There is a significant divergence in exposure to loans priced below 80 among EU CLO managers, ranging from 1.4% to 24.1%. In contrast, the variation among US CLO managers is considerably narrower, ranging from 2.1% to 13.1%.
Ivanti Software exposure across US CLO managers totals approximately $728.8m, comprising $701.7m in first-lien loans (96.3%) and $27.1m in second-lien loans (3.7%).
The study covers a sample of 556 EU CLO deals issued between 2013 and the first half of 2025. Static deals and those with a collateral pool factor below 60% are excluded from the analysis. The sample of 556 CLO deals also shows an average 8.8% of collateral priced below 80, concentrated in the 60–70 and 70–80 bands, which together account for 7.3%. Exposure below 60 is comparatively limited at approximately 1.5%.
Recent vintages underperformed as distributions received over their shorter lives were insufficient to offset the capital losses implied by BWIC levels, weighing on overall returns.
EU CLO equity BWIC activity has remained subdued since June 2026, with 56 lines offered and 24 traded, according to SCI’s BWIC data, representing a trade ratio of 42.9%. On an original face value basis, €80.4m traded out of €288.3m offered, equivalent to a lower execution rate of 27.9%, partly reflecting several sizeable positions exceeding €10m each that did not trade.
The study covers a sample of 556 EU CLO deals issued between 2013 and the first half of 2025. Static deals and those with a collateral pool factor below 60% are excluded from the analysis.
