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.
