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Yesterday was a busy day, with significant trading activity at the BB level. A total of 22 line items, amounting to around USD 59 million of US BSL BB bonds, were on the list, with just over 55% of notionals traded. Meanwhile, 12 line items totalling around EUR 28 million of notionals were listed, all of which were traded.
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US CLO BB BWIC activity picked up last week, supported by slightly improved loan market sentiment. Across BB tranches with reinvestment end dates beyond 2029, discount margins showed a clear tiering effect...
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.
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.
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
Generally speaking, the below-80 price exposure is spread across different industries, with no single industry dominating the exposure, highlighting the idiosyncratic nature of the risks associated with these assets.
Among the 2012–2021 vintages, only 3.6% of EU CLO BB tranches show an MVOC below 100%, compared with 23.1% for US BSL CLOs. Meanwhile, 26.6% of US BSL deals report negative equity NAV, versus 30.0% for EU CLO deals.
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Arbitrage Comparison: US BSL CLOs vs EU CLOs
