EUR CLO Scorecard

Research evidence excerpt

EUR CLO Scorecard

Not for distribution to Retail Investors

1. Highlights – Revised Issuance Forecast

■In Europe, new issue CLO supply stands at €33bn (flat YoY) and running at a similar rate to our €70bn forecast from 2025-

end. We expect new acquisition supply to improve in the back half of the year which should help CLO supply. The situation

contrasts with US, which has seen a sharp decline in new issue CLO supply (Global CLOs: Global CLO Market 2026 H1

Update: Lower projections, choosier buyers despite ETFs and regulation).

■2026YTD reset and refi CLO supply stands at €24bn (up 16% YoY) and €8.2bn (up substantially from €1.2bn YoY)

respectively.

■We maintain our EUR CLO new issue forecast of €70bn. We revise our refi/reset forecast from €40bn to €55bn total, which

breaks down to €40bn reset and €15bn refi. For these forecasts, we considered the rate of issuance from 1H’26, as well as

the BB MVOC of deals exiting non-call in 2026, with those over 107 more likely to reset (and under, to refi).

■The difficulty with European CLO creation is high overlap among portfolios. Our study Collateral Overlap: How to Allocate

Your CLO Portfolios shows average overlap among EUR CLO managers is 55% (vs 40% in US).

Europe CLO Issuance EUR CLO Manager Overlap

140 EUR CLO New Issue Volume (€bn) 80% Collateral Overlap Between Managers

3 Collateral Overlap Between Deals EUR CLO Reset Volume (€bn) 74%

120 EUR CLO's Share of the Loan Market 70% 67%

EUR CLO Refi Volume (€bn) 68%

19 63 60% 58% 62%

80 54%

50% 55% 55% 55% 53% 54%

60 43 29 8 50% 52% 50% 44% 43% 43% 4 42% 41% 43% 6 24 40 11 40%

14 6 5 60 35% 15 47 20 38 33 30% 26 26 28 30 22 19

20% 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026YTD 10% Year

2019 2020 2021 2022 2023 2024 2025

urce: Citi Research, Pitchbook | LCD.