US And EU CLOs: Historical Trend – Number of Deals that Breached ID/OC Tests And with Less than a 1 Point Cushion
- ID/OC tests did what they are supposed to do – by trapping more interest cashflows in times of stress to support CLO rated tranches.
- The number of US CLO deals that breached their ID and/or OC tests continues to decline steadily since reaching its peak (count of 393) in Jun 2020.
- The number of US CLO deals with ID and/or OC test cushions of less than one point is now at a level last seen in May 2020.
- The number of EU CLO deals that breached ID and/or OC tests peaked at 11 deals in Jun 2020.
- The latest number of EU CLO deals with ID and/or OC test cushions of less than one point stands at 22 deals compared to the peak of 46 on 1 Nov 2020.
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