28.09.2015 15:41:00
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Moody's: US CLO leveraged loan default rates vary across managers, but roughly track Moody's speculative-grade rate
New York, September 28, 2015 -- Default rates for leveraged loans in US CLO portfolios from 2007 to 2012 varied considerably across major CLO managers, though they did reflect the ratings of those loans, Moody's Investors Service says in a new report. Pro forma default rates came in somewhat higher than realized default rates during the same period, while the US speculative-grade corporate default rate came in between the pro forma and realized default rates of leveraged loans in CLOs.