Overview of EU CLO Asset Pricing and Selected Industry Exposures
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.
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.
A sample of 1,692 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
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.
The analysis covers 1,719 US BSL CLO deals across vintages from 2012 to 1H 2025, excluding deals with a collateral pool factor below 55%. Based on asset prices as at 5 February 2026, the overall median below-80 exposure stood at 4.7%, which is elevated from a CLO equity perspective. Such exposures are typically penalised in cashflow modelling, weighing on CLO equity valuations.
Tracking exposure to underlying CLO collateral priced below 80 and 70 can serve as a useful proxy for assessing tail risk within the asset pool. While this metric has inherent limitations—most notably that it does not capture stressed or distressed positions that have already been traded out of the collateral pools—it nevertheless provides a timely and standardised snapshot of downside risk embedded within CLO collateral portfolios.
Tracking price buckets at 80/70/60 or below for CLO underlying collateral can be useful in assessing tail risk in the asset pool.
