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.
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.
A sample of 581 EU CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 60% are excluded.
A sample of 1,666 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
The table also shows each manager’s below-80 price bucket breakdown by industry. Generally speaking, the below-80 price exposure is spread across different industries, with no single industry accounting for the majority of the exposure, highlighting the idiosyncratic nature of the risks associated with these assets.
A sample of 1,668 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
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.
