Class F Tranche without Class F Test

Summary:

Some CLO investors buy Class F tranches even when a transaction omits the Class F overcollateralization test. In this report we analysed the current market trend based on the final documentations of 164 European CLOs. Our findings are that (year-to-date 2025) some 25% of the transactions with a Class F tranche did not have a Class F test. 

We highlight in this trend report the possible main reasons for omitting the test and list practical questions that can be asked when the offering circular does not include it.

If you’d like to access the full report, please login/register or to discuss any of these trends in detail, feel free to reach out to Laurence Kubli on researchteam@thereviewport.com.