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As of 6 March 2026, the arbitrage metric for non-short-dated US CLOs has improved significantly, reflecting a materially wider four-week moving-average loan discounted spread relative to the widening in liability spreads. At approximately 202 bps, this has returned to levels last seen in early January 2025.
Among managers with at least eight deals in the sample, four delivered top-tier performance in early 2025. As of the latest reading, those same four managers remain in the top quartile.
More broadly, managers that previously achieved top-tier performance have generally continued to perform well.
Generally speaking, managers that previously achieved top-tier performance have continued to perform well.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 2 March 2026.
A sample of 133 deals from the 2024 and 1Q 2025 vintages is used. Each deal’s underlying collateral weighted average spread (WAS) is adjusted for its weighted average price (WAP) as of 2 March 2026. The adjusted WAS also takes par losses into account.
A sample of 106 deals from the 2021 and 1Q 2022 vintages is used. Each deal’s underlying collateral weighted average spread (WAS) is adjusted for its weighted average price (WAP) as of 2 March 2026. The adjusted WAS also takes par losses into account.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of February 27, 2026.
Among managers with at least eight deals in the sample, four delivered top-tier performance in early 2025. As of the latest reading, three remain in the top quartile, while one has moved into the second quartile.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 27 February 2026.
Looking at managers with at least 11 deals in the sample, eight delivered top-tier performance in early 2025. As of the latest reading, five have remained in the top quartile. Two have moved down to the second quartile, and one has declined to the third quartile. Overall, managers that previously achieved top-tier performance have broadly continued to perform well.
EU CLOs’ overall exposure to Adonis TL is approximately EUR 413 million. As of 27 February 2026, 209 EU CLO deals, managed by 25 managers, reported an average deal-level exposure of around 52 bps.
RRE 28 Loan Management CLO achieved a record tight AAA–BB pricing differential on 10 February. However, that record was quickly surpassed by Avoca CLO XXXV, which set a new benchmark in the 2.0 EU CLO market. With its AAA priced at 120 DM and BB at 445 DM — implying a record-tight 325 DM differential — and Mizuho acting as arranger, the timing could hardly have been better.
US CLOs’ aggregate exposure to the Internet Brands term loan stands at approximately USD 2.92 billion, ranking it as the 27th largest underlying exposure across the US CLO universe.
In terms of industry exposure, the median deal has approximately 7.5% and 1.9% exposure to the software and IT services sectors, respectively, based on S&P’s industry classification, and 0% exposure to software and IT services names trading below 80.
