...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 17. OC Levels and Par Down: Portfolio gains were down year over year and compared with 2Q15. In 70 out of 142 CLOs included in the previous quarter, portfolio par decreased in 3Q15 by an average of 0.3%. The losses were either realized in a sale below par or recognized through a haircut applied to defaulted assets. The average quarterly par gain was recorded in 67 CLOs, with an average gain of 0.09%, while par remained flat in five CLOs. The top and bottom 10 CLOs that gained or lost the most par in 3Q15 are shown on page 13. More CLOs Affected by Defaults: As shown on the next page, the number of CLOs that reported defaults doubled to 41 from 19. Overall exposure to distressed and defaulted...
