The table below groups the deals into quartiles by BB MVOC, showing that weaker market-value coverage is associated with greater exposure below each price threshold. The relationship between MVOC and annualised sales volumes is less pronounced.
The table below groups the deals into quartiles by BB MVOC, revealing a clear association between weaker market-value coverage and higher exposure below each price threshold.
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.
The study covers a sample of 556 EU CLO deals issued between 2013 and the first half of 2025. Static deals and those with a collateral pool factor below 60% are excluded from the analysis. The sample of 556 CLO deals also shows an average 8.8% of collateral priced below 80, concentrated in the 60–70 and 70–80 bands, which together account for 7.3%. Exposure below 60 is comparatively limited at approximately 1.5%.
The study covers a sample of 556 EU CLO deals issued between 2013 and the first half of 2025. Static deals and those with a collateral pool factor below 60% are excluded from the analysis.
A sample of 1,636 US BSL CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 55% are excluded.
