A sample of 557 EU CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool factor below 65% are excluded.
Market Value Over-Collateralization (MVOC), for instance, at the BB tranche level, is calculated by dividing the collateral market value (MV) by the sum of CLO liabilities (AAA to BB). MVOC is a crucial point-in-time metric for pricing CLO-rated tranches, closely monitored by primary and secondary market participants.