From AAA to Equity: CLO MVOC and Equity NAV (19 October 2026)

Below are tables presenting the MVOC (AAA–B) and equity NAV of US BSL and EU CLO deals by vintage, based on asset prices as of 19 October 2026. US CLO MVOC and equity NAV metrics reveal persistent weakness across older vintages, particularly among deals issued between 2014 and 2019. At the BB tranche level, the 2014 and 2015 vintages record the highest proportions of deals with MVOC below 100, at 45.5% and 40.9%, respectively, followed by 2018 (34.5%). At the B tranche level, weakness is more pronounced, with 80.0% of 2014 deals, 61.5% of 2015 deals and 58.1% of 2018 deals reporting sub-100 MVOC. Equity NAV weakness is particularly evident in the 2018 vintage, where 36.0% of deals have negative NAV, followed by 2016 (30.4%) and 2019 (26.0%).