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US and EU CLOs: Latest MVOC (AAA–B) and EQ NAV by Vintage (as of 2 Sep 2022)

The tables below show the MVOC and EQ NAV metrics of US BSL CLO deals* and EU CLO deals* by vintage based on asset prices as of 02 Sep 2022. CLO MVOC (AAA–B) Market Value Over-Collateralisation (MVOC), for instance, at the BBB tranche level, is calculated by dividing the collateral MV by the sum of…

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