European CLO Weekly: What went wrong?

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European CLO Weekly: What went wrong?

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European CLO Weekly

What went wrong?

Market update: Slowdown in loan repricings, firm spreads 06 July 2026

On the CLO primary, 1 new issue deal & 3 resets priced last week. YTD gross new Structured Finance

issuance and reset/refi volume exceed €31 and €30bn, respectively. Meanwhile, on the Europe

loan primary, repricing activity slowed down substantially, with just one such transaction CLO

last week.

On the secondary, the ELLI softened a bit WoW. A TLB issued by French care home

provider Sante Cie dropped from above par to 50s following fraud allegations. CLO BWIC

volume declined to less than €230mn vs. around €290mn the week prior, with triple-As

accounting for almost 60% of supply. Spreads held firm.

First Euro CLO 2.0 single-B tranche impairment Dustin Walpert, CFA

Bain Capital Euro CLO 2018-2 had its single-B tranche haircut, marking the first Euro European CLO Strategist

MLI (UK)

CLO 2.0 tranche impairment. In addition, a notice for Man GLG Euro CLO III was +44 20 7996 0982

published suggesting that its single-B tranche may get haircut as well. dustin.walpert@bofa.com

Alexander Batchvarov, CFA

In total, we count 50 Euro CLO tranches by 21 CLO managers that are either (1) rated Int'l Str. Fin. Strategist BofA Europe (Zurich)

B3/B- with negative outlook or rating watch negative or (2) rated Caa1/CCC+ or below +41 44 297 7469

by at least one rating agency. Whilst there are many older vintage deals among these 50 alexander.batchvarov@bofa.com

weaker CLOs, we note it also includes 13 deals issued since 2021.

Higher WAS, more adverse credit selection Common Acronyms (see Appendix)

When considering the performance of these 50 deals over time, we notice that many