EU CLO discount margins tightened in early February before widening sharply in March, followed by a recovery through the spring and summer. September’s tightening gave way to renewed mezzanine widening in October, while senior pricing held firm.
Total exposure to INEOS Quattro term loans across the EU CLO managers listed declined by €149.8m, or 8.5%, from €1.76bn on 12 December 2025 to €1.61bn in the latest data.
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.
Compared with 19 October, the 23 October data shows a broad weakening in market value coverage and equity NAV across the 2013–1H 2025 vintage cohorts. The deterioration is particularly visible in the proportion of seasoned deals with BB or B MVOC below 100% and equity NAV below zero.
A sample of 1,638 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
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.
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.
The trades illustrate how selling below par can still preserve substantial value. OHA sold Signal Parent, Central Parent and Atlas CC Acquisition at weighted-average prices of approximately 84.3, 84.7 and 68.7, respectively. These positions, alongside Mitnick, now show no remaining exposure, highlighting the contribution of full exits ahead of further price deterioration.
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%).
Biscuit International exposure totals €322.8m across 15 EU CLO managers, averaging €2.7m per deal, or 0.81% of portfolio size.
JetBlue exposure totals $317.5m across 18 CLO managers. Average exposure per CLO deal remains modest at 0.28%, or 28 bps.
Tier-1 US BSL CLO spreads widened across all rating classes in the week commencing 12 October, partially reversing September’s tightening. BBs led the move, widening by 60 bps to 500 bps from late September, while AAAs edged just 0.7 bps wider to 118.5 bps. AA and BBB spreads also retreated from their September lows, while A spreads rose more modestly. The widening was concentrated in junior debt, pushing the AAA–BB spread gap from 322.2 bps to 381.5 bps. But mezzanine spreads remained well below their March peaks.
A sample of 554 EU CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 60% are excluded.
A sample of 1,619 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
Below are tables presenting the MVOC (AAA–B) and equity NAV of US BSL and EU CLO deals by vintage, based on asset prices as of 19 October 2026. US CLO MVOC and equity NAV metrics reveal persistent weakness across older vintages, particularly among deals issued between 2014 and 2019. At the BB tranche level, the 2014 and 2015 vintages record the highest proportions of deals with MVOC below 100, at 45.5% and 40.9%, respectively, followed by 2018 (34.5%). At the B tranche level, weakness is more pronounced, with 80.0% of 2014 deals, 61.5% of 2015 deals and 58.1% of 2018 deals reporting sub-100 MVOC. Equity NAV weakness is particularly evident in the 2018 vintage, where 36.0% of deals have negative NAV, followed by 2016 (30.4%) and 2019 (26.0%).
