26.04.2016 20:52:00
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Moody's: Small percentage of US CLO 2.0s at risk of OC deterioration
New York, April 26, 2016 -- Some Moody's-rated US CLO 2.0s are at greater risk of failing over-collateralization (OC) tests due to growth in their riskiest collateral holdings, Moody's Investors Service says in a new report. The CLOs' exposure to the "riskiest assets," or those rated B3 or lower with market prices below 80% of par, has risen steadily since the beginning of 2015.