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On 17 February 2026, the Financial Conduct Authority (FCA) and the Prudential Regulation Authority (PRA) issued consultation papers outlining proposed...
Among the 2012–2021 vintage deals, only 2.1% of EU CLO BB tranches show an MVOC below 100%, compared with 23% for US BSL CLOs. Coincidentally, around 26.1% of both US BSL and EU CLO deals report negative equity NAV.
This study is based on a sample of 1,633 U.S. BSL CLO deals. Static deals are excluded from the analysis.
A sample of 545 EU CLO deals is used in this study. Called deals and static deals are excluded from the sample.
Among the 2012–2021 vintage deals, only 2.1% of EU CLO BB tranches show an MVOC below 100%, compared with 23% for US BSL CLOs. Coincidentally, around 26.1% of both US BSL and EU CLO deals report negative equity NAV.
