...Fitch's CLO index is enhanced by its Excel-based Tracker, available through the link on the left. The Tracker presents normalized transaction data and performance statistics for each Fitch- rated CLO, as well as average metrics for the sector. The full contents of the Tracker file are listed on page 13. OC Levels and Par Slightly Down: Portfolio gains trended down year over year, but remained relatively stable quarter to quarter. The increasing divergence between the minimum and maximum is due to the addition of new transactions and performance differences as CLOs continues to season. The top and bottom 10 CLO that gained or lost the most par in 2Q15 are shown on page 10. New Defaults Limited to a Few CLOs: Defaults and distressed collateral primarily reflected price downturns in the Energy and Metals and Mining sectors. The overall index exposure to defaulted and distressed issuers now stands at 0.2% of the total index notional amount, up from 0.08% last quarter. Nineteen CLOs out of 142...
