EU Module

Across the 2021-vintage European CLOs in the sample, an average of 14.74% of the original collateral balance fell into price bands below 80. Against this backdrop, single-B tranches from this vintage face significant idiosyncratic credit risks. Around 37% of the single-B tranches in the sample had MVOC below 100%, contributing to market concerns about potential impairment across parts of this segment of the EU CLO market. At the lower end, Bridgepoint CLOs 2 and 3 had just 6.47% and 6.17% below 80, respectively. The five RRE deals had sub-80 shares ranging from 7.34% to 8.50%, with each holding less than 0.2% below 60. Capital Four CLO III also had relatively limited exposure, with 7.68% below 80 and 1.61% below 60.

EU CLO equity BWIC activity has remained subdued since June 2026, with 56 lines offered and 24 traded, according to SCI’s BWIC data, representing a trade ratio of 42.9%. On an original face value basis, €80.4m traded out of €288.3m offered, equivalent to a lower execution rate of 27.9%, partly reflecting several sizeable positions exceeding €10m each that did not trade.

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.

We use the combined loan portfolios of five top-tier CLO deals* as a proxy for a new-issue CLO portfolio. The combined portfolio is rebalanced monthly, with loans priced below 92 excluded. On the liability side, the tightest deal-level par-weighted DM (WACC) among qualifying deals is identified each week, and the average of the three tightest weekly observations in each month is used as the monthly benchmark.

A sample of 664 EU CLO deals is used in this study. Called deals and static deals are excluded from the sample. Equity performance remains one of the most closely watched measures of CLO manager performance, given its importance to a broad range of stakeholders. A manager that consistently delivers for equity investors may be better positioned to attract equity capital for future deals, which in turn can support continued issuance and the further growth of its CLO platform. EU CLO Managers such as Bridgepoint Group, Napier Park, Partners Group, Redding Ridge Asset Management, and UBS Asset Management stand out...

Overall, the results suggest that EU CLOs experienced lower portfolio loss and default rates than their US BSL counterparts.

A sample of five top-tier CLO deals is used as a proxy for a new-issue CLO portfolio. The combined loan portfolios are rebalanced monthly, with loans priced below 92 excluded. On the liability side, the tightest DM in each week is identified, and the average of three such weekly observations is used as the monthly benchmark DM.

Across the 171 EU CLO deals that have been redeemed, the overall average IRR was 11.8%. The top quartile of deals achieved IRRs of at least 13.5%, while the bottom quartile recorded IRRs below 7.3%. Notably, the top 25% of deals within each vintage delivered minimum IRRs in the low teens, except for the 2017 and 2019 vintages, broadly in line with the returns typically marketed for CLO equity at primary issuance.

A sample of 538 fully repaid EU CLO BB tranches with disclosed issue prices or DMs is included in this study. Overall, their performance has been very impressive, with an average realised IRR of 10.1%.

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. Among the 54 managers with at least three deals in the sample, Bridgepoint Credit, Napier Park Global, RRAM and UBS AM stand out.

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.