Some partial defaults may escape CLO defaulted security treatment, says PF2

Wednesday, March 04, 2009

Gene Phillips of PF2 Securities Evaluations notes that CLO indentures differ in the way they define defaulted securities

Comment by: Anonymous. Posted 15 years ago [2009-03-04 17:05:13]

As triple-C buckets are filling up, the hit from almost-defaulted securities can't be that much bigger compared to actually defaulted; assuming almost-defaulted will be rated triple-C, they would be carried at market value anyway for CLOs with full buckets.

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