US BSL CLO Managers Ranked by MVOC as of October 19, 2026
A sample of 1,619 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
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A sample of 1,619 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
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 19 October 2026. US CLO MVOC and equity NAV metrics reveal persistent weakness across older vintages, particularly among deals issued between 2014 and 2019. At the BB tranche level, the 2014 and 2015 vintages record the highest proportions of deals with MVOC below 100, at 45.5% and 40.9%, respectively, followed by 2018 (34.5%). At the B tranche level, weakness is more pronounced, with 80.0% of 2014 deals, 61.5% of 2015 deals and 58.1% of 2018 deals reporting sub-100 MVOC. Equity NAV weakness is particularly evident in the 2018 vintage, where 36.0% of deals have negative NAV, followed by 2016 (30.4%) and 2019 (26.0%).
This analysis examines the best exit trades across 17 CLO deals managed by Diameter Capital.
GoldenTree's best exit trades, defined as loan sales executed at least five points above their market prices, highlight the benefits of timely loan disposals. The largest contributions came from Cablevision Systems, Leslie's Poolmart, Central Parent, Acrisure and Houghton Mifflin Harcourt.
The study covers a sample of 556 EU CLO deals issued between 2013 and the first half of 2025. Static deals and those with a collateral pool factor below 60% are excluded from the analysis.
A sample of 1,639 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
The analysis examines the best exit trades across all 19 AIMCO CLO deals, defined as loan sales executed at least 5 points above their market bid prices as at 6 October 2026. Of the 3,189 loan sales with available market prices, 756 trades across 24 issuers, representing approximately $297m in face value, met the minimum 5-point price differential criterion. These trades were executed at a weighted average sale price of 84.3, approximately 33.7 points above their market prices as at 6 October 2026, translating into an estimated $100m in avoided mark-to-market losses.
US CLO new-issue volume reached $126.8bn across 271 deals in the first nine months of 2026, down 17.6% by volume and 15.0% by deal count compared with the same period in 2025. EU CLO issuance held up considerably better over the same period. New-issue volume remained broadly stable at €48.3bn across 114 deals, with volume down just 0.5% and deal count up 1.8% compared with the first nine months of 2025.
Virgin Media exposure across the EU CLOs shown totals €1.92bn across 605 deals, comprising €1.71bn in loans and €205.9m in bonds. Average exposure is €3.17m per deal, or 0.79% of portfolio size.
US CLO exposure to Virgin Media term loans totals $2.16bn across 1,269 deals, averaging $1.70m per deal, or 0.43% of portfolio size. Exposure is widely distributed, although average position sizes vary considerably across managers.
The analysis covers new-issue EU BSL CLOs priced between 2 February 2022 and 1 October 2026 with a reported discount margin (DM), sourced from SCI. Deals with reinvestment periods of less than 3.9 years are excluded, as are a selected group of deals that were not competitively priced.
A sample of 558 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 1,641 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
The analysis covers new-issue EU BSL CLOs priced between 2 February 2022 and 25 September 2026 with a reported discount margin (DM), sourced from SCI. Deals with reinvestment periods of less than 3.9 years are excluded, as are a selected group of deals that were not competitively priced.
A sample of six top-tier CLO deals* is used as a proxy for a new-issue CLO portfolio. The combined loan portfolios are rebalanced monthly, with loans priced below 92 excluded. On the liability side, the tightest deal-level par-weighted DM (WACC) among qualifying deals is identified each week, and the average of the three tightest weekly observations in each month is used as the monthly benchmark.
