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sd-10-EFTA01462202Dept. of Justice

EFTA Document EFTA01462202

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CLO Collateral Performance during the Crisis(') CLO Managers Outperform with Lower Defaults U.S. CLO Managed Defaults U.S. Loan Index Defaults efrr eP eP is <41% 01% 4:` +6‘ NPC ce 40 O6 er CLO Caa Bucket Levels 14.0% 12.0% 10.0% 8.0% 6.0% 4.0% 2.0% 0.0% etteenetenntWt:// ete iet e, "eel" , 4P et' Deutsche Bank Corporate Banking & Securities CLO Senior OC Levels - Median 132% 129% 126% 123% 120% 117% 114% 111% .13 eP re if ef, efl It es.? 0 ) Cete a c

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Dept. of Justice
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sd-10-EFTA01462202
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