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Please find the download link below for the overlap optimisation model. The model allows users to select up to 100 US and/or EU CLO deals from a user-defined pool of deals and identifies the optimal combination to minimise overlap.

Repayment experience across 2021-vintage European CLO AAA tranches highlights the importance of distinguishing between redemption through a reset (or liquidation) and gradual amortisation. Tranches redeemed through resets generally achieved shorter weighted average lives (WALs) than projected under the standard 20% CPR assumption. Among those still outstanding, however, principal repayments have generally been slower than the same scenario anticipated, with considerable variation across deals.

EU CLO MVOC and equity NAV improved broadly between 23 and 30 October, reversing some of the previous week's deterioration.

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. The sample of 556 CLO deals also shows an average 8.8% of collateral priced below 80, concentrated in the 60–70 and 70–80 bands, which together account for 7.3%. Exposure below 60 is comparatively limited at approximately 1.5%.

Total Kronosnet TL exposure across the 17 collateral managers stands at €416.7m across 130 CLO deals, averaging €3.2m per deal, or 0.92% of portfolio size.

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.

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 1,636 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.

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.

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.