From AAA to Equity: CLO MVOC and Equity NAV (4 August 2026)
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.
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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.
Please find the download link below for the latest interactive US and EU CLO primary, reset and refi issuance arranger and manager league tables. Users can customise the analysis by selecting their preferred date range, issuance type and deal type. The arranger and manager rankings will update automatically based on the selected criteria.
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.
A sample of 554 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.
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.
A sample of 538 fully repaid EU CLO BB tranches with disclosed issue prices or DMs is included in this study. Overall, their performance has been very impressive, with an average realised IRR of 10.1%.
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 13 July 2026.
A sample of 560 EU CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 60% are excluded.
A sample of 1,646 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
This week saw 22 line items of longer-dated EU CLO single-B bonds, totalling EUR 66.8 million, trade with released cover levels according to SCI's BWIC data. All of the bonds have reinvestment periods ending in 2029 or 2030. DMs ranged from a tight 870 to 973.
Please find the download link in this article for the overlap optimisation model. The model allows users to select up to 100 US and/or EU CLO deals from a user-defined pool of deals and identifies the optimal combination to minimise overlap.
