Basic

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 26 June 2026.

This model tracks reported WAS and WARF trends across 129 US BSL CLO managers, with monthly data dating back to April 2013. Select up to five manager-vintage combinations from the dropdown menus, and the chart will instantly compare their WAS and/or WARF levels.

Over the past year, more than 2,000 BWIC line items for rated EU CLO bonds have been observed. Among them, 261 line items across the AAA to single-B rating spectrum were called at par. Of these, 218 had a cover price at or above par, while 43 had a cover price below par.

The table below shows the average annualised prepayment rates for each seasoned manager in the first, second, third, fourth and fifth years of the post-reinvestment period (post-RP). The sample includes seasoned deals that had exited their reinvestment periods by 31 December 2024. Eight EU CLO managers have maintained single-digit annualised prepayment rates during either the first and second years or the second and third years of the post-RP period across their seasoned deals.

The technically strong loan market, with around half or more loans trading above par, has resulted in a relatively active month-to-date secondary market for EU CLO single-B tranches. A total of 27 single-B tranches have traded on BWIC with trading colour available (source: Structured Credit Investor). For deals with reinvestment periods ending between late 2028 and 2030, discount margins (DMs) based on cover prices span a wide range, from 830 bps to 1,340 bps. As shown in the table in this article, DMs can rise sharply once MVOC falls into the 102.0%–102.5% range, with levels approaching 1,000 bps. Beyond this point, DMs tend to widen disproportionately with each incremental decline in MVOC, highlighting the increasingly asymmetric risk profile of investing in single-B tranches...

Please find the download link below for the latest interactive US primary and reset CLO issuance arranger and manager league tables. Users can customise the analysis by selecting the relevant date windows and deal types, with the arranger and manager rankings updating automatically based on the chosen criteria. From a debt perspective, a reset resembles a significant prepayment event, with all debt tranches prepaid at par. Lower mezzanine tranche investors, in particular, typically favour deals with a higher likelihood of being reset, as it provides a safeguard similar to an effective insurance policy. For underperforming deals, lower mezzanine tranches with low MVOCs might trade at a discount, even in strong loan markets. A reset pulls these tranches back to par, thereby mitigating losses. Equity investors could also derive considerable value from resets.

The table below presents benchmark BB tranche discount margins (DMs) for US CLOs with reinvestment periods ending in 2029-2031, across different MVOC bands and manager tiers. The benchmark levels are derived from average DM prints by MVOC band and manager tier, based on trading colour (source: SCI) observed since mid-April.

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.

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.

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.

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.

Please find below the download link for the interactive CLO manager collateral AUM ranking tables.