Standard & Poor's most recent European CLO Performance Index Report showed several changes in performance metrics in December 2011. 

The rating agency said that all of the European CLO cohorts tracked in the index showed a rise in the percentage of the underlying portfolio's defaulted assets.

Additionally, S&P reported that three of the European CLO vintages had increases in their senior overcollateralization ratio test cushions.

The rating agency also found that all of the European CLO vintages tracked in its index reported increases in the percentage of defaulted assets in December 2011.

In terms of the senior and subordinate OC test cushions, only one of the European CLO cohorts or the 2008 vintage saw a rise in its reported senior OC ratio cushions as well as junior OC ratio test cushions, S&P said. All the other cohorts actually reported a dip.

The number of deals reported to be failing their senior OC tests stayed the same as that reported in November. But, the number of offerings reported to be failing their junior OC ratio tests increased.

According to S&P, three of the European CLO Performance Index vintages — 2004, 2006, and 2007 — reported increases in the percentage of assets rated 'CCC' and two of the vintages —2005 and 2008 — reported dips.
 
The firm's European CLO Performance Index Report offers aggregate performance statistics across most S&P rated European cash flow CLO deals backed mostly by corporate loans.

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