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Distressed Exposure: Assets Below the 70 and 60 Price Buckets by Vintage

CLO equity and lower mezz tranches are more exposed to idiosyncratic risk. Generally speaking, deals with a bigger below 70 price bucket would tend to see their equity and lower mezz tranches get hit much harder from a valuation standpoint. * Cash is not included in the calculation of below 70 and 60 price buckets Disclaimers The…

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