...Par Levels Stable: Overcollateralization (OC) test cushion levels and average net portfolio gains/losses have only decreased slightly over the past quarter, driven by the addition of new CLOs to the index. Of the deals included in the 4Q14 report, only 27% experienced a net loss, averaging 22 basis points (bps). The other 73% experienced an average gain of 11 bps over the same period. Energy Sector Exposure: The effect of energy price volatility was not expected to cause significant underperformance in CLO 2.0s. Although a potential increase in the `CCC' asset exposure could result in reduced cushions on coverage tests for a handful of CLOs with a larger exposure to inferior energy credits, sector concentration tests limited a deal's exposure to any single industry. Furthermore, not all issuers in the energy sector were sensitive to the recent slide in energy prices in the short term, as illustrated on pages 9 and 10. Underlying Credit Quality Stable: The overall credit quality of leveraged...
