Over 20% of CLOs failing key test, analysts say

By Paola Aurisicchio
11 May 2020

The percentage of triple-C rated loans held in CLOs has tripled to 12% in the past three months, leading 21% of outstanding deals to fail at least one overcollateralisation test, according to Bank of America.

As downgrades mount and portfolios fill with triple-C rated leveraged loans, CLO managers are coming under more intense pressure to protect cash flows to bondholders.

A BofA report published this week showed that 21% of CLOs (248 out of 1,179) are failing at least one test, and even the ...

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