Nemean CLO, a 2000 vintage collateralized loan obligation managed by ING Capital Advisors has only one defaulted asset representing 0.04% of the portfolio and is performing within all its parameters, according to Fitch Ratings. In a report on the approximately $580 million market-value deal, which is entirely leveraged loans, Fitch states that the deal has seen a decline in weighted average spread to 2.97% from 3.2% and there has also been a rise in the weighted average rating factor (WARF) from 33 (BB+) to 48 (BB-/B+.)
Mike Hatley, managing director at ING, responded though that this is somewhat misleading. "The WARF was 33 when the deal closed in 2000 because there was a lot of cash at closing. In this deal the cash is invested in AAA rated securities and that gets counted in the WARF calculation. This obviously makes the WARF artificially low," he said. He also commented on the low amount of defaulted and CCC assets within the portfolio. "We're pretty pleased with the quality of the portfolio."