From BB to Equity: CLO MVOC and Equity NAV (12 June 2026)
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 12 June 2026.
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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 12 June 2026.
Arbitrage in the first half of 2025 was healthy, supported by wider asset spreads and tighter liability prints. In the second half of 2025, however, it generally ranged between 144 and 156 bps. When volatility spiked in February 2026, arbitrage improved to levels seen in early 2025, although it subsequently narrowed again, with the latest readings in the range of 150–160 bps.
A sample of 333 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 June 5, 2026.
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.
A sample of 1,657 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
A sample of 581 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 1,657 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
In the US BSL CLO market, 12 and 27 managers offer average pairwise overlap levels of below 50% across their optimal five-deal and three-deal combinations, respectively. The table below presents the average pairwise overlap for these optimal combinations by manager.
Is it possible to achieve low overlap among three deals from the same EU CLO manager? In the EU CLO market, 18 managers offer an average pairwise overlap of less than 50% across their optimal three deals.
A sample of 581 EU CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 60% are excluded.
Among the 2012–2021 vintages, only 0.3% of EU CLO BB tranches show an MVOC below 100%, compared with 15.9% for US BSL CLOs. Meanwhile, 19.5% of US BSL deals report negative equity NAV, versus 11.7% for EU CLO deals.
A sample of 1,658 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
AAA/AA investors are always thinking about systemic risks, and one way to reduce this risk is to minimise overlap exposure within their portfolios. The beauty of this model is that users can choose from a pool of CLO deals managed by managers they favour and optimise the portfolio for the lowest possible overlap risk based on the target number of positions they are looking to hold. Please find the download link below for the overlap optimisation model, which allows users to select from a pool of US BSL CLO deals to be added to an existing portfolio, with the model identifying the optimal outcome from an overlap perspective.
Please find the download link below for the overlap optimisation model, which allows users to select from a pool of EU CLO deals to be added to an existing portfolio, with the model identifying the optimal outcome from an overlap perspective.
Yesterday’s US BB CLO BWIC highlighted strong demand for top-tier names with higher MVOC levels, as reflected in their tighter DM prints relative to benchmark levels. Benchmark levels refer to the average DM prints by MVOC and manager tiering, based on BWIC trading colour observed since mid-April.
