Portfolio Challenges of Repairing a US CLO


With a quarter of US CLOs failing their OC tests there has been plenty of talk about the impact of test-failures, but very little talk about what portfolio management steps a manager can take to fix the problem. As loan-market prices stabilize some test will cure themselves, but other like CCC-buckets will require active steps, complicated by the wide range of other matrices and metrics that need to also be fulfilled.