Over half of US CLOs report
less than 1% of portfolio assets in default

Chart

Before COVID-19, 78% of post-crisis US CLOs reported less than 1% of their portfolio in default, 15% reported between 1% and <2% of their principal balance in default, while 7% reported more than 2% in default. By August, only 44% of CLOs reported less than 1% of their principal in default, while the share of CLOs reported between 1% and <2% of their portfolio in default jumped to 28%.