EU CLO Collateral Quality Metrics: Latest Snapshot

A sample of 659 EU CLO deals is used to provide the latest snapshot of various collateral quality metrics. Deals with a collateral factor of less than 80% are excluded. The downloadable file includes tables covering CDO Weighted Average Spread (Reported), CDO % CCC+ or Below (Reported), CDO % Caa1 or Below (Reported), CDO Weighted Average Rating Factor (Reported), % of Assets with Spread > 4.50%, CDO Diversity Score (Reported), Default Balance (%), CDO % of Assets that are Fixed Rate, Senior Management Fee, Subordinated Management Fee, and BB, BBB, A and AA OC Ratios.