US BSL CLOs: Idiosyncratic Risk Buckets in Collateral Pools

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.

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Tags:Assets below 70 price bucket Assets below 80 price bucket

US BSL CLOs: Idiosyncratic Risk Buckets in Collateral Pools

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US BSL CLOs: Idiosyncratic Risk Buckets in Collateral Pools

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