A sample of 496 EU CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool factor below 60% are excluded.
Market Value Over-Collateralization (MVOC), for instance, at the BB tranche level, is calculated by dividing the collateral market value (MV) by the sum of CLO liabilities (AAA to BB). MVOC is a crucial point-in-time metric for pricing CLO-rated tranches, closely monitored by primary and secondary market participants.
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