EU CLOs: Exposure to Winterfell Financing (Stark Group) TLs
EU CLOs: Exposure to Winterfell Financing (Stark Group) TLs
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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.
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.
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.
Among the 2012–2021 vintage deals, only 2.1% of EU CLO BB tranches show an MVOC below 100%, compared with 23% for US BSL CLOs. Coincidentally, around 26.1% of both US BSL and EU CLO deals report negative equity NAV.
US CLOs’ overall exposure to the Tempo Acquisition (Alight Solutions) term loan remains largely unchanged at approximately USD 1.44 billion. As of 6 March 2026, 955 US CLO deals, managed by 65 managers, reported an average deal-level exposure of around 37 bps.
EU CLOs’ overall exposure to the ION Platform term loan is approximately EUR 1.49 billion. As of 6 March 2026, 395 EU CLO deals, managed by 50 managers, reported an average deal-level exposure of around 92 bps.
EU CLOs’ overall exposure to Think-Cell TLs is approximately EUR 416 million. As of 6 March 2026, 161 EU CLO deals, managed by 16 managers, reported an average deal-level exposure of around 66 bps.
As of 6 March 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 202 bps, this has returned to levels last seen in early January 2025.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 2 March 2026.
