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.
The broader EU CLO single-B market continues to exhibit significant mark-to-market (MTM) pressure, with a substantial proportion of tranches showing limited or negative MV collateral coverage cushions.
EU CLO MVOC improved across the capital structure between 30 October and 5 November 2026, with median MVOC increasing across AAA to single-B tranches for most vintages, reflecting a broad-based strengthening in underlying collateral valuations.
EU CLO MVOC and equity NAV improved broadly between 23 and 30 October, reversing some of the previous week's deterioration.
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.
