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The US shouldered most of October’s downgrades of CLO collateral to triple-C level, with Europe escaping relatively unscathed. But downgrades to single-B minus pose a threat for that region as well.

In the US, rating agencies cut $5.9bn of CLO collateral across 15 names to triple-C in October, compared to just one name worth €100m in Europe (which was in US CLO portfolios anyway).

This US downgraded volume marks an escalation from the month prior, when seven names and $2.9bn of US CLO assets got cut to triple-C.