news, comment, analysis and data on the global business of credit trading and investing
Structured
CLO test failures soar, says Wachovia
Tuesday, February 10, 2009
In a recent research report, Wachovia says that 72 CLOs have now failed overcollateralisation (OC) tests out of a total of 508 post-2002 deals that the bank's researchers track. This is up from only 13 OC failures at the beginning of December. A total of 17 CLOs were breaching interest coverage (IC) tests on 5 February, up from 14 in December.
The finer interest diversion trigger is being breached on an even greater number of deals. A total of 125 CLOs are failing at least one par-based test (that is, either an OC test or the interest diversion test or both). This ios up from 45 deals in mid-December.
<< END >>
Related stories
- Goldman Sachs prices a $430 million CLO after structural tweaks 13 hours ago
- CDO-squared gains upgrade from Moody's following CLO rating sweep 19 hours ago
- January chalks up 66 CLO b-wics after last-day boost 1 year ago
- European CLO b-wic count grows amid rising investor demand 1 year ago
- CLO equity prices continue to rise 1 year ago
CFlux secondary
CLO index levels:
| Index | 6 Feb |
|
| CFlux USD AAA | ↑ | 94.9 |
| CFlux USD AA | ↓ | 81.3 |
| CFlux USD A | ↓ | 75.0 |
| CFlux USD BBB | ↑ | 74.8 |
| CFlux USD BB | ↑ |
72.1 |
| CFlux USD EQ | ↑ | 67.6 |
The OC failures are more of a worry, The CCC haircuts really decimated the CDOs of ABS, and many hit EOD triggers few thought would ever be an issue.
the IC tests are by and large a temporary issue resulting from reset mismatch on assets and liabilites. In the US, issue is mostly played out with LIBOR hitting a floor and CLOs having mostly quarterly resets.
the IC tests are by and large a temporary issue resulting from reset mismatch on assets and liabilites. In the US, issue is mostly played out with LIBOR hitting a floor and CLOs having mostly quarterly resets.