From BB to Equity: CLO MVOC and Equity NAV (6 April 2026)
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.
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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
EU CLOs: Exposure to BME Group Holding BV
Based on asset prices as of 20 March 2026, the median deal has approximately 5.8% and 2.4% of assets trading below 80 and 70, respectively. Around 6.6% of assets are quoted above par.
US CLOs: Exposure to Renaissance Holding Corp
EU CLOs: Exposure to Patagonia Bidco TL
Among the 2012–2021 vintages, only 2.7% of EU CLO BB tranches show an MVOC below 100%, compared with 22.6% for US BSL CLOs. Meanwhile, 25.7% of US BSL deals report negative equity NAV, versus 28.5% for EU CLO deals.
EU CLOs: Exposure to Winterfell Financing (Stark Group) TLs
US CLOs’ overall exposure to PerForce Software term loans is approximately USD 889.95 million. As of 19 March 2026, 473 US CLO deals, managed by 28 managers, reported an average deal-level exposure of around 38 bps.
US CLOs’ overall exposure to Planview Parent term loans is approximately USD 980.5 million. As of 19 March 2026, 651 US CLO deals, managed by 36 managers, reported an average deal-level exposure of around 37 bps.
