Key EU CLO Manager Metrics Across Performance Quartiles
The findings outlined in this article suggest that risks within the software sector remain largely idiosyncratic, rather than reflective of broad-based performance trends in the EU CLO market.
The findings outlined in this article suggest that risks within the software sector remain largely idiosyncratic, rather than reflective of broad-based performance trends in the EU CLO market.
A sample of 580 EU CLO deals (vintage 2013–1H 2025) is included in this study. Deals with a collateral pool factor below 60% 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 key point-in-time metric for valuing CLO-rated tranches, widely tracked by participants in both primary and secondary markets.
Overall, CCC/Caa exposures between US BSL and EU CLOs are broadly comparable across multiple vintages.
Performance and Risk Profile of US BSL CLO Managers
Performance and Risk Profile of EU CLO Managers Across 2019-2021 Vintages
What do investors prefer? Generally, they seek managers who maximise the value of the collateral pool, rather than selling CCC assets simply to reduce CCC exposure artificially or to gain short-term OC ratio advantages. Ideally, managers would also consistently steer clear of credits that become problematic.
