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Egan-Jones CLO* Summary Report

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Egan-Jones CLO* Summary Report (Dec 2022)

More comfort. The moderation of the Tranche Coupon (orange line) in the chart to the right below suggests that capital providers are moderating their needed yield relative to the Asset Coupons (the blue line). Additionally, BBBs are trading near SOFR + 600bps at a 2% discount, translating into a near 10% yield.

*Egan-Jones CLO ratings are Non-NRSRO ratings and are not issued or maintained by EJR in its capacity as a NRSRO.

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Egan-Jones CLO* Summary Report (Oct 2022)

Some comfort. During the 2008 Credit Crisis, CLOs were among the best-performing areas of structured finance, in contrast to the disasters in RMBS and CMBS. Current performance provides some comfort whereby BBB are trading near SOFR + 650bps at a 2% discount, translating into a 10% yield. Given the 7% subordination (see chart II-A below) and the 50% recovery rates, currently, 15% of the portfolio could default before losses attach.

*Egan-Jones CLO ratings are Non-NRSRO ratings and are not issued or maintained by EJR in its capacity as a NRSRO.

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Egan-Jones CLO* Summary Report (Sept 2022)

Weathering the storm – despite the turmoil in the economy, CLO credit quality to date has held steady as can be seen below. Egan-Jones provides an overview of the CLO market to facilitate comparisons over time and among various CLOs. Of note is the improvement of WARS in average to about 3750 from 3800 over the past six months indicating the overall default risk is relatively unchanged.

*Egan-Jones CLO ratings are Non-NRSRO ratings and are not issued or maintained by EJR in its capacity as a NRSRO.

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Egan-Jones CLO* Summary Report (Aug 2022)

"Weathering the storm – despite the turmoil in the economy, CLO credit quality to date has held steady as can be seen below. Egan-Jones provides an overview of the CLO market to facilitate comparisons over time and among various CLOs..."

*Egan-Jones CLO ratings are Non-NRSRO ratings and are not issued or maintained by EJR in its capacity as a NRSRO.

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