US And EU CLOs: Historical Trend – Number of Deals that Breached ID/OC Tests And with Less than a 1 Point Cushion
- ID/OC tests did what they are supposed to do – by trapping more interest cashflows in times of stress to support CLO rated tranches.
- The number of US CLO deals that breached their ID and/or OC tests continues to decline steadily since reaching its peak (count of 393) in Jun 2020.
- The number of US CLO deals with ID and/or OC test cushions of less than one point is now at a level last seen in May 2020.
- The number of EU CLO deals that breached ID and/or OC tests peaked at 11 deals in Jun 2020.
- The latest number of EU CLO deals with ID and/or OC test cushions of less than one point stands at 22 deals compared to the peak of 46 on 1 Nov 2020.
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The information, research, data, research related opinions, observations and estimates contained in this document have been compiled or arrived at by CLO Research Group, based upon sources believed to be reliable and accurate, and in good faith, but in each case without further investigation. None of CLO Research Group or its service providers; authorised personnel, or their directors make any expressed or implied presentation or warranty, nor do any of such persons accept any responsibility or liability as to the accuracy, timeliness, completeness or correctness of such sources and the information, research, data, research related opinions, observations and estimates contained in this document. All information, research, data, research related opinions, observations, and estimates in this document are in draft form as of the date of this document and remain subject to change and amendment without notice. Neither CLO Research Group nor any of their third-party providers shall be subject to any damages or liability for any errors, omissions, incompleteness or incorrectness of this document. This article is not and should not be construed as an offer, or a solicitation of an offer, to buy or sell securities and shall not be relied upon as a promise or representation regarding the historical or current position or performance of any of the deals or issues mentioned in it.
