EU Module

The table below presents the IRRs by vintage for fully liquidated EU CLO deals from the 2013 to 2023 vintages, based on a sample of 134 deals.

A sample of 545 EU CLO deals is used in this study. Called deals and static deals are excluded from the sample.

EU CLOs’ overall exposure to the ION Platform term loan is approximately EUR 1.49 billion. As of 6 March 2026, 395 EU CLO deals, managed by 50 managers, reported an average deal-level exposure of around 92 bps.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 2 March 2026.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 27 February 2026.

In terms of industry exposure, the median deal has approximately 7.5% and 1.9% exposure to the software and IT services sectors, respectively, based on S&P’s industry classification, and 0% exposure to software and IT services names trading below 80.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 23 February 2026.

This article sets out the average annualised prepayment rates for each seasoned manager across the first five years of the post-reinvestment period (post-RP). It also shows, for each CLO manager, how many of their deals were called or reset in each of those years, together with the annualised post-RP prepayment rates for each deal in the sample.

The table below lists all EU CLO managers, ranked by their EU CLO collateral AUM (rather than CLO liabilities), expressed in EUR billions, together with their share of the €289.3 billion market as of December 31, 2025. The 18 largest managers collectively account for 50% of the market.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 9 February 2026.

Against the backdrop of a much tighter WACC, EU primary CLOs are now generating arbitrage of around 180 bps, which represents a healthy level for the market compared with the past six to seven months.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 30 January 2026.

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.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 23 January 2026.

Notices announcing full optional redemptions through liquidation have been issued for GoldenTree Loan Management EUR CLO 4 and EUR CLO...