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Structured
Fitch warns on Spanish mid-market CLOs
Wednesday, March 24, 2010
Fitch Ratings warns that CDOs of Spanish mid-market loans are rapidly depleting reserve funds designed to cushion the notes. The rating agency says that two of these balance sheet CLOs have already used up their reserves and it expects that further defaults will cause the same thing to happen in other deals.
It adds that low and slow recoveries are also hurting these deals, but says that ratings on the senior notes remain solid.
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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 |
