Recently, CLO Research published an overlap optimisation model covering almost all outstanding US BSL, middle-market and EU CLO deals. Users can use the model to optimise their CLO investment positions and minimise overlap risk.
As at 30 June 2026, total European CLO collateral AUM stood at €309.1bn. The three largest managers were CVC Credit Partners, Blackstone and Redding Ridge Asset Management, each managing more than €11bn of European CLO collateral.
Based on SCI’s BWIC data, US CLO BWIC activity over the past five years has seen meaningful shifts in both trading patterns and liquidity. BB tranches stand out for their high secondary-market turnover relative to their share of outstanding balances. BWIC execution has recovered steadily from the 2023–24 low, while fewer but larger trades have characterised the market more recently, particularly in AAA. Traded prices have also recovered strongly from the 2022–23 lows across CLO debt tranches, although performance has varied across the capital structure.
A sample of 1,231 CLO equity tranches from fully redeemed deals is used in this study. Some of the top-performing BSL CLO managers include...
A sample of 667 EU CLO deals is used in this study. Called deals and static deals are excluded from the sample.
Over the past five years, €76.1bn of European CLO paper was shown on BWICs, of which €47.7bn traded (source: SCI’s BWIC data), implying an overall hit rate of 62.7%. While AAAs accounted for the largest share of traded volume, they changed hands far less frequently relative to their weight in a typical CLO. Mezzanine tranches punched well above their structural weight, led by BBs, while single-B trading surged in the latest year—highlighting where secondary-market activity is most concentrated and opportunistic investors are most active.
