Rates desks seek CLO tranches for spare parts
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Rates desks seek CLO tranches for spare parts

scrapyard

Rates trading desks are seeking owners of triple-A European CLO tranches, because of the value of the embedded Euribor floors, which convert negative Euribor prints to 0%. These can be stripped out and sold to the market, monetising a feature of the bonds that has become sharply more valuable as euro interest rates have plunged this summer.

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