Over four fifths of the collateralized loan obligations reporting to Standard & Poor’s have at least one asset in their underlying portfolio that is not a loan.

CLOs that own bonds and other securities run afoul of the final version of the Volcker Rule, published in December, making them off limits to banks. But to date, hard numbers on how many CLOs fall into this category have been hard to come by. In a report published today, S&P said it examined 640 of the 705 CLO transactions outstanding as of year-end 2013; the remaining 65 deals were not effective or did not begin issuing their monthly reports by that time. Of

Just over 80% of do have something besides loans in their portfolios; of those, 32 transactions have non-loan assets that account for greater than 10% of their underlying portfolio, but almost all come from CLO issued prior to the financial crisis whose reinvestment periods have ended.

The overall notional amount of the non-loan buckets held in U.S. CLO transactions is just over $10 billion.

"We will be tracking this information and publishing quarterly updates as long as the topic remains relevant," credit analyst Jimmy Kobylinski stated in a press release accompanying the report.

The majority of CLOs issued since the financial crisis also have 10% allowable bond bucket. However, few actually put that much of their portfolios to work in bonds.

CLOs that have come to market since the final version of the Volcker Rule was published generally do not allow for investments in bonds.

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