Decline of key metric pressures CLO managers

CLOs
By Asad Ali
24 Apr 2018

The trading ability of European and US CLO managers is being affected by the deterioration of a key collateral quality metric designed to protect debt investors, according to a report by Moody’s this week.

The CLO portfolio weighted average recovery rate (WARR) has “significantly” declined over recent years, eroding the ability of the portfolios to absorb further credit deterioration, Moody’s said in a report on Monday and again in a call held on Tuesday.

The decline in WARR among CLO collateral “reflects ...

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