CLOs hold less triple C assets, reports Wells Fargo

In its latest CLO market update report, Wells Fargo Securities calculates that the average CLO triple C basket has fallen by 50 basis points to 10.6% between 4 June and 30 July, providing a boost to par values. The calculations are based on the total number of assets with a Moody’s Caa1 or lower rating. In reality, triple C buckets are defined in different ways in different CLOs and often include assets with a low single B rating on negative watch. According to the report, the volume of assets with a B3 rating is currently 11.9%.

Analyst Dave Preston also points out CLO cash holdings have continued to rise and now stand at 2.2% of all assets – up from 1.8% at the end of June.