CLO test failures soar, says Wachovia

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

Comment by: Anonymous. Posted 15 years ago [2009-02-10 18:59:19]

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.

Comment by: Anonymous. Posted 15 years ago [2009-02-10 17:31:24]

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.

Comment by: Anonymous. Posted 15 years ago [2009-02-10 15:03:28]

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.