Only 21 pre-crisis CLO tranches in default, says S&P

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By Tom Brown
18 Nov 2019

More than a decade after the financial crisis, and with leveraged loan growth under the regulatory microscope, only two CLO 1.0 deals rated by S&P Global Ratings remain outstanding, with only 21 tranches defaulting since 1997.

Double-B tranches had the most defaults, at 17, with triple-B tranches having three defaults and only one single-B tranche triggering a default event.

“The performance of CLO 1.0 was remarkable,” said Emanuele Tamburrano, senior director and analytical manager for EMEA. “People don’t appreciate the performance that over 20 ...

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