2021-Vintage European CLOs: How Much Collateral Fell Below 80?

Across the 2021-vintage European CLOs in the sample, an average of 14.71% of the original collateral balance fell into price bands below 80. Against this backdrop, single-B tranches from this vintage face significant idiosyncratic credit risks. Around 37% of the single-B tranches in the sample had MVOC below 100%, contributing to market concerns about potential impairment across parts of this segment of the EU CLO market. At the lower end, Bridgepoint CLOs 2 and 3 had just 6.47% and 6.17% below 80, respectively. The five RRE deals had sub-80 shares ranging from 7.34% to 8.50%, with each holding less than 0.2% below 60. Capital Four CLO III also had relatively limited exposure, with 7.68% below 80 and 1.61% below 60.