Standard & Poor's European CLO performance index report for September shows that all of the CLO cohorts except 2006 experienced an increase in the percentage of assets rated in the 'CCC' category — 'CCC+', 'CCC', or 'CCC-'.
In addition, the 2006 and 2007 cohorts experienced increases in the percentage of defaulted assets held in their collateral portfolios, while the 2004 and 2005 CLO cohorts saw a decline.
The ratings agency’s CLO Performance Index Report provides aggregate monthly performance statistics across its rated universe of European cash flow CLO transactions, which are backed primarily by loans to speculative-grade firms.
The agency divided the performance information in this report into four cohorts, each containing data for a large majority of the European CLO transactions rated by S&P and issued in a specific vintage year from 2004 through 2007.
