Polystorm Bidco TL Exposure Across EU CLOs
Total exposure across 191 EU CLO deals stands at €442.0m, with an average exposure of €2.31m per deal, or 0.61% of portfolio size.
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Total exposure across 191 EU CLO deals stands at €442.0m, with an average exposure of €2.31m per deal, or 0.61% of portfolio size.
EU CLO exposure to Virgin Media term loans totals €1.71bn across 560 deals, averaging €3.06m per deal, or 0.76% of portfolio size.
Total exposure is €1.12bn across 41 managers and 381 deals, averaging €2.93m per deal, or 0.81% of portfolio size.
Total exposure is €438.2m across 26 managers and 214 deals, averaging about €2.0m per deal, or 0.51% of portfolio size.
In EU CLOs, total exposure to Merlin TL stands at €531.3m across 245 deals and 34 managers, averaging €2.17m per deal, or 0.56% of portfolio size. Exposure is relatively concentrated among a small group of managers. In comparison, US CLO exposure to Merlin TL totals $1.03bn across 701 deals and 42 managers, averaging $1.46m per deal, or 0.31% of portfolio size. Despite the larger overall exposure, it is spread across considerably more deals, resulting in a notably lower average exposure per deal relative to portfolio size than in EU CLOs.
As of June 30, 2026, total US CLO collateral AUM stood at USD 1.23 trillion. The ten largest managers are Golub Capital, Blackstone, RRAM/Apollo, The Carlyle Group, Ares Management, CIFC Asset Management, UBS Asset Management, Elmwood Asset Management, BlackRock, and Bain Capital Credit.
As at 30 June 2026, total European CLO collateral AUM stood at €309.1bn. The three largest managers were CVC Credit Partners, Blackstone and Redding Ridge Asset Management, each managing more than €11bn of European CLO collateral.
The chart below presents the average realised IRRs of fully repaid EU CLO tranches across the AAA to BB rating spectrum. Further details and analysis are available to CLOPremium subscribers.
Please see the tables below for the latest median MVOC metrics across the US and EU CLO capital structure.
Over the past month, trading colour was available for more than 470 data points (source: SCI). The table below presents the average DMs and DMs to first call based on cover bids, grouped by WAL cohort.
Looking at US BSL CLO BB tranches traded via BWICs since 14 April 2026, the graph below summarises DM cover levels (or best levels where DNT), grouped by manager tier and MVOC range for deals with reinvestment periods ending in 2029–2031.
A relatively small list of EU CLO AAA bonds, including some odd lots, was traded yesterday. Despite their size, they still provide useful reference points for the term structure of AAA DMs, as summarised in the table below.
Based on a sample of 958 and 134 fully liquidated 2.0 US and EU CLO deals, respectively, EU CLO equity tranches have generally outperformed their US counterparts across vintages.
On 17 February 2026, the Financial Conduct Authority (FCA) and the Prudential Regulation Authority (PRA) issued consultation papers outlining proposed...
Over the last twelve months, according to SCI BWIC data, around US$56.2 billion of US BSL CLO tranches were placed on BWIC. AAA tranches accounted for close to US$29.0 billion of notional, followed by equity tranches at US$8.3 billion and BB tranches at US$7.2 billion, as shown in the table below. Single-B tranches remain the least liquid segment of the capital structure.
