US Module

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.

Despite broader year-to-date widening in both discounted asset and liability spreads, recent tightening in liability spreads has outpaced that of assets, leaving new-issue arbitrage at around 167 bps as of 30 April.

Just as the first signs of spring draw people out into the streets, an improving trading backdrop, combined with post-April payment dates, brought a wave of equity tranches into BWIC last week, with every tranche trading with released covers.

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.

The table below presents the IRRs by vintage for fully liquidated US CLO deals from the 2012 to 2023 vintages, based on a sample of 958 deals.

This study is based on a sample of 1,633 U.S. BSL CLO deals. Static deals are excluded from the analysis.

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.

Between 31 October 2025 and 18 February 2026, over 160 CLO equity tranches were placed on BWIC with released covers, best bids or price talks.

A sample of 1,705 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.

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 20, 2026. Around 15% of deals from the seasoned 2012–2021 vintages are showing MVOC below 100% at the BB level. This increases to approximately 33% at the single-B level. Over the same vintages, roughly 19% of deals are reporting negative equity NAVs.

On Tuesday, close to USD 200 million of US CLO equity tranches were offered on BWICs, with four majority stakes in circulation. Of these, only one majority stake traded. Market conditions remain challenging, with asset spread compression, elevated idiosyncratic risks, and several tranches attracting bids below clean equity NAV due to longer non-call periods.

This study is based on a sample of 1,710 U.S. BSL CLO deals. Among the 112 managers included, twelve delivered strong results, with an average ranking (percentile) of 75th or higher.

This week saw several US CLO equity tranches trade or be talked at levels materially lower than on their previous BWIC dates.

The top performers include Oak Hill Advisors, UBS AM, and Oaktree Capital.