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Distressed Exposure by EU CLO Manager: Assets Below the 80 and 70 Price Buckets

The following table shows the average below 80 and 70 price buckets by manager based on asset prices as of 13 Jan 2023. Tracking the below 80 and 70 price buckets at the CLO underlying collateral level is useful as it highlights the tail risk of the asset pool*. That being said, this bucket could be artificially deflated due to…

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