A total of 317 US BSL CLO deals are now showing a negative equity NAV, including 95 deals from the 2018 vintage. Among single-B tranches, 169 out of 411 deals—or 41%—have an MVOC below par.
In contrast, there were no EU CLO deals with negative equity NAV as of 7 March, but by 14 April 2025, 22 deals—or 4.3% of the total sample—had moved into negative territory.
The timing of the current market volatility is particularly challenging for many seasoned deals, which had already been impacted by successive waves of loan repricing and are now facing renewed pressure on NAVs.
A total of 330 US BSL CLO deals are now showing a negative equity NAV, including 97 deals from the 2018 vintage.
Notably, EU CLO equity NAV metrics surpass those of their US BSL CLO counterparts across all vintages except for 2022 and 2023 deals, despite the latter having considerably more diversified underlying portfolios. In particular, the equity NAV metrics of EU CLOs from the 2013–2014 and 2018 vintages are markedly higher than those of their US counterparts.
Some of the more successful and consistent managers include CSAM, KKR, and CVC. Notably, CSAM, CVC, and KKR are top-ranked, with over 70% of their deals in the sample falling within the top 25%. Among managers with only two or three deals in the sample, Spire Partners and CIFC have also performed well, with at least two-thirds of their deals in the top quartile.
