Five-Year European CLO BWIC Review: Mezzanine Tranches Punch Above Their Weight

Over the past five years, €76.1bn of European CLO paper was shown on BWICs, of which €47.7bn traded (source: SCI’s BWIC data), implying an overall hit rate of 62.7%. While AAAs accounted for the largest share of traded volume, they changed hands far less frequently relative to their weight in a typical CLO. Mezzanine tranches punched well above their structural weight, led by BBs, while single-B trading surged in the latest year—highlighting where secondary-market activity is most concentrated and opportunistic investors are most active.