European Leveraged Loan CLO Performance Tracker - Amended - Performance Report - 2009/07/03 - Fitch Research

Report title: European Leveraged Loan CLO Performance Tracker - Amended

from Fitch Research
13 page (6953 word) report published Jul 03, 2009

Price $275.00 available for immediate download

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...This report is the first release of Fitch Ratings' European collateralised loan obligation (CLO) performance tracker. Similar to Fitch's panEuropean SME tracker, the report compares data across the Fitchrated European CLO universe aggregated from transaction performance reports as well as the agency's own surveillance systems. The tracker universe includes 28 Fitchrated transactions, 26 managed arbitrage type transactions and two static balance sheettype transactions. This represents a total of 193 rated tranches and 33 combination notes issued between 2002 and 2009. The managed CLOs are from eight portfolio managers. In addition to a portfolio performance commentary, this report includes detailed discussion of CLO structural features, CLO portfolio manager behaviour and counterparty issues. While European CLO performance had been stable in recent years, the end of 2008 and early 2009 showed significant signs of strain. Not surprisingly, stress in the leveraged loan sector is having a noticeable...

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Fitch Ratings is a leading global rating agency committed to providing the world's credit markets with independent, timely and prospective credit opinions. Built on a foundation of organic growth and strategic acquisitions, Fitch Ratings has grown rapidly during the past decade gaining market presence throughout the world and across all fixed income markets.

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