Featured Research

The 2018 vintage has experienced the highest impairment rate so far, with approximately 19% of single-B rated tranches having become impaired. Unfortunately, this rate is expected to rise further...

A sample of 351 fully repaid single-B tranches is included in this study. Overall, their performance has been very impressive, with an average realised IRR exceeding that of equity tranches. In addition, single-B tranches generally carry lower risk than equity, given their second-loss position in the capital structure.

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.

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.

This study is based on a sample of 1,600 U.S. BSL CLO deals. Static deals are excluded from the analysis.

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.

AAA/AA investors are always thinking about systemic risks, and one way to reduce this risk is to minimise overlap exposure within their portfolios. The beauty of this model is that users can choose from a pool of CLO deals managed by managers they favour and optimise the portfolio for the lowest possible overlap risk based on the target number of positions they are looking to hold. Please find the download link below for the overlap optimisation model, which allows users to select from a pool of US BSL CLO deals to be added to an existing portfolio, with the model identifying the optimal outcome from an overlap perspective.

Please find the download link below for the overlap optimisation model, which allows users to select from a pool of EU CLO deals to be added to an existing portfolio, with the model identifying the optimal outcome from an overlap perspective.

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

A sample of 542 EU CLO deals is used in this study. Called deals and static deals are excluded from the sample. Among the 54 managers with at least three deals in the sample, Bridgepoint Credit, Napier Park Global, RRAM and UBS AM stand out.

This file tracks Net Interest Margin (collateral gross coupon minus weighted average CLO tranche coupon) trends across 131 US BSL CLO managers, with monthly data dating back to March 2013. Select up to ten managers from the dropdown menus to compare manager-level margin trends relative to peers and the market average over time.

This file tracks reported WAS trends across 129 US BSL CLO managers, with monthly data going back to April 2013. Select up to ten managers from the dropdown menus, and the chart will instantly compare their spreads against each other and against the market average.

A sample of 414 deals from the 1Q 2020–2Q 2025 vintages is used, excluding static deals and those with a collateral factor below 0.80. Each deal’s underlying collateral weighted average spread (WAS) is adjusted for its weighted average price (WAP) as of 1 May 2026. The adjusted WAS also takes par losses into account.

The term WAS, or Weighted Average Spread, refers to a key metric used to assess the risk associated with the underlying collateral of a CLO. In general, a higher WAS may indicate a riskier collateral pool, as some CLO managers may seek higher-yielding but potentially riskier investments in order to achieve arbitrage. What is important is to adjust the collateral WAS for loan prices as well as par losses. The adjusted WAS is a very useful metric for senior CLO tranche investors when pricing senior tranches. For example, all else being equal, AAA investors would typically demand a higher spread if the underlying collateral WAS is higher after adjusting for portfolio prices and par losses. AAA investors tend to be less concerned about idiosyncratic risks and more focused on systemic risks. A materially wider collateral WAS may therefore imply a higher probability of credit losses. A sample of 334 deals from the 2024 vintage 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.