Most CLOs have event-of-default triggers, says Barclays Capital

Barcap analysts took a sample of 36 CLO transactions to assess their event of default language.

Comment by: Anonymous. Posted 15 years ago [2009-01-21 14:03:55]

Most of these the Overcollateralisation Ratios will not be based on asset market-values (indeed as they should not be). So it's only when a significant amount of assets default or get downgraded to CCC that there will be an OC-driven event of default.