A sample of 1,662 US BSL CLO deals (vintage 2013–2023) 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 MV by the sum of CLO liabilities (AAA to BB). MVOC is a…
Tags:MVOC