers saw an increase in exposure as a result of DIP new money.
A sample of 1,581 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool...
This article examines when it is typically a good time to enter the CLO mezzanine market.
Last Thursday saw a remarkable surge in activity, with around US$1.5 billion of US CLO AAAs traded across 62 tranches — averaging around US$24 million per line item and underscoring the market’s deep liquidity.
Some of the larger top-performing US CLO managers include Allstate Investment Management, Oak Hill Advisors, L.P., CVC Credit Partners, BlackRock Financial Management, Benefit Street Partners, Onex Credit Partners, Sixth Street, and CIFC Asset Management. These managers have continued to demonstrate solid performance since early September, despite an increasing number of individual credits seeing sharp declines in bids below the 70 threshold in recent weeks.
With idiosyncratic risks continuing to erode collateral value, Redding Ridge Asset Management, GoldenTree Asset Management, and Bridgepoint Group remain among the leading EU CLO managers in terms of MVOC performance, reflecting their stronger collateral preservation relative to peers.
EU CLOs’ overall exposure to Altice Financing term loans (E+500 bps) and bonds stands at around EUR 1.2 billion (loans: EUR 0.47bn; bonds: EUR 0.72bn). As at 2 December 2025, 354 EU CLO deals (from 44 managers) reported an average deal-level exposure of approximately 90 bps.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of December 1, 2025.
