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Collateral Spread Change in 2022

The tables below show the change in collateral spreads (median) for both US BSL CLOs and EU CLOs by vintage. US BSL CLOs20172018201920202021Median (Change in Collateral Spread in 2022) bp691098Adjustable Rate IndexLatest Collateral Composition (%)Libor_1mo50.648.346.947.846.5Libor_3mo28.928.428.027.428.9Sofr_1mo9.912.012.011.811.8Sofr_3mo6. Composition in Dec 2022)Libor_1mo58.557.757.457.654.2Libor_3mo38.339.239.038.342.4Sofr_1mo0. Intex  EU CLOs20172018201920202021Median (Change in Collateral Spread in 2022) bp25864Source: Intex Disclaimers The information, research, data,…

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