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 recent new-issue transaction, Sixth Street CLO 34, shows a clear contrast between relatively tight senior tranche pricing and wider junior tranche spreads compared with other top-tier prints.
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.
Compared with 19 October, the latest data as of 23 October shows weaker market value coverage across all vintage cohorts, with the impact most pronounced at the B and equity levels.
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.
