Independent, clear, and trusted — CLO Research Group provides actionable insights for CLO debt and equity investors.
A sample of 335 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 10 April 2026. The adjusted WAS also incorporates par losses.
Independent, clear, and trusted — CLO Research Group provides actionable insights for CLO debt and equity investors.
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 10 April 2026.
A sample of 1,667 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
The following two tables illustrate arbitrage trends since late January/early February. Arbitrage is currently estimated at around 161 bps for US BSL CLOs and 195 bps for EU CLOs.
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.
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 1,666 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
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
The table also shows each manager’s below-80 price bucket breakdown by industry. Generally speaking, the below-80 price exposure is spread across different industries, with no single industry accounting for the majority of the exposure, highlighting the idiosyncratic nature of the risks associated with these assets.
A sample of 1,668 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
