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Examining Fixed-Rate Exposure Across MVOC Quartiles in EU CLO Deals

The table below presents the percentile breakdown of fixed-rate exposure for each quartile, classified by MVOC metrics based on asset prices as of 1 November 2024, and adjusted for vintage effects. This analysis covers a sample of 222 EU CLO deals from the 2019-2021 vintages, selected as they have had sufficient time to season. Fixed-rate…

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