Compared with 19 October, the 23 October data shows a broad weakening in market value coverage and equity NAV across the 2013–1H 2025 vintage cohorts. The deterioration is particularly visible in the proportion of seasoned deals with BB or B MVOC below 100% and equity NAV below zero.
A sample of 1,636 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 1,619 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 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%).
A sample of 1,641 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
The sample comprises 29 US CLO deals priced between 6 August and 25 September 2026. For each deal, the table shows the pricing date, discount margins (DMs) from AAA to BB in bps, the CLO manager and the manager’s MVOC percentile. The August–September 2026 sample shows a clear pattern as shown in the table in this article: deals from managers with higher MVOC percentile rankings priced at tighter average DMs across every rating category from AAA to BB.
