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CLO Collateral Assets Below the 80/70/60 Price Buckets by Vintage

Tracking the below 80/70/60 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 trading. CLO Managers could have crystallised portfolio losses by trading out of distressed assets. One has to look at the entirety of the manager’s…

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