US CLO portfolio quality in decline since winter selloff, says Wells

A team of researchers at Wells Fargo led by David Preston said in a webcast on Friday that managed CLO portfolios saw a decline in quality as managers in aggregate failed to build par and bought lower credit quality loans.

  • By Alexander Saeedy
  • 17 May 2019
While periods of distress offer opportunities for CLO managers to build par, or buy loans at a discount and create value by growing the overall size of the fund’s loan book. Increasing AUM effectively provides more credit support for existing CLO tranches, and tranches can thus withstand higher ...

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2 Morgan Stanley 2,420 6 13.57
3 Goldman Sachs 2,096 5 11.75
4 BNP Paribas 1,686 6 9.45
5 Barclays 1,565 4 8.77

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