Based on a sample of 958 and 134 fully liquidated 2.0 US and EU CLO deals, respectively, EU CLO equity tranches have generally outperformed their US counterparts across vintages.
Among the 2012–2021 vintages, only 2.7% of EU CLO BB tranches show an MVOC below 100%, compared with 22.6% for US BSL CLOs. Meanwhile, 25.7% of US BSL deals report negative equity NAV, versus 28.5% for EU CLO deals.
EU CLOs: Exposure to Winterfell Financing (Stark Group) TLs
US CLOs’ overall exposure to PerForce Software term loans is approximately USD 889.95 million. As of 19 March 2026, 473 US CLO deals, managed by 28 managers, reported an average deal-level exposure of around 38 bps.
US CLOs’ overall exposure to Planview Parent term loans is approximately USD 980.5 million. As of 19 March 2026, 651 US CLO deals, managed by 36 managers, reported an average deal-level exposure of around 37 bps.
As of March 24, 2026, the arbitrage metric for non-short-dated US CLOs has improved significantly, reflecting a materially wider four-week moving-average loan discounted spread relative to the widening in liability spreads. At approximately 201 bps, this has returned to levels last seen in early January 2025.
Monday’s BWIC provided useful insight into current trading levels for lower-MVOC EU CLO BB tranches and single-B tranches.
A sample of 1,692 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
Generally speaking, managers that previously achieved top-tier performance have continued to perform well.
Among the 2012–2021 vintages, only 2.4% of EU CLO BB tranches show an MVOC below 100%, compared with 22.2% for US BSL CLOs. Meanwhile, 25.5% of US BSL deals report negative equity NAV, versus 28.0% for EU CLO deals.
A sample of 580 EU CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 60% are excluded.
The table below presents the IRRs by vintage for fully liquidated EU CLO deals from the 2013 to 2023 vintages, based on a sample of 134 deals.
The table below presents the IRRs by vintage for fully liquidated US CLO deals from the 2012 to 2023 vintages, based on a sample of 958 deals.
The table below shows the latest notional exposure of US CLO managers to Optiv. Overall exposure across US CLOs has declined from US$129 million to US$97.9 million.
Looking at discounted BSL CLO BB tranches traded via BWICs since 8 January 2026, the tables below summarise DM cover levels, grouped by manager tiering and MVOC, for deals with reinvestment periods ending in 2029/30 and 2026/27.
