EU Module

A sample of 351 fully repaid single-B tranches is included in this study. Overall, their performance has been very impressive, with an average realised IRR exceeding that of equity tranches. In addition, single-B tranches generally carry lower risk than equity, given their second-loss position in the capital structure.

A sample of 122 unique CLO equity positions is used for this study. These positions were placed on BWIC, with trading colour available since 21 April 2026.

A sample of 542 EU CLO deals is used in this study. Called deals and static deals are excluded from the sample.

This file tracks Net Interest Margin (collateral gross coupon minus weighted average CLO tranche coupon) trends across 66 European CLO managers, with monthly data dating back to July 2013. Select up to ten managers from the dropdown menus to compare manager-level margin trends relative to peers and the market average over time.

This file tracks reported WAS trends across 66 European CLO managers, with monthly data dating back to July 2013. Select up to ten managers from the dropdown menus to compare manager-level spread trends relative to peers and the market average over time.

A sample of 574 EU CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 60% are excluded.

Just as the first signs of spring draw people out into the streets, an improving trading backdrop, combined with post-April payment dates, brought a wave of equity tranches into BWIC last week, with every tranche trading with released covers.

The table below shows the latest below-90 price exposure by vintage, based on asset prices as of 17 April 2026, for the sample of EU CLOs. The sample’s overall average below-90 price exposure stands at 13.6%. The top ten industries account for close to 70% of total below-90 exposure, suggesting that the build-up in idiosyncratic risk remains relatively well distributed across a range of industries.

The following two tables illustrate arbitrage trends since late January/early February. Arbitrage is currently estimated at around 161 bps for US BSL CLOs and 195 bps for EU CLOs.

Arbitrage Comparison: US BSL CLOs vs EU CLOs

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.

A sample of 545 EU CLO deals is used in this study. Called deals and static deals are excluded from the sample.

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.

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.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 27 February 2026.