EU Module

Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 9 February 2026.

Against the backdrop of a much tighter WACC, EU primary CLOs are now generating arbitrage of around 180 bps, which represents a healthy level for the market compared with the past six to seven months.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 30 January 2026.

Tracking exposure to underlying CLO collateral priced below 80 and 70 can serve as a useful proxy for assessing tail risk within the asset pool. While this metric has inherent limitations—most notably that it does not capture stressed or distressed positions that have already been traded out of the collateral pools—it nevertheless provides a timely and standardised snapshot of downside risk embedded within CLO collateral portfolios.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 23 January 2026.

Notices announcing full optional redemptions through liquidation have been issued for GoldenTree Loan Management EUR CLO 4 and EUR CLO...

New EU CLO issuance rose by around 24% year on year to approximately EUR 60 billion in 2025, building on...

As at 16 December 2025, the latest arbitrage metric stood at 255 bps, broadly in line with the level observed in January 2025. However, the current backdrop is less favourable than it was in late January.

A sample of 591 EU CLO deals is used in this study. Among the 65 managers, six managers’ deals ranked, on average, within the top 20% across vintages.

This week saw several US CLO equity tranches trade or be talked at levels materially lower than on their previous BWIC dates.

The first table in this article shows the average annualised prepayment rates for each seasoned manager in the first, second, third, fourth, and fifth years of the post-reinvestment period (post-RP). The sample includes deals that had exited their reinvestment periods by 31 December 2024.

CLO equity has faced a challenging period, with ongoing asset repricing weighing on annual distributions. Still, there are bright spots in the market. For example, a majority equity stake, ARES 2023-ALF4A SUB, was recently traded via BWIC. The deal’s accretive reset, priced by Citigroup on 3 October 2025, reduced its WACC by nearly 80 bps—more than offsetting the 60 bps decline in its underlying collateral spread since inception.

Across these vintages, reset deals outperformed their non-reset counterparts, underscoring the value of resetting.

Yesterday saw several US BSL CLO and EU CLO equity tranches from the 2018–2021 and 2024 vintages trade in the secondary market.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 17 October 2025.